Phnomene der Nichtlinearen Dynamik in Experiment und

Theorie
Achim Kittel
Sommersemester 2011

Experimental Polymer Physics

Faculty of Mathematics and Physics
University of Freiburg
Office: Hochhaus Physik 309
Phone: +49 761 203 5862
e-mail: achim.kittel@physik.uni-freiburg.de

and

Bjrn Olaf Schelter

Freiburg Center for Data Analysis and Modeling (FDM)
Office: Hochhaus Physik 309
Phone: +49 761 203 7711
e-mail: schelter@fdm.uni-freiburg.de

Contents
1

Introduction
1.1 The meaning of the word chaos . . .
1.2 Some historical remarks . . . . . .
1.3 Representation of a dynamic system
1.4 Determinism . . . . . . . . . . . .
1.5 The discovery of chaotic behavior .
1.6 How to construct a chaotic motion?

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1
1
1
1
2
3
4

Dynamic in the phase space

2.1 Connection between Dissipation and Fluctuations
2.2 Brownian Motion . . . . . . . . . . . . . . . . .
2.3 Moments of a distribution . . . . . . . . . . . . .
2.4 Central Limit Theorem . . . . . . . . . . . . . .
2.5 Solving the Stochastic Equation . . . . . . . . .
2.6 Dissipation Fluctuation Theorem . . . . . . . . .
2.7 Autoregressive Process . . . . . . . . . . . . . .
2.8 Transition from Velocity Space to Real Space . .
2.9 Brownian Motion with Correlated Noise . . . . .

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6
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Introduction

1.1

The meaning of the word chaos

Chaos
The word chaos is derived from the Greek ov and originally meant the infinite empty space which
existed before all things. Later the meaning shifted the. The Romans associated with the term chaos a originally
crude shapeless mass into which the Architect of the world introduces order and harmony. The contemporary
meaning of the word chaos denotes a state of disorder and irregularity.

1.2

Some historical remarks

Some Historical Remarks

Already Henri Poincar, a French mathematician, realized that the three body problem is very sensitive to the
initial conditions. He was seeking for solutions of a the motion of the sun, earth, and moon at the end of the 19th
century. His observation of sensitive dependence on initial conditions was considered more like a curiosity and
therefore unattended in physics for the next decades.
The Systems Considered During the Lecture
During the lecture we are discussion low dimensional, nonlinear, dissipative, deterministic, dynamic systems. In
the following we will discuss what is meant each of these adjectives.

Low dimensional, nonlinear, dissipative, deterministic, dynamic systems

1.3

Representation of a dynamic system

Representation of a Dynamic System

Each individual dynamic system can be represented by a set of first order differential equations:
~X = ~f (~X)

(1)

~X is spanning the phase space. Each component represents one dimension of the phase space and, therefore,
the phase dimension is equal to the number of first order differential equations in the system.
For example the frictionless free running spring pendulum is represented by:

x = y
my = kx.
The physical meaning of y is the velocity in the x-direction.
Representation of a Dynamic System Introducing a Damping
For damped situation one has to add a damping term:

x = y
my = kx f y
This introduces dissipation to the system thus it will relax to its equilibrium point x, y = 0.
To keep a certain amplitude of the oscillation one has to force the system periodically

x = y
my = kx f y + A cos(t)
Now the system is not closed anymore. There is an flow of energy through the system.
1

Representation of a Dynamic System Introducing a Nonlinearity

The system until now is linear and showing a limit cycle as an attractor of the trajectory, i.e. in the limit for
diverging time (limt ). If the used spring in the system is not so ideal we can describe their behavior as a
Taylor expansion.
The force is than f (x) = kx + x3 . Thus, the differential equation reads:
x = y
my = kx + x3 f y + A cos(t)
This is the so called forced or driven Duffing equation exhibiting interesting behavior and a complex attractor.

Figure 1: The attractor of the Duffing oscillator in the

Representation of a Dynamic System Strange Attractor
phase space.

