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Gitterman Noisy Pendulum|Views: 577|Likes: 4

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- 1.1 Mathematical pendulum
- 1.2 Isomorphic models
- 1.2.1 Brownian motion in a periodic potential
- 1.2.2 Josephson junction
- 1.2.3 Fluxon motion in superconductors
- 1.2.4 Charge density waves (CDWs)
- 1.2.5 Laser gyroscope
- 1.2.6 Synchronization phenomena
- 1.2.7 Parametric resonance in anisotropic systems
- 1.2.8 The Frenkel-Kontorova model (FK)
- 1.2.9 Solitons in optical lattices
- 1.3 Noise
- 1.3.1 White noise and colored noise
- 1.3.2 Dichotomous noise
- 1.3.3 Langevin and Fokker-Planck equations
- 2.1 Deterministic motion
- 2.2 Inﬂuence of noise
- 2.2.1 Additive white noise
- 2.2.2 Additive and multiplicative white noise
- 2.2.3 Additive dichotomous noise
- 2.2.4 Multiplicative dichotomous noise
- 2.2.6 Correlated additive noise and multiplicative noise
- 2.3 Periodic driven force
- 2.3.1 Deterministic equation
- 2.3.2 Inﬂuence of noise
- 2.3.3 Deterministic telegraph signal
- Underdamped Pendulum
- 3.1 Pendulum with constant torque
- 3.2 Pendulum with multiplicative noise
- 3.3 Pendulum with additive noise
- 3.3.1 Damped pendulum subject to additive noise
- 3.4 Periodically driven pendulum
- 3.6 Pendulum with oscillating suspension point
- 3.6.1 Vertical oscillations
- 3.6.2 Horizontal oscillations
- 3.6.3 Pendulum with parametric damping
- 3.7 Spring pendulum
- 3.8 Resonance-type phenomena
- 3.8.1 Stochastic resonance (SR)
- 3.8.2 Absolute negative mobility (ANM)
- 3.8.3 Ratchets
- stability (NES)
- Deterministic Chaos
- 4.1 General concepts
- 4.1.1 Poincare sections and strange attractors
- 4.1.2 Lyapunov exponent
- 4.1.3 Correlation function
- 4.1.4 Spectral analysis
- 4.1.5 Period doubling and intermittency
- 4.2 Transition to chaos
- 4.2.1 Damped, periodically driven pendulum
- torque
- point
- 4.2.5 Pendulum with applied periodic force
- 4.2.6 Spring pendulum
- 4.3 Pendulum subject to two periodic ﬁelds
- 4.3.1 Controlling chaos
- 4.3.2 Erratic motion
- 4.3.3 Vibrational resonance
- Inverted Pendulum
- 5.1 Oscillations of the suspension axis
- 5.2 The tilted parametric pendulum
- 5.3 Random vibrations of the suspension axis
- 5.4 Spring pendulum
- 5.5 Spring pendulum driven by a periodic force
- Conclusions
- Bibliography
- Index

indd 1 8/18/08 2:36:37 PM

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Moshe Gitterman

Bar-Ilan University, Israel

NE W J E RSE Y • L ONDON • SI NGAP ORE • BE I J I NG • SHANGHAI • HONG KONG • TAI P E I • CHE NNAI

World Scientifc

6944tp.indd 2 8/18/08 2:36:39 PM

Library of Congress Cataloging-in-Publication Data

Gitterman, M.

The noisy pendulum / Moshe Gitterman.

p. cm.

Includes bibliographical references and index.

ISBN-13: 978-981-283-299-3 (hardcover : alk. paper)

ISBN-10: 981-283-299-8 (hardcover : alk. paper)

1. Pendulum. 2. Noise. 3. Mechanics. 4. Physics. I. Title.

QA862.P4.G58 2008

531'.324--dc22

2008032349

British Library Cataloguing-in-Publication Data

A catalogue record for this book is available from the British Library.

For photocopying of material in this volume, please pay a copying fee through the Copyright

Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to

photocopy is not required from the publisher.

All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means,

electronic or mechanical, including photocopying, recording or any information storage and retrieval

system now known or to be invented, without written permission from the Publisher.

Copyright © 2008 by World Scientific Publishing Co. Pte. Ltd.

Published by

World Scientific Publishing Co. Pte. Ltd.

5 Toh Tuck Link, Singapore 596224

USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601

UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE

Printed in Singapore.

ZhangFang - NoisyPendulum.pmd 12/15/2008, 3:52 PM 1

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Preface

Although every modern house has a TV set and a computer, one can still

ﬁnd here and there, a grandfather wall clock going tick-tock. The inven-

tion of this clock goes back to 1581, when the 17 year-old Galileo Galilei

watched a suspended lamp swinging back and forth in the cathedral of Pisa,

and found, to his surprise, that it took the same number of pulse beats for

the chandelier to complete one swing, no matter how large the amplitude.

The larger the swing, the faster the motion, but the time was the same.

Therefore, time could be measured by the swing of a pendulum – the basis

for the pendulum clock. In 1602, Galilei explained the isochronism of long

pendulums in a letter to a friend, and a year later, another friend, Santo-

rio Santorino, a physician in Venice, began using a short pendulum, which

he called a “pulsilogium”, to measure the pulse of his patients. This dis-

covery had important implications for the measurement of time intervals

1

.

Following Galilei, a few other famous scientists continued the analysis of

the pendulum. For example, the period of rotation and oscillation with

ﬁnite amplitude were calculated by Huygens (1673) and by Euler (1736),

respectively.

Although the legend of how Galilei discovered this property of the simple

pendulum is probably apocryphal, the main idea of a pendulum is widely

used today to describe the oscillation of prices in the stock market or the

1

As a matter of fact, one of the earliest uses of the pendulum was in the seismometer

device of the Han Dynasty (202 BC – 220 AD) by the scientist and inventor Zhang

Heng (78 – 139). Its function was to sway and activate a series of levers after being

disturbed by the tremor of an earthquake. After being triggered, a small ball would fall

out of the urn-shaped device into a metal toad’s mouth, signifying the cardinal direction

where the earthquake was located (and where government aid and assistance should be

swiftly sent). Also, an Arabian scholar, Ibn Vinus, is known to have described an early

pendulum in the 10th century

[

1

]

.

v

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

vi The Noisy Pendulum

change of mood of our wives (husbands). However, scientists use the con-

cept of a pendulum in a much more comprehensive sense, considering it as

a model for a great diversity of phenomena in physics, chemistry, economics

and communication theory.

A harmonic oscillator is the simplest linear model, but most, if not

all physical processes are nonlinear, and the simplest model for their de-

scription is a pendulum. Tremendous eﬀort has gone into the study of the

pendulum. From the enormous literature it is worth mentioning the bib-

liographic article

[

2

]

, the International Pendulum conference

[

3

]

, and the

recent book

[

4

]

written in a free, easy-going style, in which calculations

alternate with historical remarks.

The aim of the present book is to give the “pendulum dictionary”, in-

cluding recent (up to 2007) results. It can be useful for a wide group of

researchers working in diﬀerent ﬁelds where the pendulum model is appli-

cable. We hope that teachers and students will ﬁnd some useful material in

this book. No preliminary knowledge is assumed except for undergraduate

courses in mechanics and diﬀerential equations. For the underdamped pen-

dulum driven by a periodic force, a new phenomenon - deterministic chaos

- comes into play, and one has to take into account the delicate balance

between this chaos and the inﬂuence of noise.

The organization of the book is as follows.

Part 1 is comprised of three sections. Sec. 1.1 contains the description

and solution of the dynamic equation of motion for the simple mathematical

pendulum oscillating in the ﬁeld of gravity, which creates a torque. This

equation is isomorphic to a model description of diﬀerent phenomena, which

are presented in Sec. 1.2. The description of noise as used in the book is

given in Sec. 1.3.

Part 2 describes the properties of the overdamped pendulum. The sim-

ple overdamped case for which one neglects the inertial term is consid-

ered ﬁrst, thereby reducing the second-order diﬀerential equation to one of

ﬁrst-order. The analytical solution of the overdamped deterministic pen-

dulum is described in Sec. 2.1. The addition of additive and multiplicative

noise, both white and dichotomous, provide the subject of Sec. 2.2. An

overdamped pendulum subject to a periodic torque signal is described in

Sec. 2.3, in particular, the analytic solution for a periodic force having the

form of a pulsed signal.

Part 3 is devoted to the underdamped pendulum, including the eﬀect of

friction (Sec. 3.1), multiplicative noise (Sec. 3.2), additive noise (Sec. 3.3),

the periodically driven pendulum (Sec. 3.4), overall forces (Sec. 3.5), and an

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Preface vii

oscillating suspension point (Sec. 3.6). The spring pendulum is described

in Sec. 3.7. Finally, resonance-type phenomena are considered in Sec. 3.8.

Part 4 is devoted to a description of the phenomenon of deterministic

chaos. Deterministic chaos leads to “noise-like” solutions, which explains

why this chapter appears in the noisy pendulum book. The general concepts

are introduced in Sec. 4.1, and the transition to chaos for diﬀerent cases

provides the subject matter for Sec. 4.2. New phenomena (chaos control,

erratic motion and vibrational resonance), which are caused by an addition

of a second periodic force, are considered in Sec. 4.3.

Part 5 contains the analysis of the inverted pendulum. The inverted

position can be stabilized either by periodic or random oscillations of the

suspension axis or by the inﬂuence of a spring inserted into a rigid rod.

These three cases are considered in Secs. 5.1–5.4, while the joint eﬀect of

these factors is described in Sec. 5.5. Finally, we present our conclusions.

Two comments are appropriate. First, in spite of the fact that the ma-

jority of results presented in this book are related to nonintegrable equa-

tions which demand numerical solutions, we are not discussing technical

questions concerning the methods and accuracy of numerical calculations.

Second, we consider only a single one-dimensional classical pendulum. The

quantum pendulum and interactions between pendula are beyond the scope

of this book. Even then, there are a tremendous number of published ar-

ticles devoted to the pendulum (331 articles in the American Journal of

Physics alone). In order not to increase unduly the size of this book and to

keep it readable, I have not described all these articles. I ask the forgiveness

of the authors whose publications remain beyond the scope of this book.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

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August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Contents

Preface v

1. Formulation of the Problem 1

1.1 Mathematical pendulum . . . . . . . . . . . . . . . . . . . . 1

1.2 Isomorphic models . . . . . . . . . . . . . . . . . . . . . . . 10

1.2.1 Brownian motion in a periodic potential . . . . . . . 10

1.2.2 Josephson junction . . . . . . . . . . . . . . . . . . . 10

1.2.3 Fluxon motion in superconductors . . . . . . . . . . 11

1.2.4 Charge density waves (CDWs) . . . . . . . . . . . . . 11

1.2.5 Laser gyroscope . . . . . . . . . . . . . . . . . . . . . 12

1.2.6 Synchronization phenomena . . . . . . . . . . . . . . 12

1.2.7 Parametric resonance in anisotropic systems . . . . . 12

1.2.8 The Frenkel-Kontorova model (FK) . . . . . . . . . . 13

1.2.9 Solitons in optical lattices . . . . . . . . . . . . . . . 13

1.3 Noise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

1.3.1 White noise and colored noise . . . . . . . . . . . . . 13

1.3.2 Dichotomous noise . . . . . . . . . . . . . . . . . . . 15

1.3.3 Langevin and Fokker-Planck equations . . . . . . . . 15

2. Overdamped Pendulum 19

2.1 Deterministic motion . . . . . . . . . . . . . . . . . . . . . . 19

2.2 Inﬂuence of noise . . . . . . . . . . . . . . . . . . . . . . . . 20

2.2.1 Additive white noise . . . . . . . . . . . . . . . . . . 21

2.2.2 Additive and multiplicative white noise . . . . . . . . 23

2.2.3 Additive dichotomous noise . . . . . . . . . . . . . . 30

2.2.4 Multiplicative dichotomous noise . . . . . . . . . . . 33

ix

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

x The Noisy Pendulum

2.2.5 Joint action of multiplicative noise and additive

noise . . . . . . . . . . . . . . . . . . . . . . . . . . . 34

2.2.6 Correlated additive noise and multiplicative noise . . 37

2.3 Periodic driven force . . . . . . . . . . . . . . . . . . . . . . 39

2.3.1 Deterministic equation . . . . . . . . . . . . . . . . . 39

2.3.2 Inﬂuence of noise . . . . . . . . . . . . . . . . . . . . 40

2.3.3 Deterministic telegraph signal . . . . . . . . . . . . . 41

3. Underdamped Pendulum 43

3.1 Pendulum with constant torque . . . . . . . . . . . . . . . . 43

3.2 Pendulum with multiplicative noise . . . . . . . . . . . . . . 45

3.3 Pendulum with additive noise . . . . . . . . . . . . . . . . . 46

3.3.1 Damped pendulum subject to additive noise . . . . . 46

3.3.2 Damped pendulum subject to constant torque

and noise . . . . . . . . . . . . . . . . . . . . . . . . 47

3.4 Periodically driven pendulum . . . . . . . . . . . . . . . . . 49

3.5 Damped pendulum subject to constant torque, periodic force

and noise . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

3.6 Pendulum with oscillating suspension point . . . . . . . . . 53

3.6.1 Vertical oscillations . . . . . . . . . . . . . . . . . . . 53

3.6.2 Horizontal oscillations . . . . . . . . . . . . . . . . . 57

3.6.3 Pendulum with parametric damping . . . . . . . . . 57

3.7 Spring pendulum . . . . . . . . . . . . . . . . . . . . . . . . 60

3.8 Resonance-type phenomena . . . . . . . . . . . . . . . . . . 66

3.8.1 Stochastic resonance (SR) . . . . . . . . . . . . . . . 66

3.8.2 Absolute negative mobility (ANM) . . . . . . . . . . 68

3.8.3 Ratchets . . . . . . . . . . . . . . . . . . . . . . . . . 68

3.8.4 Resonance activation (RA) and noise enhanced

stability (NES) . . . . . . . . . . . . . . . . . . . . . 70

4. Deterministic Chaos 71

4.1 General concepts . . . . . . . . . . . . . . . . . . . . . . . . 71

4.1.1 Poincare sections and strange attractors . . . . . . . 72

4.1.2 Lyapunov exponent . . . . . . . . . . . . . . . . . . . 73

4.1.3 Correlation function . . . . . . . . . . . . . . . . . . 73

4.1.4 Spectral analysis . . . . . . . . . . . . . . . . . . . . 73

4.1.5 Period doubling and intermittency . . . . . . . . . . 74

4.2 Transition to chaos . . . . . . . . . . . . . . . . . . . . . . . 75

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Contents xi

4.2.1 Damped, periodically driven pendulum . . . . . . . . 75

4.2.2 Driven pendulum subject to a periodic and constant

torque . . . . . . . . . . . . . . . . . . . . . . . . . . 79

4.2.3 Pendulum with vertically oscillating suspension

point . . . . . . . . . . . . . . . . . . . . . . . . . . . 80

4.2.4 Pendulum with horizontally oscillating suspension

point . . . . . . . . . . . . . . . . . . . . . . . . . . . 81

4.2.5 Pendulum with applied periodic force . . . . . . . . . 84

4.2.6 Spring pendulum . . . . . . . . . . . . . . . . . . . . 86

4.3 Pendulum subject to two periodic ﬁelds . . . . . . . . . . . 87

4.3.1 Controlling chaos . . . . . . . . . . . . . . . . . . . . 87

4.3.2 Erratic motion . . . . . . . . . . . . . . . . . . . . . 88

4.3.3 Vibrational resonance . . . . . . . . . . . . . . . . . 90

5. Inverted Pendulum 93

5.1 Oscillations of the suspension axis . . . . . . . . . . . . . . 93

5.2 The tilted parametric pendulum . . . . . . . . . . . . . . . 95

5.3 Random vibrations of the suspension axis . . . . . . . . . . 98

5.4 Spring pendulum . . . . . . . . . . . . . . . . . . . . . . . . 100

5.5 Spring pendulum driven by a periodic force . . . . . . . . . 101

6. Conclusions 109

Bibliography 113

Index 119

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

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August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Chapter 1

Formulation of the Problem

1.1 Mathematical pendulum

The pendulum is modeled as a massless rod of length l with a point mass

(bob) m of its end (Fig. 1.1). When the bob performs an angular deﬂection

φ from the equilibrium downward position, the force of gravity mg provides

a restoring torque −mgl sin φ. The rotational form of Newton’s second law

of motion states that this torque is equal to the product of the moment of

inertia ml

2

times the angular acceleration d

2

φ/dt

2

,

d

2

φ

dt

2

+

g

l

sinφ = 0. (1.1)

I

l

m

Fig. 1.1 Mathematical pendulum.

1

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

2 The Noisy Pendulum

If one introduces damping, proportional to the angular velocity,

Eq. (1.1) takes the following form:

d

2

φ

dt

2

+γ

dφ

dt

+

g

l

sin φ = 0. (1.2)

Equations (1.1) and (1.2) are called the underdamped equations. In

many cases, the ﬁrst, inertial term in (1.2) is small compared with the sec-

ond, damping term, and may be neglected. Then, redeﬁning the variables,

Eq. (1.2) reduces to the overdamped equation of the form

dφ

dt

= a −b sin φ. (1.3)

For small angles, sin φ ≈ φ, and Eqs. (1.1)-(1.3) reduce to the equation

of a harmonic oscillator. The inﬂuence of noise on an oscillator has been

considered earlier

[

5

]

.

Let us start with the analysis based on the (φ, dφ/dt) phase plane. Mul-

tiplying both sides of Eq. (1.1) by dφ/dt and integrating, one obtains the

general expression for the energy of the pendulum,

E =

l

2

2

dφ

dt

2

+gl (1 −cos φ) (1.4)

where the constants were chosen in such a way that the potential energy

vanishes at the downward vertical position of the pendulum. Depending on

the magnitude of the energy E, there are three diﬀerent types of the phase

trajectories in the (φ, dφ/dt) plane (Fig. 1.2):

1. E < 2gl. The energy is less than the critical value 2gl, which is

the energy required for the bob to reach the upper position. Under these

conditions, the angular velocity dφ/dt vanishes for some angle ±φ

1

, i.e.,

the pendulum is trapped in one of the minima of the cosine potential well,

performing simple oscillations (“librations”) around the position of the min-

imum. This ﬁxed point is called an “elliptic” ﬁxed point, since nearby tra-

jectories have the form of ellipses.

2. E > 2gl. For this case, there are no restrictions on the angle φ,

and the pendulum swings through the vertical position φ = π and makes

complete rotations. The second ﬁxed point (π, 0) , which corresponds to

the pendulum pointing upwards, is a “hyperbolic” ﬁxed point since nearby

trajectories take the form of a hyperbola.

3. E = 2gl. For this special case, the pendulum reaches the vertical

position φ = π with zero kinetic energy, and it will remain in this unstable

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Formulation of the Problem 3

− −− −2 22 2π ππ π − −− −π ππ π π ππ π 2 22 2π ππ π 0 00 0

ϕ ϕϕ ϕ

d

dt

ϕ

separatrix

0 00 0

E > 2gl

E = 2gl

E<2gl

Fig. 1.2 Phase plane of a simple pendulum described by Eq. (1.1).

point until the slightest perturbation sends it into one of the two trajectories

intersecting at this point. The border trajectory, which is located between

rotations and librations, is called the separatrix, since it separates diﬀerent

types of motion (oscillations and rotations). The equation of the separatrix

can be easily obtained from (1.4),

dφ

dt

= 2

g

l

cos

φ

2

. (1.5)

The time t needed to reach the angle φ is given by

t =

l

g

ln

¸

tan

φ

4

+

π

4

. (1.6)

Trajectories close to the separatrix are very unstable and any small per-

turbations will result in running or locked trajectories. These trajectories

possess interesting properties

[

6

]

. Two trajectories intimately close to the

separatrix, with energies 0.9999 (2gl) and 1.0001 (2gl), describe the locked

and running trajectories, respectively. In spite of having almost the same

energy, their periods diﬀer by a factor of two (!) so that the period of oscil-

lation is exactly twice the period of rotation. Physical arguments support

this result

[

6

]

.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

4 The Noisy Pendulum

It is convenient to perform a canonical transformation from the vari-

ables φ and dφ/dt to the so-called action-angle variables J and Θ

[

7

]

. For

librations, the action J is deﬁned as

J =

1

2π

dφ

dt

dφ=

√

2

l

φ

1

−φ

1

dφ

E−gl+gl cos φ=

8

√

gl

π

[E (κ)−κ

2

K (κ)]

(1.7)

where K (κ) and E (κ) are the complete elliptic integrals of the ﬁrst and

second kind with modulus κ =

E/2gl. The angle Θ is deﬁned by the

equation

dΘ

dt

=

∂E

∂J

=

π

√

gl

2K(κ)

, (1.8)

yielding

Θ(t) =

π

√

gl

2K (κ)

t + Θ(0) . (1.9)

One can easily ﬁnd

[

7

]

the inverse transformation from (J, Θ) to

(φ, dφ/dt) ,

φ = 2 sin

−1

[κ sn(2K (κ) Θ/π, κ)] ;

dφ

dt

= ±2κ

glcn(2K (κ) Θ/π, κ)

(1.10)

where sn and cn are Jacobi elliptic functions.

For the case of rotations, there is no turning point, but one can deﬁne

the action J for the running trajectory as

J =

1

2π

π

−π

dφ

2 (E −gl) +gl cos φ =

4

√

gl

πκ

E (κ

1

) (1.11)

where the modulus κ

1

=

**2gl/E. The angle Θ, obtained as in the previous
**

case, is given by

Θ(t) =

π

√

gl

κ

1

K (κ

1

)

t + Θ(0) . (1.12)

A canonical transformation to the original variables results in

φ = 2 am

K (κ

1

) Θ

π

, κ

1

;

dφ

dt

= ±2

√

gl

κ

1

dn

K (κ

1

) Θ

π

, κ

1

(1.13)

where am is the Jacobi elliptic amplitude function, and dn is another Jacobi

elliptic function.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Formulation of the Problem 5

To ﬁnd the period T of the oscillating solutions, one starts from the

dimensional and scaling analysis

[

8

]

. Equation (1.1) contains only one pa-

rameter,

l/g, having dimensions of time. Therefore, the ratio between T

and

l/g is dimensionless,

T

g

l

= f (φ) . (1.14)

For small angles, sin φ ≈ φ, and the pendulum equation (1.1) reduces to

the simple equation of the harmonic oscillator with the well-known solution

T

0

= 2π

l/g, corresponding to f (φ) = 2π in Eq. (1.14).

To ﬁnd the function f (φ) in Eq. (1.14) for the pendulum, multiply both

sides of Eq. (1.1) by dφ/dt,

d

2

φ

dt

2

dφ

dt

= ω

2

0

dφ

dt

sinφ. (1.15)

Integrating yields

1

ω

0

dφ

dt

=

2 (cos φ −cos φ

0

) (1.16)

where φ

0

is the maximum value of the angle φ for which the angular velocity

vanishes. Integrating again leads to

φ

0

d (φ/2)

sin

2

(φ/2) - sin

2

(φ

0

/2)

1/2

= ω

0

t (1.17)

under the assumption that φ(t = 0) = 0.

We introduce the variables ψ and k,

sin

φ

2

= k sin ψ; k = sin

φ

0

2

. (1.18)

As the angle φ varies from 0 to φ

0

, the variable ψ varies from 0 to π/2.

Then, (1.17) becomes an elliptic integral of the ﬁrst kind F(k, ψ),

ω

0

t = F (k, ψ) ; F (k, ψ) ≡

ψ

0

dz

1 −k

2

sin

2

z

. (1.19)

The rotation of the pendulum from φ = 0 to φ = φ

0

takes one fourth of

the period T, which is given from (1.17) by the complete elliptic integral

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

6 The Noisy Pendulum

F (k, π/2) of the ﬁrst kind,

T =

4

ω

0

F (k, π/2) ; F (k, π/2) ≡

π/2

0

dz

1 −k

2

sin

2

z

. (1.20)

Since k < 1, one can expand the square root in (1.20) in a series and

perform a term-by-term integration,

T =

2π

ω

0

¸

1 +

1

2

2

k

2

+

1 ∗ 3

2 ∗ 4

2

k

4

+

¸

. (1.21)

Using the power series expansion of k = sin (φ

0

/2) , one can write another

series for T,

T =

2π

ω

0

(1 +

φ

2

0

16

+

11φ

4

0

3072

+ ). (1.22)

The period of oscillation of the plane pendulum is seen to depend on the

amplitude of oscillation φ

0

. The isochronism found by Galilei occurs only

for small oscillations when one can neglect all but the ﬁrst term in (1.22).

Another way to estimate the period of pendulum oscillations is by a

scaling analysis

[

8

]

. In the domain 0 < t < T/4, with characteristic angle

φ(0) = φ

0

, one gets the following order-of-magnitude estimates

dφ

dt

∼ −4

φ

0

T

;

d

2

φ

dt

2

∼ −16

φ

0

T

2

; sin φ ∼ sin φ

0

, cos φ ∼ 1. (1.23)

Substituting (1.23) into (1.1) yields

T

g

l

∼ 4

φ

0

sin φ

0

1/2

(1.24)

or

T

T

0

∼

2

π

φ

0

sin φ

0

1/2

(1.25)

Substituting (1.23) into (1.16) rewritten as

1

2

dφ

dt

2

+

g

l

[cos φ

0

−cos φ] = 0 (1.26)

yields

T

T

0

∼

2

π

φ

0

/2

sin (φ

0

/2)

(1.27)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Formulation of the Problem 7

In the scaling analysis, one drops the numerical factor 2/π and, keeping

the same functional dependencies, one writes the following general form of

Eqs. (1.25) and (1.27),

T

T

0

≈

¸

aφ

0

sin(aφ

0

)

b

. (1.28)

Expanding sin(aφ

0

) yields

T

T

0

= 1 +

a

2

b

6

φ

2

0

+a

4

b

1

180

+

b

72

φ

4

0

+ . (1.29)

From comparison with (1.22), we obtain: a = 5

√

2/8 and b = 12/25. There

are also other methods of ﬁnding a and b

[

8

]

.

One can easily write the solution of Eq. (1.1) for φ and dφ/dt in terms

of elliptic integrals. Since the energy is conserved, Eq. (1.4) becomes

dφ

dt

2

= −

2g

l

(1 −cos φ) +Const. = −

4g

l

sin

2

φ

2

+Const. (1.30)

Denoting the value of (dφ/dt)

2

in the downward position by A, and sin (φ/2)

by y, one can rewrite (1.30) as

dy

dt

2

=

1

4

1 −y

2

A −

4g

l

y

2

. (1.31)

Consider separately the locked and running trajectories for which the

bob performs oscillations and rotations around the downward position, re-

spectively. In the former case, dφ/dt vanishes at some y < 1, i.e., Al/4g < 1.

Introducing the new positive constant k

2

by A = 4gk

2

/l, one can rewrite

Eq. (1.31) in the following form,

dy

dt

2

=

g

l

1 −y

2

k

2

−y

2

. (1.32)

The solution of this equation has the form

[

9

]

y = k sn

g/l (t −t

0

) , k

(1.33)

where sn is the periodic Jacobi elliptic function. The two constants t

0

and

k are determined from the initial conditions.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

8 The Noisy Pendulum

For the running solutions Al/4g > 1, for which k < 1, the diﬀerential

equation (1.31) takes the following form,

dy

dt

2

=

gl

k

2

1 −y

2

1 −y

2

k

2

. (1.34)

The solution of this equation is

y = k sn

¸

g/l

t −t

0

k

, k

. (1.35)

Finally, for Al = 4g, the bob just reaches the upward position. In this

case, Eq. (1.31) takes the simple form,

dy

dt

2

=

g

l

1 −y

2

2

(1.36)

whose solution is

y = tanh

g/l (t −t

0

)

. (1.37)

To avoid elliptic integrals, one can use approximate methods to calculate

the period T. For small φ, sin φ ≈ φ, and the linearized Eq. (1.1) describes

the dynamics of a linear harmonic oscillator having solution φ = Asin (ω

0

t) ,

with ω

0

=

g/l. We use this solution as the ﬁrst approximation to the

nonlinear equation and substitute it into (1.1). To obtain a better solution,

and then repeat this process again and again. In the ﬁrst approximation,

one obtains

d

2

φ

dt

2

≈ −ω

2

0

¸

Asin (ω

0

t) −

[Asin (ω

0

t)]

3

3!

+

[Asin (ω

0

t)]

5

5!

+

. (1.38)

Each term in (1.38) contains harmonics that correspond to a power of

Asin (ω

0

t), i.e, the series is made up of terms that are the odd harmonics

of the characteristic frequency ω

0

of the linear oscillator. The second ap-

proximation has a solution of the form φ = Asin (ω

0

t) + Bsin (3ω

0

t) . A

complete description requires a full Fourier spectrum,

φ =

∞

¸

l=0

A

2l+1

sin [(2l + 1) ω

0

t] . (1.39)

Turning now to the calculation of the period T, one can use the following

approximate method

[

10

]

. Since the period depends on the amplitude φ

0

,

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Formulation of the Problem 9

one can write T = T

0

f (φ

0

) , where T

0

= 2π

**g/l. One may rewrite Eq. (1.1)
**

in the form,

d

2

φ

dt

2

+

g

l

ψ (φ) φ = 0, ψ (φ) =

sin φ

φ

(1.40)

and replace ψ (φ) by some ψ

φ

. According to (1.18) and (1.21), T = T

0

(1+

φ

2

0

/16 + ). Comparing the latter expression with the series expansion for

ψ

φ

**, one sees that φ =
**

√

3φ

0

/2. Finally, one obtains for the ﬁrst correction

T

1

to the period,

T

1

= T

0

sin

√

3φ

0

/2

√

3φ

0

/2

−1/2

. (1.41)

A comparison between the approximate result (1.41) and the exact for-

mula (1.20) shows that (1.41) is accurate to 1% for amplitudes up to 2.2

radian

[

10

]

.

The addition of damping to Eq. (1.1) makes it analytically unsolvable.

Assuming that the damping is proportional to the angular velocity, the

equation of motion takes the form (1.2). This equation does not have

an analytical solution, and we content ourselves with numerical solutions.

One proceeds as follows. Equation (1.2) can be rewritten as two ﬁrst-order

diﬀerential equations,

z =

dφ

dt

;

dz

dt

+γz +

g

l

sin φ = 0. (1.42)

The ﬁxed points of these equations, where z = dz/dt = 0, are located at

φ = 0 and φ = ±nπ. The (dφ/dt, φ) phase plane changes from that shown in

Fig. 1.2 for the undamped pendulum to that shown in Fig. 1.3

[

11

]

. Simple

linear stability analysis shows

[

12

]

that all trajectories will accumulate in

the ﬁxed points for even n, while for odd n, the ﬁxed point becomes a saddle

point, i.e., the trajectories are stable for one direction of perturbation but

unstable for the other direction.

The higher derivatives d

m

φ/dt

m

are increasingly sensitive probes of the

transient behavior and the transition from locked to running trajectories.

The higher derivatives of the solutions of Eqs. (1.42) are shown

[

13

]

in the

d

m

φ/dt

m

, d

m−1

φ/dt

m−1

**phase planes for m ≤ 5.
**

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

10 The Noisy Pendulum

Fig. 1.3 Phase plane of a damped pendulum described by Eq. (1.2).

1.2 Isomorphic models

In some of examples given below, for simplicity we compare the derived

equation with the overdamped pendulum Eq. (1.3), whereas their more

complicated description will be equivalent to the underdamped Eq. (1.2).

1.2.1 Brownian motion in a periodic potential

By replacing the angular variable φ in Eq. (1.1) by the coordinate x, we

obtain the equation describing one-dimensional motion of a Brownian par-

ticle in a periodic potential. The literature on this subject is quite extensive

(see, for example, an entire chapter in Risken’s monograph

[

14

]

).

1.2.2 Josephson junction

A Josephson junction consist of two weakly coupled superconductors, sep-

arated by a very thin insulating barrier. Since the size of the Cooper pair

in superconductors is quite large, the pair is able to jump across the bar-

rier producing a current, the so-called Josephson current. The basic equa-

tions governing the dynamics of the Josephson eﬀect connects the volt-

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Formulation of the Problem 11

age U (t) = (/2e) (∂φ/∂t) and the current I (t) = I

c

sinφ(t) across the

Josephson junction. This deﬁnes the “phase diﬀerence” φ of the two su-

perconductors across the junction. The critical current I

c

is an important

phenomenological parameter of the device that can be aﬀected by temper-

ature as well as by an applied magnetic ﬁeld. The application of Kirchoﬀ’s

law to this closed circuit yields,

I = I

c

sin φ(t) +

2eR

∂φ

∂t

(1.43)

where R is the resistivity of a circuit, and I and I

c

are the bias and critical

current, respectively. This equation is simply Eq. (1.3).

1.2.3 Fluxon motion in superconductors

The magnetic ﬁeld penetrates superconductors of type-II in the form of

quasi-particles called ﬂuxons. In many cases, ﬂuxons are moving in a peri-

odic potential which is created by the periodic structure of pinning centers

or by the plane layers of a superconductor. If one neglects the ﬂuxon mass,

the equation of ﬂuxon motion has the form (1.3)

[

15

]

.

1.2.4 Charge density waves (CDWs)

As a rule, at low temperatures the electron charge density is distributed

uniformly in solids. The well-known violation of this rule occurs in super-

conducting materials where the electrons are paired. Another example of

non-uniform distribution of electrons is the CDW, which behaves as a single

massive particle positioned at its center of mass. CDWs have a huge dielec-

tric constant, more than one million times larger than in ordinary materials.

One can clearly see the inhomogeneity of a charge by the scanning tunnel-

ing microscope. Such a system shows “self-organization” in the sense that

a small perturbation is able to induce a sudden motion of the entire charge

density wave. This perturbation can be induced by an external electric ﬁeld

whereby an increase in voltage beyond a certain threshold value causes the

entire wave to move, producing “non-Ohmic” current which vastly increases

with only a small increase in voltage.

The mathematical description of the CDW based on the “single-

particle” model assumes that the CDW behaves as a classical particle. The

experimentally observed nonlinear conductivity and the appearance of a

new periodicity form the basis for the periodically modulated lattice po-

tential acting on the CDW, so that the equation of motion of a center of

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

12 The Noisy Pendulum

mass x of a damped CDW has the following form,

d

2

x

dt

2

+γ

dx

dt

+ b sinx = 0. (1.44)

This equation coincides with Eq. (1.2) for a damped pendulum.

1.2.5 Laser gyroscope

A mechanical gyroscope with rotating wheels is widely used for orientation

in space. However, nowadays they are being replaced by the laser gyroscope

which works on a physical principle found by Sagnac about a hundred years

ago. Sagnac found that the diﬀerence in time for two beams travelling in

opposite directions around a closed path going through a rotating platform

is proportional to the speed of the platform. The beam which is travelling in

the direction of rotation of the platform travels for a longer distance than

the counterrotating beam, and hence has a lower frequency. The phase

diﬀerence φ between these two beams running in a ring-laser microscope,

which allows one to ﬁnd the velocity of a rotating platform, is satisﬁed by

Eq. (1.3), where a denotes the rotation rate and b is the backscattering

coeﬃcient.

1.2.6 Synchronization phenomena

In the 17th century, the Dutch physicist Huygens found that two pendulum

clocks attached to a wall, which introduces a weak coupling between them,

will run at the same rate. This phenomenon of synchronization is in gen-

eral present in dynamic systems with two competing frequencies. The two

frequencies may arise through the coupling of an oscillator to an external

periodic force. The equation which describes the inﬂuence of a small exter-

nal force on the intrinsic periodic oscillations of an oscillator

[

16

]

connects

the phase diﬀerence φ between oscillator frequency and that of an external

force expressed by the frequency diﬀerence a, and the periodic force b sinφ,

i.e., it has the form of Eq. (1.3)

[

17

]

.

1.2.7 Parametric resonance in anisotropic systems

The rotation of an anisotropic cluster in an external ﬁeld is described by

the following equation,

dL

dt

= MF−βω (1.45)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Formulation of the Problem 13

where L is the angular momentum, ω is the angular velocity of rotation,

M

i

= χ

i

F

i

is the magnetic (dielectric) moment induced in the external

ﬁeld F. Anisotropy means that χ

1

= χ

2

= χ

3

; ∆χ ≡ χ

1

− χ

2

, while the

moment of inertia is isotropic in the x −y plane, I

1

= I

2

≡ I. Connecting

the coordinate axis with the moving cluster, one can easily show

[

18

]

that

the equation of motion for the nutation angle θ coincides with Eq. (1.2) for

a damped pendulum,

d

2

θ

dt

2

+

β

I

dθ

dt

+

F

2

∆χ

2I

sin (2θ) = 0. (1.46)

For the alternating external ﬁeld, F = F

0

cos (ωt) , Eq. (1.46) takes the

form of the equation of motion of a pendulum with a vertically oscillating

suspension point.

1.2.8 The Frenkel-Kontorova model (FK)

In its simplest form, the FK model describes the motion of a chain of inter-

acting particles (“atoms”) subject to an external on-site periodic potential

[

19

]

. This process is modulated by the one-dimensional motion of quasi-

particles (kinks, breathers, etc.). The FK model was originally suggested

for a nonlinear chain to describe, in the simplest way, the structure and dy-

namics of a crystal lattice in the vicinity of a dislocation core. Afterwards,

it was also used to describe diﬀerent defects, monolayer ﬁlms, proton con-

ductivity of hydrogen-bonded chains, DNA dynamics and denaturation.

1.2.9 Solitons in optical lattices

Although solitons are generally described by the sine-Gordon equation, the

motion of the soliton beam in a medium with a harmonic proﬁle of refractive

index is described by the pendulum equation with the incident angle being

the control parameter

[

20

]

.

1.3 Noise

1.3.1 White noise and colored noise

In the following, we will consider noise ξ (t) with 'ξ (t)` = 0 and the corre-

lator

'ξ (t

1

) ξ (t

2

)` = r ([t

1

−t

2

[) ≡ r (z) . (1.47)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

14 The Noisy Pendulum

Two integrals of (1.47) characterize ﬂuctuations: the strength of the

noise D,

D =

1

2

∞

0

'ξ (t) ξ (t +z)` dz, (1.48)

and the correlation time τ,

τ =

1

D

∞

0

z 'ξ (t) ξ (t +z)` dz. (1.49)

Traditionally, one considers two diﬀerent forms of noise, white noise and

colored noise. For white noise, the function r ([t

1

−t

2

[) has the form of a

delta-function,

'ξ (t

1

) ξ (t

2

)` = 2Dδ (t −t

1

) , (1.50)

The name “white” noise derives from the fact that the Fourier transform

of (1.50) is “white”, that is, constant without any characteristic frequency.

Equation (1.50) implies that noise ξ (t

1

) and noise ξ (t

2

) are statistically

independent, no matter how near t

1

is to t

2

. This extreme assumption,

which leads to the non-physical inﬁnite value of

ξ

2

(t)

in (1.50), implies

that the correlation time τ is not zero, as was assumed in (1.50), but smaller

than all the other characteristic times in the problem.

All other non-white sources of noise are called colored noise. A widely

used form of noise is Ornstein-Uhlenbeck exponentially correlated noise,

which can be written in two forms,

'ξ (t) ξ (t

1

)` = σ

2

exp[−λ[t −t

1

[] , (1.51)

or

'ξ (t) ξ (t

1

)` =

D

τ

exp

¸

−

[t −t

1

[

τ

. (1.52)

White noise (1.50) is characterized by its strength D, whereas Ornstein-

Uhlenbeck noise is characterized by two parameters, λ and σ

2

, or τ and D.

The transition from Ornstein-Uhlenbeck noise to white noise (1.50) occurs

in the limit τ →0 in (1.52), or when σ

2

→∞ and λ →∞ in (1.51) in such

a way that σ

2

/λ = 2D.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Formulation of the Problem 15

A slightly generalized form of Ornstein-Uhlenbeck noise is the so-called

narrow-band colored noise with a correlator of the form,

'ξ (t) ξ (t

1

)` = σ

2

exp(−λ[t −t

1

[) cos (Ω[t −t

1

[) . (1.53)

There are diﬀerent forms of colored noise, one of which will be brieﬂy de-

scribed in the next section.

1.3.2 Dichotomous noise

A special type of colored noise with which we shall be concerned is symmet-

ric dichotomous noise (random telegraph signal) where the random variable

ξ (t) may equal ξ = ±σ with mean waiting time (λ/2)

−1

in each of these two

states. Like Ornstein-Uhlenbeck noise, dichotomous noise is characterized

by the correlators (1.51)-(1.52).

In what follows, we will use the Shapiro-Loginov procedure

[

21

]

for

splitting the higher-order correlations, which for exponentially correlated

noise yields

d

dt

'ξ g` =

ξ

dg

dt

−λ'ξ g` , (1.54)

where g is some function of noise, g = g¦ξ¦. If dg/dt = Bξ, then Eq. (1.54)

becomes

d

dt

'ξ g` = B

ξ

2

−λ'ξ g` , (1.55)

and for white noise (ξ

2

→∞ and λ →∞, with ξ

2

/λ = 2D), one obtains

'ξ g` = 2BD. (1.56)

1.3.3 Langevin and Fokker-Planck equations

Noise was introduced into diﬀerential equations by Einstein, Smoluchowski

and Langevin when they considered the molecular-kinetic theory of Brow-

nian motion. They assumed that the total force acting on the Brownian

particle can be decomposed into a systematic force (viscous friction pro-

portional to velocity, f = −γv) and a ﬂuctuation force ξ (t) exerted on the

Brownian particle by the molecules of the surrounding medium. The ﬂuc-

tuation force derives from the diﬀerent number of molecular collisions with

a Brownian particle of mass m from opposite sides resulting in its random

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

16 The Noisy Pendulum

motion. The motion of a Brownian particle is described by the so-called

Langevin equation

m

dv

dt

= −γv +ξ (t) . (1.57)

The stochastic Eq. (1.57) describes the motion of an individual Brow-

nian particle. The random force ξ (t) in this equation causes the solution

v (t) to be random as well. Equivalently, one can consider an ensemble of

Brownian particles and ask how many particles in this ensemble have ve-

locities in the interval (v, v +dv) at time t, which deﬁnes the probability

function P (v, t) dv. The deterministic equation for P (v, t) is called the

Fokker-Planck equation, which has the following form for white noise

[

22

]

,

∂P (v, t)

∂t

=

∂

∂v

(γvP) +D

∂

2

P

∂v

2

. (1.58)

In the general case, for a system whose the equation of motion dx/dt =

f (x) has a nonlinear function f (x), the Langevin equation has the following

form,

dx

dt

= f (x) +ξ (t) (1.59)

with the appropriate Fokker-Planck equation being

∂P (x, t)

∂t

= −

∂

∂v

[f (x) P] +D

∂

2

P

∂v

2

. (1.60)

Thus far, we have considered additive noise which describes an internal,

say, thermal noise. However, there are also ﬂuctuations of the surrounding

medium (external ﬂuctuations) which enter the equations as multiplicative

noise,

dx

dt

= f (x) +g (x) ξ (t) . (1.61)

The appropriate Fokker-Planck equation then has the form

[

22

]

∂P (x, t)

∂t

= −

∂

∂x

[f (x) P] +D

∂

∂x

g (x)

∂

∂x

g (x) P. (1.62)

We set aside the Ito-Stratonovich dilemma

[

22

]

connected with

Eq. (1.62).

The preceding discussion was related to ﬁrst-order stochastic diﬀerential

equations. Higher-order diﬀerential equations can always be written as a

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Formulation of the Problem 17

system of ﬁrst-order equations, and the appropriate Fokker-Planck equation

will have the following form

∂P (x, t)

∂t

= −

¸

i

∂

∂x

i

[f

i

(x) P] +

1

2

¸

i,j

∂

2

∂x

i

∂x

j

[g

ij

(x) P] (1.63)

for any functions f

i

(x) and g

ij

(x) . The linearized version of (1.63) is

∂P (x, t)

∂t

= −

¸

i,j

f

ij

∂

∂x

i

(x

j

P) +

1

2

¸

i,j

g

ij

∂

2

P

∂x

i

∂x

j

(1.64)

where f

ij

and g

ij

are now constant matrices.

For the case of colored (not-white) noise, there is no rigorous way to ﬁnd

the Fokker-Planck equation that corresponds to the Langevin Eqs. (1.59),

(1.61), and one has to use diﬀerent approximations

[

14

]

.

One can illustrate

[

23

]

, the importance of noise in deterministic diﬀeren-

tial equations by the simple example of the Mathieu equation supplemented

by white noise ξ (t)

d

2

φ

dt

2

+ (α −2β cos 2t) φ = ξ (t) . (1.65)

Solutions of Eq. (1.65) in the absence of noise are very sensitive to

the parameters α and β, which determine regimes in which the solutions

can be periodic, damped or divergent. In order to write the Fokker-Planck

equation corresponding to the Langevin equation (1.65), we decompose this

second-order diﬀerential equation into the two ﬁrst-order equations

dφ

dt

= Ω;

dΩ

dt

= −(α −2β cos 2t) φ +ξ (t) . (1.66)

The Fokker-Planck equation (1.63) for the distribution function P (φ, Ω, t)

then takes the form

∂P

∂t

= D

∂

2

P

∂Ω

2

−Ω

∂P

∂φ

+ (α −2β cos 2t) φ

∂P

∂Ω

(1.67)

with initial conditions P (φ, Ω, 0) = δ (φ −φ

0

) δ (Ω −Ω

0

) . Equation (1.67)

can be easily solved by Fourier analysis to obtain the following equation for

the variance σ

2

≡

φ

2

−'φ`

2

,

d

3

σ

2

dt

3

+ 4 (α −2β cos 2t)

d

σ

2

dt

+ (8β sin 2t) σ

2

= 8D. (1.68)

The solutions of Eq. (1.68) have the same qualitative properties as those

of Eq. (1.65). However, for suﬃciently large values of β, the variance

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

18 The Noisy Pendulum

does not exhibit the expected diﬀusional linear dependence but increases

exponentially with time.

For this simple case of a linear diﬀerential equation, one can obtain an

exact solution. However, the equation of motion of the pendulum is non-

linear which prevents an exact solution. We will see from the approximate

calculations and numerical solutions that the existence of noise modiﬁes

the equilibrium and dynamical properties of the pendulum in fundamental

way.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Chapter 2

Overdamped Pendulum

2.1 Deterministic motion

The overdamped equation of motion (1.3),

dφ

dt

= a −b sinφ; b ≡

g

l

(2.1)

corresponds to motion in the washboard potential U (φ) = −aφ − b cos φ

shown in Fig. 2.1.

Fig. 2.1 Washboard potential U (φ) = a

0

φ − b

0

cos φ.

19

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

20 The Noisy Pendulum

The two torques in Eq. (2.1) have opposite tendencies: the constant

torque strives to increase φ (running solutions) while the second torque

tends to keep φ at its minima (locked solutions). The solution of Eq. (2.1)

depends on the comparative importance of these two factors. Equation (2.1)

can be solved exactly for the simplest periodic function a(t) of the square-

wave pulses (periodic telegraph signal). For a > b, the solution of this

equation has the following form

[

24

]

,

t −t

0

=

2

√

a

2

−b

2

¸

tan

−1

a tan(φ/2) −b

√

a

2

−b

2

±m

π

2

, (2.2)

whereas for a < b, the solution is

t −t

0

=

1

√

b

2

−a

2

ln

a tan(φ/2) −b cot (φ

c

/2)

a tan(φ/2) −b tan (φ

c

/2)

(2.3)

where m is an integer, and φ

c

= sin

−1

(a/b) .

As one can see from these equations, the solutions for a ≷ b are quite

diﬀerent. For a < b, in the limit t →∞, the solution of Eq. (2.1) asymptot-

ically approaches the stable ﬁxed point φ(t) →φ

s

for all initial conditions.

There is another solution of Eq. (2.1) which has the form φ

u

= ±1/2 −φ

c

,

which is unstable. Since no solutions can cross the branch point, the motion

is bounded. On the other hand, there is no restriction on the motion of the

pendulum for a > b. This diﬀerence can also be seen from the expression

for the average time derivative of φ,

dφ

dt

=

0, for a < b

√

a

2

−b

2

, for a > b

(2.4)

which implies that for a < b, the pendulum performs oscillations near the

downward position with zero average angular velocity, whereas for a > b,

the pendulum executes full rotations in a clockwise or counterclockwise

direction.

2.2 Inﬂuence of noise

In the previous section, we considered the deterministic Eq. (2.1) describ-

ing the dynamics of a single pendulum. However, all physical parame-

ters are subject to random perturbations which, roughly speaking, may

have internal or external origin. The former (additive noise) will inﬂuence

the parameter a in Eq. (2.1), whereas the latter (multiplicative noise) are

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 21

responsible for ﬂuctuations in b,

a = a

0

+ξ (t) ; b = b

0

+η (t) (2.5)

so that Eq. (2.1) takes the following form

dφ

dt

= [a

0

+ξ (t)] −[b

0

+η (t)] sin φ. (2.6)

For example, for ﬂuxon motion, additive noise ξ (t) comes from the thermal

ﬂuctuations, whereas multiplicative noise η (t) originates from the thermal

activation of distinctive pinning centers.

The important role of noise can be illustrated as follows. The washboard

potential U (φ) = −aφ − b cos φ, consists of wells and barriers as shown in

Fig. 2.1. For small a, the motion of the particle is essentially conﬁned

to one potential well, which is equivalent to pendulum motion back and

forth around the downward position. However, for large a, the particle can

overcome the barrier following the driving force a (the rotation motion of a

pendulum). There is a clear threshold (a ≷ b) between these “locked” and

“running” states. In the presence of noise, this threshold is blurred since,

even for small a, the particle is able to overcome the potential barrier to

follow the driving force a. In this section we will show many other eﬀects

due to diﬀerent types of noise.

2.2.1 Additive white noise

Two quantities characterize the dynamics: the average velocity

dφ

dt

≡ lim

t→∞

φ(t)

t

(2.7)

and the eﬀective diﬀusion coeﬃcient

D

eff

≡ lim

t→∞

1

2t

[φ(t) −'φ(t)`]

2

. (2.8)

One can ﬁnd the exact analytic solution for both 'dφ/dt` and D for the

more general equation of the form

dφ

dt

= a −

dU

dφ

+ξ (t) (2.9)

where U (x) is a periodic function with period L,

U (φ +L) = U (φ) (2.10)

and ξ (t) is white noise.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

22 The Noisy Pendulum

The general expression for the average velocity was obtained a long time

ago

[

25

]

dφ

dt

=

1 −exp(aL/T)

φ

0

+L

φ

0

I

±

(x) (dx/L)

(2.11)

with

I

+

(x) = D

−1

0

exp[(U(x) −ax]

x

x−L

dy exp ¦−[(U(y) −ay]¦ (2.12)

and

I

−

(x) = D

−1

0

exp ¦−[(U(x) −ax]¦

x+L

x

dy exp ¦[(U(y) −ay]¦ (2.13)

where D

0

is the diﬀusion coeﬃcient for Eq. (2.9) without the periodic term,

and I

±

(x) means that the index may be chosen to be either plus or minus.

