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Gitterman Noisy Pendulum

Gitterman Noisy Pendulum

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Sections

  • 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

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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.
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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
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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
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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 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


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

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


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),

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
]
.
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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



dt

dφ=

2
l

φ
1
−φ
1

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

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)] ;

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

π
−π

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

;

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

dt
= ω
2
0

dt
sinφ. (1.15)
Integrating yields
1
ω
0

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

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 =

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 =

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

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


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

¸

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


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 =


0
/2. Finally, one obtains for the first correction
T
1
to the period,
T
1
= T
0

sin


0
/2



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 =

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

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

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

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),

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,


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

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


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

dt
= a −
dU

+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
]


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,

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


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]


dt

=

1 −exp

−2πa
0
/

D
1
(D
1
+D
2
)
¸


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),


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


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
]
,


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
,


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,

.

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

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
+

2
P

, (2.31)
∂P

∂t
= −

∂φ
[(b
0
sin φ −B) P

] −γ
2
P


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


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”),


dt

0, for a
0
−B<b, a
0
+A<b
1
γ
1

2

γ
1

(a
0
+A)
2
−b
2

2

(a
0
−B)
2
−b
2

, for a
0
−B>b, a
0
+A>b
γ
2
γ
1

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
]
,


dt

γ
2

a
2
0
−(b
0
+A)
2
γ
1

2
+
γ
1

a
2
0
−(b
0
−B)
2
γ
1

2
, for a
0
>b
0
+A, a
0
>b
0
−B
γ
1

a
2
0
−(b
0
−B)
2
γ
1

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,

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

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


dt

=

0

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,

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

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

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

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,


+ 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.
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 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


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

dt
, (3.2)
implying dz/dt = (bz/γ) (dz/dφ) . Then, one can rewrite Eq. (3.1) in the
form
bz
γ
2
dz

+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

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



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


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


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


dt
(t)

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


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


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


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


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

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

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


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

2
+ [α +β sin (τ)] sin φ = 0; α =
g

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

2



+ [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

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


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


dt

2
−cos φ
¸
= −γ


dt

2
−f

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


dt

2
−2 cos φ −


dt

2
0
+ 2 cos φ
0
= −2γ

t
t
0
dφ(r)
dr

dr
dr −2f

t
t
0
cos (Ωr) sin [φ(r)]

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 −


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;

dt
(T) =

dt
(t
0
+T) =


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

z
φ
0
ds/ψ (s)

sin z dz,
(3.41)
C =

φ
0
+2π
φ
0
sin

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

dt

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

2
+ [A +Bsin (ωτ)]



2
0
sinφ = 0 (3.48)
which takes the form
d
2
φ
dt
2
+
1
Q
[1 +f sin (Ωt)]

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 =

2
; q =

2Q
; ε =
f
2
, (3.50)
the linearized Eq. (3.49) can be rewritten as
ω
2
d
2
φ

2
+q [1 +ε sin(2τ)]


+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

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

. (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

2
s
+Z/l
0
)
¸
1+
X
2
l
2
0
(1+ω
2
0

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

2
s
+Z/l
0
)
¸
1 +
X
2
l
2
0
(1 +ω
2
0

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

2
s
+Z/l
0
1 +ω
2
0

2
s
+Z/l
0

ω
6
s
X
2
2l
2
0

2
s

2
0

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

2
0
+
ω
2
s
l
0

ω
2
s
ω
2
s

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

2
s
Z = −
ω
6
s
X
2
2l
0

2
s

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

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

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)

dt
=
3
4l
Bcos (2ψ −χ) ;

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


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

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

2
s
X = (µ −1) gX

X
2
+

Z +l
0
+g/ω
2
s

2

−1/2
,
d
2
Z
dt
2

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


dt
+ sin φ = f sin (ωt) , (4.1)
can be rewritten as a system of three first-order differential equations

dt
+γχ + sin φ = f sin (θ) ; (4.2)

dt
= χ;

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

2
+αγ



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

2



+ 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


dt

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
=

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

2



+ [(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


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
+

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

= 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

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


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

2
+

k
r



+
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;


→−


; 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

2
+ 2αε


−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

2
φ
2
+ (4.20)
August 13, 2008 16:55 WSPC/Book Trim Size for 9in x 6in General
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

= D
0
+εD
1

2
D
2
+
d
2

2
= D
2
0
+ 2εD
0
D
1
+ 2ε
2
D
0
D
2

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

2



+ 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


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
]
,

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

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

. (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


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)

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


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

fast
, (5.2)
implying
sin φ ≈ sin φ
slow

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

fast
) sin(ωt)

maω
2
l sin φ
slow
+maω
2

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


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


dt

g
l
sin φ −

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

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
+

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
)

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

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


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


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

d 'φ`
dt
+ sin 'φ` +ω
2
cos 'φ` 'ξ (t) δφ` = 0,
d
2
δφ
dt
2

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


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

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


dt
+


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

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


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

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` +

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

dt

2
(5.40)
and
L =
m
2
¸

dR
dt

2
+

R

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


dt

2
¸
ˆ r =

1 +
ω
2
0
ω
2
s


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

2
s
+ ˆ r
dˆ r
dt
d
ˆ
φ
dt
+
1
1 +ω
2
0

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


dt

2
¸
r =

1 −
ω
2
0
ω
2
s


dt

2

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

2
s
+r
dr
dt

dt

1
1 −ω
2
0

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

2

1
1 −ω
2
0

2
s
¸
ω
2
0

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


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

2
= 2l
2
0
ω
2
0

1 −ω
2
0

2
s

= 2gl
0

1 −ω
2
0

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

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

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

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

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

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

2
s
+r

P
2
θ

2
0
(1 −cos φ) −

d
2
ˆ u/dt
2

cos φ,
˙
φ = P
φ
,
˙
P
φ
= −

1 −ω
2
0

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

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

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

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

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

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
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[158] W. Dietrich, P. Fulde, and I. Peschel, Adv. Phys. 29, 527 (1980).
[159] E. M.Lifshitz and L. P. Pitaevskii,Physical Kinetics [Pergamon,1981].
[160] P. Talkner, E. Hershkovitz, E. Pollak, and P. Hanggi, Surf. Sci. 437, 198
(1999).
[161] C. L. Asbury and G. van den Engh, Biophys. J. 74, 1024 (1998).
[162] Y. Georgievskii and A. S. Burstein, J. Chem. Phys. 100, 7319 (1994).
[163] J. R. McConnel,Rotational Brownian Motion and Dielectric Theory [Aca-
demic, 1980].
[164] G. I. Nixon and G. W. Slater, Phys. Rev. E 53, 4969 (1996).
[165] K. J. Spyrou, Phil. Trans. Roy. Soc. Ser. A 358, 1733 (2000).
[166] S. W. Ziegler and M. P. Cartmell, J. Spacecraft Rockets 38, 904 (2001).
[167] M. E. Shaposhnikov, Contemp. Phys. 39, 177 (1998).
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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