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Avila & Beck: Efficient Bounds for the MC-Neumann Sol.

of Stochastic Systems

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Efficient Bounds for the Monte Carlo Neumann


Solution of Stochastic Systems
Cludio R. vila da Silva Jr., avila@utfpr.edu.br
Federal University of Technology of Parana
Av. 7 de setembro, 3165, Curitiba, PR, Brazil.
Andr Tefilo Beck,atbeck@sc.usp.br
Structural Engineering Department, EESC, University of So Paulo
Av. Trabalhador Sancarlense, 400, So Carlos, SP, Brazil.

Abstract: The numerical solution of uncertainty propagation problems in mechanics can be


computationally demanding. In this article, a well-known property of the Neumann series is explored
in order to derive lower and upper bounds for expected value and variance of stochastic system
responses. Uncertainties in system parameters are represented as parameterized stochastic processes.
Monte Carlo simulation is employed to obtain a few samples of system response, from which lower
and upper boundsof expected value and variance are computed. The proposed methodology is
applied to two example problems, involving beam bending and axial reaction-diffusion. It is shown
that accurate and efficient bounds can be obtained, for a proper choice of operator norm, with as few
as one or two terms in the Neumann expansion. The Monte Carlo Neumann bounding scheme
proposed herein is shown to be an efficient alternative for the solution of uncertainty propagation
problems in mechanics.
keywords:Neumann series; Monte Carlo simulation;uncertainty propagation;stochastic processes;
stochastic systems.
1.

INTRODUCTION

The last few decades have witnessed tremendous developments in the modeling of mechanical and
structural systems, due to advances in computational mechanics. Numerical methods such as finite
elements, finite difference, boundary elements, etc., have reached broad acceptability and wide
coverage of applications. New developments address the solution of complex, non-linear problems.
Multi-physics analyses allow investigation of new, unforeseen interaction effects between structures,

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

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soils, fluids, thermo-dynamic and electric effects. Significant developments have also been recently
achieved in modelling uncertainty propagation through mechanical and other types of systems.
The Monte Carlo simulation method remains a popular, yet computationally expensive tool for
analyzing uncertainty propagation through mechanical systems. The computational cost of Monte
Carlo simulation can easily become prohibitive, for highly non-linear problems and complex
geometries. More efficient, intrusive methods have recently been developed, such as the stochastic
finite element method (Ghanem&Spanos, 1991) or stochastic Galerkin Method (Avila et al., 2010).
Intrusive methods have the inconveniency of requiring full re-programming of conventional finite
element software. Hence, non-intrusive Monte Carlo simulation methods remain popular in the
solution of stochastic mechanics problems.
In linear stochastic mechanics problems, the numerical solution of a differential equation is
replaced by the solution of a system of linear algebraic equations (stiffness matrix). In this context,
when Monte Carlo simulation is employed, for each system realization, the stiffness matrix needs to
be evaluated and inverted. Depending on the dimensions of the linear system, and the required
number of samples, this can become computationally intensive. For a linear operator in finite
dimensions, A :  n  n , the inverse can be represented by the Neumann series, composed of
operators P :  n  n related to A .In finite dimensions, linear operators are matrices. The
objective of using the Neumann series is to replace the matrix inversions by a truncated series
expansion. However, depending on the number of terms in the Neumann series, the number of
operations to be performed may become larger than required for the direct linear system solution,
when some interactive method is used to compute the inverse. Therefore, in this paper, properties of
the Neumann series are exploited in order to derive, formally, lower and upper bounds for each
realization of the numerical approximation of the stochastic system response. To increase the
efficiency of the proposed scheme, equivalence between norms of finite dimension operators are
considered.
First use of the Neumann series to solve stochastic problems in mechanics goes back to the late
eighties. Yamazaki (1989) employed the Neumann series to obtain samples of the displacement
response, for a plane elasticity problem with random Youngs modulus. Arajo&Awruch (1994)
derived the response on non-linear static and dynamic problems, with random mechanical properties.
Chakraborty &Dey (1996) obtained expected value and variance of displacement responses
considering uncertain geometries and mechanical properties. Chakraborty &Dey (1998) formulated
the dynamic bending of curved beams, with uncertain stiffness parameters. Lei &Qiu (2000)

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

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employed the Neumann series to study uncertainty propagation in structures using movement
equations. Chakraborty& Sarkar (2000) estimated statistical moments of the transversal displacement
response of curved beams resting on Winkler foundations. Chakraborty& Bhattacharyya (2002)
obtained response statistics for linear tri-dimensional elasticity problems, representing elastic
properties as Gaussian processes of the continuous. Li et al. (2006) presented a methodology to
obtain solutions of linear systems, based on a discretization of the stochastic problem. Schevenels et
al.(2007) proposed a methodology based on Green functions, which was compared to the Neumann
series, in a wave propagation problem on random Winkler foundation. In all references above, the
Neumann series was employed in a conventional fashion, as an alternative to solve the stochastic
problem. Convergence properties of the Neumann series were not explored in these articles.
The present article advances the state of the art by employing well-known properties of the
Neumann series to derive formal lower and upper bounds for the realizations of a stochastic system
response. To increase the efficiency of the proposed scheme, equivalence between norms of finite
dimension operators are considered. The developed scheme is illustrated by means of application to
twoexample problems, involving beam bending and axial reaction-diffusion.
2.

LINEAR STOCHASTIC UNCERTAINTY PROPAGATION PROBLEM

Several uncertainty propagation problems in mechanics are derived from well-known physical
principles such as the first and second laws of thermo-dynamics, among other. In linear mechanics,
equilibrium equations are generally derived from the minimization of certain functionals. One of the
most popular is the Principle of Minimum Potential Energy, for which the functional minimization
yields the Euler-Lagrange equations and the boundary conditions. In this paper, we consider a linear
elliptic boundary value problem, whose operator appears in beam and plate bending problems, as
well as heat transfer in steady-state conditions. The stochastic problem to be addressed herein is
defined in a probability space ( , F , P ) ,where" "is the space of events, " F "is a -algebra of
events and" P " is a probability measure. The linear uncertainty propagation problem consists in
finding the system response(u), such that:

Find u L2 , F , P; ( H 2 m ( D ) H m ( D ) ) , such that:


0

( ) ( x, ) = f ( x, ) , ( x, ) D ( , F , P ) , a. e.;
, m
subject to specified boundary conditions.