The general formula for the diﬀusion coeﬃcient (2.8), corresponding

to Eq. (2.9), was obtained recently

[

26

]

by using the moments of the ﬁrst

passage time,

D = D

0

φ

0

+L

φ

0

I

±

(y) I

+

(y) I

−

(y) (dy/L)

φ

0

+L

φ

0

I

±

(y) (dy/L)

3

. (2.14)

As explained in

[

26

]

, the ratio of the two integrals in (2.14) can be very large,

so that the presence of the periodic potential in Eq. (2.9) can result in an

increase of the diﬀusion coeﬃcient, D

0

→D, by 14 orders of magnitude!

This eﬀect is not only very large but also has the opposite sign compared

with the analogous eﬀect for equilibrium processes. In the latter case, the

diﬀusion coeﬃcient decreases upon the addition of a periodic potential to

the Brownian particle due to localization of the particle in the periodic

potential

[

27

]

.

Let us return to the sinusoidal form of the torque. The inﬂuence of

thermal (additive) noise on the pendulum is described by the following

equation,

dφ

dt

= a

0

−b

0

sin φ +ξ (t) . (2.15)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 23

The exact solution of this equation for white noise of strength D is well

known

[

25

]

,

'φ` =

sinh(πa

0

/D)

π/D

I

πa

0

/D

b

0

D

−2

(2.16)

where I

πa

0

/D

is the modiﬁed Bessel function of ﬁrst-order with imaginary

argument and imaginary index

[

28

]

. In the limit a

0

, D << 1, Eq. (2.16)

reduces to

dφ

dt

= 2 sinh

πa

0

D

exp

−

2b

0

D

. (2.17)

Each of the two factors in Eq. (2.17) has a clear physical meaning

[

29

]

.

The Arrenius exponential rate, exp [−(2b

0

/D)] , increases with D, which

makes it easier for the system to overcome a potential barrier, while the

pre-exponential factor, the diﬀerence between approach to the left well and

to the right well, decreases as D increases, which makes the system more

homogeneous.

Apart from the sinusoidal form of periodic function U (φ) in Eqs. (2.11)

and (2.14), an analysis was performed

[

30

]

, for the sawtooth potential. As

was the case for the periodic potential, the diﬀusion coeﬃcient D increases

as a function of the tilting force a. Hence, there are two sources for an

increase in diﬀusion, the eﬀect of the tilting force a (“passive channel” in

terminology of

[

30

]

) and a huge enhancement coming from the periodic

force (“active channel”). An additional quantity that was studied

[

30

]

is

the factor of randomness Q = 2D/ (L'dφ/dt`) , which deﬁnes the relation

between the diﬀusive and directed components in the Brownian motion.

2.2.2 Additive and multiplicative white noise

The Stratonovich interpretation of the Fokker-Planck equation for the

probability distribution function P (φ, t) , corresponding to the Langevin

Eq. (2.6) with white noises ξ (t) and η (t) of strength D

1

and D

2

, respec-

tively, has the following form

[

31

]

,

∂P

∂t

=−

∂

∂φ

[a

0

−(b

0

+D

2

cos φ) sin φ] P +

∂

2

∂φ

2

D

1

+D

2

sin

2

φ

P ≡−

∂J

∂φ

(2.18)

where J is the ﬂux proportional to 'dφ/dt`, namely, 'dφ/dt` = 2πJ.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

24 The Noisy Pendulum

For the stationary case, ∂P/∂t = 0, one ﬁnds the following diﬀerential

equation for the stationary distribution function

[

32

]

dP

st

dx

+ Γ(φ) P

st

= JΩ

2

(φ) , (2.19)

where

Γ(φ) =

a

0

−b

0

sin φ −D

2

sinφcos φ

D

1

+D

2

sin

2

φ

; Ω(φ) =

D

1

+D

2

sin

2

φ

−

1

2

(2.20)

The solution of the ﬁrst-order diﬀerential equation (2.19) contains one

constant which, together with the second constant J, are determined from

the normalization condition,

π

−π

P (φ) dφ = 1, and the periodicity con-

dition, P (−π) = P (π) . The exact expression for P

st

can be accurately

represented by its approximate form obtained by the method of steepest

descent

[

33

]

,

P

st

· C

¸

1 +

D

2

D

1

sin

2

φ

1/2

+ (a

0

+b

0

sin φ) /D

1

¸

−1

(2.21)

where C is the normalization constant. As can be seen from Eq. (2.21),

for D

2

< D

1

, the term a

0

+b

0

sin φ makes the main contribution to P

st

. In

this case, for [a

0

[ = [b

0

[ , P

st

contains a single maximum. For D

2

> D

1

, the

main contribution to P

st

is the term

1 + (D

2

/D

1

) sin

2

φ

1/2

, i.e. P

st

has

maxima at the points nπ for integer n. Additive and multiplicative noise

have opposite inﬂuence on P

st

[

33

]

. An increase of multiplicative noise leads

to the increase and narrowing of the peaks of P

st

, whereas the increase of

additive noise leads to their decrease and broadening.

Calculations yields [34]

dφ

dt

=

2π

1 −exp

−2πa

0

/

D

1

(D

1

+D

2

)

¸

2π

0

Ω(x) F (x, 0)

x+2π

x

Ω(y) F (0, y) dy

dx

(2.22)

where

F (k, l) = exp

¸

−

l

k

T (z) dz

¸

; T (z) =

a

0

−b

0

sinz

D

1

+D

2

sin

2

z

. (2.23)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 25

d

dt

M

a

0

Fig. 2.2 Average angular velocity as a function of bias for b

0

= 1. Solid and dotted lines

describe single multiplicative noise and single additive noise, respectively. The upper and

lower curves correspond to noise of strength 2 and 0.1, respectively.

We have performed

[

34

]

numerical calculations of 'dφ/dt` in order to

compare the importance of additive and multiplicative noise. The average

angular velocity 'dφ/dt` and a

0

correspond to the voltage and the bias

current for a Josephson junction. Therefore, the graph 'dφ/dt` versus a

0

gives the voltage-current characteristic of a junction. In Fig. 2.2, we present

'dφ/dt` as a function of a

0

for b

0

= 1, in the presence of one of the two

noises given by D = 0.1 and D = 2.0. From this ﬁgure one can see that for

a small value of noise (D = 0.1) , additive noise leads to higher ﬂux than

for multiplicative noise, whereas for a larger value of noise (D = 2), the

opposite result occurs. The transition takes place for an intermediate value

of noise. As shown in Fig. 2.3, for noise of strength D = 1 (of order b

0

),

additive noise produces a larger average angular velocity for small a

0

and

smaller ﬂux for larger a

0

.

For the following analysis, it is convenient to consider separately the

two limiting cases of weak (D

1

→0) and strong (D

1

→∞) additive noise,

combining analytic and numerical calculations. Let us start with the case

of weak noise, D

1

→ 0 and D

2

→ 0, where both D

2

> D

1

and D

2

< D

1

are possible. One can use the method of steepest descent to calculate the

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

26 The Noisy Pendulum

d

dt

M

a

0

Fig. 2.3 Same as for Fig. 2.2 in the presence of a single source of noise of strength 1.

integrals in Eq. (2.22),

dφ

dt

=

¸

1 −exp

−2πa

0

D

1

(D

1

+D

2

)

¸

T (z

max

)

.

T (z

min

)

Ω(z

max

) Ω(z

min

)

exp

¸

z

min

z

max

T (z) dz

(2.24)

where z

min

and z

max

are two neighboring zeros of T (z) with T (z

max

) > 0,

T (z

min

) < 0.

It is easily found from Eq. (2.23) that sin (z

max,min

) = a

0

/b

0

, cos z

max

=

ω/b

0

, cos z

min

= −ω/b

0

, and, for b

0

> a

0

, Eq. (2.24) reduces to

dφ

dt

=

b

2

0

−a

2

0

¸

1 −exp

−

2πa

0

D

1

(D

1

+ D

2

)

¸

exp

z

min

z

max

T (z) dz.

(2.25)

One can evaluate the integral in (2.25). However, instead of writing this

cumbersome expression, we present the results for the two limiting cases of

large and small multiplicative noise compared with additive noise, D

2

≶ D

1

.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 27

For D

2

< D

1

, i.e., for weak additive and no multiplicative noise, one

obtains the well-known result

[

35

]

,

dφ

dt

D

2

<D

1

=

b

2

0

−a

2

0

exp

πa

0

D

1

exp

¸

−

2

b

2

0

−a

2

0

D

1

−

2a

0

D

1

sin

−1

a

0

b

0

¸

(2.26)

whereas for weak noise with D

2

> D

1

,

dφ

dt

D

2

>D

1

=

b

2

0

−a

2

0

exp

−πa

0

√

D

1

D

2

b

0

−

b

2

0

−a

2

0

b

0

+

b

2

0

−a

2

0

b

0

D

2

. (2.27)

Comparing Eqs. (2.26) and (2.27) shows that adding multiplicative noise

leads to an increase in the average angular velocity in a system subject only

to weak additive noise. These analytic results are supported by a numerical

analysis of Eq. (2.22), given in Fig. 2.4 for small D

1

= 0.1 and for diﬀerent

values of D

2

, which shows the strong inﬂuence of multiplicative noise on

the ﬂux for a small driving force.

d

dt

M

a

0

Fig. 2.4 Average angular velocity as a function of bias for b

0

= 1 and D

1

= 0.1 for

diﬀerent values of D

2

.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

28 The Noisy Pendulum

Turning now to the opposite limiting case of strong additive noise,

D

1

→∞, one can substantially simplify Eq. (2.22) to the following form,

.

dφ

dt

¸

D

1

→∞

=

a

0

π

2

D

1

1 +

D

2

D

1

−1/2

¸

π

0

Ω(z) dz

−2

. (2.28)

Figure 2.5 shows the dimensionless average angular velocity

(1/a

0

) 'dφ/dt`

D

1

→∞

as a function of D

2

/D

1

for large additive noise D

1

.

The curve starts from (1/a

0

) 'dφ/dt`

D

1

→∞

= 1 for D

2

= 0 (large addi-

tive noise suppresses the sin term in Eq. (2.6), yielding Ohm’s law for the

Josephson junction

[

35

]

), and increases markedly as the strength of multi-

plicative noise increases.

D

2

/D

1

0

d

dt

a

M

Fig. 2.5 Dimensionless average angular velocity dφ/dt as a function of the ratio of

noise strength D

2

/D

1

.

Figure 2.6 shows the results of the numerical analysis of Eq. (2.22) for

comparable values of all parameters (b

0

, D

1

and D

2

), which again demon-

strates an increase of the ﬂux due to multiplicative noise.

One concludes that in the presence of one source of noise, the average

angular velocity 'dφ/dt` is larger for additive noise if the strength of the

noise is small, whereas for strong noise, multiplicative noise is more eﬀective

(Figs. 2.4 and 2.6). The transition regime between these two cases occurs

for noise strength of order b

0

(the critical current for a Josephson junc-

tion), where additive noise is more eﬀective for small driving forces and less

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 29

a

0

d

dt

M

Fig. 2.6 Dimensionless average angular velocity dφ/dt as a function of bias for b

0

=

1, D

1

= 1 for diﬀerent values of D

2

.

eﬀective than multiplicative noise for large driving forces (Fig. 2.2). In fact,

for small noise strength (say, D = 0.1) and small a

0

, multiplicative noise

produces ﬂux larger by many orders of magnitude than the ﬂux caused

by additive noise. It is not surprising that multiplicative noise becomes

important when D is of the order of the potential barrier height b

0

.

If both sources of noise are present, then the ﬂux is essentially increased

in the presence of strong multiplicative noise for weak (Fig. 2.4), strong

(Fig. 2.5) and intermediate (Fig. 2.6) strength of additive noise, especially

for small bias force a

0

. The latter result has a simple intuitive explanation.

Indeed, the horizontal periodic potential (a

0

= 0) with strong ﬂuctuations

in the width of this potential has no preferred direction and, therefore, the

average angular velocity vanishes, 'dφ/dt` = 0. It is suﬃcient to have a

small slope of a periodic potential, a

0

= 0, for 'dφ/dt` = 0 to occur.

The importance of multiplicative noise for stationary states has long

been known

[

36

]

. The inﬂuence of both additive and multiplicative noise

on the escape time from a double-well potential was studied in

[

37

]

and

[

38

]

. The analysis of the stationary probability distribution function for a

periodic potential and dichotomous multiplicative noise was given by Park

et al.

[

39

]

. We have studied

[

32

]

the inﬂuence of both additive and multi-

plicative noise on the voltage-current characteristics of Josephson junctions.

A similar eﬀect for the output-input relation for motion in a double-well

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

30 The Noisy Pendulum

potential has been studied intensively by two groups of researchers, who

called this eﬀect “noise-induced hypersensitivity”

[

40

]

and “ampliﬁcation

of weak signals via on-oﬀ intermittency”

[

41

]

.

2.2.3 Additive dichotomous noise

For the pendulum subject to a pure periodic torque (a = 0 in Eq. (2.15)),

one obtains

dφ

dt

+b

0

sin φ = ξ (t) (2.29)

where ξ (t) is asymmetric dichotomous noise described in Sec. 1.3.2 (ξ = A

or ξ = −B, with transition probabilities λ

1

and λ

2

). The asymmetry can

be described by the parameter ε

[

42

]

, so that

A =

D

τ

1 +ε

1 −ε

; B =

D

τ

1 −ε

1 +ε

; γ

1,2

=

1 ±ε

2

. (2.30)

Equations (2.30) satisfy the condition γ

1

B = γ

2

A. Therefore, the require-

ment < ξ (t) >= 0 is obeyed.

In the presence of dichotomous noise, it is convenient to deﬁne two

probability densities, P

+

(φ, t) and P

−

(φ, t) , which correspond to the evo-

lution of φ(t) subject to noise of strength A and −B, respectively. The

set of Fokker-Planck equations satisﬁed by these two functions is a slight

generalization of that considered in Sec. 1.3.3,

∂P

+

∂t

= −

∂

∂φ

[(b

0

sin φ +A) P

+

] −γ

1

P

+

+γ

2

P

−

, (2.31)

∂P

−

∂t

= −

∂

∂φ

[(b

0

sin φ −B) P

−

] −γ

2

P

−

+γ

1

P

+

. (2.32)

Introducing the probability function P = P

+

+ P

−

, which satisﬁes the

normalization and periodicity conditions, one obtains the cumbersome ex-

pression for the average angular velocity

[

42

]

which, to ﬁrst order in the

parameter

τ/D, takes the following form

dφ

dt

=

ε

√

1 −ε

2

τ/D

I

2

0

(b

0

/D)

(2.33)

where I

0

is a modiﬁed Bessel function.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 31

Another limiting case

[

32

]

where the solution has a simple form is for

slow jumps, γ

1,2

→0 (“adiabatic approximation”),

dφ

dt

≈

0, for a

0

−B<b, a

0

+A<b

1

γ

1

+γ

2

γ

1

(a

0

+A)

2

−b

2

+γ

2

(a

0

−B)

2

−b

2

, for a

0

−B>b, a

0

+A>b

γ

2

γ

1

+γ

2

(a

0

+A)

2

−b

2

, for a

0

−B<b, a

0

+A>b.

(2.34)

These equations imply that in the adiabatic approximation, the total mo-

bility is the average of the mobilities for the two corresponding potentials

[

43

]

.

d

dt

ϕ

a

0

γ γγ γ

γ γγ γ

γ γγ γ

γ γγ γ

γ γγ γ

Fig. 2.7 Dimensionless average angular velocity dφ/dt as a function of bias with ad-

ditive dichotomous noise for diﬀerent values of noise rate γ = γ

1

+ γ

2

. Parameters are

b

0

= 1 and A = B = 0.9.

The typical average ﬂux-bias force curves for a system subject to ad-

ditive dichotomous noise are shown by the dotted line in Fig. 2.7, and —

for diﬀerent values of the parameters — in Figs. 2.8 and 2.9. As expected,

the presence of noise smears out the sharp threshold behavior deﬁned in

(2.4), with the smearing depending on both the noise amplitude and rate.

In Fig. 2.9, we show the average ﬂux 'dφ/dt` as a function of noise rate

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

32 The Noisy Pendulum

a

0

d

dt

M

Fig. 2.8 Same as for Fig. 2.7, but for diﬀerent values of noise amplitude A. Parameters

are b

0

= 1 and γ = 0.1.

γ = γ

1

+ γ

2

. This non-monotonic behavior is a special manifestation of

stochastic resonance which was found for a bistable potential by Doering

and Gadoua

[

44

]

. Note that in our case, this phenomenon occurs in a very

narrow region of values of the bias force a.

Several conclusions can be drawn from the graphs:

1) The average ﬂux 'dφ/dt` does not vanish even for zero bias force. This

phenomenon is a special case of the more general “ratchet eﬀect” for which

the net transport is induced by nonequilibrium ﬂuctuations when some

asymmetry is present. These general conditions are satisﬁed in our case

of asymmetric dichotomous noise. One can easily verify that the ratchet

eﬀect disappears in the limiting case of symmetric noise when a = 0, which

leads to the vanishing of 'dφ/dt`. The latter case occurs both for white

noise and for symmetric dichotomous noise, since the function Γ(φ) deﬁned

in (2.20) is an odd function for a = 0, which implies that 'dφ/dt` = 0.

The ratchet eﬀect might have practical applications for superconducting

electronics, as well as in other ﬁelds of physics, chemistry and biology (some

recent references can be found in

[

45

]

).

2) A stochastic resonance phenomenon (non-monotonic behavior of the

average ﬂux as a function of noise rate) has been found in a narrow regime

of the bias force, as shown in Fig. 2.9.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 33

d

dt

M

γ

Fig. 2.9 Dimensionless average angular velocity dφ/dt as a function of noise rate γ.

Parameters are b

0

= 1 and A = B = 0.9.

2.2.4 Multiplicative dichotomous noise

Analogous to (2.34), the average angular velocity takes a simple form in

the limiting case of slow jumps, γ

1

, γ

2

→0

[

32

]

,

dφ

dt

∼

γ

2

√

a

2

0

−(b

0

+A)

2

γ

1

+γ

2

+

γ

1

√

a

2

0

−(b

0

−B)

2

γ

1

+γ

2

, for a

0

>b

0

+A, a

0

>b

0

−B

γ

1

√

a

2

0

−(b

0

−B)

2

γ

1

+γ

2

, for a

0

<b

0

+A, a

0

>b

0

−B

0, for a

0

<b

0

+A, a

0

<b

0

−B.

(2.35)

Typical graphs of ﬂux-bias characteristics for multiplicative dichoto-

mous noise are shown in Figs. 2.10, 2.11 and 2.12. The ﬁrst two graphs

show 'dφ/dt` as a function of a

0

, which is characteristic of multiplicative

dichotomous noise for diﬀerent amplitudes and diﬀerent noise rates, respec-

tively. The non-monotonic behavior of 'dφ/dt` as a function of noise rate γ

is shown in Fig. 2.12. Just as for additive noise, stochastic resonance occurs

in a narrow regime of the bias a

0

.

The non-trivial type of ratchets which exists in this case show up at

the onset of the average angular velocity in the absence of a bias force as

a result of the nonequilibrium noise

[

46

]

. In the absence of additive noise

with symmetric multiplicative noise, f

2

(t) = ±b, our basic equation has

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

34 The Noisy Pendulum

d

dt

M

a

0

Fig. 2.10 Dimensionless average angular velocity dφ/dt as a function of bias with

multiplicative dichotomous noise for diﬀerent noise amplitudes.

the following form,

dφ

dt

= a

0

−f

2

(t) sin φ. (2.36)

If a

0

< [b[ , Eq. (2.36) gives 'dφ/dt` = 0 for both f

2

(t) = ±b. However,

if one allows switching between two dynamics laws, the resulting motion

will have a net average angular velocity. This can be seen from Fig. 2.13,

where the two washboard potentials V

±

= aφ ± b cos φ are shown. If, as

usually assumed, the rate of reaching the minimal energy in each well is

much larger than γ (adiabatic approximation), 'dφ/dt` is non-zero for the

following reason: a particle locked in the potential minimum 1, switches to

point 2, then rapidly slides down to point 3, switches to 4, slides to 5, etc.

2.2.5 Joint action of multiplicative noise and additive noise

In addition to the analysis of two sources of white noise performed in

Sec. 2.2.2, there is a special case in which one or both sources of noise

are dichotomous. We consider in more detail this special case in which the

multiplicative noise η (t) in Eq. (2.6) is dichotomous and the noise ξ (t) is

additive

[

47

]

,

[

39

]

,

'η (t) η (t +τ)` = ∆

2

exp (−2λ[τ[) ; 'ξ (t) ξ (t +τ)` = 2σ

2

δ (τ) . (2.37)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 35

a

0

d

dt

M

J

J

J

J

J

Fig. 2.11 Same as for Fig. 2.10, but for diﬀerent values of noise rates γ. Parameters are

b

0

= 1 and A = B = 0.9.

In the presence of dichotomous noise, it is convenient to deﬁne two prob-

ability densities, P

+

(φ, t) and P

−

(φ, t) which correspond to the evolution

of φ(t) subject to noise of strength ∆ and −∆, respectively. As it was

already used in (2.31)–(2.32), the set of Fokker-Planck equations satisﬁed

by these two functions has the following form,

∂P

+

∂t

= −

∂

∂φ

[a

0

−(b

0

+ ∆) sin φ] P

+

−σ

2

∂P

+

∂φ

−λ(P

+

−P

−

) ,

∂P

−

∂t

= −

∂

∂φ

[a

0

−(b

0

−∆) sin φ] P

−

−σ

2

∂P

−

∂φ

+λ(P

+

−P

−

) .

(2.38)

Equations (2.38) can be replaced by the set of equations for P = P

+

+P

−

and Q = P

+

−P

−

,

∂P

∂t

=

∂

∂φ

[−a

0

+b

0

sin φ] P −∆Qsin φ −σ

2

∂P

∂φ

≡ −

∂J

∂φ

,

∂Q

∂t

=

∂

∂φ

[−a

0

+b

0

sin φ] Q−∆P sin φ −σ

2

∂Q

∂φ

−2λQ.

(2.39)

In the limit of ∆, λ →∞ with ∆

2

/2λ ﬁxed and ∆

2

/2λ ≡ D, we recover

the results considered previously for two sources of white noise. For a

0

= 0,

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

36 The Noisy Pendulum

d

dt

M

J

Fig. 2.12 Dimensionless average angular velocity dφ/dt as a function of noise rate γ

for multiplicative dichotomous noise. Parameters are b

0

= 1 and A = B = 0.9.

the stationary probability density P

st

(φ) has the following form

P

st

(φ) = C

1

1 +κ

2

sin φ

¸√

1 +κ +

√

κcos φ

√

1 +κ −

√

κcos φ

b

0

/2Dσ

√

1+κ

(2.40)

where κ = D

2

/σ

2

and C is the normalization factor. When the strength of

the multiplicative noise is small, D < D

cr

, P

st

(φ) has a simple maximum

at φ = 0. For D > D

cr

, P

st

(φ) has double maxima at φ = 0, π and a

minimum at φ = cos

−1

(−b

0

/D) . The qualitative behavior of P

st

(φ) does

not depend on the strength σ

2

of the additive noise.

For both multiplicative dichotomous noise and additive white noise, one

has to solve Eqs. (2.38) numerically. Such calculations have been performed

[

39

]

for σ = 0.1. For given b

0

and ∆, P

st

(φ) undergoes a phase transition

from the double-peak state to the single-peak state upon increasing the

correlation time λ. The physical explanation of such behavior is as follows:

for fast processes, the system is under the inﬂuence of average noise and,

therefore, it tends to be attracted to the ﬁxed point φ = 0 (single-peak

state). For slow processes and strong noise strength, the system spend

most of its time at the two ﬁxed points φ = 0 and φ = π (double-peak

state).

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 37

Fig. 2.13 Washboard potential U (φ) = aφ − b cos φ, with a = 1 and b = 7. A particle

cannot move along each of the potentials by itself, but if one allows a switching between

potentials, the particle moves downhill along the trajectory 1 : 2 : 3 : 4 : 5.

A more detailed analysis has been performed

[

32

]

. We bring only the

main results:

1. Two sources of dichotomous noise are able to produce a ﬂux for small

bias, whereas each by itself is unable to produce non-zero ﬂux in this region

of bias. This eﬀect occurs also for two sources of white noise.

2. The simultaneous action of two sources of noise can be larger than

each source by itself in some region of the average ﬂux-bias plane, but

smaller in other regions.

3. The “ratchet eﬀect” occurs for asymmetric additive noise in the

presence of multiplicative noise. The latter eases the requirements for the

onset of the ratchet.

2.2.6 Correlated additive noise and multiplicative noise

Thus far, we have considered additive noise and multiplicative noise as

being independent. Correlations between diﬀerent sources of noise may

occur when they both have the same origin, as in laser dynamics

[

48

]

, or

when strong external noise leads to an appreciable change in the internal

structure of the system and hence its internal noise. For the simplest case

of the two sources of white noise, ξ (t) and η (t) in Eq. (2.6) with the same

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

38 The Noisy Pendulum

type of correlations, one obtains

'ξ (t

1

) ξ (t

2

)` = 2D

1

δ (t

1

−t

2

) ; 'η (t

1

) η (t

2

)` = 2D

2

δ (t

1

−t

2

) ;

'ξ (t

1

) η (t

2

)` = 2λ

√

D

1

D

2

δ (t

1

−t

2

)

(2.41)

where the coeﬃcient λ(0 ≤ λ ≤ 1) indicates the strength of the correlation.

A simple calculation

[

49

]

yields the solution of the problem with correlated

multiplicative noise and additive noise in term of the results (2.18)-(2.23) for

a system with non-correlated noise (see also

[

50

]

). Finally, for the steady-

state average angular velocity, one obtains

dφ

dt

=

2π

0

dφ

1

φ

1

+2π

φ

1

exp[Ψ(φ

2

)] dφ

2

B(φ

1

) exp[Ψ(φ

1

)] −B(φ

1

+ 2π) exp [Ψ(φ

1

+ 2π)]

−1

,

(2.42)

where

Ψ(z) = −

z

0

dx A(x) /B(x) ;

B(x) = D

2

sin

2

x −2λ

D

1

D

2

sin x +D

1

; (2.43)

A(x) = a

0

−b

0

sin x −λ

D

1

D

2

cos x +D

2

sin xcos x.

Extensive numerical calculations have been carried out

[

50

]

for non-

correlated noise (λ = 0) which lead to the conclusions described in

Sec. 2.2.5, and for −1 ≤ λ < 0 and 0 < λ ≤ 1, which lead to new

phenomena:

1. Reversal of 'dφ/dt`. For non-zero values of λ, the direction of

'dφ/dt` reverses when the ratio D

1

/D

2

decreases.

2. Existence of extremum. As D

1

/D

2

increases, 'dφ/dt` possesses a

minimum changing from negative to positive values for λ > 0, and a maxi-

mum changing from positive to negative values for λ < 0. Both maximum

and minimum exist for completely correlated noise, λ = 1.

3. Symmetric dependence of 'dφ/dt` as a function of D

1

/D

2

.

Calculations of 'dφ/dt` have also been performed

[

51

]

for the case where

the multiplicative white noise η (t) in (2.41) was replaced by dichotomous

noise.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 39

The following general comment should be made. The non-zero steady-

state angular velocity is obtained from Eq. (2.29) which does not contain

any driving force. Such noise-induced motion cannot appear in an equilib-

rium system, which includes symmetric thermal noise, due to the second

law of thermodynamics. A non-zero average velocity exists only in the case

of asymmetric thermal noise, as we have seen in Sec. 2.2.3. Moreover, even

in a non-equilibrium state, a non-zero average velocity can appear only in

the presence of some symmetry breaking, for the following reason. If φ(t)

is the solution of the dynamic equation for a given realization of noise, then

−φ(t) is also a solution for t replaced by −t. These two solutions will give

two equal average velocities equal to ±'dφ/dt` , which implies 'dφ/dt` = 0.

A non-zero value can be obtained when either the potential energy or the

noise is asymmetric. As we have seen, another possibility is correlation

between additive and multiplicative noise.

2.3 Periodic driven force

2.3.1 Deterministic equation

Equation (1.3) with a = 0, supplemented by a external periodic force

f sin (ωt) , has the following form,

dφ

dt

+b sinφ = f sin(ωt) . (2.44)

This equation has no analytic solution, but the numerical solution shows

[

52

]

that there are two types of stable periodic motion, the normal and

inverted modes of oscillations which are symmetric with 'φ` = 0 and 'φ` =

π, respectively.

Assuming that the solution of Eq. (2.44) is given by the trial function

φ = A

0

+A

1

cos (ωt +α

1

) , (2.45)

a small perturbation δ (t) to (2.45) is governed by the linearized equation

dδ

dt

+bδ cos φ = 0 (2.46)

with the solution

δ = exp

−b

dt cos φ

. (2.47)

Substituting (2.45) into (2.47), and using the well-known expansion of

trigonometric functions in series in Bessel functions J

n

(z), one obtains a

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

40 The Noisy Pendulum

stability condition,

bJ

0

(A

1

) cos A

0

> 0. (2.48)

The boundaries between two types of solutions of Eq. (2.44), which follow

from Eq. (2.48), are in good agreement with the numerical calculations

[

52

]

.

Adding a constant term in the right hand side of Eq.(2.45) yields

dφ

dt

+b sinφ = a +f sin (ωt) , (2.49)

has been studied both numerically

[

52

]

and by means of perturbation the-

ory

[

53

]

. A most remarkable result of both calculations is the lock-in phe-

nomenon which, in the language of Josephson junctions, manifests itself

as horizontal “Shapiro steps” in the voltage-current characteristics. This

phenomenon is due to the stability of periodic orbits in the (φ, dφ/dt) plane

with respect to small changes of the parameter a in Eq. (2.49). Therefore,

one needs large changes in a to destroy this periodic orbit and send the sys-

tem to the next stable orbit, thereby producing successive Shapiro steps.

In fact, Eq. (2.4) deﬁnes the zeroth Shapiro step.

One can say

[

54

]

that the Shapiro steps are a special case of synchro-

nization with the resonance condition on two frequencies in the problem,

'dφ/dt` = nω for integer n, when a phase tends to synchronize its motion

with the period of an external ﬁeld to overcome an integer number of wells

during one cycle of the force.

2.3.2 Inﬂuence of noise

In the presence of noise, Eq. (2.49) takes the form

dφ

dt

+b sinφ = a +f sin (ωt) +ξ (t) . (2.50)

The numerical solution of Eq. (2.50) shows

[

54

]

that the dependence of

the average velocity deﬁned in (2.11) on the strength of noise depends

crucially on the value of the constant torque a. For diﬀerent values of a,

this dependence can increase monotonically or decrease monotonically or

become non-monotonic. The presence of noise leads to the blurring of the

Shapiro steps, helping a system to leave the locked-in states, and to the

appearance of multiple peaks in the dependence of the eﬀective diﬀusion

on the constant torque a

[

54

]

.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Overdamped Pendulum 41

Equation (2.50) describes, along with an overdamped pendulum, the

motion of a Brownian particle in a periodic potential. A fascinating anal-

ysis of the diﬀusion of a particle, subject to a square wave periodic force,

has been performed

[

55

]

. The diﬀusion coeﬃcient for Eq. (2.50) was com-

pared with that of a free Brownian particle (b = f = 0). Both the analytic

calculation for a square-wave periodic force and the numerical simulations

for the sinusoidal potential show that the diﬀusion rate can be greatly

enhanced compared with free motion by the appropriate choice of coordi-

nate and time periodicity. In addition, the diﬀusion exhibits a maximum

for a speciﬁc value of the strength of noise, thereby showing a stochastic

resonance-type eﬀect.

2.3.3 Deterministic telegraph signal

Since Eqs. (2.44) and (2.49) with a sinusoidal force, f sin (ωt), do not allow

analytic solutions, we consider a simpliﬁed form with a periodic telegraph

signal which does allow an exact solution. This simpliﬁed equation has the

following dimensionless form,

dφ

dτ

+ sinφ = a +a

1

ψ (τ/b) (2.51)

where τ = bt and

a

1

ψ(τ/b) =

A, for τ

n

< τ < τ

m

−B, for τ

m

< τ < τ

n+1

. (2.52)

The regeneration points, τ

n

and τ

m

, are deﬁned through two dimension-

less time variables, T

1

and T

2

,

τ

n

= n(T

1

+T

2

) ; τ

m

= τ

n

+T

1

. (2.53)

As special cases, this form of the equations includes the symmetric pulse,

A = B and T

1

= T

2

= T/2, and a train of a delta-function pulses, B = 0,

A → ∞ and T

1

→ 0 with AT

1

= 1. The latter case has been considered in

a more general setting

[

56

]

.

For a constant value of a

1

ψ (τ/b), Eq. (2.51) reduces to Eq. (2.1) (with

a replaced by a +A and a − B) with known solutions (2.2) and (2.3).

Therefore, one has to write the solutions of (2.51) in the two regimes given

in (2.52), and then match the solutions at the boundaries of the appropriate

regimes. The details of the calculation can be found in [57]. The ﬁnal

result of these calculations is the transcendental equation which deﬁnes the

boundaries of the Shapiro steps.

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August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Chapter 3

Underdamped Pendulum

3.1 Pendulum with constant torque

The pendulum equation with constant torque is obtained by adding a con-

stant torque a to Eq. (1.2),

d

2

φ

dt

2

+γ

dφ

dt

+b sin φ = a. (3.1)

This equation cannot be solved analytically, and we shall describe the re-

sults of numerical calculations

[

58

]

,

[

59

]

.

For a = 0, the pendulum hangs in the downward position, φ = 0. With

increasing a, the equilibrium state is tilted to φ = sin

−1

(a/b) , approaching

φ = π/2 at a = b. For a > b, the pendulum starts to rotate, corresponding

to the loss of equilibrium. Note that this result corresponds to Eqs. (2.1)

and (2.4) for the overdamped pendulum. The type of rotation depends

on the damping. If γ is small, the pendulum rotates with a ﬁnite period.

For strong damping and close to the threshold, a − b of order the small

parameter ε, and the period of rotation scales as ε

−1/2

.

As a decreases from a > b to a < b, the pendulum continues to ro-

tate even for a < b, which is the manifestation of hysteresis. For a ≤ b,

if we stop the rotating pendulum by hand and put it close to its equilib-

rium state, the pendulum will remain in equilibrium, showing bistability

between the rotating periodic regime and stationary equilibrium. Another

peculiarity occurs when the pendulum is perturbed from the equilibrium

position φ

1

= sin

−1

(a

1

/b) by releasing it without initial velocity. The re-

action of the pendulum then depends of the direction of the perturbation.

If the perturbation is directed toward the vertical direction, the pendu-

lum returns to equilibrium. But if the perturbation is large enough and

43

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

44 The Noisy Pendulum

directed in the opposite direction, the pendulum moves in the direction of

the perturbation.

Equation (3.1) can be rewritten as two ﬁrst-order diﬀerential equations

by introducing the dimensionless angular velocity

z =

γ

b

dφ

dt

, (3.2)

implying dz/dt = (bz/γ) (dz/dφ) . Then, one can rewrite Eq. (3.1) in the

form

bz

γ

2

dz

dφ

+z + sin φ =

a

b

(3.3)

where a/b ≡ a is the dimensionless torque.

¢z²

a

1.0 0

1.0

2.0

0

Fig. 3.1 Normalized average angular velocity z as a function of normalized torque a

for diﬀerent values of β = b/γ

2

. The curves have been drawn to guide the eye.

Solutions of Eqs. (3.2)-(3.3) plotted in the ('z` , a) plane are shown

in Fig. 3.1. It is seen that two solutions exist for the average angular

velocity 'z` in the interval 1 > a > a

cr

, where a

cr

depends on the parameter

b/γ

2

. The smaller this parameter, the larger the bias torque a that one

needs to start the motion, with some threshold value of 'z`. On the other

hand, by decreasing the torque a, the pendulum will continue to rotate

until the torque reaches the value a

cr

, at which point the pendulum will

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 45

come to rest after performing damped oscillations around the equilibrium

position φ = sin

−1

(a

cr

/b) .

3.2 Pendulum with multiplicative noise

If the rod of a pendulum performs random vibrations, one has to add the

external multiplicative noise ξ (t) to the equation of motion (1.1),

d

2

φ

dt

2

+

ω

2

0

+ξ (t)

sin φ = 0. (3.4)

Equation (3.4) can be rewritten as two ﬁrst-order stochastic diﬀerential

equations

dφ

dt

= Ω, (3.5)

dΩ

dt

= −

ω

2

0

+ξ (t)

sin φ (3.6)

with the energy of the system given by Eq. (1.4). The analysis of Eqs. (3.5)-

(3.6) is quite diﬀerent for white noise and for colored noise

[

60

]

. The Fokker-

Planck equation associated with the Langevin Eqs. (3.5)-(3.6) has the fol-

lowing form,

∂P

∂t

= −

∂

∂φ

(ΩP) +

∂

∂Ω

ω

2

0

sin (φ) P

+

D

2

sin

2

φ

∂

2

P

∂Ω

2

. (3.7)

To use the averaging technique, one notes that according to Eq. (3.5),

the variable φ varies rapidly compared with Ω. Therefore, in the long-time

limit, one can assume

[

61

]

that the angle φ is uniformly distributed over

(0, 2π) . Hence, one can average Eq. (3.7) over φ, which gives a Gaussian

distribution for the marginal distribution function P

1

(Ω) ,

P

1

(Ω) =

1

√

πDt

exp

−

Ω

2

Dt

. (3.8)

Accordingly, one obtains for the energy E ≈ Ω

2

/2,

P

1

(E) =

2

πDt

E

−1/2

exp

−

2E

Dt

(3.9)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

46 The Noisy Pendulum

and from (3.9), it follows that

'E` =

D

4

t. (3.10)

For colored noise, one cannot write the exact Fockker-Planck equation.

However, if one assumes a power-law dependence of φ as a function of time

t, the self-consistent estimate gives

[

60

]

,

'E` ≈

√

t. (3.11)

These heusteric arguments are conﬁrmed

[

60

]

by more rigorous analysis and

by numerical calculations.

3.3 Pendulum with additive noise

3.3.1 Damped pendulum subject to additive noise

The equation of motion for the angle φ of a damped pendulum subject to

a constant torque a, a random torque ξ (t) , and a periodic force f sin (ωt)

acting on the bob (Fig. 3.2), has the following form,

d

2

φ

dt

2

+γ

dφ

dt

+b sin φ = a +f sin(ωt) +ξ (t) . (3.12)

I

l

f cos(Zt)

Fig. 3.2 Pendulum with an external periodic force acting on the bob.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 47

In this section we consider diﬀerent simpliﬁed forms of Eq. (3.12). We

begin with the following form,

d

2

φ

dt

2

+γ

dφ

dt

+b sinφ = ξ (t) . (3.13)

According to the ﬂuctuation-dissipation theorem for a stationary state,

a gain of energy entering the system is exactly compensated by the energy

loss to the reservoir, which gives

'ξ (t) ξ (0)` = 2γκT (3.14)

where κ is the Boltzmann constant. The velocity-velocity autocorrelation

function deﬁnes the frequency-dependent mobility µ(ω) ,

µ(ω, T) =

1

κT

∞

0

dt

dφ

dt

(t)

dφ

dt

0)

exp (iωt) . (3.15)

For special cases, one can obtain analytical results for µ(0, T) . For the

non-damped case (γ = 0)

[

62

]

,

µ(0, T) = π (2πκT)

−1/2

I

0

(v) +I

1

(v)

I

2

0

(v)

exp(−v) (3.16)

where I

n

(v) denotes the Bessel function of n-th order. In the limit of large

damping [35] and neglecting the second derivative in (3.13),

µ(0, T) =

1

γ [I

2

0

(v)]

. (3.17)

The method of continued fraction [14] yields an approximate expression for

the mobility [63],

µ(ω) ≈

1

−iω +γ +ibI

1

(0) /ωI

0

(v)

(3.18)

which is in good agreement with numerical calculations

[

63

]

.

3.3.2 Damped pendulum subject to constant torque and

noise

The analytical solution of the simple mathematical pendulum, Eq. (3.12)

with γ = f = ξ = 0, has been considered in Sec. 1.1. If one adds damping

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

48 The Noisy Pendulum

while keeping f = 0, Eq. (3.12) takes the form,

d

2

φ

dt

2

+γ

dφ

dt

= a −b sin φ +ξ (t) (3.19)

which describes a damped pendulum subject to the potential

U (φ) = −aφ +b (1 −cos φ) . (3.20)

In Sec. 2.2, the analysis of overdamped deterministic motion (neglecting

the second derivative in Eq. (3.12) and the random force ξ (t)) showed that

there are two types of solutions: locked-on for a < b, and running for

a > b. A similar situation occurs

[

64

]

for Eq. (3.19). The system switches

randomly between a locked state with zero average velocity, 'dφ/dt` = 0,

and a running state with 'dφ/dt` = 0. For γ <<

√

b, the transition from the

locked state to the running state occurs when the value of a approaches b,

whereas the opposite transition takes place when the value of a decreases to

4γ

√

b/π. For large values of η, say, γ > π

√

b/4, we recover the overdamped

case, and the two boundary values coincide, coming back to the criterion

a ≷ b. For weak noise, the stationary dynamics of φ(t) is controlled by

the critical value of a

cr

=

2 +

√

2

γ

√

b. For a < a

cr

, a system is trapped

in small oscillations near the downward position, whereas for a > a

cr

, the

pendulum performs rotations.

For the running solutions, the average angular velocity 'dφ/dt` will be

non-zero. This velocity and the time evolution of the mean square dis-

placement of the rotation angle

φ

2

**are the characteristics of the pendu-
**

lum motion. When

φ

2

is proportional to t

µ

with µ = 1, the process is

called normal diﬀusion, whereas for µ = 1, the diﬀusion is anomalous, and

is called super- or sub-diﬀusion for µ > 1 and µ < 1, respectively. An exact

analytical solution can be only obtained for the simple pendulum described

by Eq. (1.1). In all other cases, one has to rely on numerical solutions.

Note that that in the absence of any stochastic force (ξ = 0 in Eq. (3.12)),

“deterministic” diﬀusion occurs.

An unexpected phenomenon has been found

[

65

]

for intermediate values

of the parameter a. This is precisely the region which is very important for

experimentalists, but is rarely discussed by theorists who study (analyti-

cally) the asymptotic time regime and (numerically) the initial time regime.

In addition to the characteristic value a

cr

of the parameter a described

above, which deﬁnes the boundary between locked and running trajecto-

ries, there is another characteristic value of parameter a, well below a

cr

,

where the system alternates between the locked and running trajectories.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 49

The new regime lies

[

65

]

in the intermediate region between these two char-

acteristic values of a, in which the system moves coherently with constant

velocity (in spite of the noise!).

3.4 Periodically driven pendulum

For the simpliﬁed case, γ = a = ξ = 0 in (3.12), detailed numerical anal-

ysis has been performed

[

66

]

for f = 1.2 and two diﬀerent values of ω

(0.1 and 0.8) . The solution is quite diﬀerent for these two cases: in the for-

mer case, the diﬀusion is normal, whereas in the latter case, the diﬀusion is

anomalous with µ = 1.6. We will show in Part 4 that this diﬀerence stems

from the diﬀerent structure of the Poincare map, which only has regular

regions for ω = 0.1, but has both regular and chaotic regions for ω = 0.8.

When damping is included, the equation of motion (3.12) takes the

following form,

d

2

φ

dt

2

+γ

dφ

dt

+

g

l

sin φ = f sin (ωt) . (3.21)

Analysis of this equation has been performed

[

66

]

for g/l = 1, f/m = 1.2,

γ = 0.2 and diﬀerent values of ω. Chaotic behavior starts at the accu-

mulation point of period-doubling bifurcations, ω

1

= 0.47315. Depending

on the value of ω, the inﬂuence of the regions with normal diﬀusion and

chaotic bursts is diﬀerent. In the region to the left of ω

1

, ballistic mo-

tion (normal diﬀusion) is dominant with the burst regions contributing

only minimally. The diﬀusion coeﬃcient D exhibits a power-law diver-

gence D ≈ [ω −ω

1

[

−α

, with the exponent α close to

1

2

. For another type

of bifurcation, called crisis induced intermittency, analysis of equation

d

2

φ

dt

2

+γ

dφ

dt

+ sinφ = f cos (ωt) (3.22)

shows

[

67

]

that for f < f

c

(where f

c

is the bifurcation point), there ex-

ist two attractors which merge for f ≥ f

c

, and form a single large at-

tractor with chaotic switching between these two attractors. The mean

time between switching is a power-law function of f − f

c

, with the expo-

nent given in terms of the expanding and contracting eigenvalues

[

67

]

. For

ω = 1.0, γ = 0.22, f

c

= 2.646442, the diﬀusion coeﬃcient was calculated

[

66

]

in the regime f ∈ [2.64653, 2.69] and is described by the power law,

D ≈ (f −f

c

)

0.699

.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

50 The Noisy Pendulum

Extensive studies of diﬀusion in this case have been performed for

Eq. (3.22) which can be rewritten in dimensionless form

[

68; 69

]

,

d

2

φ

dt

2

+

1

Q

dφ

dt

+ sinφ = sin(Ωt) (3.23)

and contains three independent dimensionless parameters: Q = ml

gl/γ,

= f/mgl and Ω = ω

l/g. In

[

69

]

, two variables were ﬁxed, Ω = 0.6

and Q = 5, while the amplitude of the external periodic force varied

through the interval (0.6 −1.0) . Many diﬀerent solutions have been found

- periodic, non-periodic and chaotic - and special attention was paid to the

symmetry properties of these solutions.

In order to study diﬀusion, two parameters are ﬁxed, = 0.78 and

Ω = 0.62, while the parameter Q was allowed to take 200 diﬀerent values

in the interval 3 < Q < 7. The authors argue that their results are not

dependent on the special values assumed for the parameters. Based on

the exponential dependence of the chaotic states on the initial conditions,

numerical calculations have been performed for ensemble-averaged

φ

2

,

where the averaging was taking over a large grid of initial conditions cen-

tered around the origin, φ = dφ/dt = 0. The numerics prove that diﬀusion

remains normal, with the diﬀusion coeﬃcient depending essentially on Q

and is considerably enhanced for Q corresponding to the edges of periodic

windows in the bifurcation diagram. The periodic states located within the

windows do not diﬀuse, which corresponds to D = 0. However, even for

some running solutions which expand in phase space, the motion is ballis-

tic, i.e.,

φ

2

**is a quadratic rather than a linear function of time. These
**

results are modiﬁed if one adds quenched disorder

[

70

]

to Eq. (3.23),

d

2

φ

dt

2

+

1

Q

dφ

dt

+ sin φ = sin(Ωt) +αη (x) (3.24)

where η (x) ∈ [−1, 1] are independent, uniformly distributed random vari-

ables, and α gives the amount of quenched disorder. The presence of

quenched disorder destroys the periodicity and symmetry of Eq. (3.23),

and modiﬁes the results. Whereas there were only running solutions

for α = 0, both locked and running solutions appear for α = 0, de-

pending on initial conditions. Although the diﬀusion remains normal,

lim

t→∞

x

2

/2t

**= D(α), ie., the diﬀusion coeﬃcient D depends on α,
**

so that for α < 0.1, D(α) > D(0) , whereas for α > 0.1, D(α) < D(0) .

The latter result is due to the increase of the locked trajectories when α is

increased.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 51

In addition to the diﬀusion considered above and discussed in Part 4 for

chaotic motion, some further interesting results have been obtained

[

71

]

.

These workers analyzed Eq. (3.22) for the case in which the frequency ω

of an external ﬁeld is larger than the eigenfrequency of the pendulum ω

0

,

which is equal to unity in Eq. (3.22). For ﬁxed values of parameters, γ = 0.2

and ω = 2, they obtained numerical and approximate analytical solutions

of Eq. (3.22) for diﬀerent values of the amplitude f of the external ﬁeld.

They found that no chaotic regime appears far from the resonance condition

ω · ω

0

, which is replaced by oscillations around the upward position (see

Part 5).

The conventional stationary solution of Eq. (3.22) takes the following

form,

φ(t) =A

1

cos θ

1

+A

3

cos θ

3

+A

5

cos θ

5

+ ; θ

m

= mωt−α

m

; 0<α

m

<π.

(3.25)

The coeﬃcient A

1

increases with f, and when f exceeds f

c

≈ 8.77, A

1

exceeds A

c

≈ 2.425, which is close to the ﬁrst zero (2.405) of the Bessel

function J

0

(A

1

) . Symmetry breaking then occurs with respect to φ →−φ,

and the stationary solution (3.25) is replaced by the symmetry-breaking

solution

φ(t) = A

0

+A

1

cos θ

1

+A

2

cos θ

2

+A

3

cos θ

3

+ . (3.26)

At this stage, deterministic chaos-like phenomena occur. A change in

the initial condition φ(t = 0) as small as 10

−7

leads to a change of A

0

in (3.26) by a signiﬁcant amount. However, such sensitivity to the ini-

tial conditions exists only for some particular values of f, in contrast to

deterministic chaos where sensitivity exists almost everywhere through-

out a deﬁnite region of parameter space. On further increase of f, [A

0

[

reaches π at f = 10.58, where the pendulum oscillates around the upward

position. As f continuous to increase, A

1

increases while [A

0

[ remains

at π until A

1

reaches approximately the second zero (5.43) of J

0

(A

1

) .

Then, [A

0

[ decreases with A

1

until A

0

reaches zero and the pendulum re-

turns to the stationary regime (3.25). After this, A

1

again increases un-

til it reaches the third zero (8.65) of J

0

(A

1

) , and so on. In the regime

f ∈ (3.16, 5.97) , there appears a period-triple state, approximately de-

scribed by φ = A

1

cos (ωt −α

1

) + A

1/3

cos

(ω/3) t −α

1/3

, and in the

regime f ∈ (3.77, 11.40) , there appears a sinusoidally modulated rotational

state approximately described by φ = A

0

+A

1

cos (ωt −α

1

) ±ωt. The two

signs in the last formula correspond to the two directions of rotation. Note

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

52 The Noisy Pendulum

that these two modulated states, period-triple states, along with the single-

period states (3.25) and (3.26), can occur for the same value of f, with the

initial conditions determining which state is actually excited. All the above

results obtained from numerical calculations are in good agreement with

the analytic calculations performed

[

71

]

in the framework of perturbation

theory.

