Introduction to

Deterministic Chaos
Branislav K. Nikolić

Department of Physics and Astronomy, University of Delaware, U.S.A.
PHYS 460/660: Computational Methods of Physics
http://www.physics.udel.edu/~bnikolic/teaching/phys660/phys660.html

caoz
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Chaos vs. Randomness
Do not confuse chaotic with random temporal dynamics:
Random: 
irreproducible and unpredictable
Chaotic (use characteristics below as definition): 
irregular in time (it is not even the superposition of periodic
motions – it is really aperiodic) 
deterministic - same initial conditions lead to same final state but the final state is very different for small changes to initial
conditions 
difficult or impossible to make long-term prediction! 
complex, but ordered, in phase space: it is associated with a
fractal structure
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PHYS 460/660: Introduction to deterministic chaos

Clockwork (Newton) vs. Chaotic (Poincaré) Universe 
Suppose the Universe is made of particles of matter interacting according to
Newton laws → this is just a dynamical system governed by a (very large
though) set of differential equations. 
Given the starting positions and velocities of all particles, there is a unique
outcome → P. Laplace’s Clockwork Universe (XVIII Century)!

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PHYS 460/660: Introduction to deterministic chaos

Brief Chaotic History: Poincaré 1892
(Hamiltonian or Conservative Chaos)

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PHYS 460/660: Introduction to deterministic chaos

While Poincaré did not succeed in giving a complete solution. If that enabled us to predict the succeeding situation with the same approximation. . both pure and applied — Poincaré was one of these rare savants who was able to make many major contributions to such diverse fields as analysis. astronomy. Bell as the last universalist — a man who is at ease in all branches of mathematics.” (a lively account of this event is given in Newton's Clock: Chaos in Solar System) To show how visionary Poincaré was. The distinguished Weierstrass. T. that it is governed by laws. said. A small error in the former will produce an enormous error in the latter. that is all we require. it is perhaps best to read his description of the hallmark of chaos .in a 1903 essay "Science and Method" 5 PHYS 460/660: Introduction to deterministic chaos . But it is not always so. we could predict exactly the situation of that same universe at a succeeding moment. it may happen that small differences in the initial conditions produce very great ones in the final phenomena. who was one of the judges. his work was so impressive that he was awarded the prize anyway. Prediction becomes impossible.Footnote: Did Poincaré get the money? Jules Henri Poincaré was dubbed by E. algebra. we could still only know the initial situation approximately. and we have the fortuitous phenomenon.sensitive dependence on initial conditions: “If we knew exactly the laws of nature and the situation of the universe at the initial moment. and we should say that the phenomenon had been predicted. “this work cannot indeed be considered as furnishing the complete solution of the question proposed. but that it is nevertheless of such importance that its publication will inaugurate a new era in the history of celestial mechanics. topology. and theoretical physics. but even if it were the case that the natural laws had no longer any secret for us.

Brief Chaotic History: Lorentz 1963 (Computers reveal dissipative chaos) 6 PHYS 460/660: Introduction to deterministic chaos .

" 7 PHYS 460/660: Introduction to deterministic chaos .Chaos in the Brave New World of Computers Poincaré created an original method to understand chaotic systems. but: "It is so complicated that I cannot even draw the figure. and discovered their very complicated time evolution.

angle) is at 1.000001 rad: 8 PHYS 460/660: Introduction to deterministic chaos ..Example: Damped Driven Pendulum  Initial position (i. and 1.001.e. 1.

07.Tuning the driving force and transition to chaos  Not every dumpled driven pendulum is chaotic → depends on the driving force: f = 1. 1. 1.45 9 PHYS 460/660: Introduction to deterministic chaos .35. 1. 1.15.

Can Chaos be Exploited? 10 PHYS 460/660: Introduction to deterministic chaos .

Chaos in Physical Systems Chaos is seen in many physical systems:  fluid dynamics (weather patterns) and turbulence  some chemical reactions  Lasers  electronic circuits  particle accelerators  plasma (such as in fusion reactors and space) Conditions necessary for chaos: system has 3 independent dynamical variables the equations of motion are non-linear 11 PHYS 460/660: Introduction to deterministic chaos .

xn (t )] is trajectory or flow [    ⋮  dxN = F ( x1 .… . xn )  set of points ( x1 .  Example: A system of N first-order and autonomous ODE dx1  = F ( x1 . x2 . x2 . x2 .Concepts in Dynamical System Theory  A dynamical system is defined as a deterministic mathematical prescription for evolving the state of a system forward in time.… . xn )   dt N ≥ 3 + nonlinearity ⇒ CHAOS becomes possible! 12 PHYS 460/660: Introduction to deterministic chaos . x2 (t ).… . xn ) is phase space dt ⇒ x1 (t ). xn )  dt  dx2 = F ( x1 .… .… . x2 .

