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DOI 10.1007/s00466-008-0345-4
ORIGINAL PAPER
Received: 10 April 2008 / Accepted: 10 October 2008 / Published online: 6 November 2008
© Springer-Verlag 2008
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782 Comput Mech (2009) 43:781–796
this framework, the classical probability density evolution where Y = (Y1 , Y2 , . . . , Yn )T is the n by 1 state vector,
equations including the Liouville [11–14], FPK [3,15] and = (1 , . . . , s ) is the s-dimensional random vector cha-
the Dostupov–Pugachev equation [16] can be derived. Howe- racterizing the randomness involved in the system. Suppose
ver, at present it is still unfeasible to analytically or even the joint PDF of is known and denoted by p (θ ).
numerically solve these high-dimensional partial differential Obviously, most dynamical systems can be transformed
equations related to general nonlinear systems [2]. In the past to the form of system (Eq. 1) [17]. For instance, the equation
few years, Li and Chen [17] found that these equations are of motion of structures is usually a second order ordinary
essentially the results of the principle of preservation of pro- differential equation, which can be rewritten into the form of
bability when it is viewed from the state space description system (Eq. 1) by introducing the state vector composed of
combined with coupled state equations. In this point of view, the displacement and velocity vector. Meanwhile, if the ran-
all the components of the state vector are inseparable and domness is involved simultaneously in the initial conditions,
thus the dimension of the above classical probability density excitations and system parameters, it can always be repre-
evolution equations is identical to the dimension of the state sented by functions of a set of basic random variables, say
vector. In contrast, when the principle of preservation of pro- through the decomposition or discretization of related sto-
bability is clarified from the random event description combi- chastic processes and random fields [27,28]. In this sense,
ned with the arbitrary-dimensional Lagrangian description of all the randomness involved is indicated in a unified way and
the dynamical system, a family of any arbitrary-dimensional characterized by in the system (Eq. 1) [17].
generalized density evolution equation (GDEE) can be deri- For the well-posed problems, solution of the dynamical
ved [17,18]. In the past years, this methodology has been sys- system (Eq. 1) exists and is unique. Of course the solution
tematically developed and successfully applied to dynamic must depend on and therefore can be written in a form
response analysis [19–21] and reliability evaluation of linear
and nonlinear multi-degree-of-freedom systems [22,23]. Y = H Y (, t) (2)
In the numerical solution of the GDEE, a partial differen-
of which the component form reads
tial equation, an accurate and efficient numerical method is
of paramount importance. Investigations show that for many Yl = Hl (, t) (l = 1, . . . , n) (3)
practical problems the finite difference method employing
the Lax–Wendroff scheme or the modified scheme with TVD Likewise, the velocity can be assumed to take the form
nature combined with the strategies of selecting ‘uniformly
Ẏ = hY (, t) (4)
scattered’ point sets exhibits good performance [24–26]. But
this does not exclude the attempt of developing alternative For convenience, denote the component of hY (, t)
numerical methods. As a matter of fact, the finite difference by h l (, t), l = 1, 2, . . . , n. In essence, Eq. 3 is a
method starts with discretization of the partial differential Lagrangian description of the system (Eq. 1).
equation directly. On the other hand, the closed-form Now let us consider any m physical quantities
solution of the GDEE can be obtained by the method of X = (X 1 , X 2 , . . . , X m )T related to the system (Eq. 1). Gene-
characteristics. Although in most practical cases this closed- rally speaking, these quantities can be determined by the state
form solution is usually a formal solution which can not be vector, say through
employed directly to obtain the final solution, it does provide
a possibility of approaching the solution through numerical Ẋ = fX (Y , Ẏ ) = fX (H Y(, t) , hY(, t))
approximation of the formal solution. In the present paper, a = h(, t), X(t0 ) = x 0 (5)
groping study on the numerical solution of GDEE is carried
out from the formal solution of GDEE, which could be des- For example, the X l here might be the displacement or velo-
cribed by a Dirac δ function. Based on this result, a new city of some degree-of-freedom, or the strain or stress at some
numerical solution for the GDEE is put forward by introdu- point of the structure, or even the internal force in a section
cing the asymptotic sequences of Dirac δ function. of a member. These quantities are usually available once the
information of the displacements and velocities is obtained.
