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TECHNICAL PAPERS

Stochastic Averaging and Optimal Prediction

[+] Author and Article Information
Jun H. Park1

Department of Aerospace Engineering, University of Illinois at Urbana-Champaign, 104 South Wright Street, Urbana, IL 61801jpark25@uiuc.edu

N. Sri Namachchivaya, Natasha Neogi

Department of Aerospace Engineering, University of Illinois at Urbana-Champaign, 104 South Wright Street, Urbana, IL 61801

1

Corresponding author.

J. Vib. Acoust 129(6), 803-807 (May 01, 2007) (5 pages) doi:10.1115/1.2748777 History: Revised May 01, 2007; Received October 04, 2007

This work is concerned with the similarity between the two important reduction schemes: optimal prediction and stochastic averaging. To this end, we consider a randomly perturbed Hamiltonian system and derive a generalized Langevin equation from a Kolmogorov backward equation. We then show the similarity by adopting conditional expectation as our projection operator in the generalized Langevin equation. The characteristics of the conditional expectation play a central role in our study.

Copyright © 2007 by American Society of Mechanical Engineers
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