Why Nonlinearity and 3D Phase Space? 13 PHYS 460/660: Introduction to deterministic chaos .

Differential Equation for damped Driven Pendulum Nonlinear ODE of the second order: 2 dθ dθ ml 2 + c + mg sin θ = A cos(ωD t + φ ) dt dt First step for computational approach → convert ODE into a dimensionless form: dω dθ +q + sin θ = f 0 cos(ωD t + φ ) dt dt 14 PHYS 460/660: Introduction to deterministic chaos .

How to Prepare Equations in Dimensionless Form: General Strategy 1. xɺ . 2 Example: 2 T= L g d θ T g sin θ ⇒ θɺɺ + sin θ = 0 θɺɺ ≡ 2 = − dt ′ L 15 PHYS 460/660: Introduction to deterministic chaos . Tt . so that parameter dependence is simplest (i. Introduce dimensionless space and time ( x′.e. Switch to dimensionless velocity and acceleration: dx L dx′ = dt T dt ′ 2 ′ d x T  ′ L ′ ′  f  Lx .. wherever possible the prefactors should be 1). parameters  = 2 dt ′ L  T  2 and choose L and T (natural length and time scale of the system). t ′) coordinates via: t = Tt ′ x = Lx′ 2.

ωD = 2 3.t  d x1 = f 0 c o s x 3 − s i n x 2 − q x1 dθ   x1 = dt  dt    dx2 ⇒ = x1 x2 = θ    dt x3 = ω D t    d x3   dt = ω D   This system is chaotic only for certain values of  In the examples we use q = 1 2.Where is Nonlinearity and ≥Three Dynamical Variables in damped Driven Pendulum? dω dθ +q + sin θ = f 0 cos(ωD t ) dt dt Non-linear term: sin θ Three dynamic variables: ω .2) q. ω D 16 PHYS 460/660: Introduction to deterministic chaos . θ . f 0 . f0 ∈ (1.

07 f 0 = 1.Routes to Chaos: Period Doubling f 0 = 1. once transients die away  Pay close attention to the period doubling that precedes the onset of chaos.15  To watch the onset of chaos (as f0 is increased) we look at the motion of the system in phase space. 17 PHYS 460/660: Introduction to deterministic chaos .

The “Sound” of Chaos f0 = 1.45 f0 = 1.35 f0 = 1.50 f0 = 1.47 f0 = 1.48 18 PHYS 460/660: Introduction to deterministic chaos .

Forget About Solving Equations! New Language of Deterministic Chaos Theory: Attractors (Dissipative Chaos) K[olmogorov]A[rnold]M[oser] torus (Conservative or Hamiltonian Chaos) Poincaré sections Lyapunov exponents and Kolmogorov entropy Fourier spectrum and autocorrelation functions 19 PHYS 460/660: Introduction to deterministic chaos .

Poincaré Section 20 PHYS 460/660: Introduction to deterministic chaos .

Poincaré Section: Examples Poincare Map: Continuous time evolution is replace by a discrete map Pn +1 = f P ( Pn ) 21 PHYS 460/660: Introduction to deterministic chaos .

Poincaré Section of Pendulum: A slice of the 3D phase space at a fixed value ofωDt mod2π q = 0.07 f0 = 1.25 f0 = 1.50 f0 = 1.48 f0 = 1.15 22 PHYS 460/660: Introduction to deterministic chaos .

attractor is a curve (1D attractor). Non-Chaotic Attractor Examples: →for a damped undriven pendulum. →for an undamped pendulum. attractor is just a point at θ=ω=0 (0D in 2D phase space).Attractors in Phase Space The surfaces in phase space which the pendulum follows. after transient motion decays. are called attractors. 23 PHYS 460/660: Introduction to deterministic chaos .

24 PHYS 460/660: Introduction to deterministic chaos .Fractal Nature of Strange Attractors Chaotic attractors of dissipative systems are strange → fractals with non-integer dimension (2<dim<3 for pendulum) and zero volume. The fine structure is quite complex and similar to the gross structure – fractals reveal self-similarity when viewed by a magnifying glass.

the longer the length measured. The shorter the ruler.World of Fractals in Pictures A fractal is an object or quantity that displays self-similarity on all scales .the object need not exhibit exactly the same structure at all scales. but the same "type" of structures must appear on all scales Their surface area is large and depends on the resolution (accuracy of measurement) Barnsley: Gosper: Koch: box: Sierpinski: Mandelbrot: The prototypical example for a fractal in nature is the length of a coastline measured with different length rulers. a paradox known as the coastline paradox. 25 PHYS 460/660: Introduction to deterministic chaos .