(1)

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

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wheref( , )is the source term. The stochastic system response is a consequence of the randomness in
coefficients { } , <m . In problems of mechanics, these coefficients can be related to stiffness (e.g.,
beam bending) or thermal conductivity (heat transfer). In this paper, these coefficients are
represented as parameterized stochastic processes.
The following hypotheses are required to warrant existence and uniqueness of the solution:

H1 : L ( , F , P; H ( D ) ) , 0, a. e. in D, ,  ;

H2 : f L , F , P; L ( D ) .

(2)

Hypothesis H1 ensures that coefficients { } , <m are differentiable, positive, and uniformly limited
in probability (Babuska et al., 2005). Hypothesis H2 ensures that source terms have finite variance.
From hypothesis H1 and H2, the Lax-Milgram lemma ensures existence and uniqueness of the
solutions, for random samples of system coefficients { } , <m . In this paper, a formal study about
existence and uniqueness of the solutions will not be performed, in particular because we are so far
dealing with a general uncertainty propagation problem in mechanics. However, we emphasize that
such studies are always required, so that approximated numerical solutions be obtained in spaces
spanned by the appropriate functions, consistent with the theoretical problem solutions. For instance,
existence and uniqueness of the solutions are studied for Galerkin solutions of beam bending in
Avila & Beck (2011), plate bending in Avila & Beck (2010) and reaction-diffusion in Avila et al.
(2013).
Numerical solution of uncertainty propagation problems generally involves replacing the
solution of a stochastic differential equation by the solution of a system of algebraic equations. The
Galerkin method is one of the most popular techniques, and will be used herein. Approximated
numerical solutions are obtained from the abstract variational problem (AVP) associated to Eq. (1).

{ (

)}

For the kthsystem parameter sample, x, ( k ) , the AVP is defined in V = H 0m ( D ) , and is


given by:

For fixed { ( k )}, find u V such that :

a ( u, v ) = l ( v ) , v V .

(3)

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

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where a ( , ) is a bi-linear form and l ( ) is a linear functional, defined as:

a ( u, v ) = x, ( k ) . u ( x, k ) v ( x ) dx,

, m D

l ( v ) = ( f .v )( x, ) dx + boundary integrals.

(4)

Eq. (3) represents a system of variational equations. For a fixed sample of coefficients

{ ( x,

( k ) )} , solution of the PVA is given as one realization of the operator defined in Eq. (1).

From the PVA the Galerkin solution is constructed. With this purpose, the approximated solution

space Vm = span {1 ,, m } is built using a complete subset of V, V = span {i }i

) . Without loss

of generality, for the purposes of this article, the source term is considered deterministic. Each
realization of system response is obtained from one sample of system parameters,hence

u = u ( x, ( k ) ) . From the AVP and for the kth realization, numerical solutions are obtained via
Galerkin method. From the ensemble of system realizations, expected value and variance of the
approximated numerical solution can be evaluated.
For the kth realization, approximated numerical solutions um are obtained as:

um x, ( k ) = ui ( k ) i ( x ) ,

where ui ( ( k ) )

i =1

i =1

(5)

are the coefficients to be evaluated. For the kth realization, the approximated

variational problem is obtained as:


For fixed { ( k )}, find um Vm such that :

v Vm .
a ( um , v ) = l ( v ) ,

(6)

By replacing this approximated solution into Eq. (3), a linear system of algebraic equations is
obtained:

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Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

For fixed { ( k )} ,find U ( ( k ) )  such that :

K ( ( k ) ) U ( ( k ) ) = F;

where K ( ( k ) ) M m (  ) is the stiffness matrix, F 

(7)

is the source vector and U ( ( k ) ) is

the response vector, whose entries are coefficients of the linear combination in Eq. (5). For the kth
realization, entries of stiffness matrix and source vector in Eq. (7) are:

K ( ) = kij ( ) , kij ( ) = a ( i , j ) ;

mm

F = [ fi ]m1 , fi = l ( i ) .

(8)

Formally, solution of the linear system of equations in Eq. (7) is given by:

U ( ) = K ( )

Where H ( ) = hij ( )

F = H ( ) F ,

mm

(9)

is the inverse of the stiffness matrix, K ( ) ,and the entries of vector


T

U ( ) = u1 ( ) ,, um ( ) , Eq. (7), are defined as:

ui ( ) = hij ( ) f j ,

(10)

j =1

FromEqs.(7) and(10), the approximated numerical solution, for the kth realization of the

response process um = um x, , is given by:

um x, = ( hij ( ) f j )i ( x ) = ( F H ( ) ) ( x ) .

(11)

i =1 j =1

where : D  is the vector containing the interpolating functions. Hence, Eq. (11) is the
approximated Galerkin solution to the kth realization of the system response.

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

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In the solution by direct Monte Carlo simulation, estimates of expected value and variance of

{ (

the responses are obtained from the ensemble of realizations, um x,

)}

. In Eq. (11), one

k =1

observes that each system response evaluation requires one inversion of the stiffness matrix, H ( ) .
Computation of this inverse should be avoided, due to the large computational cost involved. For
solution of the linear system (Eq. 9), iterative methods such as Jacobi, Gauss-Seidell or Conjugated
Gradients are generally employed (Kincaid & Cheney, 2002). However, the cost of direct Monte
Carlo simulation can still become prohibitive, for instance for non-linear problems involving large
number of samples. Under such conditions, one alternative to reduce the computational cost is use of
the Neumann series.

3.