1.4

Determinism

Determinism
Cause

Effect

Determinism means that a certain cause will result in certain effect. This will happen all the time. Only in this
case a system can be described by exact equations in principle.
This has directly the consequence that a trajectories in phase space do never cross.
Weak versus Strong Causality

Cause

Cause

Effect

Effect

(b)

(a)

Strong causality means that even similar cause results in similar effect (a).
Weak causality says that only identical causes will cause the same results but similar causes will lead to complete
different results. The neighborhood of a cause will be mapped to widespread effects (b).
2

1.5

The discovery of chaotic behavior

The Lorenz Attractor

In 1963 Edward Norton Lorenz observed an extraordinary behavior of a model he was integrating on
a computer. He got a certain result for the weather
forecast after running the integration. By chance he
let the program run for a second time but observed
a strong deviation from the first run. Firstly, he suspected an error in the program code, but then he realized that the difference was originating from slightly
different initial conditions. For the second run he left
off a few digits.
Lorenz model was describing convection phenomenon in the atmosphere.
Figure 2: Convection rolls and geometry in the RayleighThe starting point for its derivation is the Navier- Bernard experiment.
Stokes equation:


~v

~
+~v ~v = ~~p + ~ T + ~f .
(2)

t
It represents Newtons second law in case of a fluid.
Meaning of the Different Terms
v
v ~~v) is called advection
The first term on the right side ( ~
t ) is the change in momentum. The second term (~
term and represent the single nonlinear term in the Navier-Stokes equation. The terms on the right side sum the
different forces acting on a fluid element. The first one (~~p) is originating from the pressure gradients leading

to resulting forces. The second term (~ T ) is the stress in the fluid and is represented by the stress tensor T .
The third and, therefore, last term on the right side (~f ) stands for volume forces acting on the fluid element like
bouncy.
Because the Navier-Stokes equation only describes the changes in the flow we need an additional equation to
describe the phenomenon of convection.
Further Equations Needed
The equation of heat conduction reads:
dT
~ 2 T.
=
dt

(3)

Finally, one has to add the continuity equation incompressible fluids:

d
+ div (~v) = 0
dt

(4)

Simplified Model Equations

After some simplifications (i.e. that the T -dependence of all coefficients except in = (1T ) can
be neglected (Boussinesq approximation)) and consideration of low frequency modes in open boundary conditions
one finally obtains the Lorenz model:
X
Y

= X + Y

= XY bZ

= XZ + rX Y

here the dot denotes the derivative with respect to the normalized time = 2 h2 (1 + a2 )t; v = / is the
Prandtl number, and b 4(1 + a2)1. The external control parameter r is connected to the properties of the fluid
and the externally applied temperature gradient r = R/Rc T where R (gh3 /)T is the Rayleigh number
and a is the aspect ratio (see Fig.) and Rc 4 a2 (1 + a2 )3 .
3

The Lorenz Wheel

Figure 3: The Lorenz water wheel is a model system which can be described by the Lorenz equations. Small
buckets are rotatable fixed to a low friction wheel at circumference. Each of the buckets have hole at the bottom
to release water at a certain rate. A water tap is filling the little buckets right at the top of the wheel. The wheel
is starting to rotate if a net torque results from the gravitation acting on the water filled buckets. The motion of
the wheel is chaotic depending on the flow rate of the tap, the discharge rate of the buckets, and the friction force
acting on the wheel.
Construction of Chaotic Dynamics

1.6

How to construct a chaotic motion?

How to construct a chaotic motion?

y6
y7
y8

y9

y10

y5

The two main ingredients of chaotic behavior are:

y4

1. Stretching of the phase space in a direction.

y3

2. Folding the phase space back to keep the trajectories of the

system within a certain volume of the phase space (finite
energy).

y2

y1

y0

x0 x1 x2 x3 x4 x5 x6 x7 x8 x9 x10

Figure 4: Illustration of the process of stretching and folding.

Construction of an Ordinary Differential Equation I

First, we start from an undamped harmonic oscillator:

x = x.

(5)

Which can be written as a system of first order ordinary differential equations (ODE):
x = y

(6)

y = x

(7)
Figure 5: Limit cycle
of an oscillator.

The stretching can be easily realized by an unstable focus:

y

x = x + ax.

(8)

Which can be written as a system of first order ordinary differential equations:

x

x = y
y = x + ay

(9)
(10)

Figure 6: Expanding
spiral.
Construction of an Ordinary Differential Equation II
Back folding in the x-y plane is not possible without crossing the trajectories. Therefore, we have to introduce
a third variable z which stays closed to zero for some time during which the unstable focus can develop in the x-y
plane. If the first variable, lets say x, a certain value c:
z = b + z(x c).