ε ≪1 ε ln1 ε L 8 L/8 16 L/4 2n 22n L/2n L/2n 26 PHYS 460/660: Introduction to deterministic chaos .What is Dimension? Capacity dimension of a line and square: N 1 ε L 2 L/2 N ε 1 L 4 L/2 4 L/4 d ln N (ε ) N (ε ) = d ⇒ d = .

Trivial Examples: Point. Line. Surface N (ε ) ∼ ε − D0 N (ε ) = N (ε ) = 2 l ε N (ε ) = A ε 2 27 PHYS 460/660: Introduction to deterministic chaos .

576 < 1 ln 3 3 D0 = ln 4 ln 3 28 PHYS 460/660: Introduction to deterministic chaos .Non-Trivial Examples: Cantor Set and Koch Curve The Cantor set is produced as follows: n N 1 ε 1 2 1/3 4 1/9 8 1/27 ln 2 1 n ln 2 ln 3−1 2 boxes of size ε =   ⇒ N (ε ) = ε ⇒ D0 = = 0.

remove the middle 1/4 of the unit interval → from each of the remaining two pieces remove an interval of length 1/16 = 1/42 → from each of the remaining four pieces remove an interval of length 1/64 = 1/43. and their observed surface may tend to infinity.Fat Fractals vs.first. Thin Fractals Fat Cantor set: we use the same procedure but vary the sizes of the pieces removed . ≪ 1) 29 PHYS 460/660: Introduction to deterministic chaos . V (ε ) − V ∼ ε α α ≡ fat fractal exponent d d −D Thins fractals have vanishing volume V (ε ) = ε N (ε ) ∼ ε 0 (ε (they are not space filling). non-integer dimension D0 < d . and so on … Fat fractals have non-zero volume and dimension →a measurable property of fat fractals is that their observed volume depends on the resolution in such a way that deviation from the exact volume decreases slowly and proportionally to a power of the resolution Mandelbrot’s conjecture: Radial crosssections of Saturn's rings are fat Cantor sets.

 Consider a small sphere in phase space containing initial conditions → after a short time the sphere will evolve into an ellipsoid: ε eλ1t ε ε eλ2t 30 PHYS 460/660: Introduction to deterministic chaos .  Lyapunov exponents are a measure of the average rate of divergence of neighboring trajectories on an attractor.Lyapunov Exponents  The fractional dimension of a chaotic attractor is a result of the extreme sensitivity to initial conditions.

Connection Between Lyapunov Exponents and Fractal Dimension The average rate of expansion along the principle axes are the Lyapunov exponents Chaos implies that at least one Lyapunov exponents is > 0! For the pendulum: ∑ λi = −q (damping coefficient) i →no contraction or expansion along t direction. so that exponent is zero →can be shown that the dimension of the attractor is: D 0 = 2 − λ1 λ 2 PHYS 460/660: Introduction to deterministic chaos 31 .

 Alternatively Interpretation: Measures rate at which initial information about the state of the system in phase space is washed out! Regular x Random Chaotic τ x x L t Ncell =1⇒K ≈ ln Ncell = 0 t Ncell = eλ ⇒K ≈ ln Ncell = λ Ncell →∞⇒K →∞ t 32 PHYS 460/660: Introduction to deterministic chaos .Kolmogorov Entropy  Interpretation: Measures amount of information required to specify trajectory of a system in the phase space.

Dissipative vs. Conservative Chaos Permanent: trajectory in phase space starting from arbitrary initial conditions ends up on strange attractor (Cantor filaments) as a bounded region of phase space where trajectories appear to skip around randomly. KAM Transient: Chaotic scattering where motion starting from specific initial conditions (Cantor clouds) is irregular in a finite region of space in which significant forces act. 33 PHYS 460/660: Introduction to deterministic chaos . Transient: typical initial conditions from the fractal basin boundary (Cantor filaments) result in finite time chaotic behavior lasts for finite time while the system is approaching attractors Permanent: Hierarchically nested pattern of chaotic bands (fat fractals) and regular island – there are no attractors (due to conservation of energy and phase space volume) .instead the appearance of regular or chaotic motion strongly depends on the initial conditions and the total energy.

-.  In dissipative systems in an arbitrary n-dimensional phase space.. etc. ..) 2-torus (2-D) → (0. . -.) strange (chaotic) (2+-D) → (+. -. . -. . -. -.... +. 0. -. 0. -.. . since a perturbation along the path results in no divergence: → (-. 0. there must always be one Lyapunov exponent equal to 0. Conservative Chaos: Lyapunov Exponents  For Hamiltonian systems. 0.. (3-D.Dissipative vs. .) → (+..) limit cycle (1-D) → (0. etc.. while one of them is always 0..) 3-torus. the Lyapunov exponents exist in additive inverse pairs.. etc.. -.) fixed point (0-D) → (0. -. -.) hyperchaos. (3+-D) 34 PHYS 460/660: Introduction to deterministic chaos . 0. -.