THE NEUMANN SERIES


In this paper, the Neumann series isemployed for a linear operator defined in a finite

dimensional space. In this case, the mathematical object of the operator is a matrix K :  n  n . The
stiffness matrix, for the kthsystem realization, can be decomposed as follows:

K ( ) = K0 I + P ( ) ,


1
P ( ) = ( K0 ) K ( ) ;

K ( ) = K0 + K ( )

where P ( ) M m (  ) and P ( ) = pij ( )

mm

(12)

. The entries of matrix K0 are obtained as the

( )

expected values of the stiffness coefficients . Substituting Eq. (12) in Eq. (11), a formal
solution U = U ( ) is given by:

U ( ) = K ( )

( )

where U0 = K0

then I + P ( )
2012):

F = I + P ( )

U0

(13)

F and U0 = u10 ,, um0 . From the Neumann series theorem, if 0 < P ( ) < 1

exists, and can be represented by the following series (Golub& Van Loan,

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Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

( I + P ( )) = ( P ( )) .

(14)

q =0

Moreover, the theorem provides an upper bound, for the summation in Neumann series, Eq.

(14),ofmatrix I + P ( )

( I + P ( ))

. This bound is given by:

1
1 P ( )

..

(15)

From Eqs.(13) and (14), one obtains:

U ( ) = P ( ) U0 .
q =0

(16)

Which replaced in Eq. (13) leads to:

um x, = ( pij( q ) ( ) u 0j ) i ( x ) = ( U0 )

( P ( )) ( x );

i =1 j =1 q =1

(17)

q =0

where

( P ( ))

= pij(

q)

( )

mm

(18)

In order to obtain the approximated solutions um = um x, , it is necessary to truncate the infinite


series appearing in Eq. (17). Hence,approximated solutions are obtained as:

umn x, = ( pij( q ) ( ) u 0j ) i ( x ) = ( U0 )
i =1 j =1 q =0

( P ( )) ( x ) .

q =0

(19)

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Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

Com o resultado relacionado a uma cota superior, para a soma da srie de Neumann, Eq. (15), so

{ (

( ) )}

obtidas as cotas inferiores e superiores, para as aproximaes numricas, umn x, k

, das
k =1

realizaes do processo estocsticos de resposta.

4.

LOWER AND UPPER BOUNDS FOR REALIZATIONS OF THE STOCHASTIC


RESPONSE PROCESS

In this section the main contribution of this article is presented: based on properties of the Neumann
expansion and classical results of algebra, a methodology is proposed to derive lower and upper
bounds for samples of the response process.The main ideas are: to avoid direct computation of the

linear system of equations (Eq. 9) and to obtain an approximated solution, umn = umn x,

)) , using

a truly small (n=0 orn=1) number of terms in the Neumann expansion, but also introducing a
correction trough an estimate of the summation in Eq. (15).
If

the

set

of

coefficient

samples,

{ ( x ,

( k ) )}
k =1

are

such

that

0 < P ( ( k ) ) < 1, k {1, ..., N } ; then the numerical approximations to the displacement and

temperature fields can be represented in terms of the Neumann series using matrix I + P ( )

,Eq. (19).For thekthresponse realization, and for a fixed x D , the distance between response
realizations obtained by direct Monte Carlo, Eq. (11), and by the Neumann series, Eq. (19), can be
estimated as:

( um umn ) x,

q = n +1

P ( )

(20)

U0 ( x ) .

Based on properties of the Neumann series,Eqs.(14) and (18), the terms

q = n+1

P ( )

can be

evaluated as:

q =n +1

P ( ) =

P ( )

n +1

1 P ( )

(21)

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Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

Substituting Eq. (21) in Eq. (20), the distance between the direct Monte Carlo andthe Monte Carlo
Neumann solutions become:

( um umn ) ( x, ) ( n, )

U0 ( x ) , ( x, ) D ( , F , P ) ;

(22)

where

n, =

n +1

( )
P ( )

P
1

(23)

The coefficient ( , ) depends on the number of terms ("n") used in the Neumann series for

( ))

matrix I + P

( )

,and on the numerical values of P . FromEqs.(22) and(23) one obtains

the lower and upper bounds, for the kthsample, of the response process:

) (

x, um x, x, , x, D ( , F , P ) ;

(24)

where ( , ) and ( , ) are lower and upper bounds, respectively, for response process, defined as:

(
(

)
)

(
(

) (
) (

)
)

x, = umn x, + n, U0 ( x ) ,

x, = umn x, + n, U0 ( x ) , x, D ( , F , P ) ;

(25)

where n, = n, .

With the functions in Eq. (25), it is possible to obtain lower and upper bounds for expected
value and variance of the response process, from the ensemble of realizations of lower and upper

{(

( ) ) , ( x, ( k ) )}

bounds of system realizations, x, k

N
k =1

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

_____________________11

In order to compute coefficient " " in Eq. (25), one needs to solve for the norm P , which
may involve high computational cost and hence turn the procedure useless. In order to circumvent
this difficulty, we resort to the equivalence between matrix norms (Golub& Van Loan, 2012):

c P

(26)

P C P ,

where 0 < c C < + ,are equivalence constants. Based on this equivalence, five alternatives are
proposed herein to evaluate P and the coefficient " " :

( ) )
(
( n, ) = 1 m . P
( )
P ( )
( n, ) = 1 P ;
( )
m . P

n +1

;
1

n +1

( ) )
( n, ) = 1 m . P
( )
P ( )
n
,

=
;
( ) 1 P
( )

m . P

n +1

n +1
F

( n, ) =

n +1

{ ( ) }) ;
1 m.( max { p ( ) } )
m.max pij
i,j

ij

i,j

(27)

where

( )

= max pij ;
1 j m
1
i =1

( )

= max pij ;
1i m
j =1

( )

( )

( )

=
F

p ( )
ij

i =1 j =1

(28)

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

_____________________12

Within this paper, for simplicity, the norms in Eq. (27) are referred to as follows: 1 is called
norm one, 2 is norm two, is the infinity norm or norm 3, F is the Frobenius norm or norm 4
and max { } is the maximum norm, or norm 5.
The definition of coefficient " " is based on estimates about the sum in Neumann series; hence
the equivalent norm, ,inEq. (26), must comply with the hypothesis inEq. (17), that is: C P

5.