2 The generalized density evolution equation Because all the randomness comes from , the augmented
system (X, ) is probability preserved [17]. Thus, if the
To make the idea that will be developed in the present paper joint probability density function of (X, ) is denoted by
clearer, here the fundamentals of the generalized density evo- PX (x, θ , t0 ), then from the random event description of
lution equation is outlined. Without loss of generality, consi- the principle of preservation of probability we have
der a stochastic dynamical system
D
p X (x, θ, t) dx dθ = 0 (6)
Dt
Ẏ = G (Y , , t) , Y (t0 ) = y0 (1) t ×θ
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Comput Mech (2009) 43:781–796 783
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784 Comput Mech (2009) 43:781–796
Introducing the inverse transformation Eq. 15 will then lim δλ (x − x0 ) → δ(x − x0 ) (21)
λ→0
give the solution of Eq. 7a by
Then δλ (x − x0 ), λ ∈ R, construct a Dirac’s sequence. Obvi-
p X (x1 , . . . , xm , θ , t) ously, all the Dirac’s sequences converge to Dirac’s δ function
= p X,0 [x1 − ϕ1 (t), . . . , xm − ϕm (t), θ ] (18) in the weak star sense [34]. Because the one-dimensional
δ sequence is the basis of constructing a high-dimensional
Note the initial condition (Eq. 8), we have δ sequence, and one of the simplest choices for construc-
p X (x1 , . . . , xm , θ , t) = δ (x − H(θ, t)) · p (θ ) (19) ting a high-dimensional δ sequence is the direct multiplica-
tions of a series of one-dimensional δ sequences, it is very
According to the total probability formula, the PDF of X(t) important to clarify the features of the one-dimensional δ
is given by sequences. Clearly, the δ sequences are nonunique. Actually,
there exist many kinds of one-dimensional δ sequences, such
p X (x, t) = p X (x1 , . . . , xm , t)
as the harmonic functions, Legendre polynomials, Hermite
= p X [x1 , . . . , xm , θ , t] dθ polynomials and many probability density functions and so
on [35]. For instance, as follows are three typical δ
sequences:
= δ(x − H (θ, t)) · p (θ ) dθ
(1) Uniform distribution
m
⎧
= δ (xl − Hl (θ , t)) · p (θ) dθ (20) ⎨ 1, |x − H (θ )| ≤ λ
l=1 δλ (x − H(θ )) = 2λ (22a)
⎩
0, otherwise
This is the closed-form solution of the GDEE (7a).
(2) Normal distribution
1 −1
via a family of δ sequences δλ (x − H (θ )) = √ exp (x − H (θ ))2 (22b)
2π λ 2λ2
The closed-form solution of GDEE, Eq. 20, seems a simpler (3) Harmonic function
expression. But it is usually unfeasible to obtain the PDF
of the responses by directly employing this expression in
2
1/λ
that [21]: (1) the Dirac’s δ function is involved in the multi- δλ (x − H (θ )) = cos[(2i + 1)(x − H (θ ))] (22c)
dimensional integral, to perform which the multi-integral π
i=0
of implicit inverse functions is needed, and (2) the explicit
expression of the formal solution h l (θ , t) is usually unavai- Theoretically, the foregoing three sequences can be used
lable, particularly for complex nonlinear systems. That’s why to replace δ(x − H (θ )) in Eq. 20 approximately because
numerical methods to solve Eq. 7a, say the finite difference it is easy to verify that they all satisfy Eq. 21. However,
method employing different schemes, are developed rather their performances in numerical solution are quite different.