(11)

The first term on the left side ensures that z will grow at a minimal rate even if the second term is zero. The
expression in brackets becomes zero if x exceeds the threshold value c. Because z almost vanishes the second term
would only cause a very small growth rate. This is increased by the offset rate b.
We have now achieved that after the unstable focus has grown over the time the z-variable will increase.
Now we have to introduce a back folding mechanism. This can be reached by an additional damping term in
x-component Eq. (9) feeding back the variable z:
x = y z

(12)

Construction of an Ordinary Differential Equation III

The ODE of the Rssler system reads:
x = y z
y = x + ay

(13)

z = b + z(x c).

Figure 7: The Rssler atractor in the phase space.

5

Dynamic in the phase space

Non-dissipative and Dissipative Dynamics

In case of non-dissipative systems (Hamiltonian systems) Liouvilles theorem has to be obeyed which is a
direct consequence of Liouville equation. Let us consider an i-th dimensional phase space with the canonical
coordinates qi and the conjugate momenta pi . Here the Liouville equation reads:

i 
d

p i q i
q

+
p

=0
=
+
dt
t n=1 qi
pi

(14)

It can be interpreted as a continuity equation. The density of points representing the states of a dynamical system
in the phase space is not changing over time.
In other words the phase space volume visited by a non-dissipative system stays constant over time. The actual
size of that volume is, therefore, defined by the initial conditions.
In case of a dissipative system the visited volume will shrink to a volume of measure zero in infinite time for
all possible initial conditions.
Manifolds
A manifold is a topological space that on a small enough scale resembles the Euclidean space of a specific
dimension, which is the dimension of the manifold.
Limit cycle

Torus

Noethers Theorem
Emmy Noether showed that symmetries of a system which can be described by a Lagrangian are in direct
connection to conservation laws.
Examples:
time invariance
translation invariance
rotational invariance

2.1

energy conservation
momentum conservation
angular momentum conservation

Connection between Dissipation and Fluctuations

Connection between Dissipation and Fluctuations

In order to understand how dissipation can take place and for the sake of description of non-equilibrium
systems we discuss an important connection between fluctuations and dissipation.
A dissipative system can be discussed in the frame work of a deterministic or stochastic system depending on
the interaction with its surrounding.
Non-equilibrium thermodynamical systems involve the irreversible dissipation of energy into heat from their
reversible thermal fluctuations at thermodynamic equilibrium.
6

2.2

Brownian Motion

Brownian Motion
Already the Roman Lucretius (60 B.C.) described that dust particles are performing an irregular motion and
associated this to the influence of atoms. Later in the year 1785 Jan Ingenhousz (Dutch physiologist, biologist and
chemist) described the irregular motion of coal particles on the surface of alcohol.
But the phenomenon is regarded to be discovered by the botanist Robert Brown in 1827. He was investigating
pollen grains suspended in water under the microscope. In order to prove that the jitter motion is not caused by
the living nature of the grains he repeated the experiment with inorganic particles.
Description of Brownian Motion
Mainly four scientists contributed to the theoretical of the Brownian Motion Thorvald N. Thiele (1880), Louis
Bachelier (1900), Albert Einstein (1905), and Marian Smoluchowski (1906).

Description of Brownian Motion Damping of the Particle Motion

The water molecules are forcing the particles around mediated by friction force:
~F = ~v.

(15)

m~v = ~v

(16)

According Newtons second law it holds:

The solution of the equation is an exponential decay and, therefore, a time constant associated with the motion
can be found by:
1

(17)
~v = ~v = ~v
m

The solution reads

 t
~v(t) =~v0 exp

(18)

This is correct for particles with a large mass m  mM much larger than the mass of the molecules of the fluid.
Description of Brownian Motion The Role of the Molecules
The damping of the large particles is cased by an momentum transfer to the small particles. But this is only
one side of the medal. Because the atoms and molecules are moving caused by their finite temperature it follows
the Equipartition theorem:
1
2 3
m ~v = kB T
(19)
2
2
in case of point particles (3 space dimension). This leads to an excitation of the particles. We have to extent the
differential equation (17) by a stochastic term:

1
~v = ~v = v +~s
m

where s =

~Fs
m

is the acceleration of the particle due to a stochastic force.