< 1.

LOWER AND UPPER BOUNDS FOR THE EXPECTED VALUE AND COVARIANCE
OF THE RESPONSE PROCESS

From the ensemble of computed lower and upper bounds for system response, one can compute
lower and upper bounds for the expected value and for the variance of the response process.

({

Let um ( x, ( j ))

N
j =1

, x D be the ensemble of realizations of numerical approximations

of the response process. Then, estimates for expected value and covariance are defined as:

N

1

x
=
(
)
(
)
N um x, ( j ) , x D;
um

i =1

N
 ( 2)
1

x
,
y
=
(
)
(
)
N 1 um x, ( j ) um y , ( j ) , ( x , y ) D D.
um
j =1

) (

(29)

InsertingEq. (29)in Eq. (25), one obtains lower and upper bounds for the expected value and
covariance of the response process:



( x )
um ( x ) i ( x ) , x D, i = 1, ...,5 ;
i
 ( 2)
 (2)
 ( 2)
i ( x, y ) um ( x, y ) i ( x, y ) , ( x, y ) D D, i = 1, ...,5.

(30)

In the following, direct Monte Carlo simulation is employed to evaluate the performance of the
proposed lower and upper bounds, in the solution of two linear problems.In order to evaluate the
accuracy of the proposed lower and upper bounds, deviation (error) functions need to be established.
The relative deviation, with respect to direct Monte Carlo simulation, of the k order moment lower
and upper bounds,  ( ) ,  ( ) , i = 1, ...,5 , are given by:

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Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

 k = 100%
(i)

 ( k ) = 100%

6.

k
( )

) .1  (ki) , i = 1, ...,5;
)

um
k

( )
. 1  ki , i = 1, ...,5.
u( m)

(31)

NUMERICAL RESULTS

In this section, numerical results are presented for two examples, one involving bending of a beam
on Winkler-typefoundation; the other involving reaction and diffusion in a bar. Direct Monte Carlo
simulation is used to compute the reference solution, to which the proposed Monte Carlo - Neumann
bounds are compared. In Direct Monte Carlo, the kth realization of the response process is obtained
from the kth coefficient sample, which consists in inserting in Eq. (9) the sampled values of vectors

= ( k ) , k = ( k ) )

; evaluate from Eq. (10) the stiffness matrix; solve the linear system of

equations (Eq. 9) for U ( ) and compute the coefficients of the linear combinations in Eq. (7).
Monte carlo Neumann bounds are computed for the five equivalent normsshown in Eq. (27), and
for Neumann expansions with one or two terms (n=0 and n=1). Parameterized processes are used to
represent the uncertainty in coefficients. Is all cases, the source term is considered deterministic. All
computer simulations are performed in MATLAB. In order to reduce spurious correlations, Latin
Hypercube Sampling is employed (Olsson &Sandberg, 2002).

7.1 Example 1: Stochastic Euler-Bernoulli beam bending on a Winkler foundation

In this example, the proposed Monte Carlo - Neumann bounds are computed for a problem involving
bending of an Euler-Bernoulli beam on a Winkler foundation. Uncertainty is considered on the beam
and

foundations

stiffness,

one

at

time.

The

vector

space

2
2
Q = v H 4 ( 0, l ) v ( 0 ) = v ( l ) = 0 d v2 ( 0 ) = d v2 ( l ) = 0 is employed in the solution, and the beam

bending problem is formulated as:

dx

dx

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Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

Find u L2 ( ( , F , P ) ; Q ) such that:

d 2 EI d 2u + u = q, ( x, ) ( 0, l ) , a. e.;
W
dx2
dx2

u ( 0, ) = u ( l , ) = 0;
d 2u
2
= d 2u
= 0, ;
dx2
dx
( 0 ,)
( l ,)

(32)

whereEI is the bending stiffness, W is foundation stiffness coefficient, u is the transversal beam
displacement, q is the load term. Beam length is one meter ( l = 1 m ) , and the deterministic loading
2
2

term is given by q ( x ) = 4480 11200 ( 280


3 ) .x .( x 1) .x

[ kPa.m ] , x [ 0,1] .

Two cases are

considered herein: a) uncertainty on beam stiffness EI ;b) uncertainty on foundation stiffness, W .


Uncertainty modelling is done using parameterized stochastic processes:

EI ( x, ( ) ) = EI +

( x, ( ) ) = +
W
W

( ) . ( ) cos ( k 4x ) + ( ) sin ( k4x );


3
2

EI

k =1

( )
3
3

where ( EI , EI ) and W , W

2.k 1

2.k

(33)

. W 2.k 1 ( ) cos k 4x + 2.k ( ) sin k 4x ;

k =1

( )

( )

are the expected value and standard deviation of beam and

foundation stiffness, respectively.The following numerical values are considered for these
parameters:

EI ( x ) = 1400 N.m 2

W ( x ) = 1400 Pa
In

{ ( )}
j

order

to

EI ( x ) = 101 , x [ 0,l ];

(34)

( x ) = 101 , x [ 0, l] .

characterize

= {1 ( j ) , 2 ( j ) , 3 ( j ) , 4 ( j )}
j =1

N
j =1

the

and

uncertainty,

{ ( )}
j

random

= {1 ( j ) , 2 ( j ) , 3 ( j ) , 4 ( j )}
j =1

vectors
N
j =1

are

employed. Properties of these vectors are given in Eq. (7).