than direct employing Eq. 20 in the previous investigations For instance, the function sequences in Eq. 22a are disconti-
[20,21]. Nonetheless, Eq. 20 does provide the possibility of nuous in its definition domain and thus using them will make
approximating the PDF through replacing the Dirac’s func- the numerical results discontinuous. On the other hand, the
tion by the asymptotic Dirac’s function sequences other than function sequences in Eq. 22c are continuous and smooth
the finite difference method. In some aspects, this algorithm in any-order but will lead to high-frequency oscillation in
might have advantages over the former ones. the result. Thus, it is crucial to select appropriate δ func-
tion sequences in the numerical solving algorithm. In the
4.1 Dirac’s δ sequences present context, because the solution of Eq. 20 is a PDF, the
δ sequences based on PDF of course might be preferred, at
The Dirac’s δ function is a family of generalized functions, least they can guarantee the nonnegative nature and satisfy
also referred to as distribution functions in some literatures. the consistent condition of probability. Besides, the PDF
They can be approached as the limit of different families of of the structural responses is smooth in most cases provi-
functions, which might be called as the Dirac’s sequence, i.e. ded the PDFs of the basic random variables are smooth, thus
if a family of functions δλ (x − x0 ) with λ belonging to an it is more reasonable to employ the smooth sequences than to
index set satisfies employ the discontinuous ones. With such consideration in
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Comput Mech (2009) 43:781–796 785
mind, we employ the δ sequences based on the normal PDF tangent sphere [25] and those via number theoretical method
in Eq. 22b as a preferred choice. [26] and so on, the approximation of Eq. 25a becomes
m Here Vq is the representative volume of the point θ q , usually
1
× · p (θ )dθ (24) the Voronoi cell can be employed [36].
Hl,0 Most of the marginal and joint PDFs of the basic ran-
l=1
dom variables involved in stochastic systems have only one
where Hl,0 = max(Hl (θ, t)). As λ is appropriately small,
peak and attenuate radially. Thus, [26] proposed a sieving
the approximation of p X (x, t) will be
strategy via a hyper-sphere for θ q when the joint PDF of
p X (x, t) ≈ p X (x, t, λ) is spherically symmetric or nearly spherically symmetric.
m In order to extend the sieving strategy to nonspherically-
1 −1 xl − Hl (θ, t) 2
= √ m exp symmetric variables, a new sieving technique via indicator
2π λ 2λ2 Hl,0 function reads:
l=1
m
1 1, Pq ≥ P0
× · p(θ ) dθ (25a) I θq = (26)
Hl,0 0, Pq < P0
l=1
Introducing the strategy of selecting points uniformly scat- where P0 is a given value small enough. Eq. 25 is then trans-
tered in the multi-dimensional space, such as the points via formed to
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786 Comput Mech (2009) 43:781–796
Ñsel
1 Remark 2 The proposed algorithm and the finite difference
p X (x, t, λ) ≈ I θ q · √ m method are two different numerical methods for solution
q=1 2πλ of the GDEE. The basic steps in the two methods, inclu-
⎡ 2⎤ m
ding the selection of representative point sets together with
−1
m
xl − Hl θ q , t 1 determination of assigned probabilities and the deterministic
×exp ⎣ 2 ⎦ · Pq dynamic response analysis, are identical. The differences lie
2λ Hl,0 Hl,0
l=1 l=1
in the solving process of the generalized density evolution
equation: the proposed algorithm starts with the numerical
Nsel
1
= √ m approximation of the formal solution of the partial differen-
q=1 2πλ tial equation, whereas the finite difference method starts with
the discretization of the partial differential equation itself.
⎡ 2 ⎤ Generally speaking, the finite difference method is a versatile
−1
m
xl − Hl θ q , t
×exp ⎣ 2 ⎦ approach for partial differential equation if appropriate diffe-
2λ Hl,0 rence schemes are employed for the studied problems. While
l=1
for some special problems, particularly for those problems
m
1 with the formal solution available where Dirac’s delta func-
× ·Pq (27)
Hl,0 tions are involved, the proposed algorithm can be employed
l=1
and the computational efficient might be higher than the finite
where Nsel is the number of the final selected points. difference method.