3.5 Damped pendulum subject to constant torque, periodic

force and noise

The addition of a constant term a to the right hand side of Eq. (3.23)

leads to the loss of periodicity. As a increases, the system alternatively

becomes chaotic and periodic. One of the two intermittent regions de-

scribed in the previous section is destroyed by a small bias a (a = 0.0005

for ω = 0.47311, γ = 0.2, and f = 1.2), and the motion becomes nearly

ballistic, in contrast to the case without bias, for which two symmetric

intermittent regions lead to normal diﬀusion

[

66

]

. These counterintuitive

results have been obtained

[

72

]

for the general case, when, in addition to a

constant term a, thermal noise is also included in Eq. (3.16), which returns

us to the original Eq. (3.12). Numerical calculations have been performed

[

72

]

for the asymptotic mean velocity ''dφ/dt`` , which is deﬁned as the

average of the angular velocity over time and thermal ﬂuctuations. For

values of parameter a lying in the interval (−a

c

, a

c

), the velocity is ori-

ented in the opposite direction from that of the driving force a, thereby

displaying “absolute negative mobility”. This phenomenon, obtained for

a non-equilibrium system, is opposite to that obtained for an equilibrium

system for which the response is always in the same direction as the ap-

plied force. The value of the parameter a

c

depends of the values of other

parameters entering Eq. (3.12).

A pendulum subject to both additive noise and multiplicative noise has

recently been considered

[

73

]

. The equation of motion is obtained by adding

multiplicative noise to Eq. (3.12),

d

2

φ

dx

2

+γ

dφ

dt

+ [a +σξ (t)] sin φ = a +f sin(Ωt) +η (t) (3.27)

where ξ (t) and η (t) assumed to be delta-correlated Orenstein-Uhlenbeck

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 53

noises,

'ξ (t) ξ (t

1

)` = E

2

exp (−λ[t −t

1

[) ,

'η (t) η (t

1

)` = sE

2

exp (−λ[t −t

1

[) , (3.28)

'ξ (t) η (t

1

)` = 2D δ (t −t

1

) .

Numerical simulation shows

[

73

]

that if the product Dλ is constant, the

system is either in a locked state or in a running state as λ changes. For

small λ, for t → ∞, the system is randomly located in one of two stable

states, φ = 0 or φ = −π. For large λ, the system is always in the state φ = 0,

and as λ increases, φ undergoes the transition monostability-bistability-

monostability. The coeﬃcient σ of multiplicative noise in (3.27) simulates

the time evolution of φ: the running solutions start from [ σ [ > 0, and φ

turns over counterclockwise at σ = −20. Furthermore, the larger the value

of σ, the faster φ turns over. This means that the strength of multiplicative

noise controls the rotation direction of φ without any external torque. The

bistability regime exists for any value of additive noise, whose strength

serves only to change the turnover direction and speed of φ.

3.6 Pendulum with oscillating suspension point

3.6.1 Vertical oscillations

Thus far, we have considered the pendulum as a massless rod of length l

with a point mass (bob) m at its end (Fig. 1.1), and our analysis dealt only

with a pendulum whose suspension point is at rest. When the suspension

point performs vertical oscillations u (t) = a sin(ωt) (Fig. 3.3), the system

becomes non-inertial, and it is convenient to use a non-inertial frame of ref-

erence ﬁxed to the moving axis. Newton’s law must then be “modiﬁed” by

the addition of the force of inertia −md

2

u (t) /dt

2

, which produces a torque

−ml sinφ d

2

u/dt

2

. This means that for a pendulum with an oscillating

suspension point, one replaces gravity g by g −d

2

u/dt

2

, which gives

d

2

φ

dt

2

+

1

l

g +aω

2

sin (ωt)

sin φ = 0. (3.29)

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54 The Noisy Pendulum

asin(Zt)

I

l

Fig. 3.3 Pendulum with vertically oscillating suspension point.

In terms of the dimensionless time variable τ = ωt, Eq. (3.29) becomes

d

2

φ

dτ

2

+ [α +β sin (τ)] sin φ = 0; α =

g

lω

2

; β =

a

l

. (3.30)

Equation (3.30) cannot be solved analytically. Numerical calculations show

[

74

]

the diﬀerent dynamic modes. For example, for β = −0.1, the downward

position is stable for α = 0.5 and unstable for α = 0.25. The upward

position, which we will consider in detail in Part 5, is stable for α = −0.1,

β = −0.545, but becomes unstable for α = −0.2, β = −0.1.

Introducing damping into (3.30) leads to

d

2

φ

dτ

2

+γ

dφ

dτ

+ [α +β sin (τ)] sin φ = 0. (3.31)

Depending on the initial conditions, for the parameters α = 0.5, β = −0.1,

and γ = 0.03, there are four diﬀerent asymptotic (t → ∞) solutions of

Eq. (3.31): the stationary state at φ = dφ/dt = 0, the lock-in oscillating

solutions near this point, and the clockwise and counterclockwise running

solutions. The types of solutions are diﬀerent for other values of the pa-

rameters in (3.31). For example, for α = 0.02, β = −0.35, γ = 0.03, there

are ﬁve types of solutions (the upward stationary solutions in addition to

the four described above), and for α = −0.1, β = −0.545, γ = 0.08, there

are three types of the asymptotic solutions (the stationary state at φ = π,

dφ/dt = 0 and the clockwise and couterclockwise running solutions). Com-

prehensive numerical analysis shows

[

74

]

which initial values of φ and dφ/dt

lead to each type of asymptotic solution.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 55

For analyzing Eq. (3.31), it is useful

[

75

]

to consider the so-called rota-

tional number 'v` /ω, deﬁned as

'v`

ω

= lim

τ

2

→∞

1

ω (τ

2

−τ)

1

τ

2

τ

1

dφ

dt

dτ (3.32)

where τ

1

is the time interval necessary for the system to reach steady-

state for large enough τ

2

. Numerical calculation of the rotational number

as a function of the amplitude β of the external ﬁeld shows

[

75

]

that for

β ≈ 0.47, 'v` /ω remains constant. However, for higher β, 'v` / ω = ±1

for running solutions (rotations) and equals zero for locked (oscillating)

solutions. These two modes, locked and running, are clearly decoupled.

Of great importance for many applications are the values of the param-

eters that determine the boundaries between locked and running solutions

(“escape parameter region”). This problem is analogous to the escape of a

particle from a potential well. To solve this problem for the parametrically

excited damped pendulum that is symmetric around φ = 0, as described

by Eq. (3.31) with α = 1, one uses the harmonic balance method

[

76

]

. One

obtains the following equation deﬁning the transition from the locked to

the running solutions in the ω −β plane,

ω

2

4

−1

2

+

γ

2

ω

4

4

−

β

2

ω

4

4

= 0. (3.33)

An unconventional approach has recently been taken

[

77

]

to the analyti-

cal solution of the problem of the locked-running transition by transforming

the diﬀerential equation (3.31) into an integral equation. Equation (3.31)

can be rewritten as

d

2

φ

dt

2

+γ

dφ

dt

+ [1 +f cos (Ωt)] sin φ = 0. (3.34)

By multiplying Eq. (3.34) by dφ/dt, one obtains the law of the conservation

of energy,

d

dt

¸

1

2

dφ

dt

2

−cos φ

¸

= −γ

dφ

dt

2

−f

dφ

dt

cos (Ωt) sin φ. (3.35)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

56 The Noisy Pendulum

Integrating this equation yields

dφ

dt

2

−2 cos φ −

dφ

dt

2

0

+ 2 cos φ

0

= −2γ

t

t

0

dφ(r)

dr

dφ

dr

dr −2f

t

t

0

cos (Ωr) sin [φ(r)]

dφ

dr

dr (3.36)

where φ

0

and (dφ/dt)

0

are the initial conditions at time t

0

. For rotations,

dφ/dt = 0, and one can ﬁnd the inverse function t = t (φ) . For the function

dφ/dt = ψ [φ(t)] , the inverse function is

t = t

0

+

t

t

0

ds

ψ (s)

. (3.37)

One then rewrites Eq. (3.36) as

ψ (φ)

2

−2 cos φ −

dφ

dt

2

0

+ 2 cos φ

0

= −2γ

φ

φ

0

ψ (s) ds −2f

φ

φ

0

cos

Ωt

0

+ Ω

z

φ

0

ds/ψ(s)

sinz dz. (3.38)

For rotations with period T,

φ(T) = φ(t

0

+T) = φ

0

+ 2π;

dφ

dt

(T) =

dφ

dt

(t

0

+T) =

dφ

dt

0

. (3.39)

Using Eq. (3.39), one can rewrite Eq. (3.36) for φ = φ

0

+2π in the following

form,

γA +f cos (Ωt

0

) B −f sin (Ωt

0

) C = 0, (3.40)

where

A =

φ

0

+2π

φ

0

ψ (s) ds, B =

φ

0

+2π

φ

0

cos

Ω

z

φ

0

ds/ψ (s)

sin z dz,

(3.41)

C =

φ

0

+2π

φ

0

sin

Ω

z

φ

0

ds

ψ (s)

sin z dz.

Deﬁning the angle α by

sinα =

B

√

B

2

+C

2

; cos α =

C

√

B

2

+C

2

, (3.42)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 57

Eq. (3.40) becomes

sin (Ωt

0

−α) =

γ

f

A

√

B

2

+C

2

. (3.43)

One concludes from (3.43) that a periodic solution exists if and only if the

amplitude f of the external force satisﬁes

f ≥ f

cr

=

γA

√

B

2

+C

2

. (3.44)

Equation (3.44) was obtained by an exact analytical calculation for given

function ψ (φ) which deﬁnes the trajectory dφ/dt = ψ (φ) in phase space.

This approach allows one to build a convenient form of perturbation theory

[

77

]

.

3.6.2 Horizontal oscillations

When the suspension point executes periodic horizontal oscillations,

f cos (ωt) (Fig. 3.4), the coordinates x, z of the bob become

z = l cos φ; x = l sinφ +f cos ωt (3.45)

which leads to the following kinetic energy T and potential energy U,

T =

1

2

m

(dx/dt)

2

+ (dz/dt)

2

=

1

2

m[l

2

(dφ/dt)

2

−2lωf sin (ωt) cos φ(dφ/dt) +f

2

ω

2

sin

2

(ωt)]; (3.46)

U = −mgl cos φ.

Substituting Eq. (3.46) into the Lagrange function L = T −U, and using

the Lagrange equation, leads to the following equation of motion,

d

2

φ

dt

2

+

k

l

dφ

dt

+ω

2

0

sin φ −

f

l

ω

2

cos (ωt) cos φ = 0 (3.47)

where ω

2

0

= g/l, and the damping term proportional to dφ/dt has been

added.

3.6.3 Pendulum with parametric damping

The external force acting on a pendulum may be introduced in several

diﬀerent ways. In addition to a periodic torque and the oscillation of the

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

58 The Noisy Pendulum

f cos(Zt)

I

l

Fig. 3.4 Pendulum with horizontally oscillating suspension point.

suspension point, one can add a time-dependent term to the damping,

d

2

φ

dτ

2

+ [A +Bsin (ωτ)]

dφ

dτ

+ω

2

0

sinφ = 0 (3.48)

which takes the form

d

2

φ

dt

2

+

1

Q

[1 +f sin (Ωt)]

dφ

dt

+ sin φ = 0 (3.49)

where Ω = ω/ω

0

and t = ω

0

τ is the dimensionless time.

The numerical solution of Eq. (3.49) has been obtained

[

78

]

for Q =

18.33, using the amplitude f and the frequency ratio Ω as control parame-

ters. In contrast to Eq. (3.31), the point φ = dφ/dt = 0 satisﬁes Eq. (3.49).

For Ω 2 and arbitrary f, this point is the accumulation point of all damp-

ing solutions of Eq. (3.49). For smaller Ω, the solutions are periodic, and

for intermediate values of Ω, [Ω ∈ (1.5 −2.0)] , a long chaotic transient pre-

cedes the approach to the point φ = dφ/dt = 0. Moreover, there are some

values of f and Ω for which other attractors appear, dependent on the initial

conditions, or those for which the point φ = dφ/dt = 0 becomes unstable.

Finally, for a small regime of parameters f and Ω, the motion is chaotic.

A detailed analysis of the chaotic solutions that appear for Ω ≈ 2 has been

performed

[

79

]

. It was found that the minimum amplitude f needed to

drive the system into chaos occurs at the frequency Ω = 1.66, whereas the

minimum value of f needed to destabilize the stationary solutions occurs

for the following values of parameters: f = 2, Ω = 2. It is remarkable that

these properties are insensitive to the value of the damping. All these theo-

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 59

retical results have been conﬁrmed on a specially constructed experimental

setup

[

78

]

,

[

80

]

.

Apart from the numerical calculation, the approximate analytical treat-

ment has been performed based on the Floquet theorem

[

81

]

. Since the sta-

bility of the ﬁxed point φ = 0, dφ/dt = 0, and the dynamics near this point

were their main interest, the authors

[

81

]

analyzed the linearized equation

of motion. By using the transformation

τ =

Ωt

2

; ω =

Ω

2

; q =

Ω

2Q

; ε =

f

2

, (3.50)

the linearized Eq. (3.49) can be rewritten as

ω

2

d

2

φ

dτ

2

+q [1 +ε sin(2τ)]

dφ

dτ

+φ = 0. (3.51)

According to the Floquet theorem, the solution of Eq. (3.51) has the

form,

φ = A

0

+ exp (µt)

∞

¸

n=1

[A

n

cos (nt) +B

n

sin (nt)] . (3.52)

The boundary of stability is determined by the existence of a periodic solu-

tions for φ at µ = 0. Inserting (3.52) with µ = 0 into (3.51) and collecting

the coeﬃcients of the sine and cosine terms leads to

1 −n

2

ω

2

A

n

+nqB

n

+qε [(n −2) A

n−2

−(n + 2) A

n+2

] = 0,

1 −n

2

ω

2

B

n

−nqA

n

+qε [(n −2) B

n−2

−(n + 2) B

n+2

] = 0.

(3.53)

It follows from (3.53) that these equations separate into two classes,

odd n and even n, whereas nontrivial solutions exist only for odd n. The

solutions for the latter depend on the truncation order. For truncation at

n = 1, there are two homogeneous equations for A

1

and B

1

. Nontrivial

solutions exist when the determinant of these equations vanishes, which

gives for the boundary of stability,

ε

1

cr

= q

−1

(1 −ω

2

)

2

+q

2

. (3.54)

For Q = 18.33 and Ω = 1.5, the amplitude ε

cr

of the external ﬁeld that

imposes the onset of instability is ε

1

cr

= 21.48 for truncation at n = 1.

Analogously, for truncation at higher odd n, one obtains

[

81

]

ε

3

cr

= 17.08,

ε

5

cr

≈ ε

7

cr

= 17.18. This result is a slight improvement over the value ε

cr

=

17.2 obtained

[

78

]

by numerical calculation.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

60 The Noisy Pendulum

Analysis of the dynamics shows

[

81

]

that for ε > ε

cr

, the Floquet

multiplier µ is proportional to the distance to the boundary of stability,

µ ≈ ε −ε

cr

.

3.7 Spring pendulum

A spring pendulum is obtained from a rigid pendulum by inserting into the

rod a spring of stiﬀness constant κ and unstretched length l

0

(Fig. 3.5).

Since the system has a period of 2π in the angle φ, there are two ﬁxed

points, φ = 0 and φ = π. One chooses the origin at the suspension point

with the z-axis pointing upward, as shown in Fig. 3.5.

I

l

m

Fig. 3.5 Spring pendulum.

In the downward equilibrium position, φ = π, at which point the elastic

stress of the spring is balanced by gravity acting by the bob,

κ(l −l

0

) = mg, or

l

l

0

−1 =

ω

2

0

ω

2

s

(3.55)

where ω

2

0

= g/l

0

and ω

2

s

= κ/m. Then,

l = l

0

1 +

ω

2

0

ω

2

s

. (3.56)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 61

In our coordinate system, the downward position of the bob is deﬁned

by x = 0 and z = −l,

z = −l = −l

0

1 +

ω

2

0

ω

2

s

. (3.57)

Let the length of the pendulum in the vertical upward position be

ˆ

l. In

equilibrium, the elastic stress and gravity act in the same direction,

κ

ˆ

l −l

0

+mg = 0 (3.58)

or

ˆ

l = l

0

1 −

ω

2

0

ω

2

s

. (3.59)

In the vertical position, the coordinates of the bob are x = 0, z =

l

0

1 −ω

2

0

/ω

2

s

**. It is clear from Eq. (3.59) that ω
**

s

> ω

0

.

The Lagrangian of the system has the following form,

L ≡ T −U =

m

2

¸

dx

dt

2

+

dz

dt

2

¸

+mgz −

κ

2

(R −l

0

)

2

(3.60)

where R =

√

x

2

+z

2

. The energy E = T+U is minimal when the pendulum

is stationary in the downward position, x = 0, z = −l,

E

min

= −mgl +

κ

2

(l −l

0

)

2

= −mg

l −

mg

2κ

. (3.61)

There is no upper limit to the energy, which may increase to inﬁnity. It

is convenient

[

82

]

to introduce the dimensionless energy ratio R,

R = −

E

E

min

(3.62)

which varies from −1 to inﬁnity.

When the bob starts to oscillate near its downward position, it is

convenient to change its coordinates from x = 0, z = −l to X and

z = −l − Z = −l

0

− g/ω

2

s

− Z. Substituting these changes into (3.60),

one obtains for the Lagrangian of the oscillating system,

L =

m

2

¸

dX

dt

2

+

dZ

dt

2

¸

−mg

Z +l

0

+

g

ω

2

s

−

κ

2

(R

1

−l

0

)

2

(3.63)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

62 The Noisy Pendulum

with R

1

=

X

2

+ (Z +l

0

+g/ω

2

s

)

2

. The Lagrangian equations of motion

are

d

2

X

dt

2

= −ω

2

s

1 −

l

0

R

1

X, (3.64)

d

2

Z

dt

2

= −ω

2

s

1 −

l

0

R

1

Z +l

0

+

g

ω

2

s

−g. (3.65)

The quantity 1 −l

0

/R

1

can be rewritten as

1 −

l

0

R

1

= 1 −

l

0

(l

0

+g/ω

2

s

+Z)

¸

1 +

X

2

(l

0

+g/ω

2

s

+Z)

2

¸

−1/2

. (3.66)

Substituting (3.66) into (3.64) and (3.65) yields

d

2

X

dt

2

=−ω

2

s

X

1−

1

(1+ω

2

0

/ω

2

s

+Z/l

0

)

¸

1+

X

2

l

2

0

(1+ω

2

0

/ω

2

s

+Z/l

0

)

2

¸

−1/2

,

(3.67)

d

2

Z

dt

2

= −g −ω

2

s

Z +l

0

+g/ω

2

s

(3.68)

1 −

1

(1 +ω

2

0

/ω

2

s

+Z/l

0

)

¸

1 +

X

2

l

2

0

(1 +ω

2

0

/ω

2

s

+Z/l

0

)

2

¸

−1/2

.

Thus far, all calculations have been exact. For small oscillations, X < l

0

,

one can expand the square root of (3.67) in a power series in X,

d

2

X

dt

2

= −ω

2

s

X

¸

ω

2

0

/ω

2

s

+Z/l

0

1 +ω

2

0

/ω

2

s

+Z/l

0

−

ω

6

s

X

2

2l

2

0

(ω

2

s

+ω

2

0

+ω

2

s

Z/l

0

)

3

¸

. (3.69)

If Z is also smaller than l

0

, (X, Z < l

0

) , then to lowest order in the

small parameters X/l

0

and Z/l

0

,

d

2

X

dt

2

+

¸

ω

2

0

ω

2

s

ω

2

s

+ω

2

0

+

ω

2

s

l

0

ω

2

s

ω

2

s

+ω

2

0

2

Z

¸

X = 0. (3.70)

Performing the analogous calculations for Eq. (3.68), and inserting g =

ω

2

0

l

0

, yields

d

2

Z

dt

2

+ω

2

s

Z = −

ω

6

s

X

2

2l

0

(ω

2

s

+ω

2

0

)

2

. (3.71)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 63

Without nonlinear terms, Eqs. (3.70) and (3.71) describe the “spring”

and “oscillatory” modes of a spring pendulum, whereas the nonlinear term

describes the simplest form of interaction between them.

Note that we have deﬁned the oscillator frequency ω

2

0

relative to the

constant parameter l

0

, ω

2

0

= g/l

0

, in contrast to the frequency ˆ ω

2

0

, which

is deﬁned relative to the variable length l, ˆ ω

2

0

= g/l, in order to keep the

frequencies ω

0

and ω

s

independent.

Using Eq. (3.56), one gets ω

2

s

− ˆ ω

2

0

= ω

2

s

− g/

l

0

+g/ω

2

s

=

ω

4

s

/

ω

2

s

+ω

2

0

**. Then, one can rewrite Eqs. (3.70) and (3.71) in the fol-
**

lowing form,

d

2

X

dt

2

+ ˆ ω

2

0

X =

ˆ ω

2

0

−ω

2

s

l

XZ, (3.72)

d

2

Z

dt

2

+ω

2

s

Z =

ˆ ω

2

0

−ω

2

s

2l

X

2

, (3.73)

which agrees with the equations of motion for the spring oscillator obtained

by a slightly diﬀerent method

[

83

]

. Note that Eqs. (3.72)-(3.73) represent

two coupled oscillators X and Z with the simplest nontrivial coupling be-

tween their Hamiltonians of the form X

2

Z, which arises in other ﬁelds as

well.

As it will be shown in Sec. 5.5, for the special relation ω

s

= 2ˆ ω

0

, the

spring and the pendulum are in autoparametric resonance while the energy

transfers back and force from the string mode to the oscillating mode. For

this case, Eqs. (3.72) and (3.73) take the following form,

d

2

X

dt

2

+ˆ ω

2

0

X = −

3ˆ ω

2

0

/l

XZ;

d

2

Z

dt

2

+4ˆ ω

2

0

Z = −

3ˆ ω

2

0

/2l

X

2

. (3.74)

Since these equations were obtained under the constraint X, Z < l

0

, one

can solve them using perturbation theory, assuming that the solution of the

homogeneous equation oscillates with slowly-varying amplitude and phase

[

84

]

,

X = A(t) cos [ˆ ω

0

t +ψ (t)] , Z = B(t) cos [2ˆ ω

0

t +χ(t)] . (3.75)

Substituting (3.75) into (3.74) and neglecting the small nonresonant

driving force, one obtains, to ﬁrst-order in small derivatives of A, B, ψ and

χ, the terms linear in cos and sin. Equating the coeﬃcients separately to

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

64 The Noisy Pendulum

zero gives

dA

dt

=

3

4l

ˆ ω

0

ABsin (2ψ −χ) ;

dB

dt

= −

3

16l

ˆ ω

0

A

2

sin (2ψ −χ) ; (3.76)

dψ

dt

=

3

4l

Bcos (2ψ −χ) ;

dχ

dt

=

3A

2

16lB

ˆ ω

0

cos (2ψ −χ) . (3.77)

Eliminating the sin factor from Eqs. (3.76) yields

d

dt

A

2

+ 4B

2

= 0 (3.78)

which expresses conservation of energy,

A

2

+ 4B

2

= M

2

0

. (3.79)

From Eqs. (3.77), one obtains the second constant of motion

A

2

Bcos (2ψ −χ) = N

0

. (3.80)

The time dependence of the amplitude A can be found

[

84

]

from

Eqs. (3.76), (3.79) and (3.80),

1

2

dα

dτ

2

+V (α) = E (3.81)

where E is a constant, and

α =

A

2

M

2

0

; τ =

3ˆ ω

0

M

0

4

√

2l

t; V (α) = −α

2

+α

3

. (3.82)

According to (3.82) and (3.79), 0 < α < 1. The two turning points α

0

and α

1

of the function α = α(t) are deﬁned by the equation V (α) = [ E [,

so that 0 < α

0

< α

1

< 1. Thus, the amplitude A of the oscillatory mode

increases from M

0

√

α

o

to M

0

√

α

1

, and then decreases back to M

0

√

α

o

, and

goes back and forth, while at the same time, the amplitude B of the spring

mode decreases and increases according to Eq. (3.79).

The interesting analysis of the sequence of order-chaos-order transitions

in the spring pendulum was performed

[

82

]

by the use of the two dimen-

sionless control parameters, R and µ. The ﬁrst parameter R was deﬁned in

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 65

(3.62), whereas the second parameter µ is deﬁned as

µ = 1 +

ω

2

s

ˆ ω

2

0

. (3.83)

This parameter can take any value between 1 and inﬁnity. The special

value is µ = 5, for which ω

s

= 2ˆ ω

0

. As will be shown in Sec. 5.5, for

ω

s

= 2ˆ ω

0

, the spring and pendulum are in autoparametric resonance while

the energy transfers back and force from the string mode to the oscillating

mode. We consider the behavior of the system at the limiting values of R

and µ.

Limit value µ →1 can be approached when the spring is weak (small

κ) or the bob is heavy (large m). One can then rewrite the equations of

motion (3.67) and (3.68),

d

2

X

dt

2

+ω

2

s

X = (µ −1) gX

X

2

+

Z +l

0

+g/ω

2

s

2

−1/2

,

d

2

Z

dt

2

+ω

2

s

Z +g = (µ −1) gY

X

2

+

Z +l

0

+g/ω

2

s

2

−1/2

.

(3.84)

For very small µ −1, these equations describe two weakly coupled har-

monic oscillators which, in the limit µ = 1, have two smooth elliptic orbits.

For µ = 1, ˆ ω

0

= ω

s

which explains the appearance of this characteristic

frequency in Eq. (3.84).

Limit value µ →∞ or κ →∞means the transition to a rigid rod, i.e.,

the spring pendulum becomes a simple pendulum with periodic solutions,

as considered in Sec. 1.1.

Limit value R → (−1) corresponds to small oscillations (librations)

near the downward position. In this case, the equations of motion take the

form (3.72)-(3.73), which deﬁne two coupled oscillators. However, for small

deviations from the downward position, the coupling is very small which

leads to simple solutions for harmonic oscillators.

Limit value R → ∞ or E → ∞ results in two equivalent rotations,

one clockwise and the other counterclockwise, for which the energies of two

modes, elastic and oscillatory, are the same order of magnitude

[

82

]

.

In spite of the fact that the original equations contain chaotic solutions,

which we will consider in Part 4, these solutions may appear only in the

intermediate regions of the control parameters (Fig. 3.6). Therefore, chang-

ing each of these parameters, leads to transitions from regular to chaotic

and then back to regular solutions.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

66 The Noisy Pendulum

e

a

f

b

c

d

R

1 2 3 4 5 6 7 8

0

-1

3

2

1

µ µµ µ

Fig. 3.6 The (µ − R) plane. The points a, b, e, f correspond to regular solutions while

the shadow region (points c, d) describes chaotic solutions.

3.8 Resonance-type phenomena

3.8.1 Stochastic resonance (SR)

The standard deﬁnition of SR is the non-monotonic dependence of the

signal-to-noise ratio on the strength of the noise

[

85

]

. We favor a wider

deﬁnition of the SR as the non-monotonic behavior of an output signal, or

some function of it, as a function of some characteristic of noise or of the

periodic signal.

At ﬁrst glance, it appears that all three ingredients, nonlinearity, pe-

riodic force and random force, are necessary for the appearance of SR.

However, it has become clear that SR is generated not only in a typical

two-well system, but also in a periodic structure

[

86

]

. Moreover, SR occurs

even when each of these ingredients is absent. Indeed, SR exists in linear

systems when the additive noise is replaced by nonwhite multiplicative noise

[

87

]

. Deterministic chaos may induce the onset of SR instead of a random

signal

[

88

]

. Finally, the periodic signal may be replaced by a constant force

in underdamped systems

[

89

]

. The underdamped pendulum, described by

Eq. (3.12), was chosen as an example of an underdamped system

[

89

]

. SR

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 67

manifests itself in the non-monotonic dependence of the average velocity

'dφ/dt` (or the mobility µ = a 'dφ/dt`) on the noise intensity D (see also

[

14

]

).

The mobility is plotted in Fig. 3.7. One sees from this graph

[

14

]

that

µ has a SR-type peak close to the critical value a

cr

= 3.36b. Note that in

the absence of a periodic force, SR exists only in the limit of low damping.

Moreover, the eﬀect disappears in the overdamped case when one removes

the second derivative in Eq. (3.12).

0.0

0.2

0.4

0.6

0.8

PJ

0.0 0.5 1.0 1.5 2.0 2.5

D

1.5

2.5

3.0

3.2

5.0

4.0

3.6

3.3

3.4

2.0

Fig. 3.7 Mobility µ times damping constant γ as a function of noise strength D, for

various bias forces a = a/b.

In the more conventional case of a pendulum subject to both con-

stant and periodic torques, the average velocity has both a dc com-

ponent 'dφ/dt`

dc

described above, and an ac component 'dφ/dt`

ac

=

v

ac

sin (ωt +ϕ), with v

ac

= fd (aµ) /da and ϕ is the phase shift. Under

the conditions b << a, and ω smaller than all characteristic times in the

problem (adiabatic approximation), the maximum of v

ac

is proportional to

the ampliﬁcation factor (1 −a/a

cr

)

−3/2

.

In all the examples considered above, the pendulum was subject to a

constant torque. There is no SR-type behavior without a constant torque

[

90

]

.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

68 The Noisy Pendulum

3.8.2 Absolute negative mobility (ANM)

ANM means that a system subject to a bias force reacts in the direction

opposite to that of the acting force. Such behavior is forbidden for systems

which are in thermal equilibrium, but has been experimentally observed in

nonequilibrium systems such as multiple quantum-well structures

[

91

]

(see

also

[

92

]

). The theoretical analysis performed recently [72, 93] shows that

ANM also appears in a damped pendulum subject to constant, periodic

and random torques. Numerical simulation of the appropriate equation

has been made for the asymptotic mean velocity ''v`` averaged over time

and thermal ﬂuctuations.

D

0

= 0

D

0

= 0.001

a

v

0.025

0.05

0.025

0

0.2 0.1 0.2 0.1 0

Fig. 3.8 Average angular velocity as a function of bias torque for the deterministic

(dashed line) and noisy (solid line) dynamics.

The results of these simulations are shown in Fig. 3.8 for the following

values of the dimensionless parameters: γ = 0.9, f = 4.2, ω = 4.9. As one

can see, in the presence of noise, ANM occurs for the bias torque a in the

interval (−0.17, 0.17) . The need for both periodic torque and inertial eﬀects,

expressed by the second derivative in Eq. (3.12), underlines ANM

[

72

]

.

The physical reasons for this are clearly explained in [72, 93]. In the next

section, we consider the ratchet phenomenon which is closely connected

with ANM.

3.8.3 Ratchets

The term “ratchet” denotes a periodic potential which is anisotropic.

Ratchets produce a net ﬂux without a driving force (bias force or exter-

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Underdamped Pendulum 69

( ) U I

I

-1.5

1

0.5

-1

-0.5

0

-2 -4 -6 2 4 0

Fig. 3.9 Ratchet potential U (φ) = −sinφ −

1

4

sin(2φ) .

nal gradient). Detailed information above ratchets can be found in a recent

review article

[

45

]

.

The equation of motion of a particle moving in a ratchet potential is

given by

m

d

2

x

dt

2

+ γ

dx

dt

= −

dV (x)

dx

+f sin(ωt) +ξ (t) (3.85)

where the anisotropic potential can be taken in the form shown in Fig. 3.9

[

94

]

,

V (x) = −sin x −

1

4

sin (2x) . (3.86)

In the overdamped case (m = 0) and in the absence of noise (ξ = 0),

the solutions of Eq. (3.85) are either locked or running. In the latter case,

the asymptotic value of the average velocity has the form

v

qr

=

x(t +rT) −x(t)

rT

=

q

r

ω (3.87)

for integer r and q. For overdamped motion, r, q > 0, the ﬂux is directed

down the ratchet (positive current). The ratchet eﬀect in a noiseless ratchet

(ξ = 0 in (3.85)) is obtained only in the underdamped regime (m = 0 in

(3.85)). In the latter case, the locked trajectories correspond to r = q = 0,

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

70 The Noisy Pendulum

whereas the running trajectories, both deterministic and chaotic, can oc-

cur, due to inertia, in either direction with q = ±1, ±2, ... in Eq. (3.87).

The direction of the ﬂux depends sensitively on the control parameters in

Eq. (3.85).

Strictly speaking, the ratchet eﬀect means the transformation of the

ﬂuctuation environment into deterministic directional motion. In the case

considered above, deterministically induced chaos mimics the role of noise.

This result is supported by analysis

[

95

]

of the values of the control pa-

rameters for which current reversal occurs. The origin of current reversal

is a bifurcation from a chaotic to a periodic regime. The same analysis

has recently been extended

[

96

]

to the case in which an additional constant

force is added to Eq. (3.85).

3.8.4 Resonance activation (RA) and noise enhanced

stability (NES)

Both RA and NES are counterintuitive phenomena. The NES eﬀect implies

that noise can modify the stability of a system placed at the metastable

state if its lifetime is greater than the deterministic lifetime

[

97

]

. The

constructive role of noise also manifests itself in RA, with thermal noise

assisting the crossing of temporally modulated potential barriers

[

44

]

. Pre-

vious theoretical and experimental studies were restricted to overdamped

systems. Only recently were experiments performed

[

98

]

which show the

existence of RA and NES in underdamped real systems (Josephson junc-

tions). Numerical simulation yields good agreement with the experimental

results

[

98

]

.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Chapter 4

Deterministic Chaos

4.1 General concepts

One of the great achievements of twentieth-century physics, along with

quantum mechanics and relativity, is the new relationship between order

and disorder (chaos). Noise, which had always played a destructive role,

becomes constructive. One can illustrate this phenomenon by the two well-

known statements. First, “a butterﬂy that ﬂaps its wings in China causes

rain in Texas”. Second, if you cannot hear your friend’s voice in the tele-

phone booth, wait for a passing police car or an ambulance, and their

noise will help you in your telephone conversation. The meaning of these

statements is that order and noise (disorder) are not contradictory but com-

plimentary

[

99

]

. Such phenomena as “deterministic chaos” and “stochastic

resonance”, whose names are half-deterministic and half-stochastic, express

the deep connection between these two seemingly opposite phenomena. De-

terministic systems, described by diﬀerential equations, are fully deﬁned by

the initial conditions and, therefore, in principle remain fully predictable,

no matter how many particles they contain and how strong is the interac-

tion between these particles. However, an important property of nonlinear

equations is the exponential increase in time of their solutions when one

makes even the smallest change in the initial conditions. “Deterministic

chaos” appears without any random force in the equations. Such a sit-

uation is very common since, in principle, an inﬁnite number of digits is

required to specify the initial conditions precisely, an accuracy that is ob-

viously unattainable in a real experiment.

In order to exhibit deterministic chaos, the diﬀerential equations have

to be nonlinear and contain at least three variables. This points to the

important diﬀerence between underdamped and overdamped equations of

71

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

72 The Noisy Pendulum

motion of a pendulum. The underdamped equation, subject to an external

periodic force,

d

2

φ

dt

2

+γ

dφ

dt

+ sin φ = f sin (ωt) , (4.1)

can be rewritten as a system of three ﬁrst-order diﬀerential equations

dχ

dt

+γχ + sin φ = f sin (θ) ; (4.2)

dφ

dt

= χ;

dθ

dt

= ω (4.3)

and, therefore, the underdamped equation exhibits deterministic chaos for

some values of the parameters. On the other hand, the overdamped equa-

tion, in which d

2

φ/dt

2

= 0, has only two variables, and therefore it does not

exhibit chaos. In this chapter we consider only the underdamped pendulum

starting from Eq. (4.1).

There are many books describing deterministic chaos including

[

12

]

,

which considers chaos for the damped driven pendulum. We shall here

present only those basic concepts which are needed in the following

discussion.

4.1.1 Poincare sections and strange attractors

The hallmark of deterministic chaos is the sensitive dependence on initial

conditions, which means that two trajectories having very similar initial

conditions will diverge exponentially in time. The Poincare section is ob-

tained by removing one space dimension. In our case of three variables, the

Poincare section is a plane. The Poincare plane has to be chosen in such

a way that trajectories will intersect it several times. If the motion is pe-

riodic (non-chaotic), the trajectory will cross the Poincare plane again and

again at the same point. The number of points appearing in the Poincare

plane deﬁnes the number of periods corresponding to a given trajectory.

However, chaotic motion means that despite the fact that the motion is

deterministic (i.e., for given initial conditions, the equations will exactly

describe the trajectory), it never repeats itself. There will be a dense set

of points on the Poincare section ﬁlling a certain area of this plane. The

locus of these points is called a strange attractor, and all initial points that

eventually bring the system to these attractors are called the basin of the

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Deterministic Chaos 73

attractor. In this way, one reduces the continuous trajectories in the phase

space to a discrete mapping on the Poincare plane.

4.1.2 Lyapunov exponent

The Lyapunov exponent λ shows the extent to which the two nearby tra-

jectories, separated initially by distance d, become separated in time by a

large distance D,

D = d exp (λt) . (4.4)

In a chaotic regime, λ is positive, whereas in the regular regime, λ is

negative or zero, implying that the initial separation either diminishes or

remain constant. For a system of ﬁrst-order diﬀerential equations, there

are several Lyapunov indices, and we are interested in the largest of these.

4.1.3 Correlation function

Analysis of the autocorrelation function of a trajectory shows the diﬀerence

between regular and chaotic regimes. In the latter case, the system loses

information about previous states and the autocorrelation function tends

to zero with time. However, since chaotic trajectories densely ﬁll phase

space, there is some short time during which the trajectory approaches

the initial position, and the autocorrelation function may grow again. In

contrast to these results, for the regular trajectory, the autocorrelation

function oscillates near some average value, increasing and decreasing when

the system moves away or approaches its initial position, respectively.

4.1.4 Spectral analysis

The squared modulus of the Fourier transform of the variable g (t) is called

the power spectrum of g (t) . Periodic motion is described by the power

spectrum with a ﬁnite number of frequencies, whereas chaotic motion has a

broad power spectrum. In Figs. 4.1 and 4.2, we show

[

100

]

the eﬃciency of

the four methods of detecting chaos described above, using Eq. (4.1) as an

example. A comparison between Figs. 4.1 and 4.2 shows that although some

methods (power spectrum) are ambiguous, one can see a clear distinction

between regular (Fig. 4.1) and chaotic (Fig. 4.2) behavior.

We now describe the two paths of the transition to chaos: period dou-

bling and intermittency.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

74 The Noisy Pendulum

d

dt

I

I

P

o

i

n

c

a

r

e

S

e

c

t

i

o

n

(a)

Numerical Steps

C

o

r

r

e

l

a

t

i

o

n

(c)

Numerical Steps

L

y

p

u

n

o

v

E

x

p

o

n

e

n

t

(b)

Frequency

P

o

w

e

r

S

p

e

c

t

r

u

m

(d)

Fig. 4.1 Plot of several indicators for a regular trajectory: (a) Poincare section,

(b) Maximum Lyapunov exponent, (c) Correlations function, (d) Power spectrum.

4.1.5 Period doubling and intermittency

Starting from the periodic regime, the change of some parameters in the dy-

namic equations may move the system into the chaotic regime

[

101

]

,

[

102

]

.

The most common ways of entering the chaotic regime are through period

doubling and intermittency. The former means that the chaos is preceded

by successive period-doubling bifurcations with a universal rate in diﬀerent

systems. In contrast to period doubling, for intermittency the periodic so-

lution remains stable up to the onset of chaos which manifests itself in short

escapes from the periodic solution which take place at irregular intervals

[

103

]

.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Deterministic Chaos 75

d

dt

I

I

P

o

i

n

c

a

r

e

S

e

c

t

i

o

n

(a)

Numerical Steps

C

o

r

r

e

l

a

t

i

o

n

(c)

L

y

p

u

n

o

v

E

x

p

o

n

e

n

t

Numerical Steps

(b)

P

o

w

e

r

S

p

e

c

t

r

u

m

Frequency

(d)

Fig. 4.2 Same as for Fig. 4.1 but for a chaotic trajectory.

4.2 Transition to chaos

4.2.1 Damped, periodically driven pendulum

The noise phenomena of Eq. (4.1), written in dimensionless time τ = t/α,

d

2

φ

dτ

2

+αγ

dφ

dτ

+α

2

sin φ = fα

2

sin (αωτ) , (4.5)

have been analyzed in a pioneering work

[

104

]

. Equation (4.5) was solved

for αγ = 0.5 and α

2

= 6.4 for diﬀerent amplitudes fα

2

and frequencies αω,

which is the ratio of the external frequency to the eigenfrequency of the

system. For αω << 1 and αω >> 1, the solutions of Eq. (4.5) are periodic

[

104

]

. However, the solutions can be quite complicated with subharmonics,

harmonics, hysteresis loops, etc. For diﬀerent regions of the fα

2

−αω plane,

one obtains locked or running solutions. However, there exist a region of this

plane, located near fα

2

= 3.8 and αω = 0.64, where the solutions exhibit

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

76 The Noisy Pendulum

the set of period-doubling cascading bifurcations into a chaotic state with

strange attractors.

In addition to the period-doubling scenario, another path to chaos, in-

termittency, was found

[

105

]

by plotting φ as function of t for parameters

α = 1, γ = 0.5, ω = 0.47, and diﬀerent values of f. The characteristic pa-

rameters of intermittency found by numerical simulation and analog studies

agree with theoretical predictions

[

103

]

.

The intermittency scenario of the transition to chaos in Eq. (4.5) was

also found

[

106

]

for α = 1, γ = 0.5, ω = 2/3 and diﬀerent amplitudes f of an

external ﬁeld. For f ≤ 1.5, there exist two separate stable periodic running

solutions, clockwise and counterclockwise. As f increases, these two modes

remain separate while becoming chaotic. At the critical value f = 1.4945,

intermittent switching between these two modes occurs, producing a large

amount of noise at frequencies smaller than the driving frequency ω. These

results have been proved by analyzing the (φ, dφ/dt) phase portrait and the

Poincare sections.

Parallel numerical calculations of the onset of chaos and the Fourier

spectrum (dφ/dt)

ω

of the angular velocity show

[

107

]

that at the same

values of the parameters which deﬁne the onset of chaos, there also ap-

pears a large gain in the parametric ampliﬁer manifested as a maximum of

(dφ/dt)

ω

(voltage in Josephson junctions). Note that for diﬀerent values of

the parameters, this large gain appears without the onset of chaos.

The comprehensive analysis

[

108

]

of Eq. (4.5) revealed many other pe-

culiarities in the periodic-chaotic transitions described by Eq. (4.5). Calcu-

lations of φ(t) as a function of the amplitude and frequency of the periodic

torque at constant damping, show quite diﬀerent behavior for low and high

dissipation. At low dissipation, there exist broad bands of chaotic solutions

where the transition to chaos might proceed through both double frequency

bifurcation and intermittency, depending on the symmetry of the equation

with respect to the simultaneous phase inversion and the shift of the phase

of the driving force by an odd multiple of π. No chaotic states have been

found for high dissipation.

The extensive analysis

[

109

]

of equation (4.5), written in dimensionless

form as

d

2

φ

dτ

2

+γ

dφ

dτ

+ sin φ = f sin

ω

ω

0

τ

, (4.6)

where τ = ω

0

t, shows that the ratio of the eigenfrequency of a pendu-

lum ω

0

=

g/l and the external frequency ω plays a crucial role for the

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Deterministic Chaos 77

transition to chaos. The solutions of Eq. (4.6) can be divided in diﬀer-

ent groups. Analogously to the solutions (2.4) for the overdamped pen-

dulum, Eq. (2.1) without noise, there are running and locked solutions of

Eq. (4.6). In addition, there are symmetric solutions to the downward po-

sitions and symmetry-breaking solutions which oscillate with a larger am-

plitude to one side than to the other. Three diﬀerent paths to chaos have

been found

[

109

]

: (1) Period-doubling cascade preceded by the appearance

of symmetry-breaking solutions. This cascade is produced in both running

and locked solutions. In the latter case, the frequency ω

0

is locked to ω.

(2) The loss of phase locking and random transitions between two locked

states. (3) The intermittency form of the transition to chaos occurs for

ω << ω

0

, but for large amplitude f of an external ﬁeld (larger than the

amplitude deﬁning the transition from locked to running solutions). The

trajectories are then a combination of clockwise and couterclockwise rota-

tions with damped oscillations in-between.

The following interesting question has been asked

[

110

]

. Since both de-

terministic chaos and a random force are able to produce chaotic behavior,

what would be the result of the joint action of both these factors? To

answer this question, Eq. (4.5) has been supplemented by additive white

noise η (t) of strength D which transforms Eq. (4.5) into the following

equation

d

2

φ

dt

2

+γ

dφ

dt

+ω

2

0

sin φ = f cos ωt +η (t) . (4.7)

To transform Eq. (4.7) in a form for which the Fokker-Planck equation

can easily be written, the following change of variables is introduced,

x

1

= φ; x

2

=

dφ

dt

; x

3

= f cos ωt; x

4

=

dx

3

dt

. (4.8)

Equation (4.7) then takes the following form

dx

1

/dt = x

2

; dx

2

/dt = −γx

2

−ω

2

0

sin φ +x

3

+η (t) ;

dx

3

/dt = x

4

; dx

4

/dt = −ω

2

x

3

.

(4.9)

In this case, the Focker-Planck equation for the distribution function

P(x

1

, x

2

, x

3

, x

4

) (with the initial conditions x

1,0

and x

2,0

),has the following

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

78 The Noisy Pendulum

form,

∂P

∂t

= −

∂

∂x

1

[x

2

P] −

∂

∂x

2

−γx

2

−ω

2

0

sin x

1

+x

3

P

−

∂

∂x

3

[x

4

P] −

∂

∂x

4

−ω

2

x

3

P

+

1

2

D

∂

2

P

∂x

2

. (4.10)

Equation (4.10) was solved numerically for γ = 1.0, ω

2

0

= 4.0, ω = 0.25,

D = 0.5 for two sets of initial conditions: x

1,0

= 0.0, x

2,0

= 0.0 and

x

1,0

= 0.0, x

2,0

= 0.1. For these values, the stationary state distribution

function P shows chaotic behavior

[

110

]

. Note that for these parameters,

Eq. (4.7) without noise also shows chaotic behavior

[

111

]

.

Quite diﬀerent results were obtained

[

112

]

,

[

113

]

for the case in which

Eq. (4.5) is supplemented by multiplicative white noise in the form of the

ﬂuctuating frequency Ω of an external ﬁeld. The dimensionless form of this

equation is

d

2

φ

dτ

2

+γ

dφ

dτ

+ [(1 +f cos (Ωt))] sin φ = 0. (4.11)

Upon adding noise to the frequency, the initial chaotic motion becomes

regular and terminates at one of the ﬁxed points. Calculations have been

performed

[

112

]

for high-frequency stochastic oscillations for the following

parameters: f = 2 and f = 8, γ = 1, ω

0

≡ ω/Ω = 0.5π, for two sets of

initial conditions: φ(0) = 0, dφ/dt (0) = 1 and φ(0) = 2, dφ/dt (0) = 0. In

the former case, one obtains nonregular librations without noise, whereas

adding noise terminates the motion at the ﬁxed point φ

f

= 0. In the latter

case, nonregular librations and rotations are terminated at the ﬁxed point

φ

f

= −2π. If a system originally had a stable limit cycle instead of ﬁxed

points, then the addition of noise will terminate the chaotic behavior into a

regular limit cycle. Analogous numerical calculations (with sinφ replaced

by bφ+cφ

3

) have been performed

[

113

]

for low-frequency stochastic oscilla-

tions for the parameters: f = 0.94, γ = 0.15, ω

0

≡ ω/Ω = 0.5π and initial

conditions φ(0) = 1, (dφ/dt)

0

= 1. The results were similar to those ob-

tained

[

112

]

without noise: the motion is chaotic with randomly alternating

librations and rotations, whereas adding suﬃcient random noise stabilizes

the system by eliminating chaos. The latter result has been conﬁrmed

[

113

]

by the calculation of the Lyapunov indices.

It is remarkable that in contrast to additive noise, multiplicative noise is

able to convert the chaotic trajectories, induced by the deterministic chaos,

into regular trajectories.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Deterministic Chaos 79

4.2.2 Driven pendulum subject to a periodic and constant

torque

The addition of a constant torque a to Eq. (4.1) yields

d

2

φ

dt

2

+γ

dφ

dt

+ sin φ = a +f sin (ωt) , (4.12)

which permits the comparison of the onset of chaos with the analysis of

the Shapiro steps in the ('dφ/dt` , a) plane performed in Sec. 2.3.1. The

road to chaos was found

[

114

]

to be diﬀerent for the regions with increasing

values of 'dφ/dt` (“running” solutions) and for those with Shapiro steps,

which correspond to constant values of 'dφ/dt` (“locked” solutions). In

the latter case, the system exhibits period-doubling bifurcations, whereas

in the former case, the transition to chaos goes through the intermittency

scenario.

The voltage-current graph ('dφ/dt` versus a) for diﬀerent damping con-

stants has been analyzed

[

109

]

. For f = 0 and a >> 1, the angular ve-

locity 'dφ/dt` is very high, and one can neglect the nonlinear sinusoidal

term in (4.12). For this case, the pendulum reaches the asymptotic value

'dφ/dt` = a/γ in a time of order γ

−1

. For γ ≤ 1, the voltage-current graph

exhibits hysteresis which allows a simple physical explanation

[

109

]

. Indeed,

when the bias a increases from zero to unity, due to the inertia term, the

pendulum starts to rotate, approaching the limiting value 'dφ/dt` = 1/γ.

On the other hand, upon decreasing a, the inertia causes the pendulum to

continue rotating even for a < 1, until reaching the critical value a

cr

where

the angular velocity vanishes, and the pendulum relaxes toward the equi-

librium position. For γ →0, a

cr

≈

√

2γ. No fundamental diﬀerence occurs

when f = 0, i.e., when both constant and periodic torques are present.

A comprehensive analysis has been performed

[

115

]

of the dimensionless

Eq. (4.12), written in the slightly diﬀerent form,

β

d

2

φ

dt

2

+

dφ

dt

+ sin φ = a +f sin (Ωt) . (4.13)

The simplest solutions of Eq. (4.13) are the steady-state periodic solutions

φ(t) , with driving frequency Ω which obeys the relation

φ

t +

2πm

Ω

= φ(t) + 2πl. (4.14)

The average angular frequency is 'dφ/dt` = lΩ/m, with integer l and m.

Solutions with m = 1 are harmonic, those with 1 < m < ∞ are subhar-

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

80 The Noisy Pendulum

monic, and those with m = ∞ are chaotic. These three regions can be

distinguished

[

115

]

by the power spectrum of the angular velocity

S (ω) =

2

T

T

0

dφ

dt

exp (iωt) dt. (4.15)

Chaotic solutions appear only in restricted regimes of the parameters

β, a, f and Ω, in the (dφ/dt, φ) phase diagram. One can formulate

[

115

]

some general criteria for the onset of chaos. For example, chaos does not

occur for β << 1, which is close to an overdamped case, or for Ω >> β

−1/2

,

which means that the driving frequency is far from the eigenfrequency of

the pendulum.

4.2.3 Pendulum with vertically oscillating suspension point

As we will see in Part 5, vertical oscillations of the suspension point is one

way to transform the unstable upward position of a pendulum into a stable

position. We return to this case in order to consider the transition to chaos.

Equation (3.29), supplemented by damping, has the following form

d

2

φ

dt

2

+γ

dφ

dt

+ [a + 2f cos (ωt)] sin φ = 0. (4.16)

The ﬁrst numerical analysis of Eq. (4.16) was performed in 1981 by

McLaughlin

[

116

]

for a = 1, ω = 2 and three values of γ: 0.2, 0.05, and 0.

