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energy differences
Gavin E. Crooks∗
Department of Chemistry, University of California at Berkeley, Berkeley, CA 94720
(February 1, 2008)
arXiv:cond-mat/9901352v4 [cond-mat.stat-mech] 29 Jul 1999
There are only a very few known relations in statistical dynamics that are valid for systems driven
arbitrarily far-from-equilibrium. One of these is the fluctuation theorem, which places conditions
on the entropy production probability distribution of nonequilibrium systems. Another recently
discovered far-from-equilibrium expression relates nonequilibrium measurements of the work done
on a system to equilibrium free energy differences. In this paper, we derive a generalized version of
the fluctuation theorem for stochastic, microscopically reversible dynamics. Invoking this generalized
theorem provides a succinct proof of the nonequilibrium work relation.
Here ω is the entropy production of the driven system Here β = 1/kB T , kB is the Boltzmann constant, T is the
measured over some time interval, PF (ω) is the proba- temperature of the heat bath that is coupled to the sys-
bility distribution of this entropy production, and PR (ω) tem, and h· · ·i indicates an average over many repetitions
of the switching process. For the confined gas considered
above, the free energy depends on the position of the
piston. With Eq. (3), we can calculate the free energy
∗
Electronic address: gavinc@garnet.berkeley.edu change when the system is compressed to a new volume
1
by making many measurements of the work required to convenient to shift the time origin so that the paths un-
effect the change, starting each time from an equilibrated der consideration extend an equal time on either side
system, and taking the above average. In the limit of in- of that origin, t ∈ {−τ, +τ } or t ∈ {−∞, +∞}. Then
stantaneous switching between ensembles, this relation the corresponding time reversed path can be denoted
is equivalent to the standard thermodynamic perturba- as x(−t), λ(−t) . The overbar indicates that quanti-
tion method used to calculate free energy differences with ties odd under a time reversal (such as momenta or an
computer simulations [20–23]. external magnetic field) have also changed sign.
Equations (2) and (3) are actually closely related. We The dynamics of the system are required to be stochas-
first note that whenever Eq. (2) is valid, the following tic and Markovian [25]. The fluctuation theorem was
useful relation holds [8, Eq. (16)]: originally derived for thermostated, reversible, determin-
Z +∞ Z +∞ istic systems [2,3]. However, there are fewer technical
he−ω i = PF (+ω)e−ω dω = PR (−ω)dω difficulties if we simply assume stochastic dynamics [9].
−∞ −∞ We will also require that the dynamics satisfy the follow-
= 1. (4) ing microscopically reversible condition:
2
ZZZ x+τ
From an information theoretic [24] perspective, the en- PF (ω) = ρR(x+τ )P[x(−t)|λ(−t)] ×
tropy of a microscopic state of a system, s(x) = − ln ρ(x), x-τ
is the amount of information required to describe that δ(ω −ωF )e+ωF D[x(t)]dx-τ dx+τ
ZZZ x+τ
state given that the state occurs with probability ρ(x).
= e+ω ρR(x+τ )P[x(−t)|λ(−t)] ×
The entropy of this (possibly nonequilibrium) ensemble x-τ
P
of systems is S = − x ρ(x) ln ρ(x). Thus, for a single δ(ω +ωR )D[x(t)]dx-τ dx+τ
+ω
realization of a process that takes some initial probabil- = e hδ(ω +ωR )iR
ity distribution, ρ(x-τ ), and changes it to some different = e+ω PR (−ω).
final distribution, ρ(x+τ ), the entropy production [29] is
ω = ln ρ(x-τ ) − ln ρ(x+τ ) − βQ[x(t), λ(t)]. (6) The δ function allows the e+ω term to be moved out-
side the integral in the second line above. The remaining
This is the change in the amount of information required average is over reverse paths as the system is driven in
to describe the microscopic state of the system plus the reverse. The final result is the entropy production fluc-
change in entropy of the bath. tuation theorem, Eq. (2).