7

(20)

Description of Brownian Motion Some Thoughts

The stochastic force is applied by gigantic number of molecules of the order of 1023 . In principle this process
could be described again by a system of differential equation, but this is by far to complicated and, hence, one
takes only the distribution of momentum transfer into account.
The collision time c is short. The collision rate is denoted by c .
There is a separation in time scales because it holds:


1
, c
c

Description of Brownian Motion Features of the Stochastic Force

Mean value:
h(t)i = 0

(21)

(22)

Correlation:


(t)(t 0 ) = 2 (t t 0 )

(23)

This is called white noise because it is delta correlated, i.e. it consists of an infinite number of frequencies with an
equal amplitude.
Connection between Diffusion Constant and Drift Velocity
In a paper1905 Einstein derived a connection between the diffusion constant and the mobility of a body at
which this is moving if a force is applied to it. At that time it was unexpected, that the there is a link between the
stochastic motion of the particles and the drag on the particle.
This link is expressed in the Einstein-Smoluchowski relation:
D = D kB T

2.3

(24)

Moments of a distribution

Moments of a distribution I
Any distribution of real values can be characterized by its moments. The n-th moment about a value c is
defined as
Z

(x c)n p(x)dx

(25)

where p(x) denotes the probability density function.

The first moments are as follows.
The expectation value:
Z
h f (x)i = p(x) f (x)dx

(26)

n =

The mean value (first moment with c = 0):

Z

1 =

p(x)xdx

(27)

(x 1 )2 p(x)dx

(28)

(x 1 )3 p(x)dx

(29)

(x 1 )4 p(x)dx

(30)

Moments of a distribution II
The variance (second moment):
Z

2 =
The skewness (third moment):
Z

3 =
The kurtosis (fourth moment):
Z

4 =

2.4

Central Limit Theorem

Central Limit Theorem

Averaging over independent stochastic quantities with an arbitrary distribution will will result in a Gaussian
distribution:
(x)2
1

e 2 2 .
2

2.5

(31)

Solving the Stochastic Equation

Solving the Stochastic Equation

In equilibrium the time average of Eq. (20) is:
hv(t)i = 0.

(32)


The variance of the velocities v(t)2 results from Equipartition theorem Eq. (19). By means of the Equipartition
theorem Eq. (20) can be solved analog to the variation of the constant. The solution reads:
v(t) = v(0)et +

e(tt ) (t 0 )dt 0 .

(33)

Solving
the Stochastic
Equation II

2
For v(t) it follows:
Zt Zt


0
0
v(t)2 = v(0)2 e2t +
e(2tt1 t2 ) 2 (t10 t20 )dt10 dt20 .

(34)

0 0

By performing an integration over dt20 and dt10 the double integral reads:
Zt Zt

e(2tt1 t2 ) 2 (t10 t20 )dt10 dt20 = 2

0 0

Zt

e2(tt1 ) dt10 =

2
1 e2t .
2

(35)

v(t)2 can be written in the long time limit:

 2
v(t)2 =
2

2.6

(36)

Dissipation Fluctuation Theorem

Dissipation Fluctuation Theorem

This result can be fit into the Equipartition theorem for each degree of freedom:
 1
1

m v(t)2 = kB T
2
2

(37)

leading to
2 =

2kB T
.
m

The result can be interpreted in two ways:

1. All stationary, stochastic systems are dissipative.
2. All dissipative systems have to be stochastic.
Variance of the noise and the damping are not independent quantities in equilibrium.
9

(38)

Ornstein-Uhlenbeck process
The process
v = v +

(39)

with N (0, 2 ) is called Ornstein-Uhlenbeck process.

Its correlation function is given by:
2 |t1 t2 |
e
.
2

hv(t1 )v(t2 )i =

(40)

For small time steps the integration can be done by only considering the linear terms:
v(t + t) = (1 t)v(t) +

Z t+t

(t 0 )dt 0

(41)

The integration over stochastic part of the equation leads to a normal distribution with a variance linear depending
on the time t:
Z t+t
t

2.7

(t 0 )dt 0 = N (0, t 2 ).

(42)

Autoregressive Process

Autoregressive Process
Setting t=1 leads to:
v(t + 1) = av(t) + (t),

a < 1, a = e1/ .

(43)

The variance of the process reads:

v(t + 1) = av(t) + (t).