In order to obtain motion with ﬁnite amplitude, the control parameter f has

to satisfy the condition f ≥ γ

[

117

]

. For γ = 0.2, simple vibration of period

2π is the only solution for 0.2 < f < 0.713. At these values of f, two rota-

tions of period π appear. Then, at f = 0.7925, these rotations go through

a period-doubling bifurcation according to the Feigenbaum scenario

[

101

]

,

until ﬁnally, a pair of strange attractors appear. Up to f = 1.045, the

sign of (dφ/dt) is negative (clockwise rotation), but for larger f, the an-

gular velocity occasionally switches sign. The strange attractors exist up

to f = 1.58. Beyond this point, there are two stable solutions of period π.

Thus, increasing the control parameter f causes the system to go through

the transformation order-chaos-order. Qualitatively similar behavior takes

place for the damping constant γ = 0.05. No strange attractors exists for

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Deterministic Chaos 81

the Hamiltonian case γ = 0, and the double-frequency bifurcation leads to

the destruction of stable zones.

The numerical solution of Eq. (4.16) has been carried out

[

118

]

for dif-

ferent sets of parameters. For γ = 0.15, a = 1 and ω = 1.56, the results are

similar to those obtained in

[

116

]

, with fully chaotic motion for f > 0.458.

The behavior of a system near the latter point depends on the initial con-

ditions

[

118

]

. For α = 0.5, γ = 0.03 and varying f, a double-frequency

bifurcation begins

[

74

]

when f = 0.55, with the motion being fully chaotic

for f = 0.64018.

A comprehensive numerical solution of Eq. (4.16) has been carried out

[

119

]

for both the amplitude and the frequency of the varying external

ﬁeld. For γ = 0.2π in Eq. (4.16), upon increasing f, the system undergoes

an inﬁnite series of period-doubling transitions to chaos for all ω. Moreover,

for each ω, there exists an inﬁnity of alternating stable and unstable regimes

of f, similar to Mathieu-type diagrams.

The interesting analysis of the concurrent action of deterministic chaos

and noise, induced by adding a random force to Eq. (4.16), has been per-

formed

[

120

]

,

[

121

]

. Noise introduces hops between the periodic attractors,

whereas in the noise-free system the pendulum remains ﬁxed in one of these

attractors

[

121

]

. On the other hand, external noise does not inﬂuence the

chaotic transient, i.e., the characteristic time for the transition from chaotic

to periodic trajectories with increasing control parameter

[

120

]

.

Another way to introduce noise into Eq. (4.16) has been exploited

[

75

]

,

where a random phase ϕ was included in the equation by replacing cos (ωt)

by cos (ωt +ϕ) . For weak noise, transitions from oscillations to rotations

and the opposite are possible. For moderate noise, there is a combination

of the excitation amplitude and stochastic component. Finally, for strong

noise, there is no rotational mode, and the transition to chaos occurs via

intermittency.

4.2.4 Pendulum with horizontally oscillating suspension

point

The equation of motion (3.47) for the case has the following form,

d

2

φ

dτ

2

+

k

r

dφ

dτ

+

1

r

2

sin φ −f sin τ cos φ = 0 (4.17)

where r = ω/ω

0

is the ratio of the frequency of an external ﬁeld ω to the

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

82 The Noisy Pendulum

pendulum frequency ω

0

=

g/l, F = f/l is the dimensionless amplitude

of an external ﬁeld, and τ = ωt.

Equation (4.17) is symmetric with respect to the following transforma-

tions

φ −→−φ;

dφ

dτ

→−

dφ

dτ

; τ →τ +

π

2

. (4.18)

The trajectory in phase space (φ, dφ/dt) that is invariant to these sym-

metry transformation is called a symmetric trajectory. Otherwise, it is

called an asymmetric trajectory. Extensive numerical analysis of Eq. (4.17)

has been performed

[

122

]

for diﬀerent values of the amplitude f of an exter-

nal ﬁeld in the interval f ∈ (0, 15), for k = 0.1 and r = 0.8. Five cascades of

double-frequency bifurcations were found for speciﬁc values of f which sat-

isfy Feigenbaum theory

[

101

]

. Moreover, at the limiting value f = 1.4336,

the behavior of the system becomes chaotic. The appearance of frequency-

doubling and the transition to chaos can be clearly seen in each cascade.

For the ﬁrst cascade, the transitions periodic orbit →frequency doubling →

chaos can be clearly seen from the (φ, dφ/dt) phase plane shown in Fig. 4.3.

Additional information has been obtained

[

122

]

by studying the Lya-

punov exponents, the power spectrum and the evolution of strange attrac-

tors with the change of the control parameter f. The solutions of Eq. (4.17)

for diﬀerent frequencies of an external ﬁeld at constant amplitude has been

studied numerically

[

123

]

. As the frequency is decreased, for suﬃciently

large amplitude, the system progresses from symmetric trajectories to a

symmetry-breaking period-doubling sequence of stable periodic oscillations,

and ﬁnally to chaos.

The analysis of Eq. (4.17) for the special case of small amplitude and

high frequency of the external ﬁeld has been performed

[

124

]

. The latter

conditions are met if one replaces the frequency ω of the external ﬁeld by

Ω such that Ω = ω/ε. The small parameter ε also determines the smallness

of the amplitude, f = εlβ, and of the damping k/l = 2αε. In terms of these

new parameters and the dimensionless time τ = ωt, Eq. (4.17) takes the

following form

d

2

φ

dτ

2

+ 2αε

dφ

dτ

−βε sinτ cos φ +ε

2

sinφ = 0. (4.19)

According to the method of multiple scales

[

125

]

, one seeks the solution

of Eq. (4.19) in the form

φ = φ

0

+εφ

1

+ε

2

φ

2

+ (4.20)

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Deterministic Chaos 83

d

dt

1

1

(a)

d

dt

1

1

(b)

d

dt

1

1

(c)

Fig. 4.3 Phase plot for solutions of Eq. (4.17): (a) Regular solution with period

π for f = 1.429 with initial conditions φ

0

= 0.056841 and (dφ/dt)

0

= −2.050299,

(b) Regular solution with period 2π for f = 1.4359 with initial conditions φ

0

= 0.140078

and (dφ/dt)

0

= −2.033011, (c) Chaotic trajectory for f = 1.45 with cycles of period 2π.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

84 The Noisy Pendulum

where φ

n

is a function of ε

n

τ

n

. Then,

d

dτ

= D

0

+εD

1

+ε

2

D

2

+

d

2

dτ

2

= D

2

0

+ 2εD

0

D

1

+ 2ε

2

D

0

D

2

+ε

2

D

2

1

. (4.21)

where D

n

≡ d/dτ

n

. Substituting Eqs. (4.20) and (4.21) into (4.19) yields

three equations, containing the coeﬃcients ε

0

, ε

1

and ε

2

, respectively

D

2

0

φ

0

= 0, (4.22)

D

2

0

φ

1

= −2D

0

D

1

φ

0

+β sin τ

0

cos φ

0

−2αD

0

φ

0

, (4.23)

D

2

0

φ

2

= −2D

0

D

1

φ

1

−2D

0

D

2

φ

0

−D

2

1

φ

0

−sin φ

0

−2αD

0

φ

1

−2αD

1

φ

0

−βφ

1

sinτ

0

cos φ

0

. (4.24)

The solution of Eq. (4.22) that does not increase with time is φ

0

=

Const. Using Eqs. (4.23)-(4.24), and eliminating the secular (unbounded)

terms yields three solutions for the stationary state, φ

0

= 0, φ

0

= π and

φ

0

= cos

−1

2/β

2

**. The latter solution is obtained under the assumption
**

that β

2

≥ 2. Stability analysis

[

124

]

shows that the ﬁxed point solution

φ

0

= π is always unstable, whereas for β

2

< 2 the only stable point is φ = 0.

When the amplitude of the external force f increases beyond β

2

> 2 the zero

solution becomes unstable, and the two stable solutions are ±cos

−1

2/β

2

.

This analytical result, supported by the numerical solution of Eq. (4.19), is

quite surprising. Indeed, the pendulum with horizontal oscillations of the

suspension point does not perform oscillations around the horizontal axis,

but rather around the inclined axis!

4.2.5 Pendulum with applied periodic force

The forced pendulum is described by Eq. (3.21) which can be rewritten in

the dimensionless form as

d

2

φ

dτ

2

+γ

dφ

dτ

+ sinφ = f sin (Ωt) (4.25)

with Ω being the ratio of the external frequency ω to the characteristic

frequency

g/l of the pendulum. Numerical simulation shows

[

126

]

that

for some values of the parameters, the solutions of Eq. (4.25) are oscillations

around the upward position. For γ = 0.25 and f = 2.5, there are stable

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Deterministic Chaos 85

inverted oscillations for 0.725 < Ω < 0.792. Symmetry-breaking, period-

doubling and chaotic modulations occur for Ω = 0.794, 0.796 and 0.800,

respectively. Many subharmonics have been found for smaller values of Ω

[

127

]

.

When the amplitude of the external ﬁeld f becomes non-zero, the sta-

ble stationary point φ = dφ/dt = 0 is replaced by a stable symmetric

periodic trajectory. Detailed analysis of the bifurcations of this trajectory

has been performed

[

128

]

, showing alternating stable and unstable behavior

upon varying the control parameters f and ω, for a ﬁxed damping constant

γ = π.

Detailed numerical calculations show

[

129

]

a plethora of trajectories at

periods equal to the forcing period or its integral multiples, stable running

trajectories with mean angular velocity pω/q with integers p and q, and

period-doubling cascades leading to chaotic motion.

A convenient classiﬁcation of solutions of Eq. (4.25) has been suggested

[

130

]

using the language of the Brownian particle described by Eq. (4.25).

Divide the coordinate φ into two parts

φ = 2π (n +ψ) (4.26)

where n and ψ are the integer part and the non-integer part of φ, respec-

tively. The potential U (φ) = −cos φ has periodicity 2π. Therefore, n

indicates the location of the valley in which the particle is situated, and ψ

represents the position of the particle within the valley. One can distinguish

several diﬀerent cases:

Variable ψ is periodic. (a) N-point intra-valley motion (ﬁxed n);

(b) N-point intra-valley motion (periodic n); (c) N-point drift motion (in-

creasing or decreasing n).

Variable ψ is chaotic. (a) Intra-valley chaotic motion (ﬁxed n);

(b) Inter-valley motion without diﬀusion and drift (periodic n); (c) The

same without diﬀusion but with drift (increasing or decreasing n); (d) The

same with diﬀusion but without drift (chaotic n); (e) The same with diﬀu-

sion and drift (chaotically increasing or decreasing n).

The interesting idea has been proposed

[

131

]

to use the locked chaotic

solutions of Eq. (4.25) to generate white noise. Using heuristic arguments

conﬁrmed by numerical calculations, it was proved that this high-level noise

is white over many decades in frequency. The output voltage dφ/dt is usu-

ally locked with the external signal, so that 'dφ/dt` = Ω. However, for

appropriate values of the parameters γ, f and Ω, the power spectrum of

dφ/dt includes a broadband component which is just the required white

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

86 The Noisy Pendulum

noise. Because of the exact periodicity and uniformity of the potential

U (x) = −cos φ, the Brownian particle forgets its location and limits the

time over which the correlation occurs. The absence of correlations implies

white noise. Therefore, the diﬀusion is normal, in contrast to the anomalous

diﬀusion considered in Sec. 3.3. For the numerical simulations of Eq. (4.25),

the following values of the parameters were used

[

131

]

: γ = 0.1, f = 1.6,

Ω = 0.8. The analysis of 20 chaotic trajectories with diﬀerent initial con-

ditions clearly shows the diﬀusive character of the motion with a positive

Lyapunov index λ = 0.137, the Gaussian distribution of ten thousand tra-

jectories with standard deviations proportional to

√

t, and the power spec-

trum (4.15) shown in Fig. 4.4. Together with discrete components at the

driving frequency and its harmonics, the latter clearly establishes that the

white portion of the spectrum extends over four decades in frequency.

Frequency

P

o

w

e

r

S

p

e

c

t

r

a

l

D

e

n

s

i

t

y

10

8

10

4

10

0

10

4

10

8

10

5

10

4

10

3

10

2

10

1

10

0

10

1

10

2

Fig. 4.4 Power spectral density of the average angular velocity as a function of frequency

for the chaotic regime, computed over 2

19

drive cycles. Parameters are γ = 0.1, Ω = 0.8,

f = 1.6.

4.2.6 Spring pendulum

The equations of motion of a spring pendulum, (3.64) and (3.65), were

analyzed

[

82

]

for diﬀerent values of the control parameters R and µ, deﬁned

in (3.62) and (3.83), respectively. As described in Sec. 3.7, chaotic states

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Deterministic Chaos 87

appear for intermediate values of R and µ, while the regular non-chaotic

solutions occur for the limiting values of these parameters. These types of

solutions are shown

[

82

]

in the R−µ plane in Fig. 3.6. The shading in the

central region of this plane indicates the region of chaotic solutions. The

points marked from a to f show the regular solutions in points a, b, e, f,

whereas points c and d represent the chaotic solutions. Chaos is connected

with the coupling of two degrees of freedom, so that the point µ = 5, which

corresponds to autoparametric resonance, is a natural source of chaos. The

boundary between the locked and running solutions is another region where

the chaotic solutions are clustered. For a rigid pendulum, the boundary is

deﬁned by the separatrix, whereas for a spring pendulum, these boundaries

are described

[

82

]

by the following curves in the R −µ plane, below which

there is no running solutions,

R = 1 −2 [(2 (µ −1) + 1)]

−1

, for µ > 2,

R = (µ −1)

2 + (µ − 1)

−1

−1

, for 1 < µ < 2.

(4.27)

At µ = 2, where ω

s

= ω

0

, these two curves coincide showing the bor-

derline for running solutions.

4.3 Pendulum subject to two periodic ﬁelds

4.3.1 Controlling chaos

Chaotic behavior is very sensitive not only to small changes in initial con-

ditions, but also to small additional forces acting on the pendulum. The

latter feature permits controlling and even suppressing chaos (see the re-

view

[

132

]

and the recent article

[

133

]

with many references therein). As

an illustration, let us consider the possibility of eliminating chaos by apply-

ing an additional periodic ﬁeld Asin (βωt) to the dynamic equation (4.12),

[

134

]

d

2

φ

dt

2

+γ

dφ

dt

+ sin φ = a +f sin (ωt) +Asin (βωt) . (4.28)

For A = 0, this equation shows

[

135

]

chaotic behavior for the following

values of the parameters: γ = 0.7, f = 0.4, α = 0.715, and ω = 0.25.

The resulting dynamics as a function of the parameters A, β and a. has

been obtained

[

134

]

by numerical calculation of the Lyapunov exponents

for diﬀerent values of these parameters. The inﬂuence of the frequency of

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

88 The Noisy Pendulum

an additional periodic force has been studied by changing the parameter β

for a = 0.905 and A = 0.0125. There are regimes of β, say, 0.18 < β < 0.6,

where the trajectories are regular. This shows that in order to reduce or

eliminate chaos, it is enough to apply to the system a weak time-dependent

periodic perturbation of small amplitude A = 0.0125. These results have

recently been reﬁned

[

136

]

. In order to change the dynamic behavior, one

has to supply energy in order to overcome the characteristic energy of the

system. The latter is determined by the parameter a which deﬁnes the

height of the barrier of the potential well. Therefore, a “weak” perturbation

means that the perturbation is small for small values of a

[

134

]

. Careful

study shows

[

136

]

that there are two critical (depending on f, ω and β)

values of the amplitude of the external ﬁeld, A

cr.1

and A

cr.2

, such that for

A < A

cr.1

, the increase of A increases rather than decreases the chaos.

Only for A > A

cr.2

, does an increase of A eliminates chaos. The reaction

of the system for A

cr.1

< A < A

cr.2

is more complicated and depends on

the values of the parameters.

4.3.2 Erratic motion

Chaotic trajectories do not appear for the overdamped pendulum. However,

another possibility of non-trivial behavior, intermediate between determin-

istic and chaotic, does exist for the overdamped pendulum subject to two

periodic ﬁelds with the following equation of motion

[

99

]

,

dφ

dt

= [f cos (ωt) +Acos (βωt)] sin φ. (4.29)

Introducing the new variable u (t),

u (t) ≡ ln tan

φ(t)

2

, (4.30)

one obtains the solution of Eq. (4.29),

u (t) =

f

ω

sin (ωt) +

A

βω

sin (βωt) . (4.31)

Let us replace the continuous time in Eqs. (4.29)-(4.31) by the discrete

times 2πn/ω (stroboscopic plot). Then, Eq. (4.30) becomes

u

2πn

βω

=

f

ω

sin

2πn

βω

+u (0) (4.32)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Deterministic Chaos 89

or

tan

¸

φ(2πn/βω)

2

= tan

¸

φ(0)

2

exp

¸

f

ω

sin

2πn

βω

(4.33)

A distinction needs to be made between three cases:

1. The parameter β

−1

is an integer. Then, sin (2πn/β) vanishes, and

the pendulum comes back to its initial position φ(0) after some integer

number of cycles.

2. The parameter β

−1

is a rational number, the ratio of two integers,

β

−1

= p/q. Then, sin (2πnp/q) vanishes after q cycles.

3. Parameter β

−1

is an irrational number. Then, the motion is not

periodic because the sin factor never vanishes. As a result of this incom-

mensurate increase of φ at each stage, the motion becomes “erratic”.

To better understand “erratic” motion, consider the correlation function

C (m) of tan [φ(t) /2] associated with n-th and (n +m)-th points,

C (m) = lim

N→∞

1

N

N

¸

n=0

tan

¸

1

2

φ

2πn

β

tan

1

2

φ

¸

2π(n +m)

β

=

tan

2

1

2

φ(0)

lim

N→∞

1

N

N

¸

n=0

exp

2f

ω

cos

πm

2β

sin

¸

π

β

n +

1

2

m

(4.34)

Equation (4.33) and the formula for the sum of sines have been used

in the last equality in (4.34). Using the generating function for Bessel

functions I (z), one can rewrite (4.34) as

C (m) = 2π

tan

2

φ(0)

2

I

0

2f

ω

cos

πm

2β

. (4.35)

The correlation function C (m) depends on time m (measured in units

of π/2β), and its Fourier spectrum depends on the ratio β of the two fre-

quencies involved. For irrational β, the Fourier spectrum of (4.35) is broad-

band with amplitude I

0

decreasing slowly with increasing m. This “erratic”

spectrum bears a resemblance to the broadband spectrum for deterministic

chaos.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

90 The Noisy Pendulum

4.3.3 Vibrational resonance

Analysis of Eq. (4.28) showed that a second periodic ﬁeld can be used to

control the chaotic behavior of the underdamped pendulum. Another inter-

esting result is the appearance of a new type of resonance, called vibrational

resonance

[

137

]

. Like stochastic resonance, vibrational resonance manifests

itself in the enhancement of a weak periodic signal through a high-frequency

periodic ﬁeld, instead of through noise as in the case of stochastic resonance.

To study small oscillations of the pendulum, we expand sinφ and keep the

ﬁrst two terms in its series, which replaces the sin potential by a bistable

potential. The equation of motion then has the following form,

d

2

φ

dt

2

+γ

dφ

dt

−ω

2

0

φ +βφ

3

= f sin (ωt) +Asin(Ωt) . (4.36)

The following simple explanation have been put forward for vibrational

resonance

[

138

]

. Suppose that an additional ﬁeld has an amplitude larger

than the barrier height, A > ω

2

0

/4β, and has high frequency Ω >> ω. The

former means that during each half-period, this ﬁeld transfers the system

from one potential well to the other. A similar situation holds in a random

system where the large-amplitude ﬁeld is replaced by a random force which

plays the same role of switching a system between two minima. Therefore,

by choosing an appropriate relation between the input signal f sin(ωt) and

the amplitude A of the large signal (or the strength of the noise), one can

obtain a non-monotonic dependence of the output signal on the amplitude

A (vibrational resonance) or on the noise strength (stochastic resonance).

We look for the solution of Eq. (4.36) in the form

φ(t) = ψ (t) −

Asin (Ωt)

Ω

2

. (4.37)

The ﬁrst term on the right-hand side will be assumed to vary signiﬁ-

cantly only over times of order t, whereas the second term varies rapidly.

Substituting (4.37) into (4.36), one can perform an averaging over a single

cycle of sin (Ωt) . The slowly varying term f sin (ωt) does not change sig-

niﬁcantly during this short time. All odd powers of sin(Ωt) vanish upon

averaging whereas the sin

2

(Ωt) term gives

1

2

. Finally, one obtains the fol-

lowing equation for Ψ(t) , the mean value of ψ (t) during the oscillation,

Ψ(t) = < ψ (t) >,

d

2

Ψ

dt

2

+γ

dΨ

dt

−

ω

2

0

−

3βA

2

2Ω

4

Ψ +βΨ

3

= f sin (ωt) . (4.38)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Deterministic Chaos 91

One can say that Eq. (4.38) is the “coarse-grained” version (with respect

to time) of Eq. (4.36).

For 3βA

2

/2Ω

4

> ω

2

0

, the phenomenon of dynamic stabilization

[

139

]

occurs, namely, the high-frequency external ﬁeld transforms the previously

unstable position Ψ = 0 into a stable position. Note that in contrast to the

situation considered in Part 5 (stabilization of the inverted pendulum by

the oscillations of the suspension point which appear multiplicatively in the

equation of motion), here the high-frequency oscillations enter the equation

of motion (4.36) additively. An approximate solution of Eq. (4.38) can be

obtained

[

29

]

.

The numerical solution of the original Eq. (4.36) has been performed

[

137

]

for diﬀerent values of f and ω (f = 0.025, 0.05, 0.1 and 0.2; ω = 0.01,

0.05, 0.1, 0.2 and 0.3). The graphs of the amplitude of the output signal

as a function of the amplitude A of the high-frequency ﬁeld have a bell

shape, showing the phenomenon of vibrational resonance. For ω close to

the frequency ω

0

of the free oscillations, there are two resonance peaks,

whereas for smaller ω there is only one resonance peak. These diﬀerent

results correspond to two diﬀerent oscillatory processes, jumps between

two wells and oscillations inside one well.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

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August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Chapter 5

Inverted Pendulum

5.1 Oscillations of the suspension axis

A simple pendulum has two equilibrium positions, φ = 0 and φ = π,

with the downward position being stable, whereas the upward position

is unstable. Stability means that when being displaced from the initial

position, the pendulum makes a few transient oscillations and then returns

to its initial position due to friction. Without dissipation, the disturbed

pendulum will oscillate forever about the stable downward position. During

oscillations between the highest positions of the bob, the potential energy,

which is maximal at these positions, switches back and forth to kinetic

energy which is maximal at the downward position.

As we have described in Sec. 3.2, the inverted position of a pendulum

can become stable for some values of the parameters

[

71

]

. There are two

systematic ways to achieve this aim, either by the periodic or random ver-

tical oscillations of the suspension point, or by the spring pendulum where

one inserts a spring into a rigid rod, or by using both these means together.

The inverted pendulum is very sensitive part of control devices that have

many technological applications.

In Sec. 3.6.1, we discussed the general properties of the pendulum with

a vertically oscillating suspension point, described by the equation,

d

2

φ

dt

2

+

1

l

g +aω

2

sin (ωt)

sin φ = 0. (5.1)

We now explain physically

[

6

]

why rapid vertical oscillations of the sus-

pension point make stable the inverted (upward) position of a pendulum.

From the two torques in Eq. (5.1), the torque of the gravitational force

tends to tip the pendulum downward while the torque of the inertial force

93

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

94 The Noisy Pendulum

(averaged over the period ω of rapid oscillations) tends to return the pen-

dulum to the inverted position. If the latter is large enough, the inverted

position of a pendulum will be stable. The quantitative criterion can be

obtained in the following way

[

140

]

. One starts with the ansatz that the

angle φ is the superposition of two components

φ = φ

slow

+φ

fast

, (5.2)

implying

sin φ ≈ sin φ

slow

+φ

fast

cos φ

slow

(5.3)

where the “slow” angle, φ

slow

, has a small variation during a period of

constrained oscillations, whereas the “fast” angle, φ

fast

, is small with zero

mean value, 'φ

fast

` = 0. The angle φ

fast

oscillates with high frequency ω

and has an amplitude proportional to the sine of the momentary value of

φ = φ

slow

,

φ

fast

= −

u (t)

l

sin φ

slow

= −

a

l

sinφ

slow

sin (ωt) . (5.4)

The second equation means that the average value of the gravitational

torque 'mgl sinφ` = 'mgl sin φ

slow

` is the same as for a pendulum with a

ﬁxed suspension point, whereas the average value of the inertial torque

maω

2

l sinφsin (ωt)

=

maω

2

l sin(φ

slow

+φ

fast

) sin(ωt)

≈

maω

2

l sin φ

slow

+maω

2

lφ

fast

cos φ

slow

sin(ωt)

(5.5)

obtains an additional term which is equal to

1

2

ma

2

ω

2

sin φ

slow

cos φ

slow

,

where Eq. (5.3) and sin

2

(ωt) = 1/2 have been used. Comparing the latter

term with the gravitational torque, one concludes that the inertial torque

can exceed the gravitational torque and cause the pendulum to tip up when

the following condition is fulﬁlled,

a

2

ω

2

> 2gl. (5.6)

The latter formula can be rewritten for the dimensionless amplitude and

frequency as

1

2

a

2

l

2

ω

2

ω

2

0

> 1. (5.7)

Adding damping to Eq. (5.1) causes the stability of the inverted state

to decrease while the stability of the downward position is enhanced

[

141

]

.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Inverted Pendulum 95

5.2 The tilted parametric pendulum

In the preceding section, we considered the pendulum with vertical oscilla-

tions of the suspension point. The more general case involves the oscilla-

tory displacement of the suspension point Asin (Ωt) at an arbitrary angle

ψ from the upward vertical (Fig. 5.1). Vertical oscillations correspond to

the special case ψ = 0, whereas for horizontal oscillations ψ = π/2.

Asin(:t)

I

l

\

m

Fig. 5.1 Tilted parametric pendulum.

The equation of motion for this case can be obtained in the same way as

was done for the horizontal oscillations of the suspension axis in Sec. 3.6.2.

The coordinates x, z of the bob are

x = l sin φ +f cos (ωt) sin ψ; z = l cos φ +f cos (ωt) cos ψ. (5.8)

The kinetic energy T and the potential energy U in terms of the coor-

dinates x and z are

T =

1

2

m

¸

dx

dt

2

+

dz

dt

2

¸

=

1

2

m

¸

l

2

dφ

dt

2

−2fωl sin ωt (cos φsin ψ−sinφcos ψ)+f

2

ω

2

sin

2

(ωt)

¸

;

U =−mgl cos φ−mgf cos (ωt) cos ψ.

(5.9)

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96 The Noisy Pendulum

Substituting (5.9) into the Lagrange function L = T −U, and using the

Lagrange equations, one obtains, after adding the damping term,

d

2

φ

dt

2

+γ

dφ

dt

−

g

l

sin φ −

fω

2

l

cos (ωt) sin (φ −ψ) = 0. (5.10)

For ψ = 0 and ψ = π/2, Eq. (5.10) reduces to Eqs. (3.31) and (3.47)

for vertical and horizontal oscillations of the suspension axis, respectively,

as required.

Introducing the dimensionless time ˆ τ = ωt, damping γ/ω = ˆ γ, frequency

ˆ ω = ω

−1

g/l and amplitude

ˆ

f = f/l into (5.10) yields

d

2

φ

dˆ τ

2

+ ˆ γ

dφ

dˆ τ

− ˆ ω

2

sin φ −

ˆ

f cos (ˆ τ) sin (φ −ψ) = 0. (5.11)

We use here two slightly diﬀerent methods of analysis of Eq. (5.11).

First, just as in the previous section, we may divide the motion into fast

and slow, according to Eq. (5.2) and, using the eﬀective potential method,

as in that section, one concludes

[

142

]

that result depends on the value of

parameter Ω, which is equal to the squared ratio of the frequency ω of the

external ﬁeld to the critical angular velocity ω

cr

=

gl/f

2

,

Ω =

ω

2

f

2

gl

. (5.12)

The interesting question is whether there are stable oscillations around

the angle φ

0

for diﬀerent tilted angle ψ. An approximate analytical calcu-

lation

[

142

]

gives the following values of the equilibrium angle φ

0

for given

ψ,

sin φ

0

+

Ω

2

sin[2 (φ

0

−ψ)] = 0. (5.13)

For 1 < Ω < 2, there are stable oscillations near the vertical upward po-

sition although some angles in the range 0 < ψ < π/2, are not stable for

[ψ −φ

0

[ < π/2. For Ω ≥ 2, there are stable oscillations for [ψ −φ

0

[ < π/2

for all ψ. Finally, for Ω ≤ 1, there are no stable oscillations around the

vertical upward position, although for all π/2 <ψ < π, there are stable

oscillations with φ

0

< π.

Another method of analysis of Eq. (5.11), already used in Sec. 4.2.4, is

the application of the method of multiplicative time scales by introducing

three time scales

[

143

]

by scaling the parameters in (5.11) according to

ˆ ω

2

=

2

ω

2

;

ˆ

f = f; ˆ γ = µ (5.14)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Inverted Pendulum 97

with << 1. We seek a solution of Eq. (5.11) of the form

φ(t, ) = φ

0

(t

0

, t

1

, t

2

) +φ

1

(t

0

, t

1

, t

2

) +

2

φ

2

(t

0

, t

1

, t

2

) + (5.15)

where t

0

= ˆ τ, t

1

= ˆ τ, and t

2

=

2

ˆ τ. Substituting Eq. (5.15) into Eq. (5.11)

and equating coeﬃcients of powers of yields

D

2

0

φ

0

= 0, (5.16)

D

2

0

φ

1

+ 2D

0

D

1

φ

0

+µD

0

φ

0

+f sin(φ

0

−ψ) sin (t

0

) = 0, (5.17)

D

2

0

φ

2

+ 2D

0

D

1

φ

1

+ 2D

0

D

2

φ

0

+D

2

1

φ

0

+µ(D

0

φ

1

+D

1

φ

0

)

+ω

2

sinφ

0

+f cos (φ

0

−ψ) φ

1

sin (τ) = 0 (5.18)

where D

n

= d/dt

n

. The general solution of Eq. (5.16) is

φ

0

= c

1

(t

1

, t

2

) t

0

+ c

0

(t

1

, t

2

) . (5.19)

Substituting Eq. (5.19) into Eq. (5.17) yields

D

2

0

φ

1

= −f sin (φ

0

−ψ) sin (t

0

) . (5.20)

The particular solution of Eq. (5.20) is

φ

1

= f sin (φ

0

−ψ) sin (t

0

) . (5.21)

Substituting Eq. (5.21) into Eq. (5.18) gives

D

2

0

φ

2

= −D

2

1

φ

0

−µD

1

φ

0

+ω

2

sinφ

0

−

1

4

f

2

sin 2 (φ

0

−ψ)

+

¸

2f cos (φ

0

−ψ) D

1

φ

0

+µf sin (φ

0

−ψ) sin (t

0

)+

1

4

f

2

sin 2 (φ

0

−ψ) sin 2t

0

.

(5.22)

In the method of multiple time scales, one reduces all secular terms to

zero. In our case, these are terms that do not contain sint

0

or sin 2t

0

,

D

2

1

φ

0

+µD

1

φ

0

−ω

2

sin φ

0

+

1

4

f

2

sin 2 (φ

0

−ψ) = 0. (5.23)

Multiplying (5.23) by

2

, leads to the following equation,

d

2

φ

dt

2

+γ

dφ

dt

− ˆ ω

2

sin φ +

1

4

ˆ

f

2

sin 2 (φ −ψ) = 0. (5.24)

With the help of the method of multiple time scales, Eq. (5.11) reduces

to the much simpler Eq. (5.24). The stability of the equilibrium states

(d/dt

n

= 0) can be easily analyzed

[

143

]

, leading to the following results:

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

98 The Noisy Pendulum

1. The stable equilibrium state depends on the amplitude of an exter-

nal ﬁeld. For large amplitudes, the stable state approaches the excitation

direction (φ = ψ). With decreasing amplitude, the stable state is located

at angles larger than ψ.

2. There is a critical frequency, ω

c

= 0.093

**g/l, such that for ω ω
**

c

,

the upward position of the pendulum is unstable. The stable position is

located in the regime ψ <[ φ [< π/2, which diﬀers from both the up-

ward and the titled direction. With increasing frequency, the inclination of

the pendulum in the stable equilibrium approaches the excitation direction

φ = ψ.

Experiments

[

143

]

are in qualitative agreement with these theoretical

results.

5.3 Random vibrations of the suspension axis

The inverted pendulum becomes stable not only through oscillations of the

suspension axis, but also through its random vibrations. The latter case is

described by the following equation,

d

2

φ

dt

2

+γ

dφ

dt

+

1 +ω

2

ξ (t)

sin φ = 0, (5.25)

where ω

2

is the acceleration of the suspension axis in terms of ω

0

=

g/l,

and the random noise ξ (t) has been chosen

[

145

]

in the form of narrow-

band (1 << λ << Ω) colored noise with a correlator of the form (1.53).

For a non-resonant random force, the ﬂuctuations δφ caused by the random

force are small, δφ << 'φ` . Substituting φ = 'φ` + δφ in (5.25) leads to

the following two equations,

d

2

'φ`

dt

2

+γ

d 'φ`

dt

+ sin 'φ` +ω

2

cos 'φ` 'ξ (t) δφ` = 0,

d

2

δφ

dt

2

+γ

dδφ

dt

+ cos 'φ` δφ +ω

2

ξ (t) sin 'φ` = 0.

(5.26)

The steady-state solutions of Eqs. (5.26), 'φ` = π, δφ = 0, correspond

to the inverted position of the pendulum. One may investigate the stability

of these solutions by linearizing Eq. (5.26) with respect to small deviations

ψ = 'φ` −π and δφ, which gives

d

2

ψ

dt

2

+γ

dψ

dt

−ψ −ω

2

'ξ (t) δφ` = 0, (5.27)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Inverted Pendulum 99

d

2

δφ

dt

2

+γ

dδφ

dt

−δφ −ω

2

ξ (t) ψ = 0. (5.28)

Inserting the steady-state solution of Eq. (5.28) into (5.27), using (1.53)

and the conditions Ω >> 1, γ, λ, leads to

d

2

ψ

dt

2

+γ

dψ

dt

+

Ω

2

σ

2

−1

ψ = 0. (5.29)

It follows from this equation that the mean deviation of the pendulum from

its equilibrium inverted position will decay, and the inverted pendulum will

be stable if

Ω

2

σ

2

> 1. (5.30)

The latter condition remains the stability condition (5.7) of the pendulum

with periodic oscillations of the suspension axis.

New phenomena appear if one introduces additive white noise η (t) into

Eq. (5.25),

d

2

φ

dt

2

+γ

dφ

dt

+

1 +ω

2

ξ (t)

sin φ = η (t) . (5.31)

In the presence of additive noise η (t) , an additional maximum and mini-

mum appear in the probability distribution function P (φ, dφ/dt) described

by the Fokker-Planck equation. To see this, let us again use the “slow”

variable 'φ` and the “fast” variable δφ. The narrow-band random process

ξ (t) can be represented by the “slow” variables ξ

1

(t) and ξ

2

(t) , deﬁned by

ξ (t) = ξ

1

(t) cos (Ωt) + ξ

2

(t) sin (Ωt) . (5.32)

Similarly, one can write δφ through the “slow” variables A(t) and B(t),

δφ = A(t) cos (Ωt) + B(t) sin (Ωt) . (5.33)

Substituting φ = 'φ` + δφ, inserting Eqs. (5.32) and (5.33) into (5.31),

and equating the slowly varying component and the coeﬃcients of cos (Ωt)

and sin (Ωt), one obtains

[

145

]

equations for 'φ`, A and B. For Ω >> 1, γ,

one ﬁnds

A ≈ ξ

1

sin 'φ` ; B ≈ ξ

2

sin 'φ` (5.34)

and the following equation for 'φ` ,

d

2

'φ`

dt

2

+γ

d 'φ`

dt

+ sin 'φ` +

ω

2

sin 2 'φ`

2

σ

2

= η (t) . (5.35)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

100 The Noisy Pendulum

The steady-state solution of the Fokker-Planck equation, corresponding

to the Langevin equation (5.31), has the following form

[

145

]

P ('φ` , d 'φ` /dt) = N exp

1

D

d 'φ`

dt

2

+

¸

2

D

cos 'φ` +

Ω

2

σ

2

2D

cos 2 'φ`

¸

(5.36)

where D is the strength of the white noise and N is the normalization

constant. For Ω

2

σ

2

> 1, the function P (φ, dφ/dt) has two maxima (for

'φ` = 0 and 'φ` = π) and one minimum (for 'φ` = arccos(−1/Ω

2

σ

2

)),

whereas for Ω

2

σ

2

< 1, there is one maximum (at 'φ` = 0) and one

minimum (at 'φ` = π). Thus, random vibrations of the suspension axis

causes metastability, in addition to stabilizing the inverted position of the

pendulum.

5.4 Spring pendulum

As we have seen in Sec. 5.1, when condition (5.6) is satisﬁed, the oscillation

of the suspension point makes the upward position stable. Another way to

accomplish this is to replace the rigid pendulum by a spring, as discussed

in Sec. 3.7. A new reservoir of energy then appears, that of a stretched,

but not bent spring. Just as for the kinetic-potential energy transition in a

simple pendulum, during the oscillations of a spring pendulum, the elastic

energy of the spring switches back and force to the mechanical energy of

oscillations

[

146

]

.

A spring pendulum becomes unstable when the driving force X

2

in

(3.73), of frequency 2ˆ ω

0

, is of order of the characteristic frequency ω

s

.

This becomes obvious in the case of dominant spring mode X << Z

[

147

]

.

Neglecting the nonlinear term in (3.73), one obtains

Z = a cos (ω

s

t) . (5.37)

Substituting (5.37) into (3.72) produces the Mathieu equation

d

2

X

dt

2

+

¸

ˆ ω

2

0

−a

ˆ ω

2

0

−ω

2

s

l

cos (ω

s

t)

X = 0. (5.38)

When ω

s

/ˆ ω

0

= 2/n, where n = 1, 2..., the solutions of Eq. (5.38) are

unstable even for small values of a, Since ω

s

> ˆ ω

0

, n = 1 and the instability

occurs at

ω

s

= 2ˆ ω

0

. (5.39)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Inverted Pendulum 101

The occurrence of instability can be also seen from Eq. (3.73), when one

takes into account that a resonance type of coupling occurs when X

2

has

spring velocity ω

s

. This will be the case when condition (5.39) is satisﬁed

since squaring a sinusoidal function doubles its frequency.

Since the pendulum is a conservative system, the resonant growth of

one mode occurs at the expense of the other mode. Therefore, the energy

transfers back and forth between these two modes (autoparametric reso-

nance). It follows that when the spring frequency ω

2

s

= κ/m is about twice

the pendulum frequency ˆ ω

2

0

= g/l, a spring pendulum performs periodic

oscillations about its upper vertical position. Condition (5.39) implies that

the spring pendulum oscillates in such a way that the spring goes up and

down twice during one oscillation of the pendulum.

5.5 Spring pendulum driven by a periodic force

This analysis is a generalization of the analysis considered in preceding

sections of a pendulum with the oscillating suspension point and a spring

pendulum. The analytic solution of the linear problem and numerical sim-

ulation of the non-linear equations yield new results, such as a new type of

resonance between the frequency of a spring and that of an external force,

and the appearance of limit cycle oscillations near the upper position of the

pendulum.

It is convenient to rewrite the Lagrangian (3.63) in polar coordinates R

and φ, deﬁned as z = Rcos φ, x = Rsin φ,

dx

dt

2

+

dz

dt

2

=

dR

dt

2

+

R

dφ

dt

2

(5.40)

and

L =

m

2

¸

dR

dt

2

+

R

dφ

dt

2

¸

−m

g +

d

2

u

dt

2

Rcos φ −

κ

2

(R −l

0

)

2

(5.41)

with R =

X

2

+ (Z +l

0

+g/ω

2

s

)

2

.

According to Eq. (5.41), the suspension point performs vertical oscilla-

tions u (t) = a cos (Ωt) .The suspension point has acceleration d

2

u/dt

2

rel-

ative to our inertial frame of reference. We introduce a non-inertial frame

which itself has this acceleration. Therefore, in this non-inertial frame,

gravity g is replaced by g+ d

2

u/dt

2

. Such is indeed the case in Eq. (5.41).

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

102 The Noisy Pendulum

When the bob starts to oscillate near the downward position, one easily

obtains

[

148

]

from (5.41) the following equations of motion for ˆ r and

ˆ

φ =

π −φ,

d

2

ˆ r

dt

2

+

¸

ω

2

s

−

dφ

dt

2

¸

ˆ r =

1 +

ω

2

0

ω

2

s

dφ

dt

2

−ω

2

0

(1 −cos φ) +

d

2

ˆ u

dt

2

cos φ,

(5.42)

d

2

ˆ

φ

dt

2

+

2

1 +ω

2

0

/ω

2

s

+ ˆ r

dˆ r

dt

d

ˆ

φ

dt

+

1

1 +ω

2

0

/ω

2

s

+ ˆ r

ω

2

0

+

d

2

ˆ u

dt

2

sin

ˆ

φ = 0,

(5.43)

where ˆ u(t) = u(t)/l

0

, and the dimensionless relative elongation ˆ r of the

pendulum is given by

ˆ r =

R

l

0

−

1 +

ω

2

0

ω

2

s

. (5.44)

When the bob starts to oscillate near the upper vertical position, one ob-

tains the following equations of motion for r and φ,

d

2

r

dt

2

+

¸

ω

2

s

−

dφ

dt

2

¸

r =

1 −

ω

2

0

ω

2

s

dφ

dt

2

+ω

2

0

(1 −cos φ) −

d

2

ˆ u

dt

2

cos φ,

(5.45)

d

2

φ

dt

2

+

2

1 −ω

2

0

/ω

2

s

+r

dr

dt

dφ

dt

−

1

1 −ω

2

0

/ω

2

s

+r

ω

2

0

+

d

2

ˆ u

dt

2

sinφ = 0,

(5.46)

where the dimensionless relative elongation r of the pendulum is given by

r =

R

l

0

−

1 −

ω

2

0

ω

2

s

. (5.47)

As expected, the equations of motion near the upper position, (5.45) and

(5.46), diﬀer from the equations near the downward position, (5.42) and

(5.43), by the signs of ω

2

0

and ˆ u.

Note that Eqs. (5.45) and (5.46) are written for the relative elongation

r, and not for the polar coordinate R

[

149

]

. When rewritten in terms of R,

these equations take the standard form for ˆ u = 0.

The linearized equation (5.46) with ˆ u = (a/l

0

) cos (Ωt) , written in di-

mensionless time τ = Ωt, is the Mathieu equation,

d

2

φ

dτ

2

−

1

1 −ω

2

0

/ω

2

s

¸

ω

2

0

Ω

2

−

a

l

0

cos (τ)

φ = 0. (5.48)

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Inverted Pendulum 103

There exists a comprehensive literature concerning Mathieu equations of

the general form

d

2

φ

dt

2

+γ

dφ

dt

+ [α +β cos (t)] φ = 0. (5.49)

For small amplitude β of an external ﬁeld, the ﬁrst zone of stability is

bordered from below by the curve

[

150; 151

]

α = −0.5β

2

. (5.50)

In terms of the parameters in (5.48), this curve is

a

2

Ω

2

= 2l

2

0

ω

2

0

1 −ω

2

0

/ω

2

s

= 2gl

0

1 −ω

2

0

/ω

2

s

(5.51)

which, for the rigid pendulum (ω

s

= ∞), coincides with the curve obtained

in Sec. 5.1 by a diﬀerent method. For the upper border of the stability

region, one has

[

150; 151

]

, α = 0.25 −0.556β, which corresponds to

Ω

2

ω

2

0

=

¸

0.556

a

l

0

−0.25

1 −

ω

2

0

ω

2

s

. (5.52)

The inverted pendulum has vertical oscillations of the suspension point,

u = Acos (Ωt). These oscillations cause the upward position to become

stable if the following condition is fulﬁlled,

A

2

Ω

2

> 2gl ≡ 2ω

2

0

l

0

l. (5.53)

Due to elastic stress and gravity, the length l of a spring pendulum

in the upward position decreases from its initial length l

0

. According to

Eq. (3.59), l = l

0

1 −ω

2

0

/ω

2

s

**. Substituting into (5.53), one can rewrite
**

the boundary of stability of the upward position of a pendulum,

A

2

l

2

0

= 2

ω

2

0

Ω

2

1 −

ω

2

0

ω

2

s

. (5.54)

It is clear that the amplitude of the external oscillations A cannot be larger

than the length l of a pendulum, which means that for the maximum pos-

sible amplitude A = l

0

, Eq. (5.54) gives Ω

2

> 2ω

2

0

/

1 −ω

2

0

/ω

2

s

.

The spring results in new eﬀects, in addition to the transition from

(5.53) to (5.54). The following two new eﬀects have not yet been suﬃciently

explored.

1. If the characteristic frequency of driving force Ω is comparable to

the characteristic frequency of the spring, ω

s

, resonance phenomena take

place (especially for small φ), and the pendulum becomes unstable. The

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

104 The Noisy Pendulum

impact of this resonance on the lower stability-instability curve is expressed

by the replacement of (5.53) by (5.54). However, its inﬂuence on the upper

stability-instability curve is much more appreciable. Indeed, according to

the linear analysis of the Mathieu equation, these two curves, described by

Eqs (5.51) and (5.52), have opposite slope at small A/l

0

. In that case, the

upper curve crosses the Ω − ω

s

resonance curve, and the system becomes

unstable. Hence, we expect that the nonlinear analysis will produce an

upper stability-instability curve substantially diﬀerent from the linear result

(5.52).

2. Comparison of Eqs. (5.42) and (5.45) shows that in the linear ap-

proximation, the time dependence of the elongation r (t) is determined by

an external ﬁeld, and the inﬂuence of the angular mode for small φ is de-

scribed by the term r (dφ/dt)

2

. The latter means that for small φ(t = 0),

say, only 10

−4

, the appropriate r (t) not need be small. On the other hand,

an external ﬁeld enters Eq. (5.48) multiplicatively, thereby exerting much

weaker control over φ(t) than over r (t) . Hence, a small initial φ(t = 0) will

remain small for all t.

We conclude that the above linear stability analysis based on the Math-

ieu equations and power-type coupling of oscillatory modes is not complete,

and one must obtain the numerical solution of the full nonlinear equations.

Such a numerical analysis was performed using the MathCad program with

the help of the built-in function “diﬀerential equation solver”. For this

purpose, the system of two equations of motion, (5.45) and (5.46), was

transformed into a system of four ﬁrst-order diﬀerential equations,

˙ r = P

r

,

˙

P

r

= −ω

2

s

r +

1 −ω

2

0

/ω

2

s

+r

P

2

θ

+ω

2

0

(1 −cos φ) −

d

2

ˆ u/dt

2

cos φ,

˙

φ = P

φ

,

˙

P

φ

= −

1 −ω

2

0

/ω

2

s

+r

−1

2P

r

P

φ

−

ω

2

0

+d

2

ˆ u/dt

2

sin φ

.

(5.55)

One can draw the dimensionless stable-unstable phase diagram in

¦Ω/ω

s

, A/l

0

¦ variables (for constant ω

0

), showing that the stability region

is bounded by three straight lines and vanishes at large amplitudes A (see

Fig. 5.2(a)).

An additional cut-oﬀ appears at small A, where the parabola Ω ≈ A

−1

approaches the horizontal line Ω/ω

s

= 1. The latter condition implies the

appearance of a resonance when the frequency Ω of the driving force is equal

to eigenfrequency ω

s

of the spring, leading to a loss of stability. Therefore,

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Inverted Pendulum 105

0.05 0.10 0.15 0.20

0.5

0.6

0.7

0.8

0.9

A/l

0

:Z

s

0.0 0.2 0.4 0.6

0.0

0.2

0.4

0.6

0.8

1.0

:Z

s

A/l

0

(a) (b)

Fig. 5.2 (a) Dimensionless stable-unstable phase diagram in {Ω/ω

s

, A/l

0

} variables for

constant ω

0

/ω

s

= 0.1, obtained from numerical solutions of the full nonlinear equation

system (5.55). The hatched region corresponds to stable oscillations of the inverted

pendulum; (b) Dashed-dot lines are the instability-stability curves described by empirical

Eqs. (5.56) (lower curve) and (5.54) (upper curve) which closely coincide to the top of the

lower and upper boundary of the stability region, and the dashed lines describe the lower

instability-stability boundary of the rigid pendulum with the small corrections given

by (5.54).

the parabola Ω ≈ A

−1

does not go to inﬁnity, as was the case for a rigid

pendulum (ω

s

= ∞), but rather approaches the line Ω = ω

s

. In this

transition region, the boundary of stability (5.54) can be replaced by the

empirical formula

A

2

l

2

0

= 2

ω

2

0

ω

2

s

1 −

ω

2

0

ω

2

s

ω

2

s

Ω

2

−1

,

(5.56)

which reduces to (5.54) for small Ω/ω

s

, and describes the resonance Ω ·

ω

s

for small A. The diﬀerence (for small A) and congruence (for large

A) between the curves described by Eqs. (5.54) and (5.56) are shown in

Fig. 5.2b.

Analogously, the dimensionless stable-unstable phase diagrams can be

drawn in the variables ¦Ω/ω

s

, ω

0

/ω

s

¦ (Fig. 5.3).

The lower lines, deﬁning the stability region on these diagrams, are

accurately described by Eq. (5.56). The congruence (for ω

0

<< ω

s

) and

diﬀerence (for larger ω

0

< ω

s

) between the curves described by Eqs. (5.54)

and (5.56) are shown in Fig. 5.3(b).

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

106 The Noisy Pendulum

0.00 0.04 0.08 0.12

0.0

0.2

0.4

0.6

Z

0

Z

s

:Z

s

0.00 0.04 0.08 0.12

0.0

0.2

0.4

0.6

0.8

:Z

s

Z

0

Z

s

(a) (b)

Fig. 5.3 Same as for Fig. 5.2, but in {Ω/ω

s

, ω

0

/ω

s

} variables for A/l

0

= 0.2.

