Approximate Analysis of Nonlinear Systems Driven by Gaussian White Noise

Abstract

In this paper an approximate analysis approach for high order nonlinear systems driven by Gaussian white noise is presented. The algorithm is based on the exact solution to the Fokker-Planck equation of a second order system and as optimal model reduction technique. An illustrative example is given to show the appication of this approximate approach from which it can be seen that the accuracy of the method is better than that of the random describing function method.