Deterministic Chaos

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Deterministic Chaos

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You are on page 1of 49

Deterministic Chaos

Branislav K. Nikoli

PHYS 460/660: Computational Methods of Physics

http://www.physics.udel.edu/~bnikolic/teaching/phys660/phys660.html

caoz

1

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

2

PHYS 460/660: Introduction to deterministic chaos

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. Laplaces Clockwork Universe (XVIII Century)!

3

PHYS 460/660: Introduction to deterministic chaos

(Hamiltonian or Conservative Chaos)

4

PHYS 460/660: Introduction to deterministic chaos

Jules Henri Poincar was dubbed by E. T. Bell as the last universalist a man who is at ease in all

branches of mathematics, both pure and applied Poincar was one of these rare savants who was able

to make many major contributions to such diverse fields as analysis, algebra, topology, astronomy, and

theoretical physics.

While Poincar did not succeed in giving a complete solution, his work was so impressive that he was

awarded the prize anyway. The distinguished Weierstrass, who was one of the judges, said, 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. (a lively account of this event is given in Newton's Clock: Chaos in Solar System)

To show how visionary Poincar was, it is perhaps best to read his description of the hallmark

of chaos - sensitive dependence on initial conditions:

If we knew exactly the laws of nature and the situation of the universe at the initial moment, we could

predict exactly the situation of that same universe at a succeeding moment. but even if it were the case

that the natural laws had no longer any secret for us, we could still only know the initial situation

approximately. If that enabled us to predict the succeeding situation with the same approximation, that

is all we require, and we should say that the phenomenon had been predicted, that it is governed by laws.

But it is not always so; it may happen that small differences in the initial conditions produce very

great ones in the final phenomena. A small error in the former will produce an enormous error in the

latter. Prediction becomes impossible, and we have the fortuitous phenomenon. - in a 1903 essay

"Science and Method"

5

PHYS 460/660: Introduction to deterministic chaos

(Computers reveal dissipative chaos)

6

PHYS 460/660: Introduction to deterministic chaos

Poincar created an original method to understand chaotic systems,

and discovered their very complicated time evolution, but:

"It is so complicated that I cannot even draw the figure."

7

PHYS 460/660: Introduction to deterministic chaos

Initial position (i.e., angle) is at 1, 1.001, and 1.000001 rad:

8

PHYS 460/660: Introduction to deterministic chaos

transition to chaos

Not every dumpled driven pendulum is chaotic depends on the

driving force: f = 1, 1.07, 1.15, 1.35, 1.45

9

PHYS 460/660: Introduction to deterministic chaos

10

PHYS 460/660: Introduction to deterministic chaos

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)

system has 3 independent dynamical variables

the equations of motion are non-linear

11

PHYS 460/660: Introduction to deterministic chaos

A dynamical system is defined as a deterministic mathematical

prescription for evolving the state of a system forward in time.

Example: A system of N first-order and autonomous ODE

dx1

= F ( x1 , x2 , , xn )

dt

dx2

= F ( x1 , x2 , , xn ) set of points ( x1 , x2 , , xn ) is phase space

dt

x1 (t ), x2 (t ), , xn (t )] is trajectory or flow

[

dxN

= F ( x1 , x2 , , xn )

dt

12

PHYS 460/660: Introduction to deterministic chaos

13

PHYS 460/660: Introduction to deterministic chaos

damped Driven Pendulum

Nonlinear ODE of the second order:

2

d

d

ml 2 + c

+ mg sin = A cos(D t + )

dt

dt

First step for computational approach

convert ODE into a dimensionless form:

d

d

+q

+ sin = f 0 cos(D t + )

dt

dt

14

PHYS 460/660: Introduction to deterministic chaos

Dimensionless Form: General Strategy

1. Introduce dimensionless space and time

( x, t ) coordinates via:

t = Tt

x = Lx

dx L dx

=

dt T dt

d x T

L

f Lx , x , Tt ; parameters

=

2

dt

L

T

and choose L and T (natural length and time scale of the system),

so that parameter dependence is simplest (i.e., wherever possible

the prefactors should be 1).