A total of thirty thousand samples are considered (N=30,000). Figure 2 shows convergence
 
plots of expected value and variance, um , u2m , with respect to the number of samples (N), for the

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

random variable displacement um

_____________________15

( 2l , , ) , obtained by fixing x =

l
2

, for the random beam stiffness

problem.
AVILA, este grfico est idntico ao do paper anterior, acredito que vc no atualizou.
ATUALIZAR OU REMOVER!

Figure 2: Convergence of Monte Carlo simulation results for the mean and
variance of mid-spam displacement ( x = 12 ) .

One observes in Figure 2 that for N 5, 000 realizations, the expected value and variance of



mid-spam displacements stabilize at values um ( 12 ) 0.00863 m and u2m ( 12 ) 2.03524 107 m 2 .
Figure 2 shows that using N=30,000 samples is sufficient to obtain reliable results via direct Monte
Carlo simulation.
7.1.1 Example 1a: random beam stiffness

In this example, random beam stiffness is considered, following Eq. (33). Foundation
stiffness is considered deterministic and equal to the mean value in Eq. (33).

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

_____________________16

Figure 3 shows relative deviations of lower and upper bounds for the expected value and
variance of the displacement process, Eq. (31). The deviations are computed by comparing the
proposed Monte Carlo Neumann bounds, for n=1, with the direct Monte Carlo solution, following
Eq. (35). One observes in Fig. 3 that the most accurate bounds are obtained when coefficient " " is
computed using norm 2.The largest deviations are obtained for coefficient " " evaluated by the
maximum norm, ( mx ) , or norm 5. One can also observe that the relative deviations are larger for
variance then for expected values.
AVILA, acredito que na figura de cima os resultados para as normas 2 e 5 esto trocados para o
lowerbound (betas). Alem disto, os alfas esto trocados pelos betas, em abas as figuras, pois os alfas
aparecem como upperbound e os betas como lowerbounds... Deveria ser ao contrrio. Ao refazer
estas figuras, e as demais, sugiro que voc utilize apenas 1 , 2 , 3 , 1 ,2 ,3 para identificar as
linhas, porque os smbolos so redundantes, e j esto no eixo y. Assim evita-se utilizar 3subindices... lembre, isto apenas uma figura, no uma equao matemtica!

_____________________17

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

Figure 3: Relative error functions for expected value  ,  , i = 2, 4, 5 (above)


i

and for variance  ( 2) ,  ( 2) , i = 2, 4,5 (below).

Table 1 shows numerical values of the relative deviations in expected value and variance,
computed viaMonte Carlo-Neumann using different norms, for n=0 and n=1. The table shows
maximum deviation values within the domain, max { } , and deviations computed for x = 35 m . One
x[0,1]

observes that the deviations in variance are larger than deviations in expected values. Also, one
observes that using n=1 in the Monte Carlo-Neumann solution significantly reduces the relative
deviations. The largest deviations are obtained when coefficient " " is computed using the
maximum norm, or norm 5 (Eq. 27). When the bounds are evaluated by norm 2(Eq. 27), the smallest
deviations are obtained. Also, it is observed that relative deviations are larger for lower bounds than
for upper bounds.
Table 1: Relative deviations in expected value and variance, computed via
Monte Carlo-Neumann using different norms, for n=0 andn=1 (example 1).
ExpectedValue

Norm

mx  ( x )
x[0,1]
i

 ( 53 )
i

mx  ( x )
x[0,1]

 ( 53 )

n=0

26.113274414633

26.10600793330

27.086214428717

27.0855386560489

n=1

6.2521309420642

6.2462587341439

7.24094736673004

7.24084980083362

n=0

10.119519951647

10.113175009457

11.0935297267617

11.0927057322009

_____________________18

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

n=1

0.7428825455645

0.7373148157940

1.73200924279316

1.73190588248217

n=0

28.041455883294

28.034078302682

29.0142669286992

29.0136090254253

n=1

7.1337137575271

7.1277928274081

8.12248053277713

8.12238389409656

n=0

14.151309210285

14.144731961689

15.1250493144435

15.1242626844328

n=1

1.8564968574000

1.8508675818060

2.84556083754879

2.84545864849398

n=0

31.321306114917

31.313739553637

32.2938977836913

32.2932702763821

n=1

8.9579417201056

8.9519199708700

9.94660575758618

9.94651103755849

Variance

Norm

mx (2) ( x)

x[0,1]

 (2) ( 35 )

mx  ( 2) ( x )
x[ 0,1]

 (2) ( 53 )

n=0

26.113274414633

60.5045259492099

27.086214428717

44.8500231574282

n=1

6.2521309420642

13.1987145418507

7.24094736673004

13.5236739469688

n=0

10.119519951647

20.9411702510525

11.0935297267617

21.0605414343467

n=1

0.7428825455645

1.46867650556004

1.73200924279316

3.42271218462158

n=0

28.041455883294

65.7674054359802

29.0142669286992

47.2248604672628

n=1

7.1337137575271

15.2008116118716

8.12248053277713

15.0174013519348

n=0

14.151309210285

30.356495620076

15.1250493144435

27.6155306034285

n=1

1.8564968574000

3.75913781264843

2.84556083754879

5.54235358058716

n=0

31.321306114917

75.8065085937241

32.2938977836913

50.1775672670156

n=1

8.9579417201056

19.6493540549172

9.94660575758618

17.7694632216577

3
4

Using norm 2 leads to the most accurate results, but there is a computational penalty. Table 2
compares the computation time taken to obtain the direct Monte Carlo solutions ( TMC ), and the
solutions via Monte Carlo Neumann with different norms (T1,, T5 ) , Eq. (27), and n values. When
the bounds are evaluated via Neumann series with n=0, the computation time is zero, (TSN = 0 ) ,
1

since ( I + PR ( ) ) I . One observes in Table 2 that for some norms (1, 2 and 5) there is no gain in
computational time for the proposed Monte Carlo Neumann solutions, when compared to direct
Monte Carlo ( TMC ): in fact, computation times have increased significantly. However, when the

