Abstract
Using multigrid, an efficient method to calculate the stationary probability density function of a single DOF nonlinear system subjected to white noise excitation is proposed. Under white noise excitation, the probability density function of the system is governed by a linear partial differential equation called as the Fokker-Planck equation. An improved scheme has been proposed for the Fokker-Planck equation in the previous paper. In this study, multigrid which is known as an efficient numerical method for the elliptic partial differential equations is combined with the scheme. In numerical examples, present method shows same accuracy of solution and less computational effort compared with usual method.