2

Example:

T= L g

d

T

g

sin + sin = 0

2 =

dt

L

15

Variables in damped Driven Pendulum?

d

d

+q

+ sin = f 0 cos(D t )

dt

dt

Non-linear term: sin

Three dynamic variables: , ,t

d x1

= f 0 c o s x 3 s i n x 2 q x1

d

x1 =

dt

dt

dx2

= x1

x2 =

dt

x3 = D t

d x3

dt = D

In the examples we use q = 1 2, D = 2 3, f0 (1,2)

q, f 0 , D

16

f 0 = 1.07

f 0 = 1.15

increased) we look at the motion of the

system in phase space, once transients

die away

Pay close attention to the period doubling

that precedes the onset of chaos.

17

PHYS 460/660: Introduction to deterministic chaos

f0 = 1.35

f0 = 1.45

f0 = 1.47

f0 = 1.50

f0 = 1.48

18

PHYS 460/660: Introduction to deterministic chaos

New Language of Deterministic Chaos Theory:

K[olmogorov]A[rnold]M[oser] torus

(Conservative or Hamiltonian Chaos)

Poincar sections

Lyapunov exponents and Kolmogorov entropy

Fourier spectrum and autocorrelation

functions

19

PHYS 460/660: Introduction to deterministic chaos

Poincar Section

20

PHYS 460/660: Introduction to deterministic chaos

Pn +1 = f P ( Pn )

21

PHYS 460/660: Introduction to deterministic chaos

the 3D phase space at a fixed value ofDt mod2

q = 0.25

f0 = 1.48

f0 = 1.07

f0 = 1.50

f0 = 1.15

22

PHYS 460/660: Introduction to deterministic chaos

The surfaces in phase space which the pendulum

follows, after transient motion decays, are

called attractors.

Non-Chaotic Attractor Examples:

for a damped undriven pendulum, attractor is

just a point at ==0 (0D in 2D phase space).

for an undamped pendulum, attractor is a

curve (1D attractor).

23

PHYS 460/660: Introduction to deterministic chaos

Fractal Nature of

Strange Attractors

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.

24

PHYS 460/660: Introduction to deterministic chaos

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. The shorter the ruler, the longer the length measured, a

25

PHYS 460/660: Introduction to deterministic chaos

What is Dimension?

Capacity dimension of a line and square:

N

1

2 L/2

N

1 L

4 L/2

4 L/4

ln N ( )

N ( ) = d d =

, 1

ln1

L

8 L/8

16 L/4

2n

22n L/2n

L/2n

26

PHYS 460/660: Introduction to deterministic chaos

N ( )

D0

N ( ) =

N ( ) = 2

N ( ) =

2

27

Non-Trivial Examples:

Cantor Set and Koch Curve

The Cantor set is produced as follows:

N

1

1/3

1/9

8 1/27

ln 2

1

n

ln 2 ln 31

2 boxes of size = N ( ) =

D0 =

= 0.576 < 1

ln 3

3

D0 =

ln 4

ln 3

28

Fat Cantor set: we use the same procedure

but vary the sizes of the pieces removed - first,

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 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

Mandelbrots conjecture: Radial crosssections of Saturn's rings are fat Cantor sets.

V ( ) V

d

d D

(they are not space filling), non-integer dimension D0 < d , and

their observed surface may tend to infinity.

1)

29

PHYS 460/660: Introduction to deterministic chaos

Lyapunov Exponents

The fractional dimension of a chaotic attractor is a result of the

extreme sensitivity to initial conditions.

Lyapunov exponents are a measure of the average rate of

divergence of neighboring trajectories on an attractor.

Consider a small sphere in phase space containing initial

conditions after a short time the sphere will evolve into an

ellipsoid:

e1t

e2t

30

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: i = 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 1 2

PHYS 460/660: Introduction to deterministic chaos

31

Kolmogorov Entropy

Interpretation: Measures amount of information required to specify

trajectory of a system in the phase space.