_____________________19

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

Frobeniusnorm is used (norm 4 in Eq. 27), there is reduction between nearly two and four times in
computation time. Figure 3 and Table 1 show that accurate bounds are obtained when the Frobenius
norm is used (norm 4 in Eq. 27) to compute coefficient " " , with errors of less than around 3% for

n=1.
Table2: Computation (clock) time to obtain the direct Monte Carlo ( TMC ) and Monte Carlo
Neumann solutions, using different norms ( Ti ) and n values.
Reduction
w.r.t. MC

Norm
Example

TMC
1a

1b

TSN

T1

T2

T3

T4

T5

forT4

n=0

55920.383

15107.916

813.997

202.930

3240.062

4.53x

n=1

183.599

59387.427

17005.949

889.626

215.823

3856.594

2.30x

n=0

58390.597

18364.812

1491.728

207.279

3374.629

4.42x

n=1

170.290

64116.130

16210.235

1070.900

196.287

1600.975

2.50x

918.35

916.48

7.1.2 Example 1b: random foundation stiffness ( W )


In this example, random foundation stiffness is considered, following Eq. (33). Beam stiffness is
considered deterministic and equal to the mean value in Eq. (33).
Figure 4 shows relative deviations of lower and upper bounds for the expected value and
variance of the displacement process,Eq. (22). As for Example 1a, one observes that the relative
deviations are larger for variance then for expected values. However, for example 1b the deviations
are significantly smaller. Hence, for uncertain foundation stiffness, uncertainty propagation to
displacement response is much smaller than for the random beam stiffness. Also for example 1b, the
most accurate bounds are obtained when coefficient " " is evaluated from norm 2. However, for
example 1b the same accuracy is also obtained using norm 4.The largest deviations are obtained for
coefficient " " evaluated by the maximum norm, norm 5.
Table 3 shows numerical values of the relative deviations in expected value and variance,
computed viaMonte Carlo-Neumann using different norms for n=0 and n=1. The table shows
maximum deviation values within the domain, max { } , and computed for x = 35 m . One observes
x[0,1]

_____________________20

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

that the deviations in variance are larger than deviations in expected values, but also that deviations
are smaller for example 1b than for example 1a.
Computation times for the direct Monte Carlo solution and for the Monte Carlo-Neumann
solutions using different norms are shown in Table 2. Computation times are similar to those found
for example 1b: for norms 1, 2 and 5, computation times are actually larger. Only when using the
Frobenius norm, norm 4, one obtains a computational advantage.

Figure 4: Relative error functions for expected value  ,  , i = 2, 4, 5


i

(above) and for variance  ( 2) ,  ( 2) , i = 2, 4,5 (below).

_____________________21

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

Table3: Relative deviations in expected value and variance, computed via


Monte Carlo-Neumann using different norms, for n=0 and n=1 (example 2).
ExpectedValue

Norm

mx  ( x )
x[ 0,1]
i

 ( 53 )
i

mx  ( x )
x[0,1]

 ( 53 )

n=0

0.55697446743920

0.13062893617796

0.55711673670140

0.13072164182149

n=1

0.00075591311534

0.00014775535719

0.00089769428055

0.00024015834887

n=0

0.32872788297855

0.07708540531248

0.32887015224216

0.07717811095736

n=1

0.00021062957960

0.00001983928823

0.00035241074481

0.00011224228156

n=0

0.67354149997320

0.15797396970294

0.67368376923585

0.15806667534814

n=1

0.00104651391437

0.00021592633521

0.00118829508012

0.00030832932733

n=0

0.32931739240249

0.07722369617095

0.32945966166493

0.07731640181515

n=1

0.00021165717338

0.00002008034767

0.00035343833978

0.00011248333982

n=0

0.95331306724635

0.22360455770487

0.95345533651002

0.22369726334912

n=1

0.00236860847586

0.00052607165923

0.00251038964174

0.00061847465089

Variance

Norm

mx  (2) ( x )
x[ 0,1]

 (2) ( 35 )

mx  ( 2) ( x )
x[ 0,1]

 (2) ( 53 )

n=0

1.11833883178381

0.26146127655633

1.1098398121527

0.26123941016273

n=1

0.00151185090597

0.00029551299445

0.00179537725603

0.00048031658758

n=0

0.65888415307608

0.15421129433324

0.65630969544336

0.15431546121246

n=1

0.00042126400376

0.00003967929136

0.00070482114370

0.00022448457887

n=0

1.35305077234131

0.31623814790298

1.34139521400725

0.31584257471974

n=1

0.00209306498271

0.00043185595419

0.00237657229332

0.00061665849960

n=0

0.66006874773700

0.15448818275198

0.65748313449240

0.15459173572919

n=1

0.00042331921414

0.00004016141246

0.00070687632488

0.00022496669832

n=0

1.91978967640438

0.44789524689581

1.89374068842934

0.44670759204049

n=1

0.00473739034083

0.00105215517005

0.00502064515243

0.00123694382023

_____________________22

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

7.2 Example 2: Stochastic reaction-diffusion in a bar


In this example, the proposed Monte Carlo - Neumann bounds are computed for a problem involving
axial reaction and diffusion in a bar presenting random parameters. The problem of axial reaction
and diffusion can be stated as:

Find u L2 ( ( , F , P ) ; H 2 ( 0, l ) H 01 ( 0, l ) ) such that:

d
du
dx EA dx + u = q, ( x, ) ( 0, l ) ( , F , P ) , a. e.;

u ( 0, ) = u ( l , ) = 0, , a. e.;

(35)

whereEA is the membrane (diffusion) stiffness, is (reaction) stiffness coefficient, u is the axial
displacement, q is the load term. Two cases are considered: 2a) uncertain membrane stiffness
coefficient and 2b) uncertain reaction coefficient. A total of thirty thousand samples are considered
(N=30,000) in the direct Monte Carlo and in the Monte Carlo Neumann solutions presented herein.