35 PHYS 460/660: Introduction to deterministic chaos . for other values.Logistic Map The logistic map describes a simpler system that exhibits similar chaotic behavior Can be used to model population growth: xn = µ xn −1 (1 − xn −1 ) For some values of µ. x tends to a fixed point. x oscillates between two points (period doubling) and for other values. x becomes chaotic….

Logistic Map in Pictures xn = µ xn −1 (1 − xn −1 ) x n x n -1 36 PHYS 460/660: Introduction to deterministic chaos .

at a fixed value of ωDt mod 2π as a function of the force term f0  If periodic → single value  Periodic with two solutions (left or right moving) → 2 values  Period doubling → double the number  The onset of chaos is often seen as a result of successive period doublings.Bifurcation Diagrams  Bifurcation: a change in the number of solutions to a differential equation when a parameter is varied  To observe bifurcation in damped driven pendulum.. 37 PHYS 460/660: Introduction to deterministic chaos .. plot long term values of ω.

Bifurcation of the Logistic Map xn µ 38 PHYS 460/660: Introduction to deterministic chaos .

Bifurcation of the Damped Driven Pendulum 39 PHYS 460/660: Introduction to deterministic chaos .

one can predict the onset of chaos. µ n − µ n −1 F n − F n −1 δ = lim = lim ≈ 0 .4 6 6 9 n→∞ µ n→ ∞ F n +1 − µ n n +1 − Fn n µn or Fn : value at which transition to period-2 takes place  This is universal to all differential equations (within certain limits) and applies to the pendulum.Feigenbaum Number  The ratio of spacings between consecutive values of µ at the bifurcations approaches a universal constant – the Feigenbaum number. 40 PHYS 460/660: Introduction to deterministic chaos . By using the first few bifurcation points.

ω = 0 dt 0  0 2 ( ) Search the phase space to find aperiodic motion confined to strange attractors which fill densely Poicaré sections Compute autocorrelation function to see if it drops to zero.Computer Simulations of Chaos in Damped Driven Pendulum From differential to difference equations – use Euler-Cromer method:  dω  ωn+1 = ωn −∆t Ω2 sinθn + qωn − fD sin t 2 = −Ω sinθ − qω + fD sin t     dt  ⇒ θn+1 =θn +∆tωn+1 dθ   =ω  θ = π . while power spectrum (which is its Fourier transform) exibits continuum of frequencies ∞ iω t 2 x (ω ) = C (τ ) = ∫ 0 e x ( t ) dt ⇒ P (ω ) =| x (ω ) | ∞ ∫ [( x (t ) − x ) ⋅ ( x (t + τ ) − x ) ] dt 0 41 PHYS 460/660: Introduction to deterministic chaos .

Attractor of Damped (Undriven) Pendulum 42 PHYS 460/660: Introduction to deterministic chaos .

Attractor of Damped Driven Pendulum in Non-Chaotic Regime 43 PHYS 460/660: Introduction to deterministic chaos .

Attractor of Damped Driven Pendulum in Transition to Chaos 44 PHYS 460/660: Introduction to deterministic chaos .

Poincaré Sections in Transition To Chaos 45 PHYS 460/660: Introduction to deterministic chaos .

3/4. 46 PHYS 460/660: Introduction to deterministic chaos . 3/2.Power Spectrum of in Transition to Chaos Period-2: Significant power appears at 1/2. …. of the driving force frequency. Period-4: There is power at 1/4. of the driving force frequency. ….

Power Spectrum in the Chaotic Regime When the system is chaotic. there is still significant power at the drive frequency but there are no other sharp spikes in the spectrum. 47 PHYS 460/660: Introduction to deterministic chaos .

Power spectrum displays wide continuum 48 PHYS 460/660: Introduction to deterministic chaos .Diagnostic Tools for Conservative Chaos in “Two balls in 1D with gravity” Problem The dynamical system is chaotic if we find that: 1. Autocorrelation function decays fast to zero 3. Poincare section contains areas which are densely filled with trajectory intersection points 2.

Therefore. 49 PHYS 460/660: Introduction to deterministic chaos . there exists an errorless trajectory with a slightly different initial condition that stays near ("shadows") the numerically computed one. the fractal structure of chaotic trajectories seen in computer maps is real.Do Computers Simulations of Chaos Make Any Sense? −1 n nd o iti ns 90 co l ∼ a i ti n n n f i c ti o o i cy red a r p cu n g c 4 a lo −1 s a 10 ice tw ⇒ ⇒ 2 10 8 −2 4 ∼ c ac 1⇒ y ac r u n ∼ 45 i ni of on c l t ia d o i ti ns 10 Shadowing Theorem: Numerically computed chaotic Although a trajectory diverges exponentially from the true trajectory with the same initial coordinates.