The numerical solutions of the full nonlinear Eqs. (5.55) exhibit some

special features that cannot be obtained from the linear analysis. The latter

give lower and upper lines deﬁning the stability region, whereas the former

show some “ﬁne structure” of the stable solutions. For small ﬁxed A/l

0

,

say, A/l

0

= 0.1, upon increasing Ω/ω

s

, one obtains only unstable solutions

for Ω/ω

s

< 0.802. At Ω/ω

s

= 0.802, one crosses the lower stable-unstable

line passing to stable solutions, and ﬁnally, for Ω/ω

s

= 0.829, one returns

to an unstable region. However, there are diﬀerent types of stable solutions

in the regime 0.802 < Ω/ω

s

< 0.829. For initial displacement φ

0

= 10

−4

,

the oscillations have amplitude of the same order for 0.802 < Ω/ω

s

< 0.826

(see Fig. 5.5, where Ω/ω

s

= 0.810), whereas for 0.826 < Ω/ω

s

< 0.829, the

same initial condition leads to limit cycles oscillations of large amplitude

(see Fig. 5.6, with Ω/ω

s

= 0.828). The analogous situation occurs for

A/l

0

= 0.2. For initial displacement φ

0

= 10

−4

, the oscillations have

amplitude of the same order for 0.576 < Ω/ω

s

< 0.696, whereas for 0.696 <

Ω/ω

s

< 0.699, the same initial condition leads to limit-cycles oscillations

of large amplitude. At A/l

0

= 0.23, the stability regime (0.563 < Ω/ω

s

<

0.654) is divided into three parts: for initial displacement φ

0

= 10

−4

and for

0.578 < Ω/ω

s

< 0.652, the oscillations have amplitudes of the same order,

whereas for 0.563 < Ω/ω

s

< 0.578 and for 0.652 < Ω/ω

s

< 0.654, the

same initial condition leads to limit-cycles oscillations of large amplitude.

And at A/l

0

= 0.23, the small initial displacement φ

0

= 10

−4

results in

limit-cycles oscillations of large amplitude throughout the stability regime,

0.587 < Ω/ω

s

< 0.659.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Inverted Pendulum 107

0 10 20 30 40 650 675 700

-0.5

0.0

0.5

1.0

r(t)

Z

s

t

0 50 550 600 650 700

-10

-8

-6

-4

-2

0

2

T(t)

Z

s

t

I(t)

Fig. 5.4 Time dependence of the radial, r (t), and angular, φ(t), coordinates for Ω/ω

0

=

0.848, at φ(t = 0) = 10

−4

and r(t) = 0 for A/l

0

= 0.1, showing the instability of φ(t).

0 100 200 300 400

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

T(t)u10

4

Z

s

t 0 20 40 60 80

-0.3

-0.2

-0.1

0.0

0.1

0.2

0.3

r(t)

Z

s

t

I(t)

Fig. 5.5 Small oscillations which are the stable solutions of the nonlinear equations

of motion for an initial disturbance φ(t = 0) = 10

−4

and r(t) = 0, for A/l

0

= 0.1,

Ω/ω

s

= 0.846.

The inclusion of damping probably leads to the disappearance of small

oscillations and a shift of the limit cycles. For larger A/l

0

, this phenomenon

— alternation of small oscillations and limit cycles — occurs many times

in the stable regime of the parameters. Note that such oscillations have

been found for the rigid pendulum for non-small initial disturbances

[

152

]

.

Analogous to Fig. 5.3, the ¦Ω/ω

s

, ω

0

/ω

s

¦ dependence is described by a

straight line that changes its form close to resonance, Ω = ω

s

, according to

Eq. (5.56).

Thus far, we have considered the undamped Mathieu equation. The

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

108 The Noisy Pendulum

1200 1400 1600 1800

-0.3

-0.2

-0.1

0.0

0.1

0.2

0.3

T(t)

Z

s

t 0 20 40 60 80

-0.3

-0.2

-0.1

0.0

0.1

0.2

0.3

r(t)

Z

s

t

I(t)

Fig. 5.6 Stable limit-cycle oscillations which are the stable solutions of the nonlinear

equations of motion for an initial disturbance φ(t = 0) = 10

−4

and r(t) = 0, for A/l

0

=

0.1, Ω/ω

s

= 0.847.

qualitative inﬂuence of the damping term γdφ/dt in the Mathieu equa-

tion (5.49) is the following. The amplitude-frequency phase diagram of an

external ﬁeld for the undamped Mathieu equation has alternating stability-

instability regimes down to zero

[

150

]

. This means that by changing the fre-

quency of the ﬁeld, the transitions between stability and instability regimes

occurs for even inﬁnitesimal driving values of the amplitude. However, in

the presence of damping, the stability-instability boundaries do not extend

to the frequency axis. This implies that destabilization of the n-th mode

will only occur starting from a non-zero value of the driving amplitude (in

fact, β has to exceed β

cr

≈ γ

1/n

)

[

150

]

. Numerical analysis of the impact

of damping has been carried out

[

52

]

for ω

s

= ∞.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Chapter 6

Conclusions

Just as the harmonic oscillator is the simplest linear model, so the pendu-

lum is one of the simplest nonlinear models. Both these models are widely

used for the description of diﬀerent phenomena in physics, chemistry, biol-

ogy, economics and sociology. Since the majority of phenomena in Nature

are nonlinear, using nonlinear models is most appropriate, although the

price we have to pay for using these models is their complexity. As an

illustration of this complexity, consider the response of a system to an ex-

ternal periodic force. The well-known resonance in linear systems implies

the unbounded increase, say, of the amplitude of the harmonic oscillator,

when the frequency of an external ﬁeld is equal to the characteristic fre-

quency of the oscillator. On the other hand, when such a situation occurs

for a nonlinear system, the amplitude of the pendulum oscillations starts to

increase, but the synchronization of frequencies breaks down since, in con-

trast to linear systems, the frequency of a nonlinear system depends on the

amplitude of its motion. Another diﬀerence of fundamental importance be-

tween linear and nonlinear systems is the possibility of deterministic chaos

in nonlinear systems, which shows the deep relationship between determin-

ism and stochasticity, which, like relativity and quantum mechanics, goes

far beyond the scope of science and forms an important part of our world

outlook. Although pendulum dynamics is described by deterministic equa-

tions, deterministic chaos inﬂuences the motion of the pendulum due to

an exponential change with time upon a very small change in the initial

conditions. In any experiment, the initial conditions are known only to

restricted accuracy and, therefore, “deterministic chaos” manifests itself in

a deterministic equation. In this way, chaotic solutions show “randomlike”

behavior.

The equation of motion (1.1) of the simple mathematical pendulum

109

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

110 The Noisy Pendulum

has periodic solutions with the period depending on the initial conditions.

Only for the simple case of small oscillations, sinφ ≈ φ, does the linearized

equation have a single sinusoidal solution. Adding the periodic external

force to the pendulum equation leads to the appearance of both regular

and chaotic solutions. The values of the damping and the constant torque

inﬂuence the choice between these two types of solutions, as described in

the appropriate sections of this book. All phenomena in Nature are subject

to random perturbations which are described by adding a random force to

the deterministic equations. Such forces may be of internal origin, such as

thermal noise at non-zero temperatures, or the source of (external) noise

may be due to random changes in the surrounded media. Accordingly, these

sources of noise appear in additive or multiplicative form. The inﬂuence of

noise on pendulum dynamics has been discussed in this book. As a rule,

these sources of noises are independent, although sometimes one has to

consider their correlation if they have a common source, or if the external

noise is so strong that it changes the structure of the system and, hence,

inﬂuences internal noise. The addition of random internal or external noise

has a diﬀerent inﬂuence on the regular and the chaotic solutions. The

diﬀerent inﬂuences of the internal and external noises may be illustrated

on the joint action of deterministic chaos and noise. When deterministic

chaos gives rise to chaotic trajectories, only the external noise is able to

transform these trajectories from chaotic to regular.

Neglect of inertial eﬀects facilitates the analysis of the pendulum equa-

tion. Under certain conditions, an overdamped pendulum is able to derive

energy from the source of noise and transfer it into deterministic motion

without any external driving force. The second law of thermodynamics

forbids such processes in equilibrium systems, but, as we have shown, they

may occur when the potential energy or noise are asymmetric, or when a

correlation exists between additive and multiplicative noise.

The model of the noisy pendulum is used for the description and expla-

nation of many phenomena. Some of these applications have been described

in Sec. 1.1 (Brownian motion in a periodic potential, Josephson junction

and ﬂuxon motion in superconductors, charge density waves, laser gyro-

scope, synchronization phenomena, parametric resonance in anisotropic

systems, Frenkel-Kontorova model in semiconductors, solitons in optical

lattices). For the reader’s convenience, we supplement this list by a series

of additional applications of the pendulum model: chemical reactions

[

153;

154

]

, biophysics (neural activity

[

155

]

, intracellular transport

[

45

]

, oscilla-

tions in the visual cortex

[

156

]

, penetration of biological channels by ions

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Conclusions 111

[

157

]

), superionic conductors

[

158

]

, plasma physics

[

159

]

, surface diﬀusion

[

160

]

, electrophoresis

[

161

]

, rotation of molecules in solids

[

162

]

, dielectric

relaxation

[

163

]

, polymer dynamics

[

164

]

, engineering (ship dynamics

[

165

]

,

gravitational gradient pendulum

[

166

]

), matter-antimatter asymmetry in

the universe

[

167

]

. The above list is only a small part of the hundreds

of articles describing diﬀerent applications of the pendulum model. The

well-known successful example of ignoring navigation devices, based on the

pendulum model, was the voyage of Christopher Columbus which resulted

in the discovery of America. At the same time, many positive changes in

our life are due to the technological applications of the deep understanding

of pendulum dynamics. This subject still attracts great interest.

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

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August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Bibliography

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114 The Noisy Pendulum

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August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

Index

action-angle variables, 4

adiabatic approximation, 31

angular velocity, 25

anisotropic potential, 69

anomalous, 49

applications, 110

asymmetric trajectory, 82

autoparametric resonance, 63, 87, 101

bistability, 43

colored noise, 98

deterministic chaos, 77, 78

deterministic chaos and noise, 81

diﬀusion, 49

diﬀusion is anomalous, 48

dynamic stabilization, 91

eﬀective potential method, 96

elliptic integrals, 7

fast, 94, 99

ﬁxed points, 9

Floquet theorem, 59

ﬂuctuation-dissipation theorem, 47

Fokker-Planck equation, 16, 23

Fokker-Planck equations, 35

harmonic balance method, 55

hysteresis, 43, 79

integral equation, 55

isochronism, 6

Jacobi elliptic functions, 4

Langevin equation, 16

limit cycle oscillations, 101

lock-in phenomenon, 40

locked, 48, 75

locked trajectories, 3

Mathieu equation, 17, 100, 102

method of multiple, 96

method of multiple scales, 82

mobility, 47, 67

model, 110

narrow-band, 98

narrow-band colored noise, 15

order-chaos-order transitions, 64

Orenstein-Uhlenbeck, 52

Ornstein-Uhlenbeck noise, 15

oscillating, 5

oscillatory modes, 63

pendulum, 110

period, 5

period T, 8

period of oscillation, 6

periodic telegraph signal, 41

phase plane, 2

119

August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General

120 The Noisy Pendulum

phenomenon, 48

quenched disorder, 50

random telegraph signal, 15

rotational number, 55

running trajectories, 48

scales, 96

scaling analysis, 6, 7

separatrix, 3

Shapiro steps, 40, 79

Shapiro-Loginov procedure, 15

slow, 94, 99

spring, 63

square-wave pulses, 20

symmetric trajectory, 82

Trajectories, 3

trajectories, 77

voltage-current characteristic, 25

washboard potential, 19, 21

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Israel World Scientific NEW JERSEY • LONDON • SINGAPORE • BEIJING • SHANGHAI • HONG KONG • TA I P E I • CHENNAI .Moshe Gitterman Bar-Ilan University.

Suite 401-402.Published by World Scientific Publishing Co. may not be reproduced in any form or by any means. Pendulum. without written permission from the Publisher. 4. Copyright © 2008 by World Scientific Publishing Co. paper) ISBN-10: 981-283-299-8 (hardcover : alk. or parts thereof. Noise.324--dc22 2008032349 British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library. ISBN-13: 978-981-283-299-3 (hardcover : alk. Title. London WC2H 9HE Library of Congress Cataloging-in-Publication Data Gitterman. Ltd. 5 Toh Tuck Link. All rights reserved. Includes bibliographical references and index. Singapore 596224 USA office: 27 Warren Street. 3. Danvers. cm. . NJ 07601 UK office: 57 Shelton Street. p. Hackensack..P4. In this case permission to photocopy is not required from the publisher. electronic or mechanical. I. M. Printed in Singapore. USA. Pte. Mechanics. Ltd. Inc.G58 2008 531'. including photocopying. 222 Rosewood Drive. please pay a copying fee through the Copyright Clearance Center. Covent Garden. Physics. Pte. The noisy pendulum / Moshe Gitterman. 2. This book. For photocopying of material in this volume. QA862. recording or any information storage and retrieval system now known or to be invented. paper) 1. MA 01923.

This discovery had important implications for the measurement of time intervals1 . and a year later. when the 17 year-old Galileo Galilei watched a suspended lamp swinging back and forth in the cathedral of Pisa. v 1 As . which he called a “pulsilogium”. but the time was the same. the faster the motion. respectively. Therefore. signifying the cardinal direction where the earthquake was located (and where government aid and assistance should be swiftly sent). that it took the same number of pulse beats for the chandelier to complete one swing. no matter how large the amplitude. and found. In 1602.Preface Although every modern house has a TV set and a computer. a few other famous scientists continued the analysis of the pendulum. The invention of this clock goes back to 1581. The larger the swing. a physician in Venice. is known to have described an early pendulum in the 10th century [1]. a small ball would fall out of the urn-shaped device into a metal toad’s mouth. Galilei explained the isochronism of long pendulums in a letter to a friend. another friend. Also. one can still ﬁnd here and there. time could be measured by the swing of a pendulum – the basis for the pendulum clock. the period of rotation and oscillation with ﬁnite amplitude were calculated by Huygens (1673) and by Euler (1736). one of the earliest uses of the pendulum was in the seismometer device of the Han Dynasty (202 BC – 220 AD) by the scientist and inventor Zhang Heng (78 – 139). Its function was to sway and activate a series of levers after being disturbed by the tremor of an earthquake. the main idea of a pendulum is widely used today to describe the oscillation of prices in the stock market or the a matter of fact. an Arabian scholar. Following Galilei. After being triggered. to his surprise. Santorio Santorino. Ibn Vinus. Although the legend of how Galilei discovered this property of the simple pendulum is probably apocryphal. a grandfather wall clock going tick-tock. began using a short pendulum. For example. to measure the pulse of his patients.

1. The aim of the present book is to give the “pendulum dictionary”. Part 1 is comprised of three sections. 2. It can be useful for a wide group of researchers working in diﬀerent ﬁelds where the pendulum model is applicable. A harmonic oscillator is the simplest linear model. including recent (up to 2007) results. 2. 1. scientists use the concept of a pendulum in a much more comprehensive sense. Part 3 is devoted to the underdamped pendulum. For the underdamped pendulum driven by a periodic force. 3.1 contains the description and solution of the dynamic equation of motion for the simple mathematical pendulum oscillating in the ﬁeld of gravity. chemistry. The addition of additive and multiplicative noise.1). thereby reducing the second-order diﬀerential equation to one of ﬁrst-order.2). The description of noise as used in the book is given in Sec. The organization of the book is as follows. which are presented in Sec. a new phenomenon . The analytical solution of the overdamped deterministic pendulum is described in Sec. 3.comes into play. From the enormous literature it is worth mentioning the bibliographic article [2]. economics and communication theory. 2. 1. but most. Part 2 describes the properties of the overdamped pendulum. and the simplest model for their description is a pendulum. The simple overdamped case for which one neglects the inertial term is considered ﬁrst. and one has to take into account the delicate balance between this chaos and the inﬂuence of noise. including the eﬀect of friction (Sec. However. provide the subject of Sec. easy-going style. which creates a torque.3. in particular. multiplicative noise (Sec. 1.4).2. We hope that teachers and students will ﬁnd some useful material in this book. and the recent book [4] written in a free.3).vi The Noisy Pendulum change of mood of our wives (husbands). if not all physical processes are nonlinear. 3. both white and dichotomous. the analytic solution for a periodic force having the form of a pulsed signal. considering it as a model for a great diversity of phenomena in physics. Tremendous eﬀort has gone into the study of the pendulum.3. the International Pendulum conference [3]. in which calculations alternate with historical remarks.5).deterministic chaos . An overdamped pendulum subject to a periodic torque signal is described in Sec.2. No preliminary knowledge is assumed except for undergraduate courses in mechanics and diﬀerential equations. 3. Sec. and an . overall forces (Sec. additive noise (Sec. the periodically driven pendulum (Sec. 3. This equation is isomorphic to a model description of diﬀerent phenomena.

Deterministic chaos leads to “noise-like” solutions. which explains why this chapter appears in the noisy pendulum book.4. 5. while the joint eﬀect of these factors is described in Sec. I ask the forgiveness of the authors whose publications remain beyond the scope of this book. 3.5. there are a tremendous number of published articles devoted to the pendulum (331 articles in the American Journal of Physics alone). . I have not described all these articles.6). in spite of the fact that the majority of results presented in this book are related to nonintegrable equations which demand numerical solutions. New phenomena (chaos control. These three cases are considered in Secs.Preface vii oscillating suspension point (Sec. The inverted position can be stabilized either by periodic or random oscillations of the suspension axis or by the inﬂuence of a spring inserted into a rigid rod. 3.1. Second. 4. Even then.8. resonance-type phenomena are considered in Sec. In order not to increase unduly the size of this book and to keep it readable. The general concepts are introduced in Sec. 3. 5. Part 4 is devoted to a description of the phenomenon of deterministic chaos.3. 4. Part 5 contains the analysis of the inverted pendulum. 4. we consider only a single one-dimensional classical pendulum. The spring pendulum is described in Sec. we present our conclusions.1–5. and the transition to chaos for diﬀerent cases provides the subject matter for Sec. erratic motion and vibrational resonance). we are not discussing technical questions concerning the methods and accuracy of numerical calculations. First. The quantum pendulum and interactions between pendula are beyond the scope of this book. Finally. are considered in Sec.7.2. Two comments are appropriate. Finally. which are caused by an addition of a second periodic force.

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. . . . . . . . . . . . . . 2.2. . . . .2. . . . 1.4 Multiplicative dichotomous noise ix v 1 . .2 Isomorphic models . . . . .2. . . . . . . . . . . 1. .1 Brownian motion in a periodic potential . . . .1 Mathematical pendulum . . . .2. . . . 1. . . . . .2. Formulation of the Problem 1. 19 20 21 23 30 33 . . .2.2. 1. . . . . . . . 1 10 10 10 11 11 12 12 12 13 13 13 13 15 15 19 . . . 1. .2. . . .3. . . . . . . . . . . . . . . . . . . . . . . . . . . . .3 Noise . . . 2. . . . . . 1. . . . . . . . . . . . .3 Langevin and Fokker-Planck equations . .3. . . . . . . .Contents Preface 1. . . .2 Additive and multiplicative white 2. . . . . . .9 Solitons in optical lattices . . . . . . 2. . . .3 Additive dichotomous noise . . . . noise . . . . . . . . . . . . . .8 The Frenkel-Kontorova model (FK) . . . . . . . . .3. . . . . . . . . . Overdamped Pendulum 2. . . . . .1 Additive white noise . 1.1 White noise and colored noise . .2 Dichotomous noise . . . . . . . . . . . 1. .2. . . . .1 Deterministic motion . . . .2. .4 Charge density waves (CDWs) . . . . . . . . . . . . . . . . . . 2. . . . . . . . .2. . . . . . 2. . . . . . . . . . . . . . . .6 Synchronization phenomena . . .2 Josephson junction . 1. . . . . . . . . . . . . . . . . . . . .2. 1. .2 Inﬂuence of noise . . . . . . . . . . .3 Fluxon motion in superconductors . .2. . . . . . . . . . .7 Parametric resonance in anisotropic systems 1.5 Laser gyroscope . . . . . . . . . . . . 1. . . . . . . . 1. . 1.

. . . . . . . . . . . .5 Joint action of multiplicative noise and additive noise . . . . . periodic force and noise . . . .3 Correlation function . . . . . . . . . . . . . .5 Period doubling and intermittency . . . . . .2 Transition to chaos . . . . 3. . .2. . . . . . .6. . . .1. . . . 3. . . . . .x The Noisy Pendulum 2. . . . . . .3 Ratchets . . . . . . .8. 3. . . . . . . . . . . . . . . . 3.2 Pendulum with multiplicative noise . . . . . . . .1 Stochastic resonance (SR) . . . . . . . . . . . . . . . . . . 2. . . Underdamped Pendulum . . . . . . .3. .3 Pendulum with additive noise .5 Damped pendulum subject to constant torque. . . . . . . 4. . . . . . . . . . . .1 Pendulum with constant torque . . . . . . . . . . . . . . 3. . .7 Spring pendulum .3. . . . . . . 3. 2. . . . . . . . . . . 4. . 4.8. . . . . . . . . . . . . 4. .1 General concepts . . . . . .3 Pendulum with parametric damping . . . . . . . .2 Damped pendulum subject to constant torque and noise . Deterministic Chaos 4. . . 3. . . . . . . . . . . . 3. . . . . . . . . . . . . . 3. 3. . . .1 Deterministic equation . 3. . . 34 37 39 39 40 41 43 43 45 46 46 47 49 52 53 53 57 57 60 66 66 68 68 70 71 3. . 3. . . . . . . . . . . . . . . . . . . . . .2 Lyapunov exponent . . . . .6 Pendulum with oscillating suspension point . . . .1 Damped pendulum subject to additive noise . . . .1 Poincare sections and strange attractors 4. . . . . . . 3.6.1. . . . . .1. . . . .3 Deterministic telegraph signal . .6. . . . . . . . . . . . . 3. . . . . . . . . . . . . . . . . . . . .1. . . . . . . . . . . . . . . . . .3. 3. .8. . . . . . .4 Periodically driven pendulum . . . . . . . . . .3. . .8 Resonance-type phenomena . . . . . . . .6 Correlated additive noise and multiplicative noise 2. . . . . . . . . . . . . . . 4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .8. . . 4. . . . . . . . . .2 Inﬂuence of noise . . . . .1 Vertical oscillations . . .2. . . . . . . . . . 2.2 Absolute negative mobility (ANM) . . . . 3.4 Resonance activation (RA) and noise enhanced stability (NES) .1. . 3. . . .3. . . . . . . . . . . . .3 Periodic driven force . . . . . . . . . . . . . . . . . . . . . . . . 2. . 71 72 73 73 73 74 75 . . . . . . . . . . . . . . . .4 Spectral analysis . . . . . . . .2 Horizontal oscillations . .

Contents

xi

4.2.1 Damped, periodically driven pendulum . . . . . . . . 4.2.2 Driven pendulum subject to a periodic and constant torque . . . . . . . . . . . . . . . . . . . . . . . . . . 4.2.3 Pendulum with vertically oscillating suspension point . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.2.4 Pendulum with horizontally oscillating suspension point . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.2.5 Pendulum with applied periodic force . . . . . . . . . 4.2.6 Spring pendulum . . . . . . . . . . . . . . . . . . . . 4.3 Pendulum subject to two periodic ﬁelds . . . . . . . . . . . 4.3.1 Controlling chaos . . . . . . . . . . . . . . . . . . . . 4.3.2 Erratic motion . . . . . . . . . . . . . . . . . . . . . 4.3.3 Vibrational resonance . . . . . . . . . . . . . . . . . 5. Inverted Pendulum 5.1 5.2 5.3 5.4 5.5 Oscillations of the suspension axis . . . . . The tilted parametric pendulum . . . . . . Random vibrations of the suspension axis . Spring pendulum . . . . . . . . . . . . . . . Spring pendulum driven by a periodic force . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

75 79 80 81 84 86 87 87 88 90 93

. 93 . 95 . 98 . 100 . 101 109 113 119

6. Conclusions Bibliography Index

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Chapter 1

Formulation of the Problem

1.1

Mathematical pendulum

The pendulum is modeled as a massless rod of length l with a point mass (bob) m of its end (Fig. 1.1). When the bob performs an angular deﬂection φ from the equilibrium downward position, the force of gravity mg provides a restoring torque −mgl sin φ. The rotational form of Newton’s second law of motion states that this torque is equal to the product of the moment of inertia ml2 times the angular acceleration d2 φ/dt2 , d2 φ g + sin φ = 0. dt2 l

(1.1)

l

m

Fig. 1.1 Mathematical pendulum.

1

e. E = 2gl. For this special case.. (1. dφ/dt) plane (Fig.2) is small compared with the second. E < 2gl. one obtains the general expression for the energy of the pendulum. 2. dφ/dt) phase plane. +γ dt2 dt l (1. the pendulum is trapped in one of the minima of the cosine potential well. Eq. Eq. proportional to the angular velocity. there are three diﬀerent types of the phase trajectories in the (φ. and may be neglected. (1. This ﬁxed point is called an “elliptic” ﬁxed point. sin φ ≈ φ. E= l2 2 dφ dt 2 + gl (1 − cos φ) (1. For this case.4) where the constants were chosen in such a way that the potential energy vanishes at the downward vertical position of the pendulum. redeﬁning the variables. In many cases. dt (1. is a “hyperbolic” ﬁxed point since nearby trajectories take the form of a hyperbola. Multiplying both sides of Eq. i. and Eqs. Let us start with the analysis based on the (φ. E > 2gl. The second ﬁxed point (π. 1.1)-(1. 3. The energy is less than the critical value 2gl. 0) . Under these conditions.2 The Noisy Pendulum If one introduces damping. The inﬂuence of noise on an oscillator has been considered earlier [5]. and it will remain in this unstable . since nearby trajectories have the form of ellipses.3) reduce to the equation of a harmonic oscillator.3) For small angles.1) and (1. which is the energy required for the bob to reach the upper position. the angular velocity dφ/dt vanishes for some angle ±φ1 . (1. damping term.2) Equations (1. inertial term in (1. which corresponds to the pendulum pointing upwards.1) by dφ/dt and integrating.2) are called the underdamped equations.2): 1. the pendulum reaches the vertical position φ = π with zero kinetic energy. the ﬁrst. performing simple oscillations (“librations”) around the position of the minimum. there are no restrictions on the angle φ. Then.2) reduces to the overdamped equation of the form dφ = a − b sin φ. (1. and the pendulum swings through the vertical position φ = π and makes complete rotations. Depending on the magnitude of the energy E.1) takes the following form: dφ g d2 φ + sin φ = 0.

is called the separatrix. respectively. Physical arguments support this result [6]. since it separates diﬀerent types of motion (oscillations and rotations). (1. with energies 0.0001 (2gl). describe the locked and running trajectories.5) The time t needed to reach the angle φ is given by t= l ln tan g φ π + 4 4 .2 −π 0 π 2π ϕ Phase plane of a simple pendulum described by Eq. point until the slightest perturbation sends it into one of the two trajectories intersecting at this point.4). (1. dφ =2 dt φ g cos .9999 (2gl) and 1.1). The equation of the separatrix can be easily obtained from (1. 1. . l 2 (1. In spite of having almost the same energy. These trajectories possess interesting properties [6].6) Trajectories close to the separatrix are very unstable and any small perturbations will result in running or locked trajectories. their periods diﬀer by a factor of two (!) so that the period of oscillation is exactly twice the period of rotation. Two trajectories intimately close to the separatrix.Formulation of the Problem 3 separatrix dϕ dt E > 2gl E = 2gl 0 E<2gl −2 π Fig. The border trajectory. which is located between rotations and librations.

The angle Θ is deﬁned by the equation √ π gl dΘ ∂E = = .11) J= 2π −π πκ φ = 2 sin−1 [κ sn (2K (κ) Θ/π. κ)] . κ1 dn π dt κ1 π (1. κ) dt (1. where the modulus κ1 = case. there is no turning point.10) where sn and cn are Jacobi elliptic functions. = ±2 . Θ) to (φ. (1. For librations. and dn is another Jacobi elliptic function. the action J is deﬁned as √ √ dφ 2 φ1 8 gl 1 [E (κ)−κ2 K (κ)] dφ E −gl+gl cos φ = dφ = J= 2π dt l −φ1 π (1.13) where am is the Jacobi elliptic amplitude function. κ1 . The angle Θ. dφ = ±2κ glcn (2K (κ) Θ/π.7) where K (κ) and E (κ) are the complete elliptic integrals of the ﬁrst and second kind with modulus κ = E/2gl. . Θ (t) = κ1 K (κ1 ) (1. but one can deﬁne the action J for the running trajectory as √ π 4 gl 1 E (κ1 ) dφ 2 (E − gl) + gl cos φ = (1. For the case of rotations. 2K (κ) (1.12) A canonical transformation to the original variables results in √ K (κ1 ) Θ K (κ1 ) Θ dφ gl φ = 2 am .4 The Noisy Pendulum It is convenient to perform a canonical transformation from the variables φ and dφ/dt to the so-called action-angle variables J and Θ [7].9) One can easily ﬁnd [7] the inverse transformation from (J. dφ/dt) . obtained as in the previous √ π gl t + Θ (0) . is given by 2gl/E.8) dt ∂J 2K (κ) yielding √ π gl Θ (t) = t + Θ (0) .

1) by dφ/dt.19) The rotation of the pendulum from φ = 0 to φ = φ0 takes one fourth of the period T .18) As the angle φ varies from 0 to φ0 . sin φ = k sin ψ. Integrating again leads to φ 0 2 d (φ/2) sin (φ/2) .1) contains only one parameter.sin2 (φ0 /2) 1/2 = ω0 t (1. (1. Equation (1. one starts from the dimensional and scaling analysis [8].1) reduces to the simple equation of the harmonic oscillator with the well-known solution T0 = 2π l/g.Formulation of the Problem 5 To ﬁnd the period T of the oscillating solutions.14) For small angles.14) for the pendulum. 2 k = sin φ0 . Then.16) (1. 2 (1. T g = f (φ) . l (1. having dimensions of time. To ﬁnd the function f (φ) in Eq.17) by the complete elliptic integral . and the pendulum equation (1. We introduce the variables ψ and k. 2 dt dt dt Integrating yields 1 dφ = ω0 dt 2 (cos φ − cos φ0 ) (1.15) where φ0 is the maximum value of the angle φ for which the angular velocity vanishes. d2 φ dφ 2 dφ = ω0 sin φ.14). which is given from (1. sin φ ≈ φ. F (k.17) becomes an elliptic integral of the ﬁrst kind F (k. the variable ψ varies from 0 to π/2. ψ) . ψ) ≡ ψ 0 dz 1 − k 2 sin2 z . the ratio between T and l/g is dimensionless. multiply both sides of Eq. (1.17) under the assumption that φ (t = 0) = 0. Therefore. (1. ψ). (1. ω0 t = F (k. l/g. (1. corresponding to f (φ) = 2π in Eq.

27) dφ dt 2 + g [cos φ0 − cos φ] = 0 l (1.23) Substituting (1.20) in a series and perform a term-by-term integration. (1 + 0 + ω0 16 3072 (1.21) Using the power series expansion of k = sin (φ0 /2) . one can write another series for T. (1.20) Since k < 1. one can expand the square root in (1.25) Substituting (1.26) . Another way to estimate the period of pendulum oscillations is by a scaling analysis [8]. with characteristic angle φ (0) = φ0 . one gets the following order-of-magnitude estimates dφ φ0 ∼ −4 .24) (1. In the domain 0 < t < T /4. (1. π/2) ≡ π/2 0 dz 1 − k 2 sin2 z .23) into (1. dt T d2 φ φ0 ∼ −16 2 .16) rewritten as 1 2 yields T 2 φ0 /2 ∼ T0 π sin (φ0 /2) (1. π/2) of the ﬁrst kind.22) The period of oscillation of the plane pendulum is seen to depend on the amplitude of oscillation φ0 . cos φ ∼ 1. The isochronism found by Galilei occurs only for small oscillations when one can neglect all but the ﬁrst term in (1. dt2 T sin φ ∼ sin φ0 . T = 11φ4 φ2 2π 0 + · · · ). T = 4 F (k. ω0 F (k. π/2) .1) yields T or T 2 ∼ T0 π φ0 sin φ0 1/2 g ∼4 l φ0 sin φ0 1/2 (1.22).23) into (1. (1. T = 2π 1+ ω0 1 2 2 k2 + 1∗3 2∗4 2 k4 + · · · .6 The Noisy Pendulum F (k.

one writes the following general form of Eqs. aφ0 T ≈ T0 sin (aφ0 ) Expanding sin (aφ0 ) yields T a2 b 2 φ + a4 b =1+ T0 6 0 1 b + 180 72 φ4 + · · · .32) The solution of this equation has the form [9] y = k sn g/l (t − t0 ) . (1.31) Consider separately the locked and running trajectories for which the bob performs oscillations and rotations around the downward position. respectively. and sin (φ/2) by y.Formulation of the Problem 7 In the scaling analysis.25) and (1. In the former case.29) b .30) as dy dt 2 = 1 1 − y2 4 A− 4g 2 y . One can easily write the solution of Eq.e. (1. keeping the same functional dependencies. (1.4) becomes dφ dt 2 =− 4g 2g (1 − cos φ) + Const.30) Denoting the value of (dφ/dt) in the downward position by A. . = − sin2 l l 2 φ 2 + Const. k (1.1) for φ and dφ/dt in terms of elliptic integrals. dy dt 2 = g 1 − y2 l k2 − y2 . 0 (1.33) where sn is the periodic Jacobi elliptic function. l (1. Introducing the new positive constant k 2 by A = 4gk 2 /l. Since the energy is conserved.. one can rewrite (1. Al/4g < 1. one drops the numerical factor 2/π and. we obtain: a = 5 2/8 and b = 12/25.27). dφ/dt vanishes at some y < 1. i. (1. (1. Eq.31) in the following form.22).28) √ From comparison with (1. There are also other methods of ﬁnding a and b [8]. (1. (1. one can rewrite Eq. The two constants t0 and k are determined from the initial conditions.

and then repeat this process again and again. In this case.e.34) The solution of this equation is y = k sn g/l t − t0 .31) takes the simple form. (1. sin φ ≈ φ. (1.38) Each term in (1. .38) contains harmonics that correspond to a power of A sin (ω0 t). dy dt 2 = gl 1 − y2 k2 1 − y2 k2 . The second approximation has a solution of the form φ = A sin (ω0 t) + B sin (3ω0 t) . To obtain a better solution.36) To avoid elliptic integrals. Eq. (1.k .1). For small φ. In the ﬁrst approximation.1) describes the dynamics of a linear harmonic oscillator having solution φ = A sin (ω0 t) . one can use the following approximate method [10]. the series is made up of terms that are the odd harmonics of the characteristic frequency ω0 of the linear oscillator. one obtains [A sin (ω0 t)]5 [A sin (ω0 t)]3 d2 φ 2 + + ··· .35) Finally.37) 2 = g 1 − y2 l 2 (1. and the linearized Eq. with ω0 = g/l. Since the period depends on the amplitude φ0 . k (1. for which k < 1. ∞ φ= l=0 A2l+1 sin [(2l + 1) ω0 t] . dy dt whose solution is y = tanh g/l (t − t0 ) . for Al = 4g. We use this solution as the ﬁrst approximation to the nonlinear equation and substitute it into (1. ≈ −ω0 A sin (ω0 t) − dt2 3! 5! (1.8 The Noisy Pendulum For the running solutions Al/4g > 1.31) takes the following form. the diﬀerential equation (1. i.39) Turning now to the calculation of the period T . A complete description requires a full Fourier spectrum. (1. (1. one can use approximate methods to calculate the period T . the bob just reaches the upward position.

Assuming that the damping is proportional to the angular velocity. T = T0 (1+ φ2 /16 + · · · ).1) ψ (φ) = sin φ φ (1. One proceeds as follows. The (dφ/dt. i. The addition of damping to Eq.. the ﬁxed point becomes a saddle point.2 for the undamped pendulum to that shown in Fig. The higher derivatives of the solutions of Eqs. (1. z= dφ .2). where z = dz/dt = 0. φ) phase plane changes from that shown in Fig. Equation (1.41) and the exact formula (1.18) and (1. (1. d2 φ g + ψ (φ) φ = 0.42) The ﬁxed points of these equations. One may rewrite Eq. (1. dt l (1. while for odd n.42) are shown [13] in the dm φ/dtm .41) is accurate to 1% for amplitudes up to 2. dm−1 φ/dtm−1 phase planes for m ≤ 5. dt dz g + γz + sin φ = 0. the equation of motion takes the form (1.20) shows that (1. √ sin 3φ0 /2 √ 3φ0 /2 −1/2 T1 = T0 . This equation does not have an analytical solution.Formulation of the Problem 9 one can write T = T0 f (φ0 ) . 1. (1.e. one sees that φ = 3φ0 /2. .41) A comparison between the approximate result (1. are located at φ = 0 and φ = ±nπ. Simple linear stability analysis shows [12] that all trajectories will accumulate in the ﬁxed points for even n.1) makes it analytically unsolvable.3 [11]. and we content ourselves with numerical solutions. one obtains for the ﬁrst correction T1 to the period.40) and replace ψ (φ) by some ψ φ . dt2 l g/l. Comparing the latter expression with the series expansion for 0 √ ψ φ . Finally. the trajectories are stable for one direction of perturbation but unstable for the other direction. where T0 = 2π in the form. The higher derivatives dm φ/dtm are increasingly sensitive probes of the transient behavior and the transition from locked to running trajectories. According to (1.21).2) can be rewritten as two ﬁrst-order diﬀerential equations. 1.2 radian [10].

1.10 The Noisy Pendulum Fig. 1. whereas their more complicated description will be equivalent to the underdamped Eq.3 Phase plane of a damped pendulum described by Eq.2 Isomorphic models In some of examples given below. for simplicity we compare the derived equation with the overdamped pendulum Eq.2 Josephson junction A Josephson junction consist of two weakly coupled superconductors. (1. The literature on this subject is quite extensive (see. the pair is able to jump across the barrier producing a current. an entire chapter in Risken’s monograph [14]).3).2. separated by a very thin insulating barrier. for example. (1. (1.1) by the coordinate x. (1.2). we obtain the equation describing one-dimensional motion of a Brownian particle in a periodic potential. 1.2. the so-called Josephson current. 1.1 Brownian motion in a periodic potential By replacing the angular variable φ in Eq. Since the size of the Cooper pair in superconductors is quite large.2). The basic equations governing the dynamics of the Josephson eﬀect connects the volt- .

The well-known violation of this rule occurs in superconducting materials where the electrons are paired. respectively.2. more than one million times larger than in ordinary materials. I = Ic sin φ (t) + ∂φ 2eR ∂t (1. producing “non-Ohmic” current which vastly increases with only a small increase in voltage. The critical current Ic is an important phenomenological parameter of the device that can be aﬀected by temperature as well as by an applied magnetic ﬁeld. The application of Kirchoﬀ’s law to this closed circuit yields. 1.3) [15]. This equation is simply Eq. ﬂuxons are moving in a periodic potential which is created by the periodic structure of pinning centers or by the plane layers of a superconductor.3 Fluxon motion in superconductors The magnetic ﬁeld penetrates superconductors of type-II in the form of quasi-particles called ﬂuxons.Formulation of the Problem 11 age U (t) = ( /2e) (∂φ/∂t) and the current I (t) = Ic sin φ (t) across the Josephson junction. If one neglects the ﬂuxon mass. the equation of ﬂuxon motion has the form (1.43) where R is the resistivity of a circuit. One can clearly see the inhomogeneity of a charge by the scanning tunneling microscope. Another example of non-uniform distribution of electrons is the CDW. which behaves as a single massive particle positioned at its center of mass. Such a system shows “self-organization” in the sense that a small perturbation is able to induce a sudden motion of the entire charge density wave. at low temperatures the electron charge density is distributed uniformly in solids.3). and I and Ic are the bias and critical current.2. 1. This perturbation can be induced by an external electric ﬁeld whereby an increase in voltage beyond a certain threshold value causes the entire wave to move. so that the equation of motion of a center of . This deﬁnes the “phase diﬀerence” φ of the two superconductors across the junction. (1. The experimentally observed nonlinear conductivity and the appearance of a new periodicity form the basis for the periodically modulated lattice potential acting on the CDW. CDWs have a huge dielectric constant. In many cases. The mathematical description of the CDW based on the “singleparticle” model assumes that the CDW behaves as a classical particle.4 Charge density waves (CDWs) As a rule.

1. which introduces a weak coupling between them. will run at the same rate. However.3). which allows one to ﬁnd the velocity of a rotating platform. (1.6 Synchronization phenomena In the 17th century.3) [17].7 Parametric resonance in anisotropic systems The rotation of an anisotropic cluster in an external ﬁeld is described by the following equation. Sagnac found that the diﬀerence in time for two beams travelling in opposite directions around a closed path going through a rotating platform is proportional to the speed of the platform. (1. and hence has a lower frequency.2.. and the periodic force b sin φ. (1.44) A mechanical gyroscope with rotating wheels is widely used for orientation in space. the Dutch physicist Huygens found that two pendulum clocks attached to a wall. The two frequencies may arise through the coupling of an oscillator to an external periodic force. nowadays they are being replaced by the laser gyroscope which works on a physical principle found by Sagnac about a hundred years ago. +γ dt2 dt This equation coincides with Eq. The equation which describes the inﬂuence of a small external force on the intrinsic periodic oscillations of an oscillator [16] connects the phase diﬀerence φ between oscillator frequency and that of an external force expressed by the frequency diﬀerence a.12 The Noisy Pendulum mass x of a damped CDW has the following form. is satisﬁed by Eq. dL = M × F − βω dt (1.e. 1.2. i. where a denotes the rotation rate and b is the backscattering coeﬃcient. it has the form of Eq.2. The phase diﬀerence φ between these two beams running in a ring-laser microscope.45) . 1. The beam which is travelling in the direction of rotation of the platform travels for a longer distance than the counterrotating beam.5 Laser gyroscope (1.2) for a damped pendulum. This phenomenon of synchronization is in general present in dynamic systems with two competing frequencies. dx d2 x + b sin x = 0.

it was also used to describe diﬀerent defects. ∆χ ≡ χ1 − χ2 . (1. (1. F = F0 cos (ωt) . monolayer ﬁlms. 1.47) .8 The Frenkel-Kontorova model (FK) In its simplest form.2. we will consider noise ξ (t) with ξ (t) = 0 and the correlator ξ (t1 ) ξ (t2 ) = r (|t1 − t2 |) ≡ r (z) .46) takes the form of the equation of motion of a pendulum with a vertically oscillating suspension point.Formulation of the Problem 13 where L is the angular momentum. etc.2) for a damped pendulum. the FK model describes the motion of a chain of interacting particles (“atoms”) subject to an external on-site periodic potential [19]. in the simplest way. 1. This process is modulated by the one-dimensional motion of quasiparticles (kinks.2. dt2 I dt 2I (1.1 Noise White noise and colored noise In the following. (1.46) For the alternating external ﬁeld. ω is the angular velocity of rotation. one can easily show [18] that the equation of motion for the nutation angle θ coincides with Eq. The FK model was originally suggested for a nonlinear chain to describe. DNA dynamics and denaturation. Eq. the structure and dynamics of a crystal lattice in the vicinity of a dislocation core. Mi = χi Fi is the magnetic (dielectric) moment induced in the external ﬁeld F. Afterwards. while the moment of inertia is isotropic in the x − y plane. the motion of the soliton beam in a medium with a harmonic proﬁle of refractive index is described by the pendulum equation with the incident angle being the control parameter [20]. Connecting the coordinate axis with the moving cluster.3 1. d2 θ β dθ F 2 ∆χ + + sin (2θ) = 0. 1. Anisotropy means that χ1 = χ2 = χ3 . I1 = I2 ≡ I. breathers.3. proton conductivity of hydrogen-bonded chains.).9 Solitons in optical lattices Although solitons are generally described by the sine-Gordon equation.

A widely used form of noise is Ornstein-Uhlenbeck exponentially correlated noise. white noise and colored noise.50) is characterized by its strength D. no matter how near t1 is to t2 . implies that the correlation time τ is not zero. τ= 1 D ∞ 0 1 2 ∞ 0 ξ (t) ξ (t + z) dz.50) The name “white” noise derives from the fact that the Fourier transform of (1. (1. ξ (t) ξ (t1 ) = σ 2 exp [−λ |t − t1 |] . τ τ (1. which can be written in two forms. or when σ 2 → ∞ and λ → ∞ in (1. constant without any characteristic frequency. or ξ (t) ξ (t1 ) = |t − t1 | D exp − .51) White noise (1. or τ and D. All other non-white sources of noise are called colored noise. Equation (1. For white noise. as was assumed in (1. .47) characterize ﬂuctuations: the strength of the noise D. whereas OrnsteinUhlenbeck noise is characterized by two parameters. (1.50).14 The Noisy Pendulum Two integrals of (1.52).51) in such a way that σ 2 /λ = 2D. This extreme assumption.50).50) is “white”. one considers two diﬀerent forms of noise. (1. which leads to the non-physical inﬁnite value of ξ 2 (t) in (1. but smaller than all the other characteristic times in the problem.50) implies that noise ξ (t1 ) and noise ξ (t2 ) are statistically independent.49) Traditionally. the function r (|t1 − t2 |) has the form of a delta-function.48) z ξ (t) ξ (t + z) dz. λ and σ 2 . ξ (t1 ) ξ (t2 ) = 2Dδ (t − t1 ) . D= and the correlation time τ. that is. The transition from Ornstein-Uhlenbeck noise to white noise (1.52) (1.50) occurs in the limit τ → 0 in (1.

2 Dichotomous noise A special type of colored noise with which we shall be concerned is symmetric dichotomous noise (random telegraph signal) where the random variable −1 ξ (t) may equal ξ = ±σ with mean waiting time (λ/2) in each of these two states. dichotomous noise is characterized by the correlators (1. (1. f = −γv) and a ﬂuctuation force ξ (t) exerted on the Brownian particle by the molecules of the surrounding medium.Formulation of the Problem 15 A slightly generalized form of Ornstein-Uhlenbeck noise is the so-called narrow-band colored noise with a correlator of the form. one of which will be brieﬂy described in the next section.3.54) where g is some function of noise. ξ (1. which for exponentially correlated noise yields d ξ·g = dt dg dt −λ ξ·g . 1.51)-(1. 1. (1.3. dt (1.54) becomes d ξ · g = B ξ2 − λ ξ · g . Like Ornstein-Uhlenbeck noise.56) Noise was introduced into diﬀerential equations by Einstein. The ﬂuctuation force derives from the diﬀerent number of molecular collisions with a Brownian particle of mass m from opposite sides resulting in its random . Smoluchowski and Langevin when they considered the molecular-kinetic theory of Brownian motion. g = g{ξ}. then Eq.53) There are diﬀerent forms of colored noise. we will use the Shapiro-Loginov procedure [21] for splitting the higher-order correlations. one obtains ξ · g = 2BD.55) and for white noise (ξ 2 → ∞ and λ → ∞.52). ξ (t) ξ (t1 ) = σ 2 exp(−λ |t − t1 |) cos (Ω |t − t1 |) . If dg/dt = Bξ. In what follows.3 Langevin and Fokker-Planck equations (1. They assumed that the total force acting on the Brownian particle can be decomposed into a systematic force (viscous friction proportional to velocity. with ξ 2 /λ = 2D).

The preceding discussion was related to ﬁrst-order stochastic diﬀerential equations. Higher-order diﬀerential equations can always be written as a . v + dv) at time t. The deterministic equation for P (v. dx = f (x) + ξ (t) dt with the appropriate Fokker-Planck equation being ∂ ∂2P ∂P (x. thermal noise. say. one can consider an ensemble of Brownian particles and ask how many particles in this ensemble have velocities in the interval (v. t) =− [f (x) P ] + D 2 . we have considered additive noise which describes an internal.58) In the general case. (1.16 The Noisy Pendulum motion. (1. ∂t ∂v ∂v (1. dx = f (x) + g (x) ξ (t) . dt (1. The motion of a Brownian particle is described by the so-called Langevin equation m dv = −γv + ξ (t) . ∂t ∂v ∂v (1.57) The stochastic Eq. ∂t ∂x ∂x ∂x (1. t) dv. t) is called the Fokker-Planck equation.62) (1.59) Thus far. The random force ξ (t) in this equation causes the solution v (t) to be random as well.57) describes the motion of an individual Brownian particle. which has the following form for white noise [22]. t) ∂ ∂ ∂ =− [f (x) P ] + D g (x) g (x) P. the Langevin equation has the following form. ∂ ∂2P ∂P (v.60) (1. t) = (γvP ) + D 2 .61) We set aside the Ito-Stratonovich dilemma [22] connected with Eq. Equivalently. dt The appropriate Fokker-Planck equation then has the form [22] ∂P (x.62). which deﬁnes the probability function P (v. there are also ﬂuctuations of the surrounding medium (external ﬂuctuations) which enter the equations as multiplicative noise. for a system whose the equation of motion dx/dt = f (x) has a nonlinear function f (x). However.

the importance of noise in deterministic diﬀerential equations by the simple example of the Mathieu equation supplemented by white noise ξ (t) d2 φ + (α − 2β cos 2t) φ = ξ (t) .68) The solutions of Eq.61). Ω. One can illustrate [23]. there is no rigorous way to ﬁnd the Fokker-Planck equation that corresponds to the Langevin Eqs.63) i i. (1.59). the variance .65). (1. However. dt (1. which determine regimes in which the solutions can be periodic. Ω. t) =− ∂t fij i. we decompose this second-order diﬀerential equation into the two ﬁrst-order equations dφ = Ω. d3 σ 2 d σ2 + (8β sin 2t) σ 2 = 8D.68) have the same qualitative properties as those of Eq.j ∂2P ∂xi ∂xj (1.64) where fij and gij are now constant matrices.65) in the absence of noise are very sensitive to the parameters α and β. dt dΩ = − (α − 2β cos 2t) φ + ξ (t) . and one has to use diﬀerent approximations [14].63) is ∂P (x. In order to write the Fokker-Planck equation corresponding to the Langevin equation (1.j ∂ 1 (xj P ) + ∂xi 2 gij i.j for any functions fi (x) and gij (x) . The linearized version of (1. + 4 (α − 2β cos 2t) dt3 dt (1. damped or divergent. t) =− ∂t ∂ 1 [fi (x) P ] + ∂xi 2 ∂2 [gij (x) P ] ∂xi ∂xj (1.Formulation of the Problem 17 system of ﬁrst-order equations.65) Solutions of Eq.67) with initial conditions P (φ. (1. Equation (1. For the case of colored (not-white) noise.63) for the distribution function P (φ. t) then takes the form ∂P ∂2P ∂P ∂P =D 2 −Ω + (α − 2β cos 2t) φ ∂t ∂Ω ∂φ ∂Ω (1. (1. 0) = δ (φ − φ0 ) δ (Ω − Ω0 ) . (1.66) The Fokker-Planck equation (1. for suﬃciently large values of β. dt2 (1.65).67) can be easily solved by Fourier analysis to obtain the following equation for 2 the variance σ 2 ≡ φ2 − φ . and the appropriate Fokker-Planck equation will have the following form ∂P (x.

. However. one can obtain an exact solution. For this simple case of a linear diﬀerential equation.18 The Noisy Pendulum does not exhibit the expected diﬀusional linear dependence but increases exponentially with time. the equation of motion of the pendulum is nonlinear which prevents an exact solution. We will see from the approximate calculations and numerical solutions that the existence of noise modiﬁes the equilibrium and dynamical properties of the pendulum in fundamental way.