Recall that the fluctuation theorem, Eq. (2), compares The theorem readily generalizes to other ensembles. As
the entropy production probability distribution of a pro- an example, consider an isothermal-isobaric system. In
cess with the entropy production distribution of the cor- addition to the heat bath, the system is coupled to a vol-
responding time-reversed process. For example, with the ume bath, characterized by βp, where p is the pressure.
confined gas we compare the entropy production when Then the microscopically reversible condition, Eq. (5),
the gas is compressed to the entropy production when becomes
the gas is expanded. To allow this comparison of forward
and reverse processes we will require that the entropy P[x(+t)|λ(+t)] n
= exp − βQ[x(t), λ(t)]
production is odd under a time reversal, i.e., ωF = −ωR , P[x(−t)|λ(−t)]
for the process under consideration. This condition is o
−βp∆V [x(t), λ(t)] .
equivalent to requiring that the final distribution of the
forward process, ρF(x+τ ), is the same (after a time rever-
sal) as the initial phase-space distribution of the reverse Both baths are considered to be large, equilibrium, ther-
process, ρR(x+τ ), and vice versa, i.e., ρF(x+τ ) = ρR(x+τ ) modynamic systems. Therefore, the change in entropy
and ρR(x-τ ) = ρF(x-τ ). In the next section, we will dis- of the heat bath is −βQ and the change in entropy of
cuss two broad types of work process that fulfill this con- the volume bath is −βp∆V , where ∆V is the change in
dition. Either the system begins and ends in equilibrium volume of the system. The entropy production should
or the system begins and ends in the same time symmet- then be defined as
ric nonequilibrium steady state.
ω = ln ρ(x-τ ) − ln ρ(x+τ ) − βQ − βp∆V. (8)
This time-reversal symmetry of the entropy production
allows the comparison of the probability of a particular The fluctuation theorem, Eq. (2), follows as before. It is
path, x(t), starting from some specific point in the initial possible to extend the fluctuation theorem to any stan-
distribution, with the corresponding time-reversed path, dard set of baths, so long as the definitions of microscopic
ρF(x-τ )P[x(+t)|λ(+t)] reversibility and the entropy production are consistent.
= e+ωF . (7) In the rest of this paper we shall only explicitly deal with
ρR(x+τ )P[x(−t)|λ(−t)]
systems coupled to a single heat bath, but the results
This follows from the the conditions that the system is generalize directly.
microscopically reversible, Eq. (5) and that the entropy
production is odd under a time reversal.
Now consider the probability, PF (ω), of observing a III. TWO GROUPS OF APPLICABLE SYSTEMS
particular value of this entropy production. It can be
written as a δ function averaged over the ensemble of
In this section we will discuss two groups of systems
forward paths,
for which the entropy fluctuation theorem, Eq. (2), is
PF (ω) = hδ(ω −ωF )iF valid. These systems must satisfy the condition that the
ZZZ x+τ entropy production, Eq. (6), is odd under a time reversal,
= ρF(x-τ )P[x(+t)|λ(+t)]δ(ω −ωF )D[x(t)]dx-τ dx+τ . and therefore that ρF(x+τ ) = ρR(x+τ ).
x-τ
First consider a system that is in equilibrium from time
RRR x
Here x +ττ · · · D[x(t)]dx-τ dx+τ indicates a sum or suitable t = −∞ to t = −τ . It is then driven from equilibrium by
- a change in the controlled parameter, λ. The system is
normalized integral over all paths through phase space,
and all initial and final phase space points, over the ap- actively perturbed up to a time t = +τ , and is then al-
propriate time interval. We can now use Eq. (7) to con- lowed to relax, so that it once again reaches equilibrium
vert this average over forward paths into an average over at t = +∞. For the forward process the system starts in
reverse paths. the equilibrium ensemble specified by λ(−∞), and ends
3
15 0.1 0.06
10 0.04
∆t = 256
0.05
∆t = 512
0.02
5 ∆t = 1024
∆t = 2048
0 0 0
1 x 32 -8 0 8 16 βW 24
FIG. 1. A very simple Metropolis Monte Carlo simulation FIG. 2. Work probability distribution (—) for the system
is used to illustrate the fluctuation theorem and some of its of Fig. 1, starting from equilibrium. The work W was mea-
approximations. The master equation for this system can be sured over 16, 32, 64, 128, and 256 cycles (∆t = 128, 256, 512,
solved, providing exact numerical results to compare with the 1024, and 2048). For each of these distributions the work fluc-
theory. A single particle occupies a finite number of posi- tuation theorem, Eq. (11), is exact. The dashed lines (- - -)
tions in a one-dimensional box with periodic boundaries, and are Gaussians fitted to the means of the distributions for ∆t =
is coupled to a heat bath of temperature T = 5. The energy 256 and 1024. (See Sec. IV).