(44)

Taking the square and calculating the expectation value we get:


v (t + 1) = a2 v2 (t) + 2 .

(45)

In case of stationary this is valid for all times:


v (t) = a2 v2 (t) + 2 =

2
> 2.
1 a2

(46)

This is a so called autoregressive process AR[1]. It is collecting energy from noise.

Power spectral Density of the Autoregressive Process I
Power spectral density:
D
E
S() = | f ()|2

(47)

with
f () =

1
2

eit x(t)dt

(48)

eit x(t)

(49)

and
f () =

1
2

in the discrete form.

10

Power spectral Density of the Autoregressive Process II

The power spectral density of the fluctuating quantity is given by:
*
2 +
 1

S() =  eit (t) = 2
2 t

(50)

The constant power spectral density is the reason why it is called white noise. In order to calculate the power
spectral density of the AR[1] process, we use the following ansatz:
x(t) = ax(t 1) + (t).

(51)

The Fourier transform is firstly calculated at time t 1 and shift the summation index thereafter:
1
2

eit x(t 1)

1
ei(t+1) x(t)
2
t
1 i
e
ei(t) x(t) = ei f ().
2
t

(52)

Power Spectral Density of the Autoregressive Process III

Therefore, the Fourier transform of Eq. (51) gives:
g
f () = aei f () + (t).

(53)

It follows:
f () =

g
(t)
1 aei

(54)

and the power spectral density:

S() =

2
2 |1 aei |2

(55)

Conclusion:
The power spectral density is a smooth function. This is feature is valid for the most stochastic
processes.

2.8

Transition from Velocity Space to Real Space

Transition from Velocity Space to Real Space

Until now we have considered the features in the velocity space. Is there any difference in real space?
Lets assume our particle starts

at time t = 0 at position x(0) = 0 with an velocity v(0) = 0. Then, it holds for

the mean square displacement x(t)2 :
t t

 Z Z
hv(t1 )v(t2 )i dt1 dt2
x(t)2 =

(56)

0 0

According to A. Einstein ("On the motion of small particles suspended in liquids at rest required by the molecularkinetic theory of heat," Annalen. der. Physik 17, 549-560 (1905).) this leads to


x(t)2 = 2Dt,

with D =

2
kB T
=
2 2
m

(57)

Transition from Velocity Space to Real Space Consequences

The main consequences are:
Phase space is not preserved.
Variance increases linearly in time (this would be true in Hamiltonian system too).
For x(t) follows
x = v
with the velocity defined as in a Ornstein-Uhlenbech process with a characteristic time = 1/.
11

(58)

Transition from Velocity Space to Real Space Consequences

If we observe the system on slow time scales t  it holds:
hv(t)v(t + )i = 0.

(59)

x(t + t) = x(t) + (t).

(60)

x(t + 1) = x(t) + (t).

(61)

Therefore, v(t) is a delta correlated noise (t):

Or again with t = 1
This process is called Brownian motion.
Time Evolution of the System in Real Space
The variance of Brownian motion in real space:
x(t + 1) = x(t) + (t)
x(t) = x(t 1) + (t 1)
x(t + 1) = x(t 1) + (t) + (t 1)
t

x(t + 1) =

(i)

i=1

Variances of independent stochastic quantities add up:

2 
x (t) = t 2

2.9

(62)

Brownian Motion with Correlated Noise

Brownian Motion with Correlated Noise

If the driving force possesses a nontrivial correlation function:
C() = h(t)(t + )i ,

(63)

2 
x (t) = 2Dt

(64)

it follows:
with

D=

C()d.

(65)

This is the so called Green-Kubo relation.

Literature

References
[1] H.D.I Abarbanel: Analysis of observed chaotic data (Springer, Berlin, 1996).
[2] J. Argyris, G. Faust, and M. Haase: An Exploration of Chaos in Texts on Computational Mechanics
Volume VII (North Holland, Amsterdam, 1994).
[3] J. Argyris, G. Faust, and M. Haase: Die Erforschung des Chaos (Vieweg, Braunschweig, 1995).
[4] H. G. Schuster and Wolfram Just: Deterministic Chaos: An Introduction (VCH, Weinheim, 2005).
[5] H. Kantz and T. Schreiber: Nonlinear Time Series Analysis (Cambridge University Press, Cambridge, 2004).

12