Alternatively Interpretation: Measures rate at which initial

information about the state of the system in phase space is washed

out!

Regular

x

Random

Chaotic

t

Ncell =1K ln Ncell = 0

t

Ncell = e K ln Ncell =

Ncell K

t

32

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.

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.

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

Lyapunov Exponents

For Hamiltonian systems, the Lyapunov exponents exist in additive

inverse pairs, while one of them is always 0.

In dissipative systems in an arbitrary n-dimensional phase space, there

must always be one Lyapunov exponent equal to 0, since a perturbation

along the path results in no divergence:

(0, -, -, -, ...) limit cycle (1-D)

(0, 0, -, -, ...) 2-torus (2-D)

(0, 0, 0, -, ...) 3-torus, etc. (3-D, etc.)

(+, 0, -, -, ...) strange (chaotic) (2+-D)

(+, +, 0, -, ...) hyperchaos, etc. (3+-D)

34

PHYS 460/660: Introduction to deterministic chaos

Logistic Map

The logistic map describes a simpler system

that exhibits similar chaotic behavior

Can be used to model population growth:

xn = xn 1 (1 xn 1 )

For some values of , x tends to a fixed point,

for other values, x oscillates between two

points (period doubling) and for other values, x

becomes chaotic.

35

PHYS 460/660: Introduction to deterministic chaos

xn = xn 1 (1 xn 1 )

x

n -1

36

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, plot

long term values of , at a fixed value of Dt mod 2 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...

37

PHYS 460/660: Introduction to deterministic chaos

xn

38

PHYS 460/660: Introduction to deterministic chaos

39

PHYS 460/660: Introduction to deterministic chaos

Feigenbaum Number

The ratio of spacings between consecutive values of at

the bifurcations approaches a universal constant the

Feigenbaum number.

n n 1

F n F n 1

= lim

=

lim

0 .4 6 6 9

n

n F

n +1 n

n +1 Fn

n

This is universal to all differential equations (within

certain limits) and applies to the pendulum. By using the

first few bifurcation points, one can predict the onset

of chaos.

40

PHYS 460/660: Introduction to deterministic chaos

Damped Driven Pendulum

From differential to difference equations use Euler-Cromer method:

d

n+1 = n t 2 sinn + qn fD sin t

2

= sin q + fD sin t

dt

n+1 =n +tn+1

d

=

= , = 0

dt

0

0 2

attractors which fill densely Poicar sections

Compute autocorrelation function to see if it drops to zero, while power

spectrum (which is its Fourier transform) exibits continuum of frequencies

i t

2

x ( ) =

C ( ) =

x ( t ) dt P ( ) =| x ( ) |

[( x (t ) x ) ( x (t + ) x ) ] dt

0

41

PHYS 460/660: Introduction to deterministic chaos

42

PHYS 460/660: Introduction to deterministic chaos

Non-Chaotic Regime

43

PHYS 460/660: Introduction to deterministic chaos

Transition to Chaos

44

PHYS 460/660: Introduction to deterministic chaos

45

PHYS 460/660: Introduction to deterministic chaos

appears at 1/2, 3/2, , of the

driving force frequency.

of the driving force frequency.

46

PHYS 460/660: Introduction to deterministic chaos

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

in Two balls in 1D with gravity Problem

The dynamical system is chaotic if we find that:

1. Poincare section contains areas

which are densely filled with

trajectory intersection points

2. Autocorrelation

function decays

fast to zero

3. Power spectrum

displays wide continuum

48

PHYS 460/660: Introduction to deterministic chaos

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

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tw

10

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2

c

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ac

r

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ni

of

on

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t ia

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10

computed chaotic Although a trajectory

diverges exponentially from the true

trajectory with the same initial

coordinates, there exists an errorless

trajectory with a slightly different initial

condition that stays near ("shadows") the

numerically computed one. Therefore, the

fractal structure of chaotic trajectories

seen in computer maps is real.

49

PHYS 460/660: Introduction to deterministic chaos

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