1) corresponds to motion in the washboard potential U (φ) = −aφ − b cos φ shown in Fig. 2. 19 .1.Chapter 2 Overdamped Pendulum 2.1 Washboard potential U (φ) = a0 φ − b0 cos φ. dφ = a − b sin φ. dt b≡ g l (2.1 Deterministic motion The overdamped equation of motion (1. 2. Fig.3).

However.1) depends on the comparative importance of these two factors. On the other hand.3) where m is an integer. the motion is bounded. (2. the pendulum executes full rotations in a clockwise or counterclockwise direction. For a > b.1) asymptotically approaches the stable ﬁxed point φ (t) → φs for all initial conditions. and φc = sin−1 (a/b) .1) which has the form φu = ±1/2 − φc . in the limit t → ∞. dφ dt = 0. 2. whereas for a > b. the solutions for a ≷ b are quite diﬀerent. all physical parameters are subject to random perturbations which. the solution is a tan(φ/2) − b cot (φc /2) 1 ln t − t0 = √ a tan(φ/2) − b tan (φc /2) b 2 − a2 (2. For a < b. (2. The solution of Eq.2) whereas for a < b. the solution of this equation has the following form [24]. Since no solutions can cross the branch point. (2. The former (additive noise) will inﬂuence the parameter a in Eq. As one can see from these equations.1) can be solved exactly for the simplest periodic function a(t) of the squarewave pulses (periodic telegraph signal).1). the solution of Eq. which is unstable. there is no restriction on the motion of the pendulum for a > b. 2 (2.4) which implies that for a < b. (2. t − t0 = √ a2 2 tan−1 − b2 a tan(φ/2) − b √ a2 − b 2 ±m π . the pendulum performs oscillations near the downward position with zero average angular velocity.2 Inﬂuence of noise In the previous section. roughly speaking. Equation (2. may have internal or external origin. There is another solution of Eq. (2.20 The Noisy Pendulum The two torques in Eq.1) describing the dynamics of a single pendulum. √ a2 − b 2 . for a < b for a > b (2. This diﬀerence can also be seen from the expression for the average time derivative of φ. whereas the latter (multiplicative noise) are .1) have opposite tendencies: the constant torque strives to increase φ (running solutions) while the second torque tends to keep φ at its minima (locked solutions). we considered the deterministic Eq. (2.

There is a clear threshold (a ≷ b) between these “locked” and “running” states. The important role of noise can be illustrated as follows. this threshold is blurred since. even for small a. the particle is able to overcome the potential barrier to follow the driving force a.Overdamped Pendulum 21 responsible for ﬂuctuations in b. For small a. whereas multiplicative noise η (t) originates from the thermal activation of distinctive pinning centers. The washboard potential U (φ) = −aφ − b cos φ.1) takes the following form dφ = [a0 + ξ (t)] − [b0 + η (t)] sin φ.6) For example. 2. the particle can overcome the barrier following the driving force a (the rotation motion of a pendulum).2. (2. (2.1 Additive white noise Two quantities characterize the dynamics: the average velocity dφ dt ≡ lim t→∞ φ (t) t (2. dt (2.10) (2. which is equivalent to pendulum motion back and forth around the downward position.8) One can ﬁnd the exact analytic solution for both dφ/dt and D for the more general equation of the form dU dφ =a− + ξ (t) dt dφ where U (x) is a periodic function with period L. In this section we will show many other eﬀects due to diﬀerent types of noise. In the presence of noise. b = b0 + η (t) (2.7) and the eﬀective diﬀusion coeﬃcient 1 2 Def f ≡ lim [φ (t) − φ (t) ] t→∞ 2t . a = a0 + ξ (t) . for large a.9) . consists of wells and barriers as shown in Fig. However. for ﬂuxon motion. (2.1. 2. additive noise ξ (t) comes from the thermal ﬂuctuations. U (φ + L) = U (φ) and ξ (t) is white noise. the motion of the particle is essentially conﬁned to one potential well.5) so that Eq.

(2. so that the presence of the periodic potential in Eq. corresponding to Eq. (2.14) I± (y) (dy/L) As explained in [26].12) and −1 I− (x) = D0 exp {− [(U (x) − ax]} x+L x dy exp {[(U (y) − ay]} (2. Let us return to the sinusoidal form of the torque.9) can result in an increase of the diﬀusion coeﬃcient.8).13) where D0 is the diﬀusion coeﬃcient for Eq. (2. (2.22 The Noisy Pendulum The general expression for the average velocity was obtained a long time ago [25] dφ dt with −1 I+ (x) = D0 exp [(U (x) − ax] x x−L = 1 − exp (aL/T ) φ0 +L I± φ0 (x) (dx/L) (2. was obtained recently [26] by using the moments of the ﬁrst passage time. The inﬂuence of thermal (additive) noise on the pendulum is described by the following equation.11) dy exp {− [(U (y) − ay]} (2.9) without the periodic term. dφ = a0 − b0 sin φ + ξ (t) . D0 → D. dt (2. the ratio of the two integrals in (2. The general formula for the diﬀusion coeﬃcient (2. In the latter case. and I± (x) means that the index may be chosen to be either plus or minus.9).15) . by 14 orders of magnitude! This eﬀect is not only very large but also has the opposite sign compared with the analogous eﬀect for equilibrium processes. the diﬀusion coeﬃcient decreases upon the addition of a periodic potential to the Brownian particle due to localization of the particle in the periodic potential [27]. D = D0 φ0 +L φ0 I± (y) I+ (y) I− (y) (dy/L) φ0 +L φ0 3 .14) can be very large.

respectively. there are two sources for an increase in diﬀusion.17) Each of the two factors in Eq. Hence. which deﬁnes the relation between the diﬀusive and directed components in the Brownian motion. decreases as D increases. φ = sinh (πa0 /D) b0 Iπa0 /D π/D D −2 (2. namely. ∂J P ≡− ∂φ (2. (2. As was the case for the periodic potential. An additional quantity that was studied [30] is the factor of randomness Q = 2D/ (L dφ/dt ) .2 Additive and multiplicative white noise The Stratonovich interpretation of the Fokker-Planck equation for the probability distribution function P (φ. (2. The Arrenius exponential rate. dφ/dt = 2πJ.16) where Iπa0 /D is the modiﬁed Bessel function of ﬁrst-order with imaginary argument and imaginary index [28]. (2.6) with white noises ξ (t) and η (t) of strength D1 and D2 . (2. which makes the system more homogeneous.17) has a clear physical meaning [29]. (2. an analysis was performed [30].Overdamped Pendulum 23 The exact solution of this equation for white noise of strength D is well known [25]. t) . increases with D. Eq.16) reduces to dφ dt = 2 sinh 2b0 πa0 exp − D D . has the following form [31]. which makes it easier for the system to overcome a potential barrier. exp [− (2b0 /D)] . Apart from the sinusoidal form of periodic function U (φ) in Eqs. corresponding to the Langevin Eq.14). the diﬀusion coeﬃcient D increases as a function of the tilting force a. the eﬀect of the tilting force a (“passive channel” in terminology of [30]) and a huge enhancement coming from the periodic force (“active channel”).18) where J is the ﬂux proportional to dφ/dt . D << 1. while the pre-exponential factor. 2. D1 +D2 sin2 φ ∂P ∂ ∂2 =− [a0 −(b0 +D2 cos φ) sin φ] P + 2 ∂t ∂φ ∂φ . In the limit a0 . for the sawtooth potential. the diﬀerence between approach to the left well and to the right well.11) and (2.2.

24

The Noisy Pendulum

For the stationary case, ∂P/∂t = 0, one ﬁnds the following diﬀerential equation for the stationary distribution function [32] dPst + Γ (φ) Pst = JΩ2 (φ) , dx where Γ (φ) = a0 − b0 sin φ − D2 sin φ cos φ ; D1 + D2 sin2 φ Ω (φ) = D1 + D2 sin2 φ

−1 2

(2.19)

(2.20) The solution of the ﬁrst-order diﬀerential equation (2.19) contains one constant which, together with the second constant J, are determined from π the normalization condition, −π P (φ) dφ = 1, and the periodicity condition, P (−π) = P (π) . The exact expression for Pst can be accurately represented by its approximate form obtained by the method of steepest descent [33], Pst C D2 1+ sin2 φ D1

1/2 −1

+ (a0 + b0 sin φ) /D1

(2.21)

where C is the normalization constant. As can be seen from Eq. (2.21), for D2 < D1 , the term a0 + b0 sin φ makes the main contribution to Pst . In this case, for |a0 | = |b0 | , Pst contains a single maximum. For D2 > D1 , the 1/2 , i.e. Pst has main contribution to Pst is the term 1 + (D2 /D1 ) sin2 φ maxima at the points nπ for integer n. Additive and multiplicative noise have opposite inﬂuence on Pst [33]. An increase of multiplicative noise leads to the increase and narrowing of the peaks of Pst , whereas the increase of additive noise leads to their decrease and broadening. Calculations yields [34] dφ dt where F (k, l) = exp −

k l

**2π 1 − exp −2πa0 / =
**

2π 0

D1 (D1 + D2 ) (2.22) Ω (y) F (0, y) dy dx

Ω (x) F (x, 0)

x+2π x

T (z) dz ;

T (z) =

a0 − b0 sin z . D1 + D2 sin2 z

(2.23)

Overdamped Pendulum

25

d dt

a0

Fig. 2.2 Average angular velocity as a function of bias for b0 = 1. Solid and dotted lines describe single multiplicative noise and single additive noise, respectively. The upper and lower curves correspond to noise of strength 2 and 0.1, respectively.

We have performed [34] numerical calculations of dφ/dt in order to compare the importance of additive and multiplicative noise. The average angular velocity dφ/dt and a0 correspond to the voltage and the bias current for a Josephson junction. Therefore, the graph dφ/dt versus a0 gives the voltage-current characteristic of a junction. In Fig. 2.2, we present dφ/dt as a function of a0 for b0 = 1, in the presence of one of the two noises given by D = 0.1 and D = 2.0. From this ﬁgure one can see that for a small value of noise (D = 0.1) , additive noise leads to higher ﬂux than for multiplicative noise, whereas for a larger value of noise (D = 2), the opposite result occurs. The transition takes place for an intermediate value of noise. As shown in Fig. 2.3, for noise of strength D = 1 (of order b0 ), additive noise produces a larger average angular velocity for small a0 and smaller ﬂux for larger a0 . For the following analysis, it is convenient to consider separately the two limiting cases of weak (D1 → 0) and strong (D1 → ∞) additive noise, combining analytic and numerical calculations. Let us start with the case of weak noise, D1 → 0 and D2 → 0, where both D2 > D1 and D2 < D1 are possible. One can use the method of steepest descent to calculate the

26

The Noisy Pendulum

d dt

a0

Fig. 2.3 Same as for Fig. 2.2 in the presence of a single source of noise of strength 1.

integrals in Eq. (2.22),

.

dφ dt

= 1 − exp × exp

−2πa0 D1 (D1 + D2 )

zmin

T (zmax ) T (zmin ) Ω (zmax ) Ω (zmin ) (2.24)

T (z) dz

zmax

where zmin and zmax are two neighboring zeros of T (z) with T (zmax ) > 0, T (zmin ) < 0. It is easily found from Eq. (2.23) that sin (zmax,min ) = a0 /b0 , cos zmax = ω/b0 , cos zmin = −ω/b0 , and, for b0 > a0 , Eq. (2.24) reduces to dφ dt b2 − a2 1 − exp − 0 0 2πa0 D1 (D1 + D2 )

zmin

=

exp

zmax

T (z) dz. (2.25)

One can evaluate the integral in (2.25). However, instead of writing this cumbersome expression, we present the results for the two limiting cases of large and small multiplicative noise compared with additive noise, D2 ≶ D1 .

22). a0 2a0 2 b 2 − a2 0 0 − sin−1 D1 D1 b0 (2.27) shows that adding multiplicative noise leads to an increase in the average angular velocity in a system subject only to weak additive noise.Overdamped Pendulum 27 For D2 < D1 . for weak additive and no multiplicative noise.1 and for diﬀerent values of D2 .4 Average angular velocity as a function of bias for b0 = 1 and D1 = 0. one obtains the well-known result [35].27) Comparing Eqs. (2. i. 2.1 for diﬀerent values of D2 .26) and (2. given in Fig. (2.4 for small D1 = 0. These analytic results are supported by a numerical analysis of Eq.26) whereas for weak noise with D2 > D1 .. 2. (2. which shows the strong inﬂuence of multiplicative noise on the ﬂux for a small driving force. b0 D2 dφ dt = D2 <D1 b2 − a2 exp 0 0 πa0 D1 exp − dφ dt = D2 >D1 b2 − a2 exp 0 0 −πa0 √ D1 D2 b0 − b0 + b 2 − a2 0 0 b 2 − a2 0 0 . d dt a0 Fig.e. .

6). The curve starts from (1/a0 ) dφ/dt D1 →∞ = 1 for D2 = 0 (large additive noise suppresses the sin term in Eq. and increases markedly as the strength of multiplicative noise increases.6 shows the results of the numerical analysis of Eq. Figure 2.5 Dimensionless average angular velocity dφ/dt as a function of the ratio of noise strength D2 /D1 . One concludes that in the presence of one source of noise. multiplicative noise is more eﬀective (Figs.22) to the following form. (2.28) Figure 2. yielding Ohm’s law for the Josephson junction [35]).22) for comparable values of all parameters (b0 . d dt a0 D2 /D1 Fig. (2. which again demonstrates an increase of the ﬂux due to multiplicative noise.6).28 The Noisy Pendulum Turning now to the opposite limiting case of strong additive noise. = D1 →∞ a0 π 2 D1 1+ D2 D1 −1/2 0 π −2 Ω (z) dz . whereas for strong noise.4 and 2. the average angular velocity dφ/dt is larger for additive noise if the strength of the noise is small. dφ dt . where additive noise is more eﬀective for small driving forces and less . 2. D1 → ∞. 2. (2. The transition regime between these two cases occurs for noise strength of order b0 (the critical current for a Josephson junction). one can substantially simplify Eq. (2. D1 and D2 ).5 shows the dimensionless average angular velocity (1/a0 ) dφ/dt D1 →∞ as a function of D2 /D1 for large additive noise D1 .

2. dφ/dt = 0. Indeed. The analysis of the stationary probability distribution function for a periodic potential and dichotomous multiplicative noise was given by Park et al. 2. the average angular velocity vanishes. the horizontal periodic potential (a0 = 0) with strong ﬂuctuations in the width of this potential has no preferred direction and. The inﬂuence of both additive and multiplicative noise on the escape time from a double-well potential was studied in [37] and [38]. especially for small bias force a0 . for dφ/dt = 0 to occur. It is suﬃcient to have a small slope of a periodic potential. If both sources of noise are present. therefore. We have studied [32] the inﬂuence of both additive and multiplicative noise on the voltage-current characteristics of Josephson junctions. 2. In fact.6 Dimensionless average angular velocity dφ/dt as a function of bias for b0 = 1. for small noise strength (say. D = 0. 2.1) and small a0 . [39].4). a0 = 0. multiplicative noise produces ﬂux larger by many orders of magnitude than the ﬂux caused by additive noise. It is not surprising that multiplicative noise becomes important when D is of the order of the potential barrier height b0 . eﬀective than multiplicative noise for large driving forces (Fig. A similar eﬀect for the output-input relation for motion in a double-well . strong (Fig.6) strength of additive noise.5) and intermediate (Fig.2). then the ﬂux is essentially increased in the presence of strong multiplicative noise for weak (Fig.Overdamped Pendulum 29 d dt a0 Fig. 2. The latter result has a simple intuitive explanation. The importance of multiplicative noise for stationary states has long been known [36]. D1 = 1 for diﬀerent values of D2 .

33) where I0 is a modiﬁed Bessel function.30) satisfy the condition γ1 B = γ2 A.3. t) and P− (φ. one obtains dφ + b0 sin φ = ξ (t) dt (2. .3.2 = 1±ε . (2.2.32) Introducing the probability function P = P+ + P− . so that A= D τ 1+ε . respectively. to ﬁrst order in the parameter τ /D. who called this eﬀect “noise-induced hypersensitivity” [40] and “ampliﬁcation of weak signals via on-oﬀ intermittency” [41]. ∂ ∂P+ =− [(b0 sin φ + A) P+ ] − γ1 P+ + γ2 P− . 1+ε γ1. Therefore. P+ (φ. ∂t ∂φ (2. The asymmetry can be described by the parameter ε [42].30) Equations (2.31) (2.30 The Noisy Pendulum potential has been studied intensively by two groups of researchers. In the presence of dichotomous noise. 2 (2. ∂t ∂φ ∂ ∂P− =− [(b0 sin φ − B) P− ] − γ2 P− + γ1 P+ . the requirement < ξ (t) >= 0 is obeyed. which correspond to the evolution of φ (t) subject to noise of strength A and −B. 1−ε B= D τ 1−ε . takes the following form dφ dt τ /D ε = √ 2 I 2 (b0 /D) 1−ε 0 (2.29) where ξ (t) is asymmetric dichotomous noise described in Sec. 1.2 (ξ = A or ξ = −B.3 Additive dichotomous noise For the pendulum subject to a pure periodic torque (a = 0 in Eq. t) . The set of Fokker-Planck equations satisﬁed by these two functions is a slight generalization of that considered in Sec.15)). 1.3. 2. with transition probabilities λ1 and λ2 ). one obtains the cumbersome expression for the average angular velocity [42] which. which satisﬁes the normalization and periodicity conditions. it is convenient to deﬁne two probability densities.

7 Dimensionless average angular velocity dφ/dt as a function of bias with additive dichotomous noise for diﬀerent values of noise rate γ = γ1 + γ2 . Parameters are b0 = 1 and A = B = 0.7. the presence of noise smears out the sharp threshold behavior deﬁned in (2. with the smearing depending on both the noise amplitude and rate.8 and 2.Overdamped Pendulum 31 Another limiting case [32] where the solution has a simple form is for slow jumps. and — for diﬀerent values of the parameters — in Figs.9. a0 +A > b. As expected.9. 2. a0 +A > b for a0 −B < b. a0 +A < b for a0 −B > b. γ1. The typical average ﬂux-bias force curves for a system subject to additive dichotomous noise are shown by the dotted line in Fig.4). dφ dt 0. (2. dϕ dt γ γ γ γ γ a0 Fig. we show the average ﬂux dφ/dt as a function of noise rate . 2. In Fig.2 → 0 (“adiabatic approximation”). the total mobility is the average of the mobilities for the two corresponding potentials [43]. 2.34) These equations imply that in the adiabatic approximation. γ2 2 2 γ +γ2 (a0 +A) −b . 2.9. 1 for a0 −B < b. 1 2 2 ≈ γ1 +γ2 γ1 (a0 +A) −b2 +γ2 (a0 −B) −b2 .

which leads to the vanishing of dφ/dt . These general conditions are satisﬁed in our case of asymmetric dichotomous noise. since the function Γ (φ) deﬁned in (2. chemistry and biology (some recent references can be found in [45]).1. 2. as shown in Fig. One can easily verify that the ratchet eﬀect disappears in the limiting case of symmetric noise when a = 0.20) is an odd function for a = 0. Note that in our case. as well as in other ﬁelds of physics. This phenomenon is a special case of the more general “ratchet eﬀect” for which the net transport is induced by nonequilibrium ﬂuctuations when some asymmetry is present.7. This non-monotonic behavior is a special manifestation of stochastic resonance which was found for a bistable potential by Doering and Gadoua [44]. but for diﬀerent values of noise amplitude A. . 2.9. this phenomenon occurs in a very narrow region of values of the bias force a.8 Same as for Fig. Parameters are b0 = 1 and γ = 0. 2) A stochastic resonance phenomenon (non-monotonic behavior of the average ﬂux as a function of noise rate) has been found in a narrow regime of the bias force. The latter case occurs both for white noise and for symmetric dichotomous noise. 2. The ratchet eﬀect might have practical applications for superconducting electronics. which implies that dφ/dt = 0. Several conclusions can be drawn from the graphs: 1) The average ﬂux dφ/dt does not vanish even for zero bias force. γ = γ1 + γ2 .32 The Noisy Pendulum d dt a0 Fig.

Parameters are b0 = 1 and A = B = 0. 2. 2.35) Typical graphs of ﬂux-bias characteristics for multiplicative dichotomous noise are shown in Figs. γ2 → 0 [32]. In the absence of additive noise with symmetric multiplicative noise. stochastic resonance occurs in a narrow regime of the bias a0 . a > b −B 0 0 0 0 0 0 γ1 +γ2 √ γ1+γ2 dφ 2−(b −B)2 ∼ γ1 a0 0 . The ﬁrst two graphs show dφ/dt as a function of a0 .12. for a > b +A. which is characteristic of multiplicative dichotomous noise for diﬀerent amplitudes and diﬀerent noise rates. (2.12. a0 < b0 −B.4 Multiplicative dichotomous noise Analogous to (2. √ √ γ2 a2−(b0+A)2 + γ1 a2−(b0−B)2 .9. Just as for additive noise.2.10. f2 (t) = ±b.Overdamped Pendulum 33 d dt γ Fig. for a0 < b0 +A. our basic equation has . 2.34). The non-trivial type of ratchets which exists in this case show up at the onset of the average angular velocity in the absence of a bias force as a result of the nonequilibrium noise [46]. γ1 . 2. 2. a0 > b0 −B dt γ1+γ2 0. the average angular velocity takes a simple form in the limiting case of slow jumps. The non-monotonic behavior of dφ/dt as a function of noise rate γ is shown in Fig.9 Dimensionless average angular velocity dφ/dt as a function of noise rate γ. for a0 < b0 +A. respectively.11 and 2.

34 The Noisy Pendulum d dt a0 Fig. dt (2.10 Dimensionless average angular velocity dφ/dt as a function of bias with multiplicative dichotomous noise for diﬀerent noise amplitudes. 2. (2.2. This can be seen from Fig. slides to 5. the resulting motion will have a net average angular velocity. there is a special case in which one or both sources of noise are dichotomous. However. 2. If.36) If a0 < |b| . the following form. dφ = a0 − f2 (t) sin φ. (2. switches to 4.5 Joint action of multiplicative noise and additive noise In addition to the analysis of two sources of white noise performed in Sec.13. switches to point 2. 2. 2. (2.37) . dφ/dt is non-zero for the following reason: a particle locked in the potential minimum 1. [39]. as usually assumed. the rate of reaching the minimal energy in each well is much larger than γ (adiabatic approximation). We consider in more detail this special case in which the multiplicative noise η (t) in Eq. where the two washboard potentials V± = aφ ± b cos φ are shown.2. ξ (t) ξ (t + τ ) = 2σ 2 δ (τ ) . etc.36) gives dφ/dt = 0 for both f2 (t) = ±b. Eq.6) is dichotomous and the noise ξ (t) is additive [47]. if one allows switching between two dynamics laws.2. η (t) η (t + τ ) = ∆2 exp (−2λ |τ |) . then rapidly slides down to point 3.

9. 2. ∂φ (2.Overdamped Pendulum 35 d dt a0 Fig. In the limit of ∆. P+ (φ. t) which correspond to the evolution of φ (t) subject to noise of strength ∆ and −∆. . λ → ∞ with ∆2 /2λ ﬁxed and ∆2 /2λ ≡ D. the set of Fokker-Planck equations satisﬁed by these two functions has the following form. we recover the results considered previously for two sources of white noise. In the presence of dichotomous noise. Parameters are b0 = 1 and A = B = 0.32). ∂ ∂P+ =− ∂t ∂φ ∂P− ∂ =− ∂t ∂φ ∂P+ ∂φ ∂P− [a0 − (b0 − ∆) sin φ] P− − σ 2 ∂φ [a0 − (b0 + ∆) sin φ] P+ − σ 2 − λ (P+ − P− ) . Equations (2.38) can be replaced by the set of equations for P = P+ +P− and Q = P+ − P− .31)–(2. For a0 = 0. it is convenient to deﬁne two probability densities.39) − 2λQ. ∂ ∂P = ∂t ∂φ ∂Q ∂ = ∂t ∂φ ∂P ∂φ ∂Q [−a0 + b0 sin φ] Q − ∆P sin φ − σ 2 ∂φ [−a0 + b0 sin φ] P − ∆Q sin φ − σ 2 ≡− ∂J . As it was already used in (2. 2.38) + λ (P+ − P− ) .11 Same as for Fig. respectively. but for diﬀerent values of noise rates γ. (2. t) and P− (φ.10.

For both multiplicative dichotomous noise and additive white noise.36 The Noisy Pendulum d dt Fig. Parameters are b0 = 1 and A = B = 0. .9. Pst (φ) has double maxima at φ = 0. Such calculations have been performed [39] for σ = 0. π and a minimum at φ = cos−1 (−b0 /D) . For D > Dcr . therefore. 2. (2. D < Dcr . Pst (φ) has a simple maximum at φ = 0. When the strength of the multiplicative noise is small. one has to solve Eqs. The physical explanation of such behavior is as follows: for fast processes. it tends to be attracted to the ﬁxed point φ = 0 (single-peak state). the system is under the inﬂuence of average noise and. For given b0 and ∆.1. the system spend most of its time at the two ﬁxed points φ = 0 and φ = π (double-peak state). The qualitative behavior of Pst (φ) does not depend on the strength σ 2 of the additive noise.40) where κ = D2 /σ 2 and C is the normalization factor. the stationary probability density Pst (φ) has the following form Pst (φ) = C √ √ 1 + κ + κ cos φ √ √ 1 + κ − κ cos φ 1 + κ2 sin φ 1 √ b0 /2Dσ 1+κ (2.38) numerically. Pst (φ) undergoes a phase transition from the double-peak state to the single-peak state upon increasing the correlation time λ.12 Dimensionless average angular velocity dφ/dt as a function of noise rate γ for multiplicative dichotomous noise. For slow processes and strong noise strength.

whereas each by itself is unable to produce non-zero ﬂux in this region of bias. The “ratchet eﬀect” occurs for asymmetric additive noise in the presence of multiplicative noise. 3. we have considered additive noise and multiplicative noise as being independent. (2. as in laser dynamics [48].6) with the same .2.13 Washboard potential U (φ) = aφ − b cos φ.Overdamped Pendulum 37 Fig. 2. but smaller in other regions.6 Correlated additive noise and multiplicative noise Thus far. 2. For the simplest case of the two sources of white noise. ξ (t) and η (t) in Eq. the particle moves downhill along the trajectory 1 : 2 : 3 : 4 : 5. The simultaneous action of two sources of noise can be larger than each source by itself in some region of the average ﬂux-bias plane. A more detailed analysis has been performed [32]. Two sources of dichotomous noise are able to produce a ﬂux for small bias. Correlations between diﬀerent sources of noise may occur when they both have the same origin. but if one allows a switching between potentials. A particle cannot move along each of the potentials by itself. 2. or when strong external noise leads to an appreciable change in the internal structure of the system and hence its internal noise. This eﬀect occurs also for two sources of white noise. The latter eases the requirements for the onset of the ratchet. We bring only the main results: 1. with a = 1 and b = 7.

one obtains −1 φ1 +2π 2π dφ1 exp [Ψ (φ2 )] dφ2 dφ φ1 . Finally. Calculations of dφ/dt have also been performed [51] for the case where the multiplicative white noise η (t) in (2. Symmetric dependence of dφ/dt as a function of D1 /D2 .43) Extensive numerical calculations have been carried out [50] for noncorrelated noise (λ = 0) which lead to the conclusions described in Sec. B (x) = D2 sin2 x − 2λ D1 D2 sin x + D1 . Reversal of dφ/dt . 2. As D1 /D2 increases. λ = 1. = B (φ1 ) exp [Ψ (φ1 )] − B (φ1 + 2π) exp [Ψ (φ1 + 2π)] dt 0 (2. and a maximum changing from positive to negative values for λ < 0. A (x) = a0 − b0 sin x − λ D1 D2 cos x + D2 sin x cos x. Existence of extremum. √ ξ (t1 ) η (t2 ) = 2λ D1 D2 δ (t1 − t2 ) (2.41) where the coeﬃcient λ(0 ≤ λ ≤ 1) indicates the strength of the correlation. dφ/dt possesses a minimum changing from negative to positive values for λ > 0. 2.42) where z Ψ (z) = − 0 dx A (x) /B (x) . 3.18)-(2. Both maximum and minimum exist for completely correlated noise. For non-zero values of λ. the direction of dφ/dt reverses when the ratio D1 /D2 decreases.5. which lead to new phenomena: 1.41) was replaced by dichotomous noise. .23) for a system with non-correlated noise (see also [50]). for the steadystate average angular velocity. A simple calculation [49] yields the solution of the problem with correlated multiplicative noise and additive noise in term of the results (2. one obtains ξ (t1 ) ξ (t2 ) = 2D1 δ (t1 − t2 ) . η (t1 ) η (t2 ) = 2D2 δ (t1 − t2 ) . and for −1 ≤ λ < 0 and 0 < λ ≤ 1.2. (2.38 The Noisy Pendulum type of correlations.

even in a non-equilibrium state. which implies dφ/dt = 0. Such noise-induced motion cannot appear in an equilibrium system. another possibility is correlation between additive and multiplicative noise.3) with a = 0.44) This equation has no analytic solution. then −φ (t) is also a solution for t replaced by −t.2. and using the well-known expansion of trigonometric functions in series in Bessel functions Jn (z). the normal and inverted modes of oscillations which are symmetric with φ = 0 and φ = π. Moreover. Assuming that the solution of Eq. dφ + b sin φ = f sin (ωt) . due to the second law of thermodynamics. As we have seen. These two solutions will give two equal average velocities equal to ± dφ/dt .3. for the following reason. a non-zero average velocity can appear only in the presence of some symmetry breaking. The non-zero steadystate angular velocity is obtained from Eq. If φ (t) is the solution of the dynamic equation for a given realization of noise.45) a small perturbation δ (t) to (2.3 2. (2. A non-zero value can be obtained when either the potential energy or the noise is asymmetric. A non-zero average velocity exists only in the case of asymmetric thermal noise. dt (2.46) Substituting (2. 2.3. has the following form. (2. one obtains a . 2. but the numerical solution shows [52] that there are two types of stable periodic motion.29) which does not contain any driving force. which includes symmetric thermal noise.47).1 Periodic driven force Deterministic equation Equation (1. as we have seen in Sec. (2.Overdamped Pendulum 39 The following general comment should be made.45) is governed by the linearized equation dδ + bδ cos φ = 0 dt with the solution δ = exp −b dt cos φ . respectively.44) is given by the trial function φ = A0 + A1 cos (ωt + α1 ) . supplemented by a external periodic force f sin (ωt) . (2.47) (2.45) into (2.

(2.11) on the strength of noise depends crucially on the value of the constant torque a. For diﬀerent values of a. This phenomenon is due to the stability of periodic orbits in the (φ.49). Eq. in the language of Josephson junctions. (2. bJ0 (A1 ) cos A0 > 0. dφ/dt = nω for integer n. are in good agreement with the numerical calculations [52]. (2. (2.48).49) has been studied both numerically [52] and by means of perturbation theory [53]. and to the appearance of multiple peaks in the dependence of the eﬀective diﬀusion on the constant torque a [54].50) The numerical solution of Eq. (2. One can say [54] that the Shapiro steps are a special case of synchronization with the resonance condition on two frequencies in the problem. A most remarkable result of both calculations is the lock-in phenomenon which. Therefore.4) deﬁnes the zeroth Shapiro step. Eq. manifests itself as horizontal “Shapiro steps” in the voltage-current characteristics.45) yields dφ + b sin φ = a + f sin (ωt) . dt (2. (2. thereby producing successive Shapiro steps. 2.48) The boundaries between two types of solutions of Eq.49) takes the form dφ + b sin φ = a + f sin (ωt) + ξ (t) . .50) shows [54] that the dependence of the average velocity deﬁned in (2. which follow from Eq. one needs large changes in a to destroy this periodic orbit and send the system to the next stable orbit. dφ/dt) plane with respect to small changes of the parameter a in Eq. (2. this dependence can increase monotonically or decrease monotonically or become non-monotonic. (2. when a phase tends to synchronize its motion with the period of an external ﬁeld to overcome an integer number of wells during one cycle of the force.44). The presence of noise leads to the blurring of the Shapiro steps.40 The Noisy Pendulum stability condition.3. dt (2. helping a system to leave the locked-in states. In fact. Adding a constant term in the right hand side of Eq.2 Inﬂuence of noise In the presence of noise.

the diﬀusion exhibits a maximum for a speciﬁc value of the strength of noise. (2. are deﬁned through two dimensionless time variables. along with an overdamped pendulum. dφ + sin φ = a + a1 ψ (τ /b) dτ where τ = bt and a1 ψ (τ /b) = A. one has to write the solutions of (2. T1 and T2 . we consider a simpliﬁed form with a periodic telegraph signal which does allow an exact solution. τm = τn + T1 . τn = n (T1 + T2 ) . A = B and T1 = T2 = T /2. the motion of a Brownian particle in a periodic potential. B = 0.50) was compared with that of a free Brownian particle (b = f = 0).52) (2. In addition. This simpliﬁed equation has the following dimensionless form.Overdamped Pendulum 41 Equation (2. subject to a square wave periodic force. for τm < τ < τn+1 (2.53) As special cases. The latter case has been considered in a more general setting [56]. this form of the equations includes the symmetric pulse. and then match the solutions at the boundaries of the appropriate regimes.1) (with a replaced by a +A and a − B) with known solutions (2. Eq.49) with a sinusoidal force.3 Deterministic telegraph signal Since Eqs. Both the analytic calculation for a square-wave periodic force and the numerical simulations for the sinusoidal potential show that the diﬀusion rate can be greatly enhanced compared with free motion by the appropriate choice of coordinate and time periodicity. The diﬀusion coeﬃcient for Eq. (2.51) in the two regimes given in (2. A fascinating analysis of the diﬀusion of a particle.3. −B. has been performed [55]. for τn < τ < τm . 2. For a constant value of a1 ψ (τ /b). A → ∞ and T1 → 0 with AT1 = 1. Therefore.52).3). . (2. thereby showing a stochastic resonance-type eﬀect. do not allow analytic solutions. and a train of a delta-function pulses.50) describes. τn and τm .51) reduces to Eq.44) and (2. (2. f sin (ωt). (2.2) and (2. The details of the calculation can be found in [57]. The ﬁnal result of these calculations is the transcendental equation which deﬁnes the boundaries of the Shapiro steps.51) The regeneration points.

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The type of rotation depends on the damping. dφ d2 φ + b sin φ = a. +γ dt2 dt (3. (2. φ = 0. the pendulum rotates with a ﬁnite period. As a decreases from a > b to a < b. The reaction of the pendulum then depends of the direction of the perturbation. the equilibrium state is tilted to φ = sin−1 (a/b) . if we stop the rotating pendulum by hand and put it close to its equilibrium state. approaching φ = π/2 at a = b. For a = 0. the pendulum continues to rotate even for a < b. (1. corresponding to the loss of equilibrium.2).1) and (2. and the period of rotation scales as ε−1/2 . which is the manifestation of hysteresis. and we shall describe the results of numerical calculations [58]. But if the perturbation is large enough and 43 . the pendulum returns to equilibrium. Note that this result corresponds to Eqs. the pendulum starts to rotate.1) This equation cannot be solved analytically. the pendulum hangs in the downward position. If γ is small. showing bistability between the rotating periodic regime and stationary equilibrium.4) for the overdamped pendulum. For a ≤ b. a − b of order the small parameter ε. For a > b. With increasing a. the pendulum will remain in equilibrium. Another peculiarity occurs when the pendulum is perturbed from the equilibrium position φ1 = sin−1 (a1 /b) by releasing it without initial velocity.1 Pendulum with constant torque The pendulum equation with constant torque is obtained by adding a constant torque a to Eq. For strong damping and close to the threshold. [59].Chapter 3 Underdamped Pendulum 3. If the perturbation is directed toward the vertical direction.

one can rewrite Eq. a) plane are shown in Fig.0 (3.2)-(3. On the other hand. (3. 3. with some threshold value of z . The smaller this parameter. Equation (3. the larger the bias torque a that one needs to start the motion.1) in the form bz dz a + z + sin φ = γ 2 dφ b where a/b ≡ a is the dimensionless torque. The curves have been drawn to guide the eye.2) implying dz/dt = (bz/γ) (dz/dφ) . a 2.0 0 0 1. Then. It is seen that two solutions exist for the average angular velocity z in the interval 1 > a > acr .1) can be rewritten as two ﬁrst-order diﬀerential equations by introducing the dimensionless angular velocity z= γ dφ . (3.44 The Noisy Pendulum directed in the opposite direction.0 z Fig. b dt (3. where acr depends on the parameter b/γ 2 . Solutions of Eqs. the pendulum moves in the direction of the perturbation. at which point the pendulum will . by decreasing the torque a.1. 3. the pendulum will continue to rotate until the torque reaches the value acr .3) plotted in the ( z .3) 1.1 Normalized average angular velocity z as a function of normalized torque a for diﬀerent values of β = b/γ 2 .

5)-(3.7) To use the averaging technique.4) can be rewritten as two ﬁrst-order stochastic diﬀerential equations dφ = Ω.4). P1 (E) = 2 2E E −1/2 exp − πDt Dt (3. one notes that according to Eq.9) . one can average Eq. 3.6) with the energy of the system given by Eq. The analysis of Eqs. (3. The FokkerPlanck equation associated with the Langevin Eqs. Hence. one can assume [61] that the angle φ is uniformly distributed over (0.6) is quite diﬀerent for white noise and for colored noise [60].4) Equation (3.1). Ω2 1 exp − P1 (Ω) = √ Dt πDt .2 Pendulum with multiplicative noise If the rod of a pendulum performs random vibrations. Therefore.5). (3. dt2 (3. the variable φ varies rapidly compared with Ω. dt dΩ 2 = − ω0 + ξ (t) sin φ dt (3.6) has the following form. d2 φ 2 + ω0 + ξ (t) sin φ = 0. (1. one obtains for the energy E ≈ Ω2 /2. which gives a Gaussian distribution for the marginal distribution function P1 (Ω) .Underdamped Pendulum 45 come to rest after performing damped oscillations around the equilibrium position φ = sin−1 (acr /b) . (3. in the long-time limit. ∂ ∂ D ∂2P ∂P 2 =− (ΩP ) + ω0 sin (φ) P + sin2 φ 2 . 2π) . one has to add the external multiplicative noise ξ (t) to the equation of motion (1.7) over φ.5)(3. (3.8) Accordingly.5) (3. ∂t ∂φ ∂Ω 2 ∂Ω (3. (3.

4 (3. 3. d2 φ dφ + b sin φ = a + f sin (ωt) + ξ (t) . E ≈ √ t.11) These heusteric arguments are conﬁrmed [60] by more rigorous analysis and by numerical calculations. 3.2 Pendulum with an external periodic force acting on the bob.9). +γ dt2 dt (3.2). the self-consistent estimate gives [60].12) l f cos( t) Fig. it follows that E = D t.46 The Noisy Pendulum and from (3. (3. one cannot write the exact Fockker-Planck equation. .3 3. if one assumes a power-law dependence of φ as a function of time t. However. 3.3.1 Pendulum with additive noise Damped pendulum subject to additive noise The equation of motion for the angle φ of a damped pendulum subject to a constant torque a. and a periodic force f sin (ωt) acting on the bob (Fig. has the following form.10) For colored noise. a random torque ξ (t) .

Underdamped Pendulum

47

In this section we consider diﬀerent simpliﬁed forms of Eq. (3.12). We begin with the following form, dφ d2 φ + b sin φ = ξ (t) . +γ dt2 dt (3.13)

According to the ﬂuctuation-dissipation theorem for a stationary state, a gain of energy entering the system is exactly compensated by the energy loss to the reservoir, which gives ξ (t) ξ (0) = 2γκT (3.14)

where κ is the Boltzmann constant. The velocity-velocity autocorrelation function deﬁnes the frequency-dependent mobility µ (ω) , 1 µ (ω, T ) = κT

∞

dt

0

dφ dφ (t) 0) exp (iωt) . dt dt

(3.15)

For special cases, one can obtain analytical results for µ (0, T ) . For the non-damped case (γ = 0) [62], µ (0, T ) = π (2πκT )

−1/2

I0 (v) + I1 (v) exp (−v) 2 I0 (v)

(3.16)

where In (v) denotes the Bessel function of n-th order. In the limit of large damping [35] and neglecting the second derivative in (3.13), µ (0, T ) = 1 . 2 γ [I0 (v)] (3.17)

The method of continued fraction [14] yields an approximate expression for the mobility [63], µ (ω) ≈ 1 −iω + γ + ibI1 (0) /ωI0 (v) (3.18)

which is in good agreement with numerical calculations [63]. 3.3.2 Damped pendulum subject to constant torque and noise

The analytical solution of the simple mathematical pendulum, Eq. (3.12) with γ = f = ξ = 0, has been considered in Sec. 1.1. If one adds damping

48

The Noisy Pendulum

while keeping f = 0, Eq. (3.12) takes the form, d2 φ dφ = a − b sin φ + ξ (t) +γ 2 dt dt which describes a damped pendulum subject to the potential U (φ) = −aφ + b (1 − cos φ) . (3.20) (3.19)

In Sec. 2.2, the analysis of overdamped deterministic motion (neglecting the second derivative in Eq. (3.12) and the random force ξ (t)) showed that there are two types of solutions: locked-on for a < b, and running for a > b. A similar situation occurs [64] for Eq. (3.19). The system switches randomly between a locked state with zero average velocity, dφ/dt = 0, √ and a running state with dφ/dt = 0. For γ << b, the transition from the locked state to the running state occurs when the value of a approaches b, whereas the opposite transition takes place when the value of a decreases to √ √ 4γ b/π. For large values of η, say, γ > π b/4, we recover the overdamped case, and the two boundary values coincide, coming back to the criterion a ≷ b. For weak noise, the stationary dynamics of φ (t) is controlled by √ √ the critical value of acr = 2 + 2 γ b. For a < acr , a system is trapped in small oscillations near the downward position, whereas for a > acr , the pendulum performs rotations. For the running solutions, the average angular velocity dφ/dt will be non-zero. This velocity and the time evolution of the mean square displacement of the rotation angle φ2 are the characteristics of the pendulum motion. When φ2 is proportional to tµ with µ = 1, the process is called normal diﬀusion, whereas for µ = 1, the diﬀusion is anomalous, and is called super- or sub-diﬀusion for µ > 1 and µ < 1, respectively. An exact analytical solution can be only obtained for the simple pendulum described by Eq. (1.1). In all other cases, one has to rely on numerical solutions. Note that that in the absence of any stochastic force (ξ = 0 in Eq. (3.12)), “deterministic” diﬀusion occurs. An unexpected phenomenon has been found [65] for intermediate values of the parameter a. This is precisely the region which is very important for experimentalists, but is rarely discussed by theorists who study (analytically) the asymptotic time regime and (numerically) the initial time regime. In addition to the characteristic value acr of the parameter a described above, which deﬁnes the boundary between locked and running trajectories, there is another characteristic value of parameter a, well below acr , where the system alternates between the locked and running trajectories.

Underdamped Pendulum

49

The new regime lies [65] in the intermediate region between these two characteristic values of a, in which the system moves coherently with constant velocity (in spite of the noise!).

3.4

Periodically driven pendulum

For the simpliﬁed case, γ = a = ξ = 0 in (3.12), detailed numerical analysis has been performed [66] for f = 1.2 and two diﬀerent values of ω (0.1 and 0.8) . The solution is quite diﬀerent for these two cases: in the former case, the diﬀusion is normal, whereas in the latter case, the diﬀusion is anomalous with µ = 1.6. We will show in Part 4 that this diﬀerence stems from the diﬀerent structure of the Poincare map, which only has regular regions for ω = 0.1, but has both regular and chaotic regions for ω = 0.8. When damping is included, the equation of motion (3.12) takes the following form, dφ g d2 φ + sin φ = f sin (ωt) . +γ 2 dt dt l (3.21)

Analysis of this equation has been performed [66] for g/l = 1, f /m = 1.2, γ = 0.2 and diﬀerent values of ω. Chaotic behavior starts at the accumulation point of period-doubling bifurcations, ω1 = 0.47315. Depending on the value of ω, the inﬂuence of the regions with normal diﬀusion and chaotic bursts is diﬀerent. In the region to the left of ω1 , ballistic motion (normal diﬀusion) is dominant with the burst regions contributing only minimally. The diﬀusion coeﬃcient D exhibits a power-law diver−α gence D ≈ |ω − ω1 | , with the exponent α close to 1 . For another type 2 of bifurcation, called crisis induced intermittency, analysis of equation d2 φ dφ + sin φ = f cos (ωt) +γ dt2 dt (3.22)

shows [67] that for f < fc (where fc is the bifurcation point), there exist two attractors which merge for f ≥ fc , and form a single large attractor with chaotic switching between these two attractors. The mean time between switching is a power-law function of f − fc , with the exponent given in terms of the expanding and contracting eigenvalues [67]. For ω = 1.0, γ = 0.22, fc = 2.646442, the diﬀusion coeﬃcient was calculated [66] in the regime f ∈ [2.64653, 2.69] and is described by the power law, 0.699 D ≈ (f − fc ) .

D (α) > D (0) . ie.23)..23). Based on the exponential dependence of the chaotic states on the initial conditions. and modiﬁes the results.0) . Ω = 0. whereas for α > 0. d2 φ 1 dφ + sin φ = sin (Ωt) + 2 dt Q dt (3.1. 1 dφ d2 φ + sin φ = sin (Ωt) + αη (x) + 2 dt Q dt (3. while the amplitude of the external periodic force varied through the interval (0. depending on initial conditions. D (α) < D (0) . both locked and running solutions appear for α = 0. However. even for some running solutions which expand in phase space. while the parameter Q was allowed to take 200 diﬀerent values in the interval 3 < Q < 7. two parameters are ﬁxed. (3. Many diﬀerent solutions have been found . (3.62. In order to study diﬀusion.and special attention was paid to the symmetry properties of these solutions.. and α gives the amount of quenched disorder. φ = dφ/dt = 0. with the diﬀusion coeﬃcient depending essentially on Q and is considerably enhanced for Q corresponding to the edges of periodic windows in the bifurcation diagram.78 and Ω = 0. limt→∞ x2 /2t = D (α). where the averaging was taking over a large grid of initial conditions centered around the origin.6 − 1. . the motion is ballistic. (3.50 The Noisy Pendulum Extensive studies of diﬀusion in this case have been performed for Eq. = 0. i. The latter result is due to the increase of the locked trajectories when α is increased.22) which can be rewritten in dimensionless form [68. These results are modiﬁed if one adds quenched disorder [70] to Eq. the diﬀusion coeﬃcient D depends on α. The periodic states located within the windows do not diﬀuse.23) and contains three independent dimensionless parameters: Q = ml gl/γ.1. two variables were ﬁxed.periodic.24) where η (x) ∈ [−1. Whereas there were only running solutions for α = 0. 69]. 1] are independent. so that for α < 0. which corresponds to D = 0. The numerics prove that diﬀusion remains normal. uniformly distributed random variables. = f /mgl and Ω = ω l/g. The authors argue that their results are not dependent on the special values assumed for the parameters. φ2 is a quadratic rather than a linear function of time. The presence of quenched disorder destroys the periodicity and symmetry of Eq.6 and Q = 5. numerical calculations have been performed for ensemble-averaged φ2 . In [69].e. Although the diﬀusion remains normal. non-periodic and chaotic .

97) .77. and when f exceeds fc ≈ 8.26) by a signiﬁcant amount.22) takes the following form. A1 again increases until it reaches the third zero (8.43) of J0 (A1 ) . there appears a period-triple state. A1 increases while |A0 | remains at π until A1 reaches approximately the second zero (5. For ﬁxed values of parameters.25). |A0 | decreases with A1 until A0 reaches zero and the pendulum returns to the stationary regime (3. in contrast to deterministic chaos where sensitivity exists almost everywhere throughout a deﬁnite region of parameter space. and the stationary solution (3. deterministic chaos-like phenomena occur. After this. The two signs in the last formula correspond to the two directions of rotation. They found that no chaotic regime appears far from the resonance condition ω ω0 . A1 exceeds Ac ≈ 2. A change in the initial condition φ (t = 0) as small as 10−7 leads to a change of A0 in (3. (3. γ = 0.22) for diﬀerent values of the amplitude f of the external ﬁeld. which is equal to unity in Eq.58.25) is replaced by the symmetry-breaking solution φ (t) = A0 + A1 cos θ1 + A2 cos θ2 + A3 cos θ3 + · · · .16. (3.25) The coeﬃcient A1 increases with f .77. and so on. where the pendulum oscillates around the upward position. some further interesting results have been obtained [71]. there appears a sinusoidally modulated rotational state approximately described by φ = A0 + A1 cos (ωt − α1 ) ± ωt. (3. As f continuous to increase.405) of the Bessel function J0 (A1 ) . θm = mωt−αm . |A0 | reaches π at f = 10.Underdamped Pendulum 51 In addition to the diﬀusion considered above and discussed in Part 4 for chaotic motion. and in the regime f ∈ (3. such sensitivity to the initial conditions exists only for some particular values of f . which is replaced by oscillations around the upward position (see Part 5). 0 < αm < π.22).2 and ω = 2. However. (3.40) .26) At this stage. Note . (3. Then. In the regime f ∈ (3. they obtained numerical and approximate analytical solutions of Eq. 5.65) of J0 (A1 ) . Symmetry breaking then occurs with respect to φ → −φ. The conventional stationary solution of Eq. 11.22) for the case in which the frequency ω of an external ﬁeld is larger than the eigenfrequency of the pendulum ω0 . φ (t) = A1 cos θ1 +A3 cos θ3 +A5 cos θ5 +· · · . which is close to the ﬁrst zero (2.425. approximately described by φ = A1 cos (ωt − α1 ) + A1/3 cos (ω/3) t − α1/3 . (3. On further increase of f. These workers analyzed Eq.

52 The Noisy Pendulum that these two modulated states. For values of parameter a lying in the interval (−ac . and f = 1. (3.0005 for ω = 0. thereby displaying “absolute negative mobility”. in contrast to the case without bias. 3. (3. with the initial conditions determining which state is actually excited. These counterintuitive results have been obtained [72] for the general case. and the motion becomes nearly ballistic. (3.47311. Numerical calculations have been performed [72] for the asymptotic mean velocity dφ/dt . periodic force and noise The addition of a constant term a to the right hand side of Eq. dφ d2 φ + [a + σξ (t)] sin φ = a + f sin (Ωt) + η (t) +γ dx2 dt (3. in addition to a constant term a. γ = 0.23) leads to the loss of periodicity. A pendulum subject to both additive noise and multiplicative noise has recently been considered [73].25) and (3.2. (3.12).27) where ξ (t) and η (t) assumed to be delta-correlated Orenstein-Uhlenbeck . is opposite to that obtained for an equilibrium system for which the response is always in the same direction as the applied force.26). (3. The value of the parameter ac depends of the values of other parameters entering Eq. ac ). One of the two intermittent regions described in the previous section is destroyed by a small bias a (a = 0. can occur for the same value of f .12). when. which is deﬁned as the average of the angular velocity over time and thermal ﬂuctuations. As a increases.5 Damped pendulum subject to constant torque.16).2). obtained for a non-equilibrium system. which returns us to the original Eq. the system alternatively becomes chaotic and periodic. The equation of motion is obtained by adding multiplicative noise to Eq. along with the singleperiod states (3. This phenomenon. the velocity is oriented in the opposite direction from that of the driving force a. thermal noise is also included in Eq. period-triple states. for which two symmetric intermittent regions lead to normal diﬀusion [66].12). All the above results obtained from numerical calculations are in good agreement with the analytic calculations performed [71] in the framework of perturbation theory.