7.2.1 Example 2a: random membrane stiffness


In the first reaction-diffusion example, membrane stiffness EA : [ 0,1] a, a is modeled as a
parameterized stochastic process:

EA ( x, ( ) ) = EA + ( 23 . EA ) 2.k 1 ( ) cos
k =1

( k4x ) +

2.k

( ) sin ( k 4x ) ,

(36)

where EA and EA are the mean and the standard deviation of membrane stiffness, respectively.The
following numerical values are considered for these parameters:

EA ( x ) = ?? N.m2

EA ( x ) = 101 , x [0, l] .

(37)

Figure 5 shows the expected value of axial displacement, obtained by direct Monte Carlo
simulation, and the lower and upper bounds computed by the proposed Monte Carlo Neumann
bounds, for n=1, using some of the norms in Eq. (27). Figure 6 shows the errors in expected
values for the computed bounds. Figure 7 shows the variance of axial displacement, obtained by

_____________________23

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

direct Monte Carlo simulation, and the lower and upper bounds for the variance, computed by the
proposed Monte Carlo Neumann bounds, for n=1, using some of the norms in Eq. (27). Figure 8
shows the errors in variance for the computed bounds. It can be observed that accurate bounds for
expected value and variance are obtained using the Frobeniusnorm, or norm 4 in Eq. (27). It is
also observed that errors for expected value are slightly smaller than errors on variance.


Figure 5: Expected value um computed by direct MCS and


proposed bounds, i and , for i = 3, 4 .
i

Figure 6: Relative error functions for expected value,  and  ,for i = 3, 4 .


i

_____________________24

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

AVILA, estas duas figuras ficaram mais esticadas que as anteriores possvel manter um
padro??

2
Figure 7: Variance u( m) of the displacement response, computed by
2
2
direct MCS and proposed bounds, ( ) and ( ) for i = 3, 4 .
i

Figure 8: Relative error functions for variance,  ( 2) and  ( 2) , for i = 3, 4 .

Table 4 shows numerical values of the relative deviations in expected value and variance, for
the displacements evaluated at x = 23 m , computed viaMonte Carlo-Neumann using different norms,
for n=0 and n=1. One observes that the deviations in variance are larger than deviations in expected
values. Also, one observes that using n=1 in the Monte Carlo-Neumann solution significantly
reduces the relative deviations. The largest deviations are obtained when coefficient " " is computed
using the maximum norm, or norm 5 (Eq. 27). When the bounds are evaluated by norm 2(Eq. 27),
the smallest deviations are obtained.

_____________________25

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

Table4: Relative deviations in expected value and variance, computed via


Monte Carlo-Neumann using different norms, for n=0 and n=1 (example 2a).

Norm

( 23 ) [%]

 ( 2) ( 23 ) [% ]

 ( 23 ) [%]

n=0

20.0956061561214

19.3236175106023

35.1764346892333

43.0654287180933

n=1

4.42308802116401

3.63497429876076

8.47915276885897

7.50748781845525

n=0

8.61229013089511

7.84030148537598

16.6023598709104

16.0538242493126

n=1

1.18675203868329

0.398638316279554

2.35430501010019

0.7914992100172

n=0

17.8711289455031

17.0991402999832

31.8659492578897

37.5453372949846

n=1

3.63577285775532

2.8476591353521

7.02235209901952

5.83958409768135

n=0

12.170938351111

11.3989497055909

22.5960989232118

24.1869624949976

n=1

2.04510558190445

1.25699185950121

4.0070032341121

2.54709801797477

n=0

24.1738868772815

23.4018982317626

39.5717406704905

54.8598014489074

n=1

6.49294150007064

5.70482777766681

11.8697845644908

12.3433141666401

 (2) ( 23 ) [% ]
i

Table 5 compares the computation time taken to obtain the direct Monte Carlo solutions ( TMC ),
and the solutions via Monte Carlo Neumann with different norms (T1,, T5 ) , Eq. (27), and n
values. When the bounds are evaluated via Neumann series with n=0, the computation time is zero,

(TSN = 0 ) , since ( I + PR () )

I . As for Example 1 (Table 2), one observes in Table 5 that for some

norms (1, 2 and 5) computation times have increased significantly for the proposed bounding
solutions, when compared to direct Monte Carlo ( TMC ). However, when the Frobenius norm is used
(norm 4 in Eq. 27), there is a reduction between around two times in computation time (last column
of Table 5). Figures5 to 8 and Table 4 show that accurate bounds are obtained when the Frobenius
norm is used (norm 4 in Eq. 27) to compute coefficient " " , with errors of less than around 4% for

n=1.
Table 5: Computation (clock) time to obtain the direct Monte Carlo ( TMC ) and Monte Carlo
Neumann solutions, using different norms ( Ti ) and n values.

Example

Norm

Reduction
w.r.t. MC

_____________________26

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

TMC
2a

2b

TSN

T1

T2

T3

T4

T5

forT4

n=0

1987.203

2603.017

100.730

175.501

778.726

1,63x

n=1

63,179

2647.960

1263.717

157.701

62.822

226.435

2,27x

n=0

2780.281

1713.171

185.579

57.455

376.025

5,18x

n=1

60,772

2910.432

1745.042

135.976

61.322

808.210

2,44x

286.19

297.77

7.2.2 Example 2b: random reaction stiffness ( )

In this example, random reaction stiffness is considered, and modelled as a parameterized


stochastic process:

( x, ( ) ) = +

3
2

) ( ) cos ( k4x ) + ( ) sin ( k4x ) ,


k =1

2.k 1

2.k

(38)

where and are the mean and the standard deviation of reaction stiffness, respectively.The
following numerical values are considered for these parameters:

( x ) = ?? N.m2

( x ) = 101 , x [0, l] .