In summary, the whole solving procedure follows the steps
below: Remark 3 It is very interesting that the basic idea of the pro-
posed approach is very similar to that employed in some
(a) Select discretized representative point sets θ q (q = 1, meshfree and particle methods in computational mechanics,
. . . , Ñsel ) in the domain via the number theoreti- such as the smooth particle hydrodynamics (SPH) and the
cal method or tangent spheres method, where Ñsel is reproducing kernel particle method (RKPM) [37,38]. Of
the total number of the selected points. Meanwhile cal- course, this is not just a coincidence, but lies in some
culate the assigned probability of each representative common mathematical background. For instance, in all these
point according to the joint probability density function problems the approximation of Dirac’s delta functions are
of . Further, for the specified threshold value P0 , sieve involved although in different stages of solution of the pro-
Nsel effective representative points from the Ñsel initial blems. But because of different physical background, usually
representative points according to Eq. 26; there might be some special features in different problems
(b) For any prescribed = θ q , evaluate the value of and therefore some special technique issues are usually deve-
Hl (θq , tk ) by deterministic analysis of structure, where loped in the above different problems. It is very beneficial
tk is the time instants tk = kt, k = 0, 1, 2, . . . , t is to use these related researches for reference in the future
the time step; elaborations.
(c) Determine the discretized spatial coordinate xl, j = jx,
j = 0, ±1, ±2, . . ., where x is the space step in
the direction of xl , then choose appropriately small λ, 5 Error of approximation for PDF
calculate the numerical solution of p X (x, t), i.e. p X
(x 1, j1 , . . . , xm, jm , tk ) according to Eq. 27. According to Eq. 27, the approximation of p X (x, t),
p X (x, t, λ), is obviously a function of λ. The accuracy of
Theoretically, if the number of the representative points is the numerical solution thus in a large degree depends on λ.
infinite, the accuracy of numerical solution will be improved The discrepancy of two functions can be expressed as:
as λ is closer and closer to zero. However, it is unpractical for ∞
stochastic system analysis because of the prohibitively consi-
Err1 (λ) = [ p X (x, t) − p X (x, t, λ)]2 dx (28)
derable computational effort. In fact, usually several han-
−∞
dreds of points are chosen. In this case the value of λ should
not be too small because of the condensation effect in the Theoretically, the optimal λ should be the value that makes
neighborhood of x = Hl (θ q , t) which distorts the real PDF. Err1 (λ) stationary. But it is almost impossible to acquire the
Qualitively, the more and denser the representative points are exact optimal λ in practice because p X (x, t) is unknown.
selected, the smaller λ should be, and vice versa. Thus the According to the basic lemma of variational principles
value of λ is essential and at present is determined according [39], it can be proved that if the following equations hold
to computational experiences. for all j
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Comput Mech (2009) 43:781–796 787
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788 Comput Mech (2009) 43:781–796
that the number of selected points is not too large. In other seen that the optimal λ should also be related to the number
words, the optimal λ must depend on the number of selected of selected points.
points. Case 3 (Uniform distribution) In this case totally 300 points
Case 2 (Lognormal distribution) Logarithmic normal PDF are selected in [0, 100] using the lattice grid. The approxima-
can be formulated as: tion of the PDF varying against λ and the comparisons bet-
ween the approximation and the exact solution are pictured
1 −[ln(x) − µ]2 in Fig. 3. Simultaneously, the errors Err2,1 (λ) and Err2,2 (λ)
p X (x, t) = √ exp (33)
2π σ x 2σ 2 varying against λ are listed in Table 3. Similar observation
where µ = 0, σ = 1. The figures of p X (x, t) over the finds that the numerical solution is best when Err2,1 (λ) is
interval x ∈ [0, 8] is observed in this case, µ X = 1.4208, nearly minimum. By the way, it can be seen that because
σ X = 1.3772. of the effect of dissipation the numerical solution is much
Totally 80 points are selected over [0, 8] using the lat- smoothed compared to the exact solution. Thus, one should
tice grid, simultaneously the assigned probabilities Pq ’s are be very cautious in the case discontinuous points exist in the
obtained. The approximation of the PDF varying against λ solution.
and the comparisons between the approximation and the Case 4 (Probability density function with double peaks)
exact solution are shown in Fig. 2. Meanwhile, the errors Assume the PDF of a random variable is given by
Err2,1 (λ) and Err2,2 (λ) varying against λ are listed in Table 2.