3). 3. the system is either in a locked state or in a running state as λ changes. The coeﬃcient σ of multiplicative noise in (3. the system is randomly located in one of two stable states. ξ (t) η (t1 ) = 2D δ (t − t1 ) . the faster φ turns over. dt2 l (3. Numerical simulation shows [73] that if the product Dλ is constant. which gives d2 φ 1 + g + aω 2 sin (ωt) sin φ = 0. and it is convenient to use a non-inertial frame of reference ﬁxed to the moving axis. for t → ∞.6 3. the system becomes non-inertial. φ undergoes the transition monostability-bistabilitymonostability. and φ turns over counterclockwise at σ = −20. For small λ. For large λ. the system is always in the state φ = 0. and as λ increases.1). When the suspension point performs vertical oscillations u (t) = a sin (ωt) (Fig.29) . φ = 0 or φ = −π. Furthermore. the larger the value of σ. 1. ξ (t) ξ (t1 ) = E 2 exp (−λ |t − t1 |) . Newton’s law must then be “modiﬁed” by the addition of the force of inertia −md2 u (t) /dt2 .Underdamped Pendulum 53 noises.28) 3. and our analysis dealt only with a pendulum whose suspension point is at rest. whose strength serves only to change the turnover direction and speed of φ. we have considered the pendulum as a massless rod of length l with a point mass (bob) m at its end (Fig. The bistability regime exists for any value of additive noise. one replaces gravity g by g − d2 u/dt2 . This means that the strength of multiplicative noise controls the rotation direction of φ without any external torque. (3.6.27) simulates the time evolution of φ: the running solutions start from | σ | > 0. This means that for a pendulum with an oscillating suspension point. η (t) η (t1 ) = sE 2 exp (−λ |t − t1 |) .1 Pendulum with oscillating suspension point Vertical oscillations Thus far. which produces a torque −ml sin φ d2 u/dt2 .

25. β = −0.30) cannot be solved analytically.35. dφ/dt = 0 and the clockwise and couterclockwise running solutions).30) Equation (3.03. dτ 2 α= g . the downward position is stable for α = 0. l (3.1. In terms of the dimensionless time variable τ = ωt.1. the lock-in oscillating solutions near this point. Comprehensive numerical analysis shows [74] which initial values of φ and dφ/dt lead to each type of asymptotic solution.3 Pendulum with vertically oscillating suspension point. there are three types of the asymptotic solutions (the stationary state at φ = π. (3.545. but becomes unstable for α = −0. for β = −0. Eq.54 The Noisy Pendulum a sin( t) l Fig. γ = 0. The types of solutions are diﬀerent for other values of the parameters in (3. (3. β = −0.1. +γ 2 dτ dτ (3. lω 2 β= a .31).1.08.5 and unstable for α = 0. which we will consider in detail in Part 5.02.29) becomes d2 φ + [α + β sin (τ )] sin φ = 0. and γ = 0.1. and for α = −0.30) leads to dφ d2 φ + [α + β sin (τ )] sin φ = 0. For example. The upward position.31): the stationary state at φ = dφ/dt = 0.31) Depending on the initial conditions. there are four diﬀerent asymptotic (t → ∞) solutions of Eq. β = −0. Introducing damping into (3. for α = 0.545. is stable for α = −0. 3.03. β = −0.2. γ = 0. β = −0. there are ﬁve types of solutions (the upward stationary solutions in addition to the four described above). Numerical calculations show [74] the diﬀerent dynamic modes.5. For example. for the parameters α = 0. . and the clockwise and counterclockwise running solutions.

35) . v /ω remains constant. ω2 −1 4 2 + β2 ω4 γ 2ω4 − = 0.31) with α = 1. Numerical calculation of the rotational number as a function of the amplitude β of the external ﬁeld shows [75] that for β ≈ 0. This problem is analogous to the escape of a particle from a potential well. for higher β. one obtains the law of the conservation of energy.31) can be rewritten as dφ d2 φ + [1 + f cos (Ωt)] sin φ = 0. (3.31) into an integral equation. locked and running. One obtains the following equation deﬁning the transition from the locked to the running solutions in the ω − β plane. (3. are clearly decoupled.34) by dφ/dt. +γ dt2 dt (3. However. These two modes. it is useful [75] to consider the so-called rotational number v /ω. deﬁned as 1 v = lim τ2 →∞ ω (τ2 − τ ) ω 1 τ2 τ1 dφ dτ dt (3. dt (3. Equation (3. v / ω = ±1 for running solutions (rotations) and equals zero for locked (oscillating) solutions.31). Of great importance for many applications are the values of the parameters that determine the boundaries between locked and running solutions (“escape parameter region”).32) where τ1 is the time interval necessary for the system to reach steadystate for large enough τ2 . d dt 1 2 dφ dt 2 − cos φ = −γ dφ dt 2 −f dφ cos (Ωt) sin φ. as described by Eq.33) An unconventional approach has recently been taken [77] to the analytical solution of the problem of the locked-running transition by transforming the diﬀerential equation (3. (3.Underdamped Pendulum 55 For analyzing Eq. To solve this problem for the parametrically excited damped pendulum that is symmetric around φ = 0. 4 4 (3. one uses the harmonic balance method [76].47.34) By multiplying Eq.

the inverse function is t t = t0 + t0 ds .36) as ψ (φ) − 2 cos φ − = −2γ φ φ0 2 dφ dt 2 0 + 2 cos φ0 φ z ψ (s) ds − 2f cos Ωt0 + Ω φ0 φ0 ds/ψ (s) sin z dz. (3. γA + f cos (Ωt0 ) B − f sin (Ωt0 ) C = 0. (3.40) A= φ0 ψ (s) ds. (3. Deﬁning the angle α by sin α = √ B . and one can ﬁnd the inverse function t = t (φ) .39) 0 Using Eq. dφ dφ (T ) = (t0 + T ) = dt dt dφ dt . where φ0 +2π φ0 +2π z (3.39). B2 + C 2 (3. B= φ0 φ0 +2π cos Ω φ0 ds/ψ (s) sin z dz.38) For rotations with period T. For rotations. (3. ψ (s) (3. (3.36) where φ0 and (dφ/dt)0 are the initial conditions at time t0 .41) z C= φ0 sin Ω φ0 ds ψ (s) sin z dz. B2 + C 2 C cos α = √ .42) .37) One then rewrites Eq. (3. one can rewrite Eq. For the function dφ/dt = ψ [φ (t)] .56 The Noisy Pendulum Integrating this equation yields dφ dt 2 − 2 cos φ − = −2γ t t0 dφ dt 2 0 + 2 cos φ0 t dφ (r) dφ dr − 2f dr dr cos (Ωr) sin [φ (r)] t0 dφ dr dr (3. dφ/dt = 0. φ (T ) = φ (t0 + T ) = φ0 + 2π.36) for φ = φ0 + 2π in the following form.

3 Pendulum with parametric damping The external force acting on a pendulum may be introduced in several diﬀerent ways.4). In addition to a periodic torque and the oscillation of the .6. 3. f B2 + C 2 (3. leads to the following equation of motion. This approach allows one to build a convenient form of perturbation theory [77]. f cos (ωt) (Fig. (3.2 Horizontal oscillations When the suspension point executes periodic horizontal oscillations. 2 U = −mgl cos φ.46) into the Lagrange function L = T −U . the coordinates x.46) 1 2 m[l2 (dφ/dt) − 2lωf sin (ωt) cos φ (dφ/dt) + f 2 ω 2 sin2 (ωt)]. and the damping term proportional to dφ/dt has been added. d2 φ k dφ f 2 + ω0 sin φ − ω 2 cos (ωt) cos φ = 0 + dt2 l dt l (3.47) 2 where ω0 = g/l. Substituting Eq.44) was obtained by an exact analytical calculation for given function ψ (φ) which deﬁnes the trajectory dφ/dt = ψ (φ) in phase space. T = = 1 2 2 m (dx/dt) + (dz/dt) 2 (3.43) One concludes from (3. x = l sin φ + f cos ωt (3. B2 + C 2 (3.Underdamped Pendulum 57 Eq. and using the Lagrange equation.40) becomes sin (Ωt0 − α) = A γ √ .44) Equation (3. (3.43) that a periodic solution exists if and only if the amplitude f of the external force satisﬁes γA f ≥ fcr = √ .45) which leads to the following kinetic energy T and potential energy U .6. z of the bob become z = l cos φ. 3. 3.

one can add a time-dependent term to the damping. For smaller Ω. the point φ = dφ/dt = 0 satisﬁes Eq. dependent on the initial conditions.49) (3.58 The Noisy Pendulum f cos( t) l Fig.66. (3. Moreover.49) has been obtained [78] for Q = 18. 3. suspension point.48) where Ω = ω/ω0 and t = ω0 τ is the dimensionless time. (3. For Ω 2 and arbitrary f. a long chaotic transient precedes the approach to the point φ = dφ/dt = 0. Finally. (3. and for intermediate values of Ω.49). The numerical solution of Eq. It was found that the minimum amplitude f needed to drive the system into chaos occurs at the frequency Ω = 1. this point is the accumulation point of all damping solutions of Eq. All these theo- . Ω = 2.31).4 Pendulum with horizontally oscillating suspension point.0)] . In contrast to Eq. [Ω ∈ (1. (3.5 − 2. d2 φ dφ 2 + ω0 sin φ = 0 + [A + B sin (ωτ )] dτ 2 dτ which takes the form d2 φ dφ 1 + sin φ = 0 + [1 + f sin (Ωt)] 2 dt Q dt (3. It is remarkable that these properties are insensitive to the value of the damping. the solutions are periodic. A detailed analysis of the chaotic solutions that appear for Ω ≈ 2 has been performed [79].49). using the amplitude f and the frequency ratio Ω as control parameters. whereas the minimum value of f needed to destabilize the stationary solutions occurs for the following values of parameters: f = 2. or those for which the point φ = dφ/dt = 0 becomes unstable. the motion is chaotic. for a small regime of parameters f and Ω.33. there are some values of f and Ω for which other attractors appear.

53) that these equations separate into two classes.18.33 and Ω = 1.5. (3.2 obtained [78] by numerical calculation.52) The boundary of stability is determined by the existence of a periodic solutions for φ at µ = 0. and the dynamics near this point were their main interest.54) For Q = 18.51) has the form. 2 q= Ω . the amplitude εcr of the external ﬁeld that imposes the onset of instability is ε1 = 21. 2 (3.48 for truncation at n = 1. for truncation at higher odd n. cr ε5 ≈ ε7 = 17. (3. whereas nontrivial solutions exist only for odd n.50) the linearized Eq. + q [1 + ε sin (2τ )] 2 dτ dτ (3.51) According to the Floquet theorem. For truncation at n = 1.49) can be rewritten as ω2 dφ d2 φ + φ = 0. which gives for the boundary of stability. 1 − n2 ω 2 Bn − nqAn + qε [(n − 2) Bn−2 − (n + 2) Bn+2 ] = 0. (3.51) and collecting the coeﬃcients of the sine and cosine terms leads to 1 − n2 ω 2 An + nqBn + qε [(n − 2) An−2 − (n + 2) An+2 ] = 0. 2Q ε= f . Nontrivial solutions exist when the determinant of these equations vanishes. the approximate analytical treatment has been performed based on the Floquet theorem [81]. one obtains [81] ε3 = 17. there are two homogeneous equations for A1 and B1 . (3.Underdamped Pendulum 59 retical results have been conﬁrmed on a specially constructed experimental setup [78]. This result is a slight improvement over the value εcr = cr cr 17. ∞ φ = A0 + exp (µt) n=1 [An cos (nt) + Bn sin (nt)] .53) It follows from (3. 2 (3. By using the transformation τ= Ωt . 2 ω= Ω . [80]. The solutions for the latter depend on the truncation order.52) with µ = 0 into (3. odd n and even n.08. dφ/dt = 0. cr Analogously. . Inserting (3. Apart from the numerical calculation. Since the stability of the ﬁxed point φ = 0. the solution of Eq. ε1 = q −1 cr (1 − ω 2 ) + q 2 . the authors [81] analyzed the linearized equation of motion.

m l Fig. µ ≈ ε − εcr . Then. there are two ﬁxed points. Since the system has a period of 2π in the angle φ. 2 2 where ω0 = g/l0 and ωs = κ/m. 3. φ = 0 and φ = π. κ (l − l0 ) = mg.56) .5 Spring pendulum.60 The Noisy Pendulum Analysis of the dynamics shows [81] that for ε > εcr . 3.5. In the downward equilibrium position.7 Spring pendulum A spring pendulum is obtained from a rigid pendulum by inserting into the rod a spring of stiﬀness constant κ and unstretched length l0 (Fig. 3. 3. φ = π. as shown in Fig. the Floquet multiplier µ is proportional to the distance to the boundary of stability. (3. or l ω2 −1= 0 2 l0 ωs (3.5). One chooses the origin at the suspension point with the z-axis pointing upward. at which point the elastic stress of the spring is balanced by gravity acting by the bob.55) l = l0 1 + 2 ω0 2 ωs .

L≡T −U = m 2 dx dt 2 + dz dt 2 + mgz − κ 2 (R − l0 ) 2 (3. equilibrium.59) that ωs > ω0 .61) There is no upper limit to the energy. It is clear from Eq.63) 2 .62) which varies from −1 to inﬁnity. the elastic stress and gravity act in the same direction.Underdamped Pendulum 61 In our coordinate system.60) √ where R = x2 + z 2 . z = 2 2 l0 1 − ω0 /ωs . the downward position of the bob is deﬁned by x = 0 and z = −l.58) . which may increase to inﬁnity. z = −l = −l0 1 + 2 ω0 2 ωs .60). Emin = −mgl + κ mg (l − l0 )2 = −mg l − . 2 2κ (3. L= m 2 dX dt 2 + dZ dt 2 − mg Z + l0 + g 2 ωs − κ (R1 − l0 )2 (3. z = −l to X and 2 z = −l − Z = −l0 − g/ωs − Z.59) In the vertical position. (3. z = −l. κ ˆ − l0 + mg = 0 l or 2 ˆ = l0 1 − ω 0 l 2 ωs (3. (3. The Lagrangian of the system has the following form. the coordinates of the bob are x = 0. (3. It is convenient [82] to introduce the dimensionless energy ratio R. Substituting these changes into (3. one obtains for the Lagrangian of the oscillating system. The energy E = T +U is minimal when the pendulum is stationary in the downward position. it is convenient to change its coordinates from x = 0. x = 0. R=− E Emin (3. When the bob starts to oscillate near its downward position.57) Let the length of the pendulum in the vertical upward position be ˆ In l.

68).67) in a power series in X.64) and (3.65) yields 2 d X X2 1 2 = −ωs X 1− 2 /ω 2 +Z/l ) 1+ 2 2 2 dt2 (1+ω0 s 0 l (1+ω 2/ωs +Z/l0 ) 0 0 −1/2 . yields 6 ωs X 2 d2 Z 2 + ωs Z = − . (3.68) −1/2 .70) Performing the analogous calculations for Eq. (3. (3. 2 2 2 dt2 2l0 (ωs + ω0 ) (3. (3. (X. Thus far.66) into (3.62 The Noisy Pendulum with R1 = are 2 X 2 + (Z + l0 + g/ωs ) . g 2 ωs (3. X < l0 . and inserting g = 2 ω0 l0 . (3.71) . The Lagrangian equations of motion 2 d2 X l0 2 = −ωs 1 − dt2 R1 d2 Z l0 2 = −ωs 1 − dt2 R1 X. 2 2 6 ω0 /ωs + Z/l0 ωs X 2 d2 X 2 = −ωs X − 2 3 . then to lowest order in the small parameters X/l0 and Z/l0 . one can expand the square root of (3. 2 2 2 2 2 dt2 1 + ω0 /ωs + Z/l0 2l0 (ωs + ω0 + ωs Z/l0 ) (3. For small oscillations.66) Substituting (3.65) The quantity 1 − l0 /R1 can be rewritten as X2 l0 l0 1+ 1− =1− 2 2 2 R1 (l0 + g/ωs + Z) (l0 + g/ωs + Z) −1/2 . 2 2 ω0 ωs ω2 d2 X + + s 2 2 dt2 ωs + ω0 l0 2 ωs 2 2 ωs + ω0 2 Z X = 0.69) If Z is also smaller than l0 .64) Z + l0 + − g. all calculations have been exact.67) X2 1 1+ × 1− 2 2 2 2 2 2 (1 + ω0 /ωs + Z/l0 ) l0 (1 + ω0 /ωs + Z/l0 ) d Z 2 2 = −g − ωs Z + l0 + g/ωs dt2 2 (3. Z < l0 ) .

56). Note that Eqs. + ωs Z = 0 dt2 2l (3. (3. ω0 = g/l0 . for the special relation ωs = 2ˆ 0 . d2 X + ω2 X = − 3ˆ 2 /l XZ.72)-(3.Underdamped Pendulum 63 Without nonlinear terms. ψ and χ. (3. Eqs. Equating the coeﬃcients separately to . 2 2 2 Using Eq. which 2 is deﬁned relative to the variable length l. in contrast to the frequency ω2 .74) Since these equations were obtained under the constraint X. + ω2X = 0 ˆ0 dt2 l (3.70) and (3. B.72) 2 d2 Z ω 2 − ωs 2 ˆ 2 X . Then. the terms linear in cos and sin.71) describe the “spring” and “oscillatory” modes of a spring pendulum. one can solve them using perturbation theory. (3.73) take the following form. one obtains.75) into (3.73) represent two coupled oscillators X and Z with the simplest nontrivial coupling between their Hamiltonians of the form X 2 Z.70) and (3. 2 Note that we have deﬁned the oscillator frequency ω0 relative to the 2 ˆ0 constant parameter l0 . For this case. 5. ω0 = g/l.74) and neglecting the small nonresonant driving force. which arises in other ﬁelds as well. X = A (t) cos [ˆ 0 t + ψ (t)] . (3. ω Z = B (t) cos [2ˆ 0 t + χ (t)] . ˆ0 ω0 dt2 d2 Z +4ˆ 2 Z = − 3ˆ 2 /2l X 2 . ω0 ω0 dt2 (3. in order to keep the ˆ frequencies ω0 and ωs independent. ω (3. to ﬁrst-order in small derivatives of A.71) in the following form.5. the spring and the pendulum are in autoparametric resonance while the energy transfers back and force from the string mode to the oscillating mode. ω As it will be shown in Sec. one can rewrite Eqs. (3. 2 ω 2 − ωs ˆ d2 X XZ.73) which agrees with the equations of motion for the spring oscillator obtained by a slightly diﬀerent method [83]. whereas the nonlinear term describes the simplest form of interaction between them.72) and (3.75) Substituting (3. assuming that the solution of the homogeneous equation oscillates with slowly-varying amplitude and phase [84]. Eqs. Z < l0 . one gets ωs − ω2 = ωs − g/ l0 + g/ωs = ˆ0 4 2 2 ωs / ωs + ω0 .

(3.76) (3. and α= A2 2.79). while at the same time.79). so that 0 < α0 < α1 < 1. 4 2l V (α) = −α2 + α3 .82) and (3. 2 A2 + 4B 2 = M0 .76) yields d A2 + 4B 2 = 0 dt which expresses conservation of energy.76). ˆ dt 16lB (3. and then decreases back to M0 αo . the amplitude B of the spring mode decreases and increases according to Eq. ˆ dt 16l dχ 3A2 = ω 0 cos (2ψ − χ) . The ﬁrst parameter R was deﬁned in . ˆ dt 4l dψ 3 = B cos (2ψ − χ) .79) From Eqs. (3. (3. (3. The interesting analysis of the sequence of order-chaos-order transitions in the spring pendulum was performed [82] by the use of the two dimensionless control parameters.81) According to (3. (3. the amplitude A of the oscillatory mode √ √ √ increases from M0 αo to M0 α1 .82) dα dτ 2 + V (α) = E (3.78) (3. 0 < α < 1. M0 τ= 3ˆ 0 M0 ω √ t. and goes back and forth. dt 4l dB 3 =− ω 0 A2 sin (2ψ − χ) . Thus.64 The Noisy Pendulum zero gives dA 3 = ω 0 AB sin (2ψ − χ) . one obtains the second constant of motion A2 B cos (2ψ − χ) = N0 . (3.79) and (3. (3. R and µ.80).77).77) Eliminating the sin factor from Eqs. (3. The two turning points α0 and α1 of the function α = α (t) are deﬁned by the equation V (α) = | E |.80) The time dependence of the amplitude A can be found [84] from Eqs. 1 2 where E is a constant.

the coupling is very small which leads to simple solutions for harmonic oscillators.1.83) This parameter can take any value between 1 and inﬁnity. these solutions may appear only in the intermediate regions of the control parameters (Fig.72)-(3. have two smooth elliptic orbits. which deﬁne two coupled oscillators. We consider the behavior of the system at the limiting values of R and µ. Limit value R → ∞ or E → ∞ results in two equivalent rotations. are the same order of magnitude [82]. For µ = 1. 1.67) and (3. for which ωs = 2ˆ 0 . i. for ω ωs = 2ˆ 0 .5. . for small deviations from the downward position.e. dt2 (3. 5. Limit value µ → ∞ or κ → ∞ means the transition to a rigid rod. for which the energies of two modes.62).. ω2 ˆ0 (3. one clockwise and the other counterclockwise. 3. As will be shown in Sec. However. whereas the second parameter µ is deﬁned as µ=1+ 2 ωs . Limit value µ → 1 can be approached when the spring is weak (small κ) or the bob is heavy (large m).68). ω 0 = ωs which explains the appearance of this characteristic ˆ frequency in Eq. the spring and pendulum are in autoparametric resonance while the energy transfers back and force from the string mode to the oscillating mode. these equations describe two weakly coupled harmonic oscillators which.84). In this case.84) −1/2 d2 Z 2 2 2 + ωs Z + g = (µ − 1) gY X 2 + Z + l0 + g/ωs . in the limit µ = 1. Therefore. leads to transitions from regular to chaotic and then back to regular solutions. the equations of motion take the form (3. The special ω value is µ = 5. changing each of these parameters.6). Limit value R → (−1) corresponds to small oscillations (librations) near the downward position.Underdamped Pendulum 65 (3. One can then rewrite the equations of motion (3.73). as considered in Sec. −1/2 d2 X 2 2 2 + ωs X = (µ − 1) gX X 2 + Z + l0 + g/ωs . In spite of the fact that the original equations contain chaotic solutions. the spring pendulum becomes a simple pendulum with periodic solutions. dt2 For very small µ − 1. which we will consider in Part 4. elastic and oscillatory. (3.

nonlinearity. 3. The underdamped pendulum. as a function of some characteristic of noise or of the periodic signal. or some function of it. Moreover. d) describes chaotic solutions.66 The Noisy Pendulum R 3 e a d c f 2 1 0 b -1 1 2 3 4 5 6 7 8 µ Fig.6 The (µ − R) plane. At ﬁrst glance. Indeed.1 Resonance-type phenomena Stochastic resonance (SR) The standard deﬁnition of SR is the non-monotonic dependence of the signal-to-noise ratio on the strength of the noise [85]. it appears that all three ingredients. (3. The points a. f correspond to regular solutions while the shadow region (points c. the periodic signal may be replaced by a constant force in underdamped systems [89]. was chosen as an example of an underdamped system [89]. We favor a wider deﬁnition of the SR as the non-monotonic behavior of an output signal. b. Deterministic chaos may induce the onset of SR instead of a random signal [88]. it has become clear that SR is generated not only in a typical two-well system. SR occurs even when each of these ingredients is absent. periodic force and random force.12). SR exists in linear systems when the additive noise is replaced by nonwhite multiplicative noise [87]. but also in a periodic structure [86]. However. Finally.8 3. SR . 3. described by Eq. e. are necessary for the appearance of SR.8.

the pendulum was subject to a constant torque.7 Mobility µ times damping constant γ as a function of noise strength D. the ampliﬁcation factor (1 − a/acr ) In all the examples considered above.5 2.0 0.36b. Moreover.0 0.7. the eﬀect disappears in the overdamped case when one removes the second derivative in Eq.5 3.0 1.5 D Fig.0 2.2 1.0 4.4 0. 5. There is no SR-type behavior without a constant torque [90]. In the more conventional case of a pendulum subject to both constant and periodic torques. the average velocity has both a dc component dφ/dt dc described above.5 1. Under the conditions b << a.6 3.0 0. Note that in the absence of a periodic force.0 0. 3. 3.5 2.0 0. for various bias forces a = a/b. and ω smaller than all characteristic times in the problem (adiabatic approximation). (3.2 3. SR exists only in the limit of low damping. One sees from this graph [14] that µ has a SR-type peak close to the critical value acr = 3. the maximum of vac is proportional to −3/2 .3 0.8 3. with vac = f d (aµ) /da and ϕ is the phase shift.6 3.12).Underdamped Pendulum 67 manifests itself in the non-monotonic dependence of the average velocity dφ/dt (or the mobility µ = a dφ/dt ) on the noise intensity D (see also [14]). The mobility is plotted in Fig. and an ac component dφ/dt ac = vac sin (ωt + ϕ).4 2. .

underlines ANM [72]. f = 4.8.8. v 0.12). In the next section. 3. The theoretical analysis performed recently [72.2.3 Ratchets The term “ratchet” denotes a periodic potential which is anisotropic.17. expressed by the second derivative in Eq. ANM occurs for the bias torque a in the interval (−0. The results of these simulations are shown in Fig. 3.2 a Fig. Such behavior is forbidden for systems which are in thermal equilibrium.1 0 0. Numerical simulation of the appropriate equation has been made for the asymptotic mean velocity v averaged over time and thermal ﬂuctuations. we consider the ratchet phenomenon which is closely connected with ANM. Ratchets produce a net ﬂux without a driving force (bias force or exter- .9. 0. periodic and random torques. As one can see. (3. 3. 93] shows that ANM also appears in a damped pendulum subject to constant.025 0. The physical reasons for this are clearly explained in [72. 93].001 0.8 for the following values of the dimensionless parameters: γ = 0.9.68 The Noisy Pendulum 3.1 0.8 Average angular velocity as a function of bias torque for the deterministic (dashed line) and noisy (solid line) dynamics. in the presence of noise. ω = 4.17) .025 0 0. but has been experimentally observed in nonequilibrium systems such as multiple quantum-well structures [91] (see also [92]).05 D0 = 0 D0 = 0.2 0. The need for both periodic torque and inertial eﬀects.2 Absolute negative mobility (ANM) ANM means that a system subject to a bias force reacts in the direction opposite to that of the acting force.

3. In the latter case. V (x) = − sin x − 1 sin (2x) .9 -6 -4 -2 0 2 4 1 4 Ratchet potential U (φ) = − sin φ − sin (2φ) . 3.5 0 -0.85)).86) In the overdamped case (m = 0) and in the absence of noise (ξ = 0).85)) is obtained only in the underdamped regime (m = 0 in (3.5 Fig. the locked trajectories correspond to r = q = 0. the ﬂux is directed down the ratchet (positive current). 4 (3. In the latter case.87) for integer r and q. Detailed information above ratchets can be found in a recent review article [45].85) are either locked or running.85) where the anisotropic potential can be taken in the form shown in Fig. . r. the solutions of Eq. (3.9 [94].Underdamped Pendulum 69 U( ) 1 0. nal gradient). the asymptotic value of the average velocity has the form vqr = q x (t + rT ) − x (t) = ω rT r (3. q > 0. The equation of motion of a particle moving in a ratchet potential is given by m dV (x) dx d2 x =− + f sin (ωt) + ξ (t) +γ dt2 dt dx (3. The ratchet eﬀect in a noiseless ratchet (ξ = 0 in (3. For overdamped motion.5 -1 -1.

The direction of the ﬂux depends sensitively on the control parameters in Eq.70 The Noisy Pendulum whereas the running trajectories. can occur. deterministically induced chaos mimics the role of noise. . This result is supported by analysis [95] of the values of the control parameters for which current reversal occurs. The NES eﬀect implies that noise can modify the stability of a system placed at the metastable state if its lifetime is greater than the deterministic lifetime [97]. The same analysis has recently been extended [96] to the case in which an additional constant force is added to Eq. Numerical simulation yields good agreement with the experimental results [98]. the ratchet eﬀect means the transformation of the ﬂuctuation environment into deterministic directional motion. The origin of current reversal is a bifurcation from a chaotic to a periodic regime. Previous theoretical and experimental studies were restricted to overdamped systems. both deterministic and chaotic. Strictly speaking.. in Eq. (3. The constructive role of noise also manifests itself in RA.4 Resonance activation (RA) and noise enhanced stability (NES) Both RA and NES are counterintuitive phenomena. . with thermal noise assisting the crossing of temporally modulated potential barriers [44].85). (3.8. In the case considered above. Only recently were experiments performed [98] which show the existence of RA and NES in underdamped real systems (Josephson junctions). (3. in either direction with q = ±1.85). 3.87). ±2.. due to inertia.

One can illustrate this phenomenon by the two wellknown statements. express the deep connection between these two seemingly opposite phenomena. The meaning of these statements is that order and noise (disorder) are not contradictory but complimentary [99].Chapter 4 Deterministic Chaos 4. if you cannot hear your friend’s voice in the telephone booth. “Deterministic chaos” appears without any random force in the equations. which had always played a destructive role. described by diﬀerential equations. in principle. Such a situation is very common since. an accuracy that is obviously unattainable in a real experiment. whose names are half-deterministic and half-stochastic. are fully deﬁned by the initial conditions and. This points to the important diﬀerence between underdamped and overdamped equations of 71 . an important property of nonlinear equations is the exponential increase in time of their solutions when one makes even the smallest change in the initial conditions. is the new relationship between order and disorder (chaos). First. becomes constructive. an inﬁnite number of digits is required to specify the initial conditions precisely. wait for a passing police car or an ambulance.1 General concepts One of the great achievements of twentieth-century physics. “a butterﬂy that ﬂaps its wings in China causes rain in Texas”. no matter how many particles they contain and how strong is the interaction between these particles. Such phenomena as “deterministic chaos” and “stochastic resonance”. Noise. Second. along with quantum mechanics and relativity. therefore. However. In order to exhibit deterministic chaos. in principle remain fully predictable. and their noise will help you in your telephone conversation. Deterministic systems. the diﬀerential equations have to be nonlinear and contain at least three variables.

.e. The number of points appearing in the Poincare plane deﬁnes the number of periods corresponding to a given trajectory.1) (4. and therefore it does not exhibit chaos.1 Poincare sections and strange attractors The hallmark of deterministic chaos is the sensitive dependence on initial conditions. it never repeats itself. In this chapter we consider only the underdamped pendulum starting from Eq. The Poincare plane has to be chosen in such a way that trajectories will intersect it several times. d2 φ dφ + sin φ = f sin (ωt) . On the other hand. for given initial conditions. If the motion is periodic (non-chaotic). chaotic motion means that despite the fact that the motion is deterministic (i.1). We shall here present only those basic concepts which are needed in the following discussion. 4. The underdamped equation. (4. and all initial points that eventually bring the system to these attractors are called the basin of the . therefore. has only two variables. The Poincare section is obtained by removing one space dimension. the overdamped equation. There are many books describing deterministic chaos including [12].1. +γ dt2 dt can be rewritten as a system of three ﬁrst-order diﬀerential equations dχ + γχ + sin φ = f sin (θ) .72 The Noisy Pendulum motion of a pendulum. In our case of three variables. the trajectory will cross the Poincare plane again and again at the same point. The locus of these points is called a strange attractor. which means that two trajectories having very similar initial conditions will diverge exponentially in time. There will be a dense set of points on the Poincare section ﬁlling a certain area of this plane. dt dθ =ω dt (4. subject to an external periodic force. the Poincare section is a plane. in which d2 φ/dt2 = 0. the underdamped equation exhibits deterministic chaos for some values of the parameters. dt dφ = χ. which considers chaos for the damped driven pendulum.2) (4. the equations will exactly describe the trajectory).3) and. However.

4. However. separated initially by distance d. there are several Lyapunov indices.3 Correlation function Analysis of the autocorrelation function of a trajectory shows the diﬀerence between regular and chaotic regimes. For a system of ﬁrst-order diﬀerential equations. 4.1.1. (4. In this way. the system loses information about previous states and the autocorrelation function tends to zero with time. We now describe the two paths of the transition to chaos: period doubling and intermittency. increasing and decreasing when the system moves away or approaches its initial position. 4. 4. A comparison between Figs. become separated in time by a large distance D. (4. respectively. the autocorrelation function oscillates near some average value. we show [100] the eﬃciency of the four methods of detecting chaos described above. In the latter case. 4. λ is negative or zero. Periodic motion is described by the power spectrum with a ﬁnite number of frequencies. .2) behavior.2 shows that although some methods (power spectrum) are ambiguous. one can see a clear distinction between regular (Fig.2 Lyapunov exponent The Lyapunov exponent λ shows the extent to which the two nearby trajectories. In contrast to these results. implying that the initial separation either diminishes or remain constant. since chaotic trajectories densely ﬁll phase space. using Eq. there is some short time during which the trajectory approaches the initial position.1 and 4. for the regular trajectory. 4. whereas in the regular regime.1) and chaotic (Fig. λ is positive. D = d exp (λt) . whereas chaotic motion has a broad power spectrum.4) In a chaotic regime. one reduces the continuous trajectories in the phase space to a discrete mapping on the Poincare plane.1. and the autocorrelation function may grow again.1 and 4. In Figs.Deterministic Chaos 73 attractor.2. and we are interested in the largest of these. 4.4 Spectral analysis The squared modulus of the Fourier transform of the variable g (t) is called the power spectrum of g (t) .1) as an example.

4. The former means that the chaos is preceded by successive period-doubling bifurcations with a universal rate in diﬀerent systems. the change of some parameters in the dynamic equations may move the system into the chaotic regime [101]. [102]. (d) Power spectrum. The most common ways of entering the chaotic regime are through period doubling and intermittency. (c) Correlations function.1.1 Plot of several indicators for a regular trajectory: (a) Poincare section. In contrast to period doubling.5 Period doubling and intermittency Starting from the periodic regime.74 The Noisy Pendulum d dt Poincare Section Correlation Numerical Steps (a) (c) Lypunov Exponent Power Spectrum Numerical Steps Frequency (b) (d) Fig. . for intermittency the periodic solution remains stable up to the onset of chaos which manifests itself in short escapes from the periodic solution which take place at irregular intervals [103]. 4. (b) Maximum Lyapunov exponent.

there exist a region of this plane. However. For αω << 1 and αω >> 1.64.Deterministic Chaos 75 d dt Poincare Section Correlation Numerical Steps (a) (c) Lypunov Exponent Power Spectrum Numerical Steps Frequency (b) Fig. 4. which is the ratio of the external frequency to the eigenfrequency of the system. the solutions of Eq.2 (d) Same as for Fig. the solutions can be quite complicated with subharmonics. + αγ dτ 2 dτ (4.4 for diﬀerent amplitudes f α2 and frequencies αω.5) was solved for αγ = 0. where the solutions exhibit . hysteresis loops.1 Transition to chaos Damped.1 but for a chaotic trajectory. However. one obtains locked or running solutions. For diﬀerent regions of the f α2 −αω plane. 4. etc.1). dφ d2 φ + α2 sin φ = f α2 sin (αωτ ) . Equation (4.5 and α2 = 6. harmonics.5) have been analyzed in a pioneering work [104]. 4. (4. (4. located near f α2 = 3.5) are periodic [104]. periodically driven pendulum The noise phenomena of Eq.2.8 and αω = 0. written in dimensionless time τ = t/α.2 4.

The characteristic parameters of intermittency found by numerical simulation and analog studies agree with theoretical predictions [103]. These results have been proved by analyzing the (φ.76 The Noisy Pendulum the set of period-doubling cascading bifurcations into a chaotic state with strange attractors.5) revealed many other peculiarities in the periodic-chaotic transitions described by Eq. producing a large amount of noise at frequencies smaller than the driving frequency ω. For f ≤ 1. there also appears a large gain in the parametric ampliﬁer manifested as a maximum of (dφ/dt)ω (voltage in Josephson junctions). ω = 2/3 and diﬀerent amplitudes f of an external ﬁeld.5. The extensive analysis [109] of equation (4. (4.4945. Parallel numerical calculations of the onset of chaos and the Fourier spectrum (dφ/dt)ω of the angular velocity show [107] that at the same values of the parameters which deﬁne the onset of chaos. (4. intermittency. shows that the ratio of the eigenfrequency of a pendulum ω0 = g/l and the external frequency ω plays a crucial role for the . intermittent switching between these two modes occurs. No chaotic states have been found for high dissipation. there exist two separate stable periodic running solutions. (4. γ = 0.6) where τ = ω0 t. dφ/dt) phase portrait and the Poincare sections.5. and diﬀerent values of f. these two modes remain separate while becoming chaotic. Calculations of φ (t) as a function of the amplitude and frequency of the periodic torque at constant damping. ω = 0. Note that for diﬀerent values of the parameters. At the critical value f = 1. At low dissipation. In addition to the period-doubling scenario. there exist broad bands of chaotic solutions where the transition to chaos might proceed through both double frequency bifurcation and intermittency. The intermittency scenario of the transition to chaos in Eq.5. clockwise and counterclockwise. depending on the symmetry of the equation with respect to the simultaneous phase inversion and the shift of the phase of the driving force by an odd multiple of π. As f increases. written in dimensionless form as dφ d2 φ + sin φ = f sin +γ dτ 2 dτ ω τ ω0 .47.5). (4. The comprehensive analysis [108] of Eq. this large gain appears without the onset of chaos. was found [105] by plotting φ as function of t for parameters α = 1.5). another path to chaos.5) was also found [106] for α = 1. show quite diﬀerent behavior for low and high dissipation. γ = 0.

The solutions of Eq. Analogously to the solutions (2. the following change of variables is introduced.6). dt (4. Three diﬀerent paths to chaos have been found [109]: (1) Period-doubling cascade preceded by the appearance of symmetry-breaking solutions. (2. The following interesting question has been asked [110]. x2 = dφ . The trajectories are then a combination of clockwise and couterclockwise rotations with damped oscillations in-between. dt x3 = f cos ωt. In the latter case. x1 = φ. (4.9) In this case. (4. (4. (3) The intermittency form of the transition to chaos occurs for ω << ω0 . there are symmetric solutions to the downward positions and symmetry-breaking solutions which oscillate with a larger amplitude to one side than to the other.7) in a form for which the Fokker-Planck equation can easily be written. (4.7) To transform Eq.5) has been supplemented by additive white noise η (t) of strength D which transforms Eq. This cascade is produced in both running and locked solutions.1) without noise. x2 . the Focker-Planck equation for the distribution function P (x1 . (4. 2 dx2 /dt = −γx2 − ω0 sin φ + x3 + η (t) . x3 . Eq. dx4 /dt = −ω 2 x3 . (2) The loss of phase locking and random transitions between two locked states. there are running and locked solutions of Eq.4) for the overdamped pendulum. the frequency ω0 is locked to ω. (4. x4 = dx3 . what would be the result of the joint action of both these factors? To answer this question.has the following .6) can be divided in diﬀerent groups.0 ). Eq.5) into the following equation dφ d2 φ 2 + ω0 sin φ = f cos ωt + η (t) . In addition.0 and x2.8) Equation (4. but for large amplitude f of an external ﬁeld (larger than the amplitude deﬁning the transition from locked to running solutions). dx3 /dt = x4 .7) then takes the following form dx1 /dt = x2 . Since both deterministic chaos and a random force are able to produce chaotic behavior. x4 ) (with the initial conditions x1. +γ dt2 dt (4.Deterministic Chaos 77 transition to chaos.

induced by the deterministic chaos.5π.94.10) was solved numerically for γ = 1.78 The Noisy Pendulum form. +γ dτ 2 dτ (4. Quite diﬀerent results were obtained [112].0. the initial chaotic motion becomes regular and terminates at one of the ﬁxed points. [x4 P ] − − ∂x3 ∂x4 2 ∂x (4. then the addition of noise will terminate the chaotic behavior into a regular limit cycle.0 = 0. for two sets of initial conditions: φ (0) = 0. the stationary state distribution function P shows chaotic behavior [110]. [113] for the case in which Eq.15. ω = 0. (dφ/dt)0 = 1. one obtains nonregular librations without noise. dφ/dt (0) = 0. If a system originally had a stable limit cycle instead of ﬁxed points. ∂ ∂ ∂P 2 =− −γx2 − ω0 sin x1 + x3 P [x2 P ] − ∂t ∂x1 ∂x2 ∂ 1 ∂2P ∂ −ω 2 x3 P + D 2 . x2. Calculations have been performed [112] for high-frequency stochastic oscillations for the following parameters: f = 2 and f = 8.0 = 0.0.0. whereas adding suﬃcient random noise stabilizes the system by eliminating chaos.11) Upon adding noise to the frequency. ω0 = 4. The results were similar to those obtained [112] without noise: the motion is chaotic with randomly alternating librations and rotations.0 = 0. For these values. In the latter case.5) is supplemented by multiplicative white noise in the form of the ﬂuctuating frequency Ω of an external ﬁeld. D = 0. nonregular librations and rotations are terminated at the ﬁxed point φf = −2π.0 = 0. Note that for these parameters.25. γ = 0. The latter result has been conﬁrmed [113] by the calculation of the Lyapunov indices. dφ/dt (0) = 1 and φ (0) = 2.5π and initial conditions φ (0) = 1.5 for two sets of initial conditions: x1. . It is remarkable that in contrast to additive noise. whereas adding noise terminates the motion at the ﬁxed point φf = 0.0.7) without noise also shows chaotic behavior [111]. In the former case. (4. into regular trajectories. ω0 ≡ ω/Ω = 0. (4. γ = 1. The dimensionless form of this equation is dφ d2 φ + [(1 + f cos (Ωt))] sin φ = 0. ω0 ≡ ω/Ω = 0.0 and x1. x2.10) 2 Equation (4. multiplicative noise is able to convert the chaotic trajectories. Eq.1. Analogous numerical calculations (with sin φ replaced by bφ + cφ3 ) have been performed [113] for low-frequency stochastic oscillations for the parameters: f = 0.

13) are the steady-state periodic solutions φ (t) . the pendulum reaches the asymptotic value dφ/dt = a/γ in a time of order γ −1 . upon decreasing a.1) yields d2 φ dφ + sin φ = a + f sin (ωt) . due to the inertia term.1. A comprehensive analysis has been performed [115] of the dimensionless Eq. a) plane performed in Sec. 2. In the latter case. the system exhibits period-doubling bifurcations. The voltage-current graph ( dφ/dt versus a) for diﬀerent damping constants has been analyzed [109]. the pendulum starts to rotate. which correspond to constant values of dφ/dt (“locked” solutions). the voltage-current graph exhibits hysteresis which allows a simple physical explanation [109].2. approaching the limiting value dφ/dt = 1/γ. acr ≈ 2γ. those with 1 < m < ∞ are subhar- . (4. the transition to chaos goes through the intermittency scenario. Solutions with m = 1 are harmonic. (4.12). and the pendulum relaxes toward the equi√ librium position. (4. No fundamental diﬀerence occurs when f = 0. (4. until reaching the critical value acr where the angular velocity vanishes. the inertia causes the pendulum to continue rotating even for a < 1. β d2 φ dφ + sin φ = a + f sin (Ωt) . +γ 2 dt dt (4. the angular velocity dφ/dt is very high. On the other hand. For f = 0 and a >> 1. The road to chaos was found [114] to be diﬀerent for the regions with increasing values of dφ/dt (“running” solutions) and for those with Shapiro steps. For this case.3.. + dt2 dt (4. with integer l and m.2 Driven pendulum subject to a periodic and constant torque The addition of a constant torque a to Eq. when both constant and periodic torques are present.14) The average angular frequency is dφ/dt = lΩ/m. i. whereas in the former case. For γ → 0. Indeed.Deterministic Chaos 79 4. when the bias a increases from zero to unity.13) The simplest solutions of Eq. written in the slightly diﬀerent form.12). and one can neglect the nonlinear sinusoidal term in (4. with driving frequency Ω which obeys the relation φ t+ 2πm Ω = φ (t) + 2πl.12) which permits the comparison of the onset of chaos with the analysis of the Shapiro steps in the ( dφ/dt . For γ ≤ 1.e.

These three regions can be distinguished [115] by the power spectrum of the angular velocity T 2 S (ω) = T 0 dφ exp (iωt) dt. dt (4.2. 0. the angular velocity occasionally switches sign.2. in the (dφ/dt.05. Then. For example.58. Equation (3. One can formulate [115] some general criteria for the onset of chaos. For γ = 0. vertical oscillations of the suspension point is one way to transform the unstable upward position of a pendulum into a stable position. We return to this case in order to consider the transition to chaos. there are two stable solutions of period π. the control parameter f has to satisfy the condition f ≥ γ [117]. The strange attractors exist up to f = 1.16) The ﬁrst numerical analysis of Eq. (4. and those with m = ∞ are chaotic. but for larger f.3 Pendulum with vertically oscillating suspension point As we will see in Part 5. Beyond this point. No strange attractors exists for .29). +γ dt2 dt (4.05. increasing the control parameter f causes the system to go through the transformation order-chaos-order. simple vibration of period 2π is the only solution for 0. Qualitatively similar behavior takes place for the damping constant γ = 0. these rotations go through a period-doubling bifurcation according to the Feigenbaum scenario [101]. chaos does not occur for β << 1. has the following form dφ d2 φ + [a + 2f cos (ωt)] sin φ = 0.713. Thus. a pair of strange attractors appear.15) Chaotic solutions appear only in restricted regimes of the parameters β.80 The Noisy Pendulum monic. In order to obtain motion with ﬁnite amplitude. which means that the driving frequency is far from the eigenfrequency of the pendulum. and 0. φ) phase diagram.2. supplemented by damping. until ﬁnally. or for Ω >> β −1/2 .7925.045. ω = 2 and three values of γ: 0. which is close to an overdamped case.16) was performed in 1981 by McLaughlin [116] for a = 1. the sign of (dφ/dt) is negative (clockwise rotation). 4. At these values of f. a. two rotations of period π appear. Up to f = 1.2 < f < 0. at f = 0. f and Ω.

there is no rotational mode.458.15. The interesting analysis of the concurrent action of deterministic chaos and noise. similar to Mathieu-type diagrams. Moreover. induced by adding a random force to Eq. A comprehensive numerical solution of Eq.17) where r = ω/ω0 is the ratio of the frequency of an external ﬁeld ω to the .Deterministic Chaos 81 the Hamiltonian case γ = 0. upon increasing f .16) has been carried out [118] for different sets of parameters. a double-frequency bifurcation begins [74] when f = 0. (4. 4. For γ = 0. with fully chaotic motion for f > 0.5. Another way to introduce noise into Eq. the system undergoes an inﬁnite series of period-doubling transitions to chaos for all ω.56. For weak noise. The behavior of a system near the latter point depends on the initial conditions [118]. [121]. there is a combination of the excitation amplitude and stochastic component. and the transition to chaos occurs via intermittency. (4.16) has been exploited [75].4 Pendulum with horizontally oscillating suspension point The equation of motion (3. For γ = 0. (4. external noise does not inﬂuence the chaotic transient. On the other hand.2π in Eq.16) has been carried out [119] for both the amplitude and the frequency of the varying external ﬁeld. (4.64018. a = 1 and ω = 1.47) for the case has the following form. has been performed [120].2. Finally. for strong noise. whereas in the noise-free system the pendulum remains ﬁxed in one of these attractors [121]. for each ω. where a random phase ϕ was included in the equation by replacing cos (ωt) by cos (ωt + ϕ) . i.03 and varying f. γ = 0. transitions from oscillations to rotations and the opposite are possible. Noise introduces hops between the periodic attractors.55. the results are similar to those obtained in [116]. (4. there exists an inﬁnity of alternating stable and unstable regimes of f .. with the motion being fully chaotic for f = 0.16). the characteristic time for the transition from chaotic to periodic trajectories with increasing control parameter [120].e. For α = 0. and the double-frequency bifurcation leads to the destruction of stable zones.16). For moderate noise. The numerical solution of Eq. d2 φ + dτ 2 k r dφ 1 + 2 sin φ − f sin τ cos φ = 0 dτ r (4.

17) has been performed [122] for diﬀerent values of the amplitude f of an external ﬁeld in the interval f ∈ (0. Otherwise.1 and r = 0. one seeks the solution of Eq.17) for diﬀerent frequencies of an external ﬁeld at constant amplitude has been studied numerically [123]. Additional information has been obtained [122] by studying the Lyapunov exponents.8. (4. Eq. The latter conditions are met if one replaces the frequency ω of the external ﬁeld by Ω such that Ω = ω/ε. dφ dφ →− . The small parameter ε also determines the smallness of the amplitude. 4. Five cascades of double-frequency bifurcations were found for speciﬁc values of f which satisfy Feigenbaum theory [101]. The solutions of Eq. the system progresses from symmetric trajectories to a symmetry-breaking period-doubling sequence of stable periodic oscillations. + 2αε 2 dτ dτ (4. 15).3. for suﬃciently large amplitude. and ﬁnally to chaos.18) The trajectory in phase space (φ. (4.17) takes the following form dφ d2 φ − βε sin τ cos φ + ε2 sin φ = 0.17) for the special case of small amplitude and high frequency of the external ﬁeld has been performed [124]. The appearance of frequencydoubling and the transition to chaos can be clearly seen in each cascade. and of the damping k/l = 2αε. it is called an asymmetric trajectory. (4. As the frequency is decreased. (4. F = f /l is the dimensionless amplitude of an external ﬁeld.19) According to the method of multiple scales [125].4336. dτ dτ τ →τ+ π . dφ/dt) phase plane shown in Fig. at the limiting value f = 1. dφ/dt) that is invariant to these symmetry transformation is called a symmetric trajectory. the power spectrum and the evolution of strange attractors with the change of the control parameter f. For the ﬁrst cascade. The analysis of Eq. (4. Extensive numerical analysis of Eq.19) in the form φ = φ0 + εφ1 + ε2 φ2 + · · · (4. the behavior of the system becomes chaotic.20) . Equation (4. for k = 0. and τ = ωt. 2 (4. Moreover. In terms of these new parameters and the dimensionless time τ = ωt. the transitions periodic orbit → frequency doubling → chaos can be clearly seen from the (φ.17) is symmetric with respect to the following transformations φ −→ −φ. f = εlβ.82 The Noisy Pendulum pendulum frequency ω0 = g/l.