surface, E(x), is indicated by in the figure. At each discrete
time step the particle attempts to move left, right, or stay put
with equal probability. The move is accepted with the stan- It is therefore possible to express the fluctuation the-
dard Metropolis acceptance probability [34]. Every eight time orem in terms of the amount of work performed on a
steps, the energy surface moves right one position. Thus the system that starts in equilibrium [30],
system is driven away from equilibrium, and eventually set-
PF (+βW )
tles into a time symmetric nonequilibrium steady-state. The = e−∆F e+βW . (11)
equilibrium (◦) and steady state (•) probability distributions PR (−βW )
are shown in the figure above. The steady state distribution
The work in this expression is measured over the finite
is shown in the reference frame of the surface.
time that the system is actively perturbed. We have now
established the fluctuation theorem for systems that start
in the ensemble specified by λ(+∞). In the reverse pro- in equilibrium, and have shown that the entropy produc-
cess, the initial and final ensembles are exchanged, and tion is simply related to the work and free energy change.
the entropy production is odd under this time reversal. Therefore, we have established the nonequilibrium work
The gas confined in the diathermal cylinder satisfies these relation, Eq. (3), discussed in the Introduction.
conditions if the piston moves only for a finite amount of The validity of this expression can be illustrated with
time. the very simple computer model described in Fig. 1. Al-
At first it may appear disadvantageous that the en- though not of immediate physical relevance, this model
tropy production has been defined between equilibrium has the advantage that the entropy production distribu-
ensembles separated by an infinite amount of time. How- tions of this driven nonequilibrium system can be cal-
ever, for these systems the entropy production has a sim- culated exactly, apart from numerical roundoff error.
ple and direct interpretation. The probability distribu- The resulting work distributions are shown in Fig. 2.
tions of the initial and final ensembles are known from Because the process is time symmetric, ∆F = 0 and
equilibrium statistical mechanics: P(+βW ) = P(−βW ) exp βW . This expression is exact
for each of the distributions shown, even for short times
e−βE(x,λ)
ρeq (x|λ) = X when the distributions display very erratic behavior.
e−βE(x,λ) Systems that start and end in equilibrium are not the
x only ones that satisfy the fluctuation theorem. Consider
again the classical gas confined in a diathermal cylin-
= exp βF (β, λ) − βE(x, λ) . (9)
der. If the piston is driven in a time symmetric periodic
The sumPis over all states of the system, and F (β, λ) = manner (for example, the displacement of the piston is
−β −1 ln x exp{−βE(x, λ)} is the Helmholtz free energy a sinusoidal function of time), the system will eventually
of the system. If these probabilities are substituted into settle into a nonequilibrium steady-state ensemble. We
the definition of the entropy production, Eq. (6), then we will now require that the dynamics are entirely diffusive,
find that so that there are no momenta. Then at any time that
ωF = −β∆F + βW. (10) λ(t) is time symmetric, then the entire system is invari-
ant to a time-reversal. We start from the appropriate
Here W is the work and we have used the first law of nonequilibrium steady-state, at a time symmetric point
thermodynamics, ∆E = W + Q. of λ(t), and propagate forward in time a whole number of
4
0.06
1.15
P( − β Q) ∆t = 128 ∆t = 128
r ∆t = 256
0.04
∆t = 256 ∆t = 512
∆t = 1024
∆t = 512
1.00
0.02 ∆t = 1024 ∆t = 2048
∆t = 2048
0
-8 0 8 16 − βQ 24 0.85
FIG. 3. Heat probability distribution (—) for the nonequi- 0 8 16 24 βQ 32
librium steady state. The model described in Fig. 1 was re- FIG. 4. Deviations from the heat fluctuation theo-
laxed to the steady state, and the heat Q was then measured rem, Eq. (13), for the distributions of Fig. 3. If
over 16, 32, 64, 128 and 256 cycles (∆t = 128, 256, 512, 1024, the heat fluctuation theorem were exact, then the ratio
and 2048). Note that for long times the system forgets its r = βQ/ ln[P(+βQ)/P(−βQ)] would equal 1 for all |βQ|. For
initial state and the heat distribution is almost indistinguish- short times (∆t ≤ 256) the fluctuation theorem is wholly in-
able from the work distribution of the system that starts in accurate. For times significantly longer than the relaxation
equilibrium. time of the system (∆t ≈ 100), the fluctuation theorem is
accurate except for very large values of |βQ|.
5
0
V. SUMMARY
log 10 P( β W )
6
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