3 ! 2 "
Likewise, it can be found that the numerical solution is best f (x) = −x + sign(x) · 5x , x ∈ [−5, 5] (34)
125
when Err2,1 (λ) is nearly minimum. Again it is seen that the
approximation of the mean value and the standard deviation where sign(·) is the signum function. This is a double-mode
is less sensitive to λ than that of the PDF. Besides, it can be PDF (Fig. 4).
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Comput Mech (2009) 43:781–796 789
Now 100 points are selected over the interval [−5, 5] and the exact solution are shown in Fig. 4. The errors
using the lattice grid. The approximation of the PDF varying Err2,1 (λ) and Err2,2 (λ) varying against λ are listed in
against λ and the comparisons between the approximation Table 4. It can be seen that the numerical solution is best when
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790 Comput Mech (2009) 43:781–796
Fig. 4 Tendency of approximation for PDF varying against λ (distribution with double peaks)
Err2,1 (λ) is nearly minimum. Also, the approximation of the Firstly, 60×60 points are selected over the square [−4, 4]2
mean value and standard deviation is less sensitive to λ than using the lattice grid, then the approximation of joint PDF
that of the PDF. For the points where the derivative is dis- can be obtained by the proposed method and comparisons
continuous, the effect of smooth is also very obvious. between the approximation and the exact solution are shown
Case 5 (2D Probability density function) In many practi- in Fig. 5. Secondly, 1261 points are selected over the square
cal cases for analysis of stochastic systems, one-dimensional [−4, 4]2 via tangent spheres [25] with P0 = 6.20e−06, then
GDEE is enough by adopting the thought of equivalent the approximation of the joint PDF and comparisons bet-
extreme event [23], therefore the examples mentioned above ween the approximation and the exact solution are pictured
are mainly concentrated on the case of one dimension. Howe- in Fig. 6. It can be seen from these results that the numerical
ver, the proposed method is also valid for high-dimensional solution is also rational for high-dimensional GDEE and the
GDEE. For convenience, a re-construction case of two- selection of points via tangent sphere is more effective than
dimensional independent joint normal PDF is carried out. the lattice grid.
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Comput Mech (2009) 43:781–796 791
6.2 Mapping of probability density function 6.3 Stochastic response analysis of dynamical systems
In this part, we consider the mapping of PDF, that is, for a Consider a 10-story shear frame as shown in Fig. 8 subjected
given random variable Y with known PDF pY (y), our pur- to earthquake. Randomness is involved in the mass parame-
pose is to obtain the PDF of X , which is determined by ters, stiffness parameters, the parameters of nonlinear res-
X = f (Y ). In some special cases, the closed-form solu- toring force model and the peak parameters of the ground
tion of p X (x) is available. Steps of the numerical solution acceleration.
for p X (x) by the proposed method include: (1) select the The mean of the lumped masses m 1 , m 2 , . . . , m 10 are
representative points in the Y space and determine the cor- listed in Table 6. From the bottom to the top, the masses
responding assigned probabilities; and (2) use the asymptotic of the lower four floors are completely correlated and thus
Dirac’s sequences to obtain the numerical solution of PDF the randomness can be characterized by a single random
of Y, p X (x, λ). variable, so are the masses of the upper six floors. The-
Assume ln(x) = y ∼ N (0, 1), then x = e y is a lognormal refore two random parameters are involved in the masses.