050299.Deterministic Chaos 83 d1 dt 1 (a) d1 dt 1 (b) d1 dt 1 (c) Fig.17): (a) Regular solution with period π for f = 1.45 with cycles of period 2π.4359 with initial conditions φ0 = 0.056841 and (dφ/dt)0 = −2.429 with initial conditions φ0 = 0. (b) Regular solution with period 2π for f = 1.3 Phase plot for solutions of Eq. 4. (4.140078 and (dφ/dt)0 = −2.033011. (c) Chaotic trajectory for f = 1. .

the solutions of Eq.24) The solution of Eq.84 The Noisy Pendulum where φn is a function of εn τn . The latter solution is obtained under the assumption that β 2 ≥ 2.21) where Dn ≡ d/dτn .21) which can be rewritten in the dimensionless form as dφ d2 φ + sin φ = f sin (Ωt) +γ dτ 2 dτ (4. Then.5 Pendulum with applied periodic force The forced pendulum is described by Eq. Indeed.22) (4. Stability analysis [124] shows that the ﬁxed point solution φ0 = π is always unstable. and eliminating the secular (unbounded) terms yields three solutions for the stationary state. there are stable .5.25) with Ω being the ratio of the external frequency ω to the characteristic frequency g/l of the pendulum.24). ε1 and ε2 . (4. respectively 2 D0 φ0 = 0. d = D0 + εD1 + ε2 D2 + · · · dτ d2 2 2 = D0 + 2εD0 D1 + 2ε2 D0 D2 + ε2 D1 · · · dτ 2 . 2 2 D0 φ2 = −2D0 D1 φ1 − 2D0 D2 φ0 − D1 φ0 − sin φ0 (4. (4. Using Eqs. φ0 = π and φ0 = cos−1 2/β 2 .19) yields three equations.25) are oscillations around the upward position. the pendulum with horizontal oscillations of the suspension point does not perform oscillations around the horizontal axis.25 and f = 2. (4.21) into (4. φ0 = 0.22) that does not increase with time is φ0 = Const. This analytical result.23)-(4. but rather around the inclined axis! 4. For γ = 0. (3. (4. supported by the numerical solution of Eq.2. is quite surprising. (4. Substituting Eqs.19). containing the coeﬃcients ε0 . and the two stable solutions are ± cos−1 2/β 2 . whereas for β 2 < 2 the only stable point is φ = 0.20) and (4. Numerical simulation shows [126] that for some values of the parameters.23) − 2αD0 φ1 − 2αD1 φ0 − βφ1 sin τ0 cos φ0 . When the amplitude of the external force f increases beyond β 2 > 2 the zero solution becomes unstable. 2 D0 φ1 = −2D0 D1 φ0 + β sin τ0 cos φ0 − 2αD0 φ0 . (4. (4.

Variable ψ is chaotic. perioddoubling and chaotic modulations occur for Ω = 0. f and Ω.Deterministic Chaos 85 inverted oscillations for 0. (4.25). Detailed numerical calculations show [129] a plethora of trajectories at periods equal to the forcing period or its integral multiples.26) where n and ψ are the integer part and the non-integer part of φ.792.25) to generate white noise. (a) N -point intra-valley motion (ﬁxed n). When the amplitude of the external ﬁeld f becomes non-zero. (4. (a) Intra-valley chaotic motion (ﬁxed n). Detailed analysis of the bifurcations of this trajectory has been performed [128]. Many subharmonics have been found for smaller values of Ω [127]. n indicates the location of the valley in which the particle is situated. it was proved that this high-level noise is white over many decades in frequency.25) has been suggested [130] using the language of the Brownian particle described by Eq.794. Symmetry-breaking. (b) N -point intra-valley motion (periodic n). (c) N -point drift motion (increasing or decreasing n). (d) The same with diﬀusion but without drift (chaotic n). (b) Inter-valley motion without diﬀusion and drift (periodic n). 0. for a ﬁxed damping constant γ = π. One can distinguish several diﬀerent cases: Variable ψ is periodic. Using heuristic arguments conﬁrmed by numerical calculations. respectively. the stable stationary point φ = dφ/dt = 0 is replaced by a stable symmetric periodic trajectory. A convenient classiﬁcation of solutions of Eq. so that dφ/dt = Ω. and ψ represents the position of the particle within the valley. (c) The same without diﬀusion but with drift (increasing or decreasing n). respectively. for appropriate values of the parameters γ. The output voltage dφ/dt is usually locked with the external signal. Therefore. However. stable running trajectories with mean angular velocity pω/q with integers p and q.725 < Ω < 0. Divide the coordinate φ into two parts φ = 2π (n + ψ) (4. and period-doubling cascades leading to chaotic motion. The interesting idea has been proposed [131] to use the locked chaotic solutions of Eq. (e) The same with diﬀusion and drift (chaotically increasing or decreasing n). (4.796 and 0.800. the power spectrum of dφ/dt includes a broadband component which is just the required white . showing alternating stable and unstable behavior upon varying the control parameters f and ω. The potential U (φ) = − cos φ has periodicity 2π.

As described in Sec.6.1.6 Spring pendulum The equations of motion of a spring pendulum. Ω = 0.86 The Noisy Pendulum noise. chaotic states . the diﬀusion is normal.7. Parameters are γ = 0. 3. Because of the exact periodicity and uniformity of the potential U (x) = − cos φ. The analysis of 20 chaotic trajectories with diﬀerent initial conditions clearly shows the diﬀusive character of the motion with a positive Lyapunov index λ = 0. the following values of the parameters were used [131]: γ = 0. For the numerical simulations of Eq. 108 Power Spectral Density 104 100 10 4 10 8 5 10 10 4 10 3 Frequency 10 2 10 1 100 101 102 Fig. 4. deﬁned in (3.6. (3.62) and (3.8.4. 3. 4. computed over 219 drive cycles. in contrast to the anomalous diﬀusion considered in Sec. Ω = 0.64) and (3.8.65). 4.83). respectively. f = 1. The absence of correlations implies white noise. were analyzed [82] for diﬀerent values of the control parameters R and µ.25). the Gaussian distribution of ten thousand tra√ jectories with standard deviations proportional to t.4 Power spectral density of the average angular velocity as a function of frequency for the chaotic regime. the latter clearly establishes that the white portion of the spectrum extends over four decades in frequency.15) shown in Fig.2. f = 1. and the power spectrum (4.1.3.137. the Brownian particle forgets its location and limits the time over which the correlation occurs. Therefore. (4. Together with discrete components at the driving frequency and its harmonics.

6. At µ = 2. For a rigid pendulum.28) For A = 0. α = 0.27) . β and a. these boundaries are described [82] by the following curves in the R − µ plane. The inﬂuence of the frequency of .3.12).Deterministic Chaos 87 appear for intermediate values of R and µ. so that the point µ = 5. f. The latter feature permits controlling and even suppressing chaos (see the review [132] and the recent article [133] with many references therein). +γ dt2 dt (4. these two curves coincide showing the borderline for running solutions. The resulting dynamics as a function of the parameters A. R = 1 − 2 [(2 (µ − 1) + 1)]−1 . Chaos is connected with the coupling of two degrees of freedom. is a natural source of chaos. and ω = 0. this equation shows [135] chaotic behavior for the following values of the parameters: γ = 0. b. where ωs = ω0 .7. The boundary between the locked and running solutions is another region where the chaotic solutions are clustered.25. e. 4. the boundary is deﬁned by the separatrix. but also to small additional forces acting on the pendulum. R = (µ − 1) 2 + (µ − 1) −1 −1 for µ > 2. which corresponds to autoparametric resonance.4. whereas for a spring pendulum. below which there is no running solutions. f = 0.715. (4.1 Pendulum subject to two periodic ﬁelds Controlling chaos Chaotic behavior is very sensitive not only to small changes in initial conditions. These types of solutions are shown [82] in the R − µ plane in Fig. let us consider the possibility of eliminating chaos by applying an additional periodic ﬁeld A sin (βωt) to the dynamic equation (4. The points marked from a to f show the regular solutions in points a. whereas points c and d represent the chaotic solutions. As an illustration. for 1 < µ < 2.3 4. while the regular non-chaotic solutions occur for the limiting values of these parameters. The shading in the central region of this plane indicates the region of chaotic solutions. has been obtained [134] by numerical calculation of the Lyapunov exponents for diﬀerent values of these parameters. 3. [134] dφ d2 φ + sin φ = a + f sin (ωt) + A sin (βωt) .

905 and A = 0.32) . ω and β) values of the amplitude of the external ﬁeld.2 Erratic motion Chaotic trajectories do not appear for the overdamped pendulum. ω βω (4. These results have recently been reﬁned [136]. u (t) ≡ ln tan one obtains the solution of Eq. The latter is determined by the parameter a which deﬁnes the height of the barrier of the potential well. In order to change the dynamic behavior.1 . (4. intermediate between deterministic and chaotic.30) becomes u 2πn βω = f sin ω 2πn βω + u (0) (4.18 < β < 0. does an increase of A eliminates chaos.1 and Acr. such that for A < Acr.31) by the discrete times 2πn/ω (stroboscopic plot).6.2 . Acr. the increase of A increases rather than decreases the chaos. where the trajectories are regular. u (t) = A f sin (ωt) + sin (βωt) . Therefore.2 . Only for A > Acr.0125. say. it is enough to apply to the system a weak time-dependent periodic perturbation of small amplitude A = 0.30) (4.1 < A < Acr. Then. 0. The reaction of the system for Acr. Careful study shows [136] that there are two critical (depending on f. does exist for the overdamped pendulum subject to two periodic ﬁelds with the following equation of motion [99]. dt Introducing the new variable u (t).2 is more complicated and depends on the values of the parameters. 4. (4.29) Let us replace the continuous time in Eqs.88 The Noisy Pendulum an additional periodic force has been studied by changing the parameter β for a = 0. (4.0125. dφ = [f cos (ωt) + A cos (βωt)] sin φ.29). There are regimes of β. another possibility of non-trivial behavior. However.3.29)-(4. This shows that in order to reduce or eliminate chaos. a “weak” perturbation means that the perturbation is small for small values of a [134]. Eq. one has to supply energy in order to overcome the characteristic energy of the system.31) φ (t) 2 . (4.

Then. 1 N →∞ N tan2 × exp N C (m) = lim tan n=0 1 φ 2 lim 2πn β N n=0 tan 2π(n + m) 1 φ 2 β = 1 φ (0) 2 2f cos ω 1 N →∞ N πm 2β sin π β 1 n+ m 2 (4.35) The correlation function C (m) depends on time m (measured in units of π/2β).34) as C (m) = 2π tan2 φ (0) 2 I0 2f cos ω πm 2β . 3. and the pendulum comes back to its initial position φ (0) after some integer number of cycles. This “erratic” spectrum bears a resemblance to the broadband spectrum for deterministic chaos. the motion is not periodic because the sin factor never vanishes. (4. Using the generating function for Bessel functions I (z). Then. consider the correlation function C (m) of tan [φ (t) /2] associated with n-th and (n + m)-th points. . and its Fourier spectrum depends on the ratio β of the two frequencies involved.35) is broadband with amplitude I0 decreasing slowly with increasing m. sin (2πn/β) vanishes. the Fourier spectrum of (4. The parameter β −1 is a rational number. the motion becomes “erratic”.Deterministic Chaos 89 or tan φ (2πn/βω) φ (0) f sin = tan exp 2 2 ω 2πn βω (4.34) Equation (4. sin (2πnp/q) vanishes after q cycles. For irrational β. As a result of this incommensurate increase of φ at each stage. Parameter β −1 is an irrational number.34). Then. 2. The parameter β −1 is an integer. the ratio of two integers. one can rewrite (4. To better understand “erratic” motion.33) A distinction needs to be made between three cases: 1.33) and the formula for the sum of sines have been used in the last equality in (4. −1 β = p/q.

Ψ (t) = < ψ (t) >.36). We look for the solution of Eq. called vibrational resonance [137].36) The following simple explanation have been put forward for vibrational resonance [138].3. Ω2 (4. The equation of motion then has the following form. by choosing an appropriate relation between the input signal f sin (ωt) and the amplitude A of the large signal (or the strength of the noise). (4.37) into (4. Suppose that an additional ﬁeld has an amplitude larger 2 than the barrier height. A > ω0 /4β. The former means that during each half-period. The slowly varying term f sin (ωt) does not change signiﬁcantly during this short time. d2 Ψ dΨ 3βA2 2 − ω0 − +γ 2 dt dt 2Ω4 Ψ + βΨ3 = f sin (ωt) . Therefore. Substituting (4. one can perform an averaging over a single cycle of sin (Ωt) . To study small oscillations of the pendulum. Another interesting result is the appearance of a new type of resonance. one can obtain a non-monotonic dependence of the output signal on the amplitude A (vibrational resonance) or on the noise strength (stochastic resonance). which replaces the sin potential by a bistable potential.38) . Finally. Like stochastic resonance. dφ d2 φ 2 − ω0 φ + βφ3 = f sin (ωt) + A sin (Ωt) .90 The Noisy Pendulum 4.37) The ﬁrst term on the right-hand side will be assumed to vary signiﬁcantly only over times of order t. and has high frequency Ω >> ω. +γ dt2 dt (4. one obtains the fol2 lowing equation for Ψ (t) . whereas the second term varies rapidly. we expand sin φ and keep the ﬁrst two terms in its series.3 Vibrational resonance Analysis of Eq. A similar situation holds in a random system where the large-amplitude ﬁeld is replaced by a random force which plays the same role of switching a system between two minima. this ﬁeld transfers the system from one potential well to the other. instead of through noise as in the case of stochastic resonance. (4. vibrational resonance manifests itself in the enhancement of a weak periodic signal through a high-frequency periodic ﬁeld.28) showed that a second periodic ﬁeld can be used to control the chaotic behavior of the underdamped pendulum. (4. the mean value of ψ (t) during the oscillation. All odd powers of sin (Ωt) vanish upon averaging whereas the sin2 (Ωt) term gives 1 .36) in the form φ (t) = ψ (t) − A sin (Ωt) .

Deterministic Chaos 91 One can say that Eq. The numerical solution of the original Eq. jumps between two wells and oscillations inside one well. An approximate solution of Eq. there are two resonance peaks. 0. The graphs of the amplitude of the output signal as a function of the amplitude A of the high-frequency ﬁeld have a bell shape.2 and 0. 0.3). (4.36). For ω close to the frequency ω0 of the free oscillations. ω = 0. 0.05. the high-frequency external ﬁeld transforms the previously unstable position Ψ = 0 into a stable position. 0. (4.1 and 0.2.05. .38) can be obtained [29]. showing the phenomenon of vibrational resonance. (4. Note that in contrast to the situation considered in Part 5 (stabilization of the inverted pendulum by the oscillations of the suspension point which appear multiplicatively in the equation of motion).38) is the “coarse-grained” version (with respect to time) of Eq.36) additively. 0.01.36) has been performed [137] for diﬀerent values of f and ω (f = 0. here the high-frequency oscillations enter the equation of motion (4. These diﬀerent results correspond to two diﬀerent oscillatory processes. 2 For 3βA2 /2Ω4 > ω0 . namely.1. whereas for smaller ω there is only one resonance peak.025. the phenomenon of dynamic stabilization [139] occurs. (4.

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The inverted pendulum is very sensitive part of control devices that have many technological applications. 3. or by the spring pendulum where one inserts a spring into a rigid rod. There are two systematic ways to achieve this aim.1 Oscillations of the suspension axis A simple pendulum has two equilibrium positions. dt2 l (5. Stability means that when being displaced from the initial position. the potential energy. the pendulum makes a few transient oscillations and then returns to its initial position due to friction.1).1) We now explain physically [6] why rapid vertical oscillations of the suspension point make stable the inverted (upward) position of a pendulum. either by the periodic or random vertical oscillations of the suspension point. (5. we discussed the general properties of the pendulum with a vertically oscillating suspension point. In Sec. During oscillations between the highest positions of the bob. switches back and forth to kinetic energy which is maximal at the downward position. From the two torques in Eq. described by the equation. Without dissipation.1. which is maximal at these positions. d2 φ 1 + g + aω 2 sin (ωt) sin φ = 0. the inverted position of a pendulum can become stable for some values of the parameters [71].Chapter 5 Inverted Pendulum 5. or by using both these means together. 3.6. φ = 0 and φ = π. with the downward position being stable. the disturbed pendulum will oscillate forever about the stable downward position.2. whereas the upward position is unstable. the torque of the gravitational force tends to tip the pendulum downward while the torque of the inertial force 93 . As we have described in Sec.

1) causes the stability of the inverted state to decrease while the stability of the downward position is enhanced [141].5) sin φslow cos φslow .6) The latter formula can be rewritten for the dimensionless amplitude and frequency as 1 a2 ω 2 2 > 1. l l (5. (5.7) Adding damping to Eq. the inverted position of a pendulum will be stable. implying sin φ ≈ sin φslow + φf ast cos φslow (5. If the latter is large enough.3) (5.2) where the “slow” angle. where Eq. one concludes that the inertial torque can exceed the gravitational torque and cause the pendulum to tip up when the following condition is fulﬁlled. whereas the average value of the inertial torque maω 2 l sin φ sin (ωt) = maω 2 l sin(φslow + φf ast ) sin (ωt) ≈ maω 2 l sin φslow + maω 2 lφf ast cos φslow sin (ωt) obtains an additional term which is equal to 1 2 2 2 ma ω (5. One starts with the ansatz that the angle φ is the superposition of two components φ = φslow + φf ast . φf ast = − u (t) a sin φslow = − sin φslow sin (ωt) . φf ast .94 The Noisy Pendulum (averaged over the period ω of rapid oscillations) tends to return the pendulum to the inverted position. has a small variation during a period of constrained oscillations. . is small with zero mean value. (5.3) and sin2 (ωt) = 1/2 have been used. a2 ω 2 > 2gl. whereas the “fast” angle. The quantitative criterion can be obtained in the following way [140]. φslow . φf ast = 0. 2 l 2 ω0 (5. The angle φf ast oscillates with high frequency ω and has an amplitude proportional to the sine of the momentary value of φ = φslow .4) The second equation means that the average value of the gravitational torque mgl sin φ = mgl sin φslow is the same as for a pendulum with a ﬁxed suspension point. (5. Comparing the latter term with the gravitational torque.

2 The tilted parametric pendulum In the preceding section. The coordinates x.9) . U = −mgl cos φ−mgf cos (ωt) cos ψ. 5.1). we considered the pendulum with vertical oscillations of the suspension point.1 Tilted parametric pendulum. 3.6. (5. z of the bob are x = l sin φ + f cos (ωt) sin ψ.8) The kinetic energy T and the potential energy U in terms of the coordinates x and z are 1 T= m 2 1 = m l2 2 dx dt 2 + 2 dz dt 2 dφ dt −2f ωl sin ωt (cos φ sin ψ−sin φ cos ψ)+f 2 ω 2 sin2 (ωt) . 5. (5. z = l cos φ + f cos (ωt) cos ψ. m l I \ A sin(:t) Fig. whereas for horizontal oscillations ψ = π/2. The more general case involves the oscillatory displacement of the suspension point A sin (Ωt) at an arbitrary angle ψ from the upward vertical (Fig.2. Vertical oscillations correspond to the special case ψ = 0.Inverted Pendulum 95 5. The equation of motion for this case can be obtained in the same way as was done for the horizontal oscillations of the suspension axis in Sec.

respectively. although for all π/2 <ψ < π. there are stable oscillations for |ψ − φ0 | < π/2 for all ψ. For Ω ≥ 2. (5.2. 2 (5.11) according to ω2 = ˆ 2 ω2. (3. are not stable for |ψ − φ0 | < π/2. we may divide the motion into fast and slow.10) yields ˆ d2 φ dφ ˆ ˆ2 ˆ τ 2 + γ dˆ − ω sin φ − f cos (ˆ ) sin (φ − ψ) = 0. γ= µ ˆ (5. damping γ/ω = γ . (5. Another method of analysis of Eq.47) for vertical and horizontal oscillations of the suspension axis. Ω= ω2f 2 . τ dˆ τ (5. there are stable oscillations near the vertical upward position although some angles in the range 0 < ψ < π/2. dt2 dt l l (5.11) We use here two slightly diﬀerent methods of analysis of Eq. and using the Lagrange equations. sin φ0 + Ω sin [2 (φ0 − ψ)] = 0. just as in the previous section. as in that section.4.9) into the Lagrange function L = T − U .12) The interesting question is whether there are stable oscillations around the angle φ0 for diﬀerent tilted angle ψ. gl (5.11). after adding the damping term.2) and. An approximate analytical calculation [142] gives the following values of the equilibrium angle φ0 for given ψ. frequency ˆ ˆ ˆ ω = ω −1 g/l and amplitude f = f /l into (5. already used in Sec. Finally. according to Eq. ˆ f = f. First. for Ω ≤ 1. (5. which is equal to the squared ratio of the frequency ω of the external ﬁeld to the critical angular velocity ωcr = gl/f 2. dφ g f ω2 d2 φ +γ − sin φ − cos (ωt) sin (φ − ψ) = 0.13) For 1 < Ω < 2.10) For ψ = 0 and ψ = π/2. 4. Eq. one obtains. there are no stable oscillations around the vertical upward position. Introducing the dimensionless time τ = ωt. as required.11).31) and (3. is the application of the method of multiplicative time scales by introducing three time scales [143] by scaling the parameters in (5. (5. one concludes [142] that result depends on the value of parameter Ω.10) reduces to Eqs.96 The Noisy Pendulum Substituting (5.14) . using the eﬀective potential method. there are stable oscillations with φ0 < π.

(5.11) ˆ ˆ ˆ and equating coeﬃcients of powers of yields 2 D0 φ0 = 0.24). Eq.19) into Eq. 4 (5. (5. 1 2 D1 φ0 + µD1 φ0 − ω 2 sin φ0 + f 2 sin 2 (φ0 − ψ) = 0.15) where t0 = τ .22) In the method of multiple time scales.11) reduces to the much simpler Eq. t2 ) t0 + c0 (t1 . and t2 = 2 τ . t1 . (5.Inverted Pendulum 97 with << 1. t1 .18) (5.24) d2 φ dφ 1ˆ − ω2 sin φ + f 2 sin 2 (φ − ψ) = 0. (5. In our case. 2 2 D0 φ2 + 2D0 D1 φ1 + 2D0 D2 φ0 + D1 φ0 + µ (D0 φ1 + D1 φ0 ) (5. (5. 2 D0 φ1 + 2D0 D1 φ0 + µD0 φ0 + f sin (φ0 − ψ) sin (t0 ) = 0. 4 Multiplying (5.21) (5. (5.17) + ω 2 sin φ0 + f cos (φ0 − ψ) φ1 sin (τ ) = 0 where Dn = d/dtn .20) is φ1 = f sin (φ0 − ψ) sin (t0 ) . (5. ˆ +γ dt2 dt 4 With the help of the method of multiple time scales.20) The particular solution of Eq. t1 . We seek a solution of Eq. these are terms that do not contain sin t0 or sin 2t0 .23) by 2 (5. t2 ) + · · · (5. The general solution of Eq. (5. leading to the following results: .19) (5. (5. (5.21) into Eq. (5. (5. Substituting Eq. leads to the following equation. t2 ) + φ1 (t0 .15) into Eq. one reduces all secular terms to zero. Substituting Eq. (5. Substituting Eq.17) yields 2 D0 φ1 = −f sin (φ0 − ψ) sin (t0 ) . The stability of the equilibrium states (d/dtn = 0) can be easily analyzed [143]. ) = φ0 (t0 . t2 ) + φ2 (t0 .16) (5.23) .11) of the form 2 φ (t.18) gives 1 2 2 D0 φ2 = −D1 φ0 − µD1 φ0 + ω 2 sin φ0 − f 2 sin 2 (φ0 − ψ) 4 1 + 2f cos (φ0 −ψ) D1 φ0 +µf sin (φ0 −ψ) sin (t0 )+ f 2 sin 2 (φ0 −ψ) sin 2t0 . t2 ) . t1 = τ .16) is φ0 = c1 (t1 .

53). such that for ω ωc . +γ 2 dt dt (5. With increasing frequency. (5. which diﬀers from both the upward and the titled direction. dφ d2 φ + 1 + ω 2 ξ (t) sin φ = 0. φ = π. the inclination of the pendulum in the stable equilibrium approaches the excitation direction φ = ψ. and the random noise ξ (t) has been chosen [145] in the form of narrowband (1 << λ << Ω) colored noise with a correlator of the form (1. The latter case is described by the following equation. δφ << φ . δφ = 0. For large amplitudes.26) with respect to small deviations ψ = φ − π and δφ. The stable position is located in the regime ψ <| φ |< π/2. the stable state approaches the excitation direction (φ = ψ). the ﬂuctuations δφ caused by the random force are small. 2.3 Random vibrations of the suspension axis The inverted pendulum becomes stable not only through oscillations of the suspension axis. There is a critical frequency. (5. the upward position of the pendulum is unstable.98 The Noisy Pendulum 1. 5. +γ 2 dt dt (5. Substituting φ = φ + δφ in (5. The stable equilibrium state depends on the amplitude of an external ﬁeld. For a non-resonant random force.093 g/l.25) where ω 2 is the acceleration of the suspension axis in terms of ω0 = g/l. +γ 2 dt dt (5. Experiments [143] are in qualitative agreement with these theoretical results.26).27) . d φ d2 φ + sin φ + ω 2 cos φ ξ (t) δφ = 0. correspond to the inverted position of the pendulum. but also through its random vibrations.25) leads to the following two equations. +γ dt2 dt d2 δφ dδφ + cos φ δφ + ω 2 ξ (t) sin φ = 0. ωc = 0. the stable state is located at angles larger than ψ. With decreasing amplitude. which gives dψ d2 ψ − ψ − ω 2 ξ (t) δφ = 0. One may investigate the stability of these solutions by linearizing Eq.26) The steady-state solutions of Eqs.

Inverted Pendulum 99 d2 δφ dδφ − δφ − ω 2 ξ (t) ψ = 0. one ﬁnds A ≈ ξ1 sin φ . leads to d2 ψ dψ + Ω2 σ 2 − 1 ψ = 0. +γ dt2 dt (5.30) The latter condition remains the stability condition (5. dφ/dt) described by the Fokker-Planck equation.25).7) of the pendulum with periodic oscillations of the suspension axis. using (1. γ.34) .32) Similarly. (5. (5. +γ 2 dt dt (5.33) into (5. +γ dt2 dt (5. The narrow-band random process ξ (t) can be represented by the “slow” variables ξ1 (t) and ξ2 (t) .31) In the presence of additive noise η (t) . and the inverted pendulum will be stable if Ω2 σ 2 > 1. γ.28) into (5. (5.53) and the conditions Ω >> 1.28) Inserting the steady-state solution of Eq.29) It follows from this equation that the mean deviation of the pendulum from its equilibrium inverted position will decay. +γ dt2 dt 2 (5. inserting Eqs.35) B ≈ ξ2 sin φ (5. New phenomena appear if one introduces additive white noise η (t) into Eq. (5.31). A and B. d2 φ dφ + 1 + ω 2 ξ (t) sin φ = η (t) .27). an additional maximum and minimum appear in the probability distribution function P (φ. deﬁned by ξ (t) = ξ1 (t) cos (Ωt) + ξ2 (t) sin (Ωt) . (5. To see this. (5. For Ω >> 1. and equating the slowly varying component and the coeﬃcients of cos (Ωt) and sin (Ωt). one obtains [145] equations for φ . δφ = A (t) cos (Ωt) + B (t) sin (Ωt) . and the following equation for φ .32) and (5. let us again use the “slow” variable φ and the “fast” variable δφ. d2 φ ω 2 sin 2 φ 2 d φ + sin φ + σ = η (t) . one can write δφ through the “slow” variables A (t) and B (t).33) Substituting φ = φ + δφ. λ.

whereas for Ω2 σ 2 < 1. Another way to accomplish this is to replace the rigid pendulum by a spring. has the following form [145] 2 Ω2 σ 2 cos φ + cos 2 φ D 2D (5.. + ω2 − a 0 ˆ0 dt2 l (5. but not bent spring. d φ /dt) = N exp 1 D d φ dt + 5. dφ/dt) has two maxima (for φ = 0 and φ = π) and one minimum (for φ = arccos(−1/Ω2 σ 2 )). the elastic energy of the spring switches back and force to the mechanical energy of oscillations [146]. A spring pendulum becomes unstable when the driving force X 2 in (3. the solutions of Eq. there is one maximum (at φ = 0) and one minimum (at φ = π). of frequency 2ˆ 0 . Neglecting the nonlinear term in (3. during the oscillations of a spring pendulum. A new reservoir of energy then appears. the oscillation of the suspension point makes the upward position stable. random vibrations of the suspension axis causes metastability. in addition to stabilizing the inverted position of the pendulum. (5. Just as for the kinetic-potential energy transition in a simple pendulum. as discussed in Sec.38) When ωs /ˆ 0 = 2/n. ω This becomes obvious in the case of dominant spring mode X << Z [147].100 The Noisy Pendulum The steady-state solution of the Fokker-Planck equation. one obtains Z = a cos (ωs t) .73)..36) where D is the strength of the white noise and N is the normalization constant. Substituting (5.37) into (3. n = 1 and the instability occurs at ω ωs = 2ˆ 0 . (5. P ( φ .72) produces the Mathieu equation 2 d2 X ω 2 − ωs ˆ cos (ωs t) X = 0. Since ωs > ω 0 . where n = 1.39) . corresponding to the Langevin equation (5.7. 2. the function P (φ. Thus. is of order of the characteristic frequency ωs .37) (5. 5.4 Spring pendulum 2 As we have seen in Sec.6) is satisﬁed..1. that of a stretched. For Ω2 σ 2 > 1.38) are ω ˆ unstable even for small values of a. 3. when condition (5.31).73).

x = R sin φ.73).41).5 Spring pendulum driven by a periodic force This analysis is a generalization of the analysis considered in preceding sections of a pendulum with the oscillating suspension point and a spring pendulum. the energy transfers back and forth between these two modes (autoparametric reso2 nance). a spring pendulum performs periodic ˆ oscillations about its upper vertical position.41) 2 with R = X 2 + (Z + l0 + g/ωs )2 .41). the resonant growth of one mode occurs at the expense of the other mode. dx dt and L= m 2 dR dt 2 2 + dz dt 2 = dR dt 2 + R dφ dt 2 (5. . It follows that when the spring frequency ωs = κ/m is about twice 2 the pendulum frequency ω0 = g/l.39) implies that the spring pendulum oscillates in such a way that the spring goes up and down twice during one oscillation of the pendulum. Therefore. (3. Since the pendulum is a conservative system. (5. This will be the case when condition (5.63) in polar coordinates R and φ. 5. We introduce a non-inertial frame which itself has this acceleration. gravity g is replaced by g+ d2 u/dt2 .The suspension point has acceleration d2 u/dt2 relative to our inertial frame of reference. when one takes into account that a resonance type of coupling occurs when X 2 has spring velocity ωs . It is convenient to rewrite the Lagrangian (3. the suspension point performs vertical oscillations u (t) = a cos (Ωt) . (5. Therefore. and the appearance of limit cycle oscillations near the upper position of the pendulum. deﬁned as z = R cos φ. Condition (5.40) + R dφ dt 2 −m g+ d2 u dt2 R cos φ − κ 2 (R − l0 ) 2 (5. such as a new type of resonance between the frequency of a spring and that of an external force. The analytic solution of the linear problem and numerical simulation of the non-linear equations yield new results.39) is satisﬁed since squaring a sinusoidal function doubles its frequency.Inverted Pendulum 101 The occurrence of instability can be also seen from Eq. Such is indeed the case in Eq. According to Eq. in this non-inertial frame.

2 dt (5.44) When the bob starts to oscillate near the upper vertical position.45) d2 φ dr dφ 1 2 − + 2 2 2 2 dt2 1 − ω0 /ωs + r dt dt 1 − ω0 /ωs + r 2 ω0 + ˆ d u dt2 2 sin φ = 0. 2 dτ 1 − ω0 s 0 (5. and not for the polar coordinate R [149].45) and (5. (5. (5.42) and 2 ˆ (5. d2 r 2 + ωs − dt2 dφ dt 2 r= 1− 2 ω0 2 ωs dφ dt 2 2 + ω0 (1 − cos φ) − ˆ d2 u cos φ. dt2 (5.45) and (5.46). one obtains the following equations of motion for r and φ. When rewritten in terms of R. ˆ d2 r 2 + ωs − dt2 dφ dt 2 r= ˆ 1+ 2 ω0 2 ωs dφ dt 2 2 − ω0 (1 − cos φ) + ˆ d2 u cos φ.47) As expected. ˆ The linearized equation (5.46) where the dimensionless relative elongation r of the pendulum is given by r= ω2 R − 1− 0 2 l0 ωs . (5.46) with u = (a/l0 ) cos (Ωt) . (5.48) . (5. written in diˆ mensionless time τ = Ωt. Note that Eqs. (5.46) are written for the relative elongation r. 2 ω0 d2 φ 1 a − 2 /ω 2 Ω2 − l cos (τ ) φ = 0.43) where u(t) = u(t)/l0 .43). (5. the equations of motion near the upper position.42) ˆ 1 2 dˆ dφ r ˆ d2 φ + 2 /ω 2 + r dt dt + 1 + ω 2 /ω 2 + r 2 dt 1 + ω0 s ˆ ˆ s 0 2 ω0 d u ˆ + 2 dt 2 ˆ sin φ = 0. diﬀer from the equations near the downward position. by the signs of ω0 and u. is the Mathieu equation.102 The Noisy Pendulum When the bob starts to oscillate near the downward position.41) the following equations of motion for r and φ = ˆ π − φ. and the dimensionless relative elongation r of the ˆ ˆ pendulum is given by r= ˆ ω2 R − 1+ 0 2 l0 ωs . these equations take the standard form for u = 0. one easily ˆ obtains [148] from (5.

556 l − 0.1 by a diﬀerent method. coincides with the curve obtained in Sec. one can rewrite the boundary of stability of the upward position of a pendulum. in addition to the transition from (5.49) For small amplitude β of an external ﬁeld.Inverted Pendulum 103 There exists a comprehensive literature concerning Mathieu equations of the general form d2 φ dφ + [α + β cos (t)] φ = 0. If the characteristic frequency of driving force Ω is comparable to the characteristic frequency of the spring. one has [150. 2 A2 Ω2 > 2gl ≡ 2ω0 l0 l.53) Due to elastic stress and gravity.48). For the upper border of the stability region. (5. l = l0 1 − ω0 /ωs . α = 0. which means that for the maximum pos2 2 2 sible amplitude A = l0 . According to 2 2 Eq.25 1 − ω 2 ω0 0 s . The spring results in new eﬀects. In terms of the parameters in (5. which corresponds to 2 a ω0 Ω2 2 = 0. u = A cos (Ωt).52) The inverted pendulum has vertical oscillations of the suspension point. the length l of a spring pendulum in the upward position decreases from its initial length l0 .51) which.53) to (5. 151] α = −0. ωs . (3. resonance phenomena take place (especially for small φ). this curve is 2 2 2 2 2 2 a2 Ω2 = 2l0 ω0 1 − ω0 /ωs = 2gl0 1 − ω0 /ωs (5. 5.54) It is clear that the amplitude of the external oscillations A cannot be larger than the length l of a pendulum. Substituting into (5. (5. (5. the ﬁrst zone of stability is bordered from below by the curve [150.54). Eq. (5. 2 A2 ω0 2 = 2 Ω2 l0 1− 2 ω0 2 ωs . +γ dt2 dt (5.50) (5.556β.5β 2 . for the rigid pendulum (ωs = ∞).54) gives Ω2 > 2ω0 / 1 − ω0 /ωs .59).53).25 − 0. 151]. 1. The . and the pendulum becomes unstable. The following two new eﬀects have not yet been suﬃciently explored. These oscillations cause the upward position to become stable if the following condition is fulﬁlled.

a small initial φ (t = 0) will remain small for all t. In that case. the time dependence of the elongation r (t) is determined by an external ﬁeld. ˆ 2 (5.2(a)). Therefore. an external ﬁeld enters Eq. according to the linear analysis of the Mathieu equation. The latter means that for small φ (t = 0). was transformed into a system of four ﬁrst-order diﬀerential equations.45) and (5. where the parabola Ω ≈ A−1 approaches the horizontal line Ω/ωs = 1. thereby exerting much weaker control over φ (t) than over r (t) .52). these two curves. We conclude that the above linear stability analysis based on the Mathieu equations and power-type coupling of oscillatory modes is not complete. ˆ ˙ φ = Pφ . 2 2 ˙ Pφ = − 1 − ω0 /ωs + r −1 2 2Pr Pφ − ω0 + d u/dt2 sin φ . leading to a loss of stability. and the inﬂuence of the angular mode for small φ is de2 scribed by the term r (dφ/dt) . (5. 5. 2. and the system becomes unstable. and one must obtain the numerical solution of the full nonlinear equations. we expect that the nonlinear analysis will produce an upper stability-instability curve substantially diﬀerent from the linear result (5. Hence. On the other hand.48) multiplicatively.52). An additional cut-oﬀ appears at small A.53) by (5.46). only 10 . ˙ 2 2 2 2 2 2 ˙ Pr = −ωs r + 1 − ω0 /ωs + r Pθ + ω0 (1 − cos φ) − d u/dt2 cos φ. (5. the appropriate r (t) not need be small. −4 say.54). showing that the stability region is bounded by three straight lines and vanishes at large amplitudes A (see Fig. Comparison of Eqs. Such a numerical analysis was performed using the MathCad program with the help of the built-in function “diﬀerential equation solver”. For this purpose.45) shows that in the linear approximation.51) and (5. have opposite slope at small A/l0 . The latter condition implies the appearance of a resonance when the frequency Ω of the driving force is equal to eigenfrequency ωs of the spring. However.55) One can draw the dimensionless stable-unstable phase diagram in {Ω/ωs . its inﬂuence on the upper stability-instability curve is much more appreciable. Hence.42) and (5. r = Pr .104 The Noisy Pendulum impact of this resonance on the lower stability-instability curve is expressed by the replacement of (5. (5. A/l0 } variables (for constant ω0 ). Indeed. the system of two equations of motion. the upper curve crosses the Ω − ωs resonance curve. described by Eqs (5. .

(b) Dashed-dot lines are the instability-stability curves described by empirical Eqs.0 0.54).15 0. ω0 /ωs } (Fig.0 0.4 0.0 0.56) are shown in Fig.54) can be replaced by the empirical formula 2 ω0 A2 2 = 2 ω2 l0 s 1− 2 ω0 2 ωs 2 ωs −1 Ω2 (5.54) and (5.05 A/l0 0. 5. A/l0 } variables for constant ω0 /ωs = 0.56) are shown in Fig. (5.20 0. obtained from numerical solutions of the full nonlinear equation system (5.55).54) (upper curve) which closely coincide to the top of the lower and upper boundary of the stability region.6 0.4 0. The congruence (for ω0 << ωs ) and diﬀerence (for larger ω0 < ωs ) between the curves described by Eqs. the boundary of stability (5. which reduces to (5. and the dashed lines describe the lower instability-stability boundary of the rigid pendulum with the small corrections given by (5.56). The hatched region corresponds to stable oscillations of the inverted pendulum.10 0. (5. (5.54) and (5.1. (5.2 (a) Dimensionless stable-unstable phase diagram in {Ω/ωs .8 0. and describes the resonance Ω ωs for small A. the dimensionless stable-unstable phase diagrams can be drawn in the variables {Ω/ωs . The lower lines.8 0. .2 0.7 0.2 0. 5.56) .3). 5. deﬁning the stability region on these diagrams.9 s 1. The diﬀerence (for small A) and congruence (for large A) between the curves described by Eqs.56) (lower curve) and (5. as was the case for a rigid pendulum (ωs = ∞).6 0. are accurately described by Eq. but rather approaches the line Ω = ωs .3(b). In this transition region. the parabola Ω ≈ A−1 does not go to inﬁnity.54) for small Ω/ωs .2b.5 0.6 A/l0 (a) (b) Fig. 5. Analogously.Inverted Pendulum 105 s 0.

08 0. A/l0 = 0.654. 5. the stability regime (0.1. However.576 < Ω/ωs < 0. the same initial condition leads to limit-cycles oscillations of large amplitude.829.08 0.2.2 0.563 < Ω/ωs < 0. one obtains only unstable solutions for Ω/ωs < 0. whereas for 0.802. the oscillations have amplitude of the same order for 0. And at A/l0 = 0.659.829.2. 5.826 (see Fig.04 0. 0. 5.578 and for 0.00 0. The analogous situation occurs for A/l0 = 0. (5. the oscillations have amplitude of the same order for 0.12 0 s (a) Fig. the same initial condition leads to limit cycles oscillations of large amplitude (see Fig.802. the oscillations have amplitudes of the same order.652.4 0.2 0. for Ω/ωs = 0. The latter give lower and upper lines deﬁning the stability region. say.696 < Ω/ωs < 0. The numerical solutions of the full nonlinear Eqs.578 < Ω/ωs < 0.2.828).23.654) is divided into three parts: for initial displacement φ0 = 10−4 and for 0. the small initial displacement φ0 = 10−4 results in limit-cycles oscillations of large amplitude throughout the stability regime. whereas for 0.802 < Ω/ωs < 0.696.6. and ﬁnally.826 < Ω/ωs < 0. At A/l0 = 0. For initial displacement φ0 = 10−4 . .0 0. the same initial condition leads to limit-cycles oscillations of large amplitude. whereas for 0.802 < Ω/ωs < 0.23. one returns to an unstable region. ω0 /ωs } variables for A/l0 = 0. whereas the former show some “ﬁne structure” of the stable solutions.5. At Ω/ωs = 0. there are diﬀerent types of stable solutions in the regime 0.829. one crosses the lower stable-unstable line passing to stable solutions.8 0. For initial displacement φ0 = 10−4 .12 0 s 0.3 (b) Same as for Fig.0 0. For small ﬁxed A/l0 .810).563 < Ω/ωs < 0.6 0.106 The Noisy Pendulum s s 0.652 < Ω/ωs < 0.699. but in {Ω/ωs .6 0.00 0. 5. upon increasing Ω/ωs . where Ω/ωs = 0. with Ω/ωs = 0.4 0.04 0.55) exhibit some special features that cannot be obtained from the linear analysis.587 < Ω/ωs < 0.

The inclusion of damping probably leads to the disappearance of small oscillations and a shift of the limit cycles.2 -0.846.5 Small oscillations which are the stable solutions of the nonlinear equations of motion for an initial disturbance φ (t = 0) = 10−4 and r(t) = 0. φ (t). showing the instability of φ (t).0 -0.Inverted Pendulum r(t) 1. r(t) 0. Analogous to Fig.5 -8 -10 0 10 20 30 40 650 675 700 Zst 0 50 550 600 650 700 Zst Fig.0 -1.4 Time dependence of the radial.56). Ω/ωs = 0.1. the {Ω/ωs . and angular.3 0. coordinates for Ω/ω0 = 0. For larger A/l0 . r (t).5 4 Zst 0 100 200 300 400 Zst Fig.5 0. The . Thus far. 5.1 0. Ω = ωs .1 -0. we have considered the undamped Mathieu equation.5 -2 -4 -6 0.0 -0.3 0 20 40 60 80 I(t)u10 T 1. for A/l0 = 0. according to Eq.2 0. (5. 5. 5. this phenomenon — alternation of small oscillations and limit cycles — occurs many times in the stable regime of the parameters.0 107 T I(t) 2 0 0.5 1. Note that such oscillations have been found for the rigid pendulum for non-small initial disturbances [152].0 0.5 -1. at φ (t = 0) = 10−4 and r(t) = 0 for A/l0 = 0.3. ω0 /ωs } dependence is described by a straight line that changes its form close to resonance.0 -0.848.1.

However.1 0.1 0. for A/l0 = 0.847. the stability-instability boundaries do not extend to the frequency axis.2 -0.1 -0.108 r(t) 0.2 0. This implies that destabilization of the n-th mode will only occur starting from a non-zero value of the driving amplitude (in fact.3 0. Numerical analysis of the impact of damping has been carried out [52] for ωs = ∞.1. This means that by changing the frequency of the ﬁeld. in the presence of damping. The amplitude-frequency phase diagram of an external ﬁeld for the undamped Mathieu equation has alternating stabilityinstability regimes down to zero [150]. the transitions between stability and instability regimes occurs for even inﬁnitesimal driving values of the amplitude.1 -0.3 0 20 40 60 The Noisy Pendulum I(t) T 0.3 80 Zst 1200 1400 1600 1800 Zst Fig.2 -0.0 -0. Ω/ωs = 0.3 0.0 -0.6 Stable limit-cycle oscillations which are the stable solutions of the nonlinear equations of motion for an initial disturbance φ (t = 0) = 10−4 and r(t) = 0. . 5.49) is the following.2 0. β has to exceed βcr ≈ γ 1/n ) [150]. qualitative inﬂuence of the damping term γdφ/dt in the Mathieu equation (5.

The well-known resonance in linear systems implies the unbounded increase. therefore. economics and sociology. the frequency of a nonlinear system depends on the amplitude of its motion. the amplitude of the pendulum oscillations starts to increase. which. Since the majority of phenomena in Nature are nonlinear. like relativity and quantum mechanics. Both these models are widely used for the description of diﬀerent phenomena in physics. in contrast to linear systems. although the price we have to pay for using these models is their complexity. Although pendulum dynamics is described by deterministic equations. chaotic solutions show “randomlike” behavior. of the amplitude of the harmonic oscillator. when the frequency of an external ﬁeld is equal to the characteristic frequency of the oscillator. chemistry. In any experiment. In this way. biology. consider the response of a system to an external periodic force. the initial conditions are known only to restricted accuracy and. On the other hand. but the synchronization of frequencies breaks down since. As an illustration of this complexity. which shows the deep relationship between determinism and stochasticity. say.Chapter 6 Conclusions Just as the harmonic oscillator is the simplest linear model. goes far beyond the scope of science and forms an important part of our world outlook. The equation of motion (1. when such a situation occurs for a nonlinear system.1) of the simple mathematical pendulum 109 . Another diﬀerence of fundamental importance between linear and nonlinear systems is the possibility of deterministic chaos in nonlinear systems. using nonlinear models is most appropriate. “deterministic chaos” manifests itself in a deterministic equation. deterministic chaos inﬂuences the motion of the pendulum due to an exponential change with time upon a very small change in the initial conditions. so the pendulum is one of the simplest nonlinear models.

sin φ ≈ φ. 1. hence. only the external noise is able to transform these trajectories from chaotic to regular. Frenkel-Kontorova model in semiconductors. laser gyroscope. Adding the periodic external force to the pendulum equation leads to the appearance of both regular and chaotic solutions. Some of these applications have been described in Sec. Only for the simple case of small oscillations. penetration of biological channels by ions . solitons in optical lattices). The addition of random internal or external noise has a diﬀerent inﬂuence on the regular and the chaotic solutions.110 The Noisy Pendulum has periodic solutions with the period depending on the initial conditions. or the source of (external) noise may be due to random changes in the surrounded media. these sources of noise appear in additive or multiplicative form. 154]. we supplement this list by a series of additional applications of the pendulum model: chemical reactions [153. Josephson junction and ﬂuxon motion in superconductors. The second law of thermodynamics forbids such processes in equilibrium systems. these sources of noises are independent. Such forces may be of internal origin. Accordingly. they may occur when the potential energy or noise are asymmetric. although sometimes one has to consider their correlation if they have a common source. The diﬀerent inﬂuences of the internal and external noises may be illustrated on the joint action of deterministic chaos and noise. charge density waves. synchronization phenomena. does the linearized equation have a single sinusoidal solution. Under certain conditions. but. inﬂuences internal noise. When deterministic chaos gives rise to chaotic trajectories. or if the external noise is so strong that it changes the structure of the system and. Neglect of inertial eﬀects facilitates the analysis of the pendulum equation. For the reader’s convenience.1 (Brownian motion in a periodic potential. biophysics (neural activity [155]. oscillations in the visual cortex [156]. such as thermal noise at non-zero temperatures. As a rule. intracellular transport [45]. as we have shown. parametric resonance in anisotropic systems. The inﬂuence of noise on pendulum dynamics has been discussed in this book. The model of the noisy pendulum is used for the description and explanation of many phenomena. or when a correlation exists between additive and multiplicative noise. The values of the damping and the constant torque inﬂuence the choice between these two types of solutions. an overdamped pendulum is able to derive energy from the source of noise and transfer it into deterministic motion without any external driving force. as described in the appropriate sections of this book. All phenomena in Nature are subject to random perturbations which are described by adding a random force to the deterministic equations.

At the same time. This subject still attracts great interest. plasma physics [159]. The above list is only a small part of the hundreds of articles describing diﬀerent applications of the pendulum model. engineering (ship dynamics [165]. was the voyage of Christopher Columbus which resulted in the discovery of America. rotation of molecules in solids [162]. electrophoresis [161]. many positive changes in our life are due to the technological applications of the deep understanding of pendulum dynamics.Conclusions 111 [157]). dielectric relaxation [163]. polymer dynamics [164]. surface diﬀusion [160]. . gravitational gradient pendulum [166]). The well-known successful example of ignoring navigation devices. matter-antimatter asymmetry in the universe [167]. based on the pendulum model. superionic conductors [158].

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9 Floquet theorem. 75 locked trajectories. 47. 63 pendulum. 15 order-chaos-order transitions. 100. 31 angular velocity. 99 ﬁxed points. 5 oscillatory modes. 55 isochronism. 96 elliptic integrals. 17. 3 Mathieu equation.Index action-angle variables. 5 period T . 96 method of multiple scales. 77. 47 Fokker-Planck equation. 35 harmonic balance method. 63. 82 autoparametric resonance. 52 Ornstein-Uhlenbeck noise. 4 Langevin equation. 110 narrow-band. 40 locked. 48 dynamic stabilization. 78 deterministic chaos and noise. 82 mobility. 15 oscillating. 25 anisotropic potential. 98 deterministic chaos. 79 119 integral equation. 7 fast. 49 applications. 16 limit cycle oscillations. 6 Jacobi elliptic functions. 43. 16. 101 lock-in phenomenon. 6 periodic telegraph signal. 59 ﬂuctuation-dissipation theorem. 98 narrow-band colored noise. 102 method of multiple. 110 asymmetric trajectory. 101 bistability. 87. 48. 69 anomalous. 23 Fokker-Planck equations. 4 adiabatic approximation. 64 Orenstein-Uhlenbeck. 94. 110 period. 55 hysteresis. 43 colored noise. 41 phase plane. 2 . 8 period of oscillation. 67 model. 91 eﬀective potential method. 49 diﬀusion is anomalous. 81 diﬀusion.

94. 6. 50 random telegraph signal. 21 . 19. 55 running trajectories. 7 separatrix. 3 trajectories. 40. 15 rotational number. 48 scales.120 The Noisy Pendulum phenomenon. 99 spring. 96 scaling analysis. 15 slow. 3 Shapiro steps. 79 Shapiro-Loginov procedure. 25 washboard potential. 63 square-wave pulses. 20 symmetric trajectory. 82 Trajectories. 77 voltage-current characteristic. 48 quenched disorder.

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