(39)

Membrane stiffness is considered deterministic and equal to the mean value in Eq. (37).
Figure 9 shows the expected value of axial displacement, obtained by direct Monte Carlo
simulation, and the lower and upper bounds computed by the proposed Monte Carlo Neumann
bounds, for n=1, using some of the norms in Eq. (27). Figure 10 shows the errors in expected values
for the computed bounds. Figure 11 shows the variance of axial displacement, obtained by direct
Monte Carlo simulation, and the lower and upper bounds for the variance, computed by the proposed
Monte Carlo Neumann bounds, for n=1, using some of the norms in Eq. (27). Figure 12 shows the
errors in variance for the computed bounds. It can be observed that accurate bounds for expected
value and variance are obtained using the Frobeniusnorm, or norm 4 in Eq. (27). As for Example 2a,
one observes that the relative deviations are larger for variance then for expected values. However,
for example 2b the deviations are significantly smaller. Hence, for uncertain reaction stiffness,

_____________________27

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

uncertainty propagation to displacement response is much smaller than for random membrane
stiffness.


Figure 9: Expected value um computed by direct MCS and


proposed bounds, i and , for i = 3, 4 .
i

Figure 10: Relative error functions for expected value,  and  ,for i = 3, 4 .
i

_____________________28

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

2
Figure 11: Variance u( m) of the displacement response, computed by
2
2
direct MCS and proposed bounds, ( ) and ( ) for i = 3, 4 .
i

Figure 12: Relative error functions for variance,  ( 2) and  ( 2) , for i = 3, 4 .

Table 6 shows numerical values of the relative deviations in expected value and variance, for
the displacements evaluated at x = 23 m , computed viaMonte Carlo-Neumann using different norms,
for n=0 and n=1. One observes that the deviations in variance are larger than deviations in expected
values. Also, one observes that using n=1 in the Monte Carlo-Neumann solution significantly

_____________________29

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

reduces the relative deviations. The largest deviations are obtained when coefficient " " is computed
using the maximum norm, or norm 5 (Eq. 27). When the bounds are evaluated by norm 2 (Eq. 27),
the smallest deviations are obtained. Small deviations are also obtained when using the Frobenius
norm, norm 4, which is the least expensive to compute, following Table 5.
Table6: Relative deviations in expected value and variance, computed via
Monte Carlo-Neumann using different norms, for n=0 and n=1 (example 2b).

Norm

 ( 23 ) [%]
i

( 23 ) [%]

 (2) ( 23 ) [% ]
i

 ( 2) ( 23 ) [% ]

n=0

0.99347730595809

0.986994190946033

1.97581932955457

1.98488300460022

n=1

0.0176626552439774

0.0113692253334241

0.03532029252115

0.022743605435127

n=0

0.561992616901985

0.555509501889384

1.12235546332121

1.11251297949093

n=1

0.0077875115237713

0.0014940816137620

0.01557453448717

0.002988666325620

n=0

1.1469316184861

1.14044850347372

2.27900989536222

2.29547239448988

n=1

0.0215961385162

0.0153027086069013

0.04318461222319

0.030612394578089

n=0

0.582424287323269

0.575941172311012

1.16287900081569

1.15371115811809

n=1

0.0081408387380244

0.0018474088278264

0.01628110933248

0.003695412683857

n=0

1.63476681521783

1.62828370020502

3.23294408314287

3.29276043373661

n=1

0.0436595557790853

0.0373661258683988

0.08727704375430

0.074775452000452

AVILA, as figuras 10 e 12 mostram erros de 0,5% e 1% para mdia e varincia, respectivamente,


usando norma 4, para o exemplo 2b. No entanto, na linha destacada acima aparecem erros bem
menores. Favor verificar. Talvez faltou multiplicar os valores da tabela por 100????
Table 5 also shows, for Example 2b, the computation time taken to obtain the direct Monte
Carlo solutions ( TMC ), and the solutions via Monte Carlo Neumann with different norms (T1,, T5 )
, Eq. (27), and n values. As for Example 1 (Table 2) and Example 2a, one observes in Table 5 that
for some norms (1, 2 and 5) computation times have increased significantly for the proposed
bounding solutions, when compared to direct Monte Carlo ( TMC ). However, when the Frobenius
norm is used (norm 4 in Eq. 27), there is a reduction between two to five times in computation time
(last column of Table 5). Figures 9 to 11 and Table 6 show that accurate bounds are obtained when

Avila & Beck: Efficient Bounds for the MC-Neumann Sol. of Stochastic Systems

_____________________30

the Frobenius norm is used (norm 4 in Eq. 27) to compute coefficient " " , with errors of less than
around 1% for n=1.

7.

CONCLUDING REMARKS

In this paper, a well-known property of the Neumann series was explored to derive lower and upper
bounds for expected value and variance of the response of stochastic systems. To increase the
efficiency of the proposed scheme, equivalence between norms of finite dimension operators were
considered.Problems of stochastic beam bending and axial reaction-diffusion where addressed herein
to illustrate theproposed methodology. Uncertain problem parameters (beam and foundation
stiffness, membrane and ?? stiffness) were represented as parameterized stochastic processes.
Solutions employing the proposed Monte Carlo Neumann scheme were computed for five
equivalent norms using one or two terms in the Neumann expansion (n=0 or n=1). Deviations of the
proposed Monte Carlo Neumann bounds were computed by comparing to a reference solution,
computed by direct Monte Carlo simulation. It was shown that accurate bounds can be obtained
using the proposed Monte Carlo Neumann scheme, using as few as one or two terms in the
Neumann expansion (n=0 or n=1). The most accurate bounds were obtained with norm 2

( ) , but
2

these were also shown to be computationally expensive to compute. Accurate results were obtained
by using the Frobeniusnorm

( ) , with significant gains in computation time,for both problems


F

studied herein. It remains to be investigated weather this holds for other problems as well. The
proposed Monte Carlo Neumann bounding scheme proposed herein is a viable alternative or
complement to the solution of uncertainty propagation problems in mechanics.

ACKNOWLEDGEMENTS
The authors gratefully acknowledge theBrazilian National Research Council (CNPq) for sponsoring
this research.

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_____________________31

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