random variable. Here, totally 100 points, say yq , for N (0, 1) In a similar way another two random parameters are invol-
are selected in [−4, 4] using the lattice grid, simultaneously ved in the initial elastic modulus. The Bouc–Wen model
the assigned probabilities Pq ’s are determined. Then yq is [40,41], which can describe the typical nonlinearity invol-
mapped to be xq via x = e y . The approximation of the PDF of ving degradation of strength, degradation of stiffness and
x based on xq and Pq varying against λ and the comparisons the effect of pinching, is employed to characterize the inter-
between the approximation and the exact solution are shown story restoring force v.s. the inter-story drift. In this model,
in Fig. 7. The errors Err2,1 (λ) and Err2,2 (λ) varying against λ there are 13 parameters, of which α is the ratio of post-
are listed in Table 5. It can be seen that the numerical solution yield stiffness to the pre-yield one, A, β, γ , n are the shape
is best when Err2,1 (λ) is nearly minimum. Once again, it is parameters, δv is a parameter reflecting degradation of the
found that the approximation of the mean value and standard strength, δη is a parameter reflecting degradation of the stiff-
deviation is less sensitive to λ than that of the PDF. ness, the other parameters p, q, λ, ψ, δψ , ξs are related to the
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792 Comput Mech (2009) 43:781–796
Fig. 7 Tendency of approximation for PDF varying against λ (random variables via mapping)
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Comput Mech (2009) 43:781–796 793
Table 6 Probabilistic
information of the mass and Number of story Mean value Coefficient of variation
stiffness parameters
Lumped mass Initial elastic modulus Lumped mass Initial elastic
(×10,000 kg) (×100,000 MPa) modulus
Table 7 Probabilistic information of parameters in the Bouc–Wen second order moments, but also in the sense of CDF. The PDF
model and excitation surface evolving against time is shown in Fig. 11. Typical
Parameters β γ δv δη PGA,1 PGA,2 characteristics of the PDF are similar to those have been dis-
cussed in [20,21].
Mean value 60 10 200 200 2.0 m/s2 2.0 m/s2
Coefficient of variation 0.2 0.2 0.2 0.2 0.2 0.2
7 Conclusions and remarks
the PDFs at three different instants of time are illustrated. In stochastic dynamics, from the view of the random event
Meanwhile, the comparison between the cumulative distri- description of the principle of preservation, a family of
bution function (CDF) by the proposed method and the empi- arbitrary-dimensional generalized density evolution equa-
rical cumulative distribution function by the MCS is shown tion can be derived. Based on the formal solution of this
in Fig. 10b, where one can find that the difference is very equation, the asymptotic sequences of Dirac δ function are
small, showing acceptable accuracy not only in the sense of employed to approximate the analytical results. This leads to
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794 Comput Mech (2009) 43:781–796
a new family of numerical solution method, different from As an initial study of a new numerical method, some
the finite difference method which starts with the direct dis- important issues need to be studied further, such as the best
cretization of the partial differential equation, for the genera- choice of asymptotic δ sequences and the choice of λ in a
lized density evolution equation. In the present paper, details rational rather than an empirical way.
of the algorithm including the implementation procedure
and the error estimation are studied. Furthermore, combined Acknowledgments Supports from the Natural Science Foundation of
China for Innovative Research Groups (Grant No. 50621062), for Young
with the previously developed strategies of selecting repre- Scholars (Grant No. 10402030) and the New Century Excellent Scholar
sentative points, the proposed method can be implemented Plan of the Ministry of Education of China are gratefully appreciated.
efficiently. The proposed algorithm is verified by some typi-
cal examples, including the re-construction examples, the
mapping example and the stochastic response analysis of Appendix A: The concept of representative points and
dynamical systems. It is seen that the numerical solutions their assigned probabilities
vary with λ. An optimal value of λ exists when the point
sets are determined. Besides, the efficiency of the propo- Consider a point set
sed method is higher by tens of times than the Monte Carlo
simulation. Psel = {θq = (θ1,q , θ2,q , . . . , θs,q ); q = 1, 2, . . . , Nsel } (A.1)
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Comput Mech (2009) 43:781–796 795
in an s-dimensional domain . Then the representative cells where rcv is the covering radius of the point set Psel , and
of the point set can be determined. For instance, the Voronoi is also the minimum circumradius of the Voronoi cells. In
cells can be adopted such that [36] addition, in consideration of Eq. A.5 it follows that
# # # #
V (θq ) = Vq = {x ∈ Rs : #x−θq # ≤ #x−θ j # for all j}. (A.2)
Nsel Nsel
p (θ )dθ = p̃ (θ)dθ = Pq = p (θ ) dθ
Here, V (θq ) is the Voronoi cell of the point θq . Equation A.2
q=1 q=1 V
means that the Voronoi cell V (θq ) is the sub-domain in which
q
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