July 7, 2012 16:6 WSPC/S0218-1274 1230019

Tutorials and Reviews

International Journal of Bifurcation and Chaos, Vol. 22, No. 6 (2012) 1230019 (14 pages)

c World Scientific Publishing Company
DOI: 10.1142/S0218127412300194

BEHAVIOR PATTERNS IN MULTIPARAMETRIC

DYNAMICAL SYSTEMS: LORENZ MODEL

ROBERTO BARRIO∗ , FERNANDO BLESA†

and SERGIO SERRANO∗
∗IUMA and GME, Departamento de Matemática Aplicada,

Universidad de Zaragoza, E-50009 Zaragoza, Spain

†GME, Departamento de Fı́sica Aplicada,
Universidad de Zaragoza, E-50009 Zaragoza, Spain
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Received May 7, 2011

In experimental and theoretical studies of Dynamical Systems, there are usually several param-
eters that govern the models. Thus, a detailed study of the global parametric phase space is not
easy and normally unachievable. In this paper, we show that a careful selection of one straight
line (or other 1D manifold) permits us to obtain a global idea of the evolution of the system in
some circumstances. We illustrate this fact with the paradigmatic example of the Lorenz model,
based on a global study, changing all three parameters. Besides, searching in other regions, for
all the detected behavior patterns in one straight line, we have been able to see that missing
topological structures of the chaotic attractors may be found on the chaotic-saddles.

Keywords: Lorenz equations; chaos; sensitivity analysis; chaos indicators.

1. Introduction several scientific disciplines have shown that deter-

In the History of Dynamical Systems and chaos dis-
cipline, Poincaré, at the end of the 19th century,
posed one of the first theoretical keynotes. Duffing
in the 1920s and van der Pol in the 1930s and
1940s introduced interesting models on so-called
relaxation oscillations to nonlinear dissipative
equations that present chaotic behavior for some
values of the parameters. In the 1940s, Cartwright,
Littlewood and Levinson developed a carefully
analytical and topological study of van der Pol’s
equations and other differential equations [Aubin &
Dahan Dalmedico, 2002]. Lorenz in 1963 intro-
duced a simplified atmospheric model with com-
plex trajectories; this model was widely studied over
the course of the 1970s as a paradigmatic chaotic
problem. From then, until now, many models of
ministic chaos gives a satisfactory explanation for
experimental observations made long time ago.
The analysis of the nonlinear dynamics of a
system may be necessary for the understanding of
many scientific disciplines. Currently, the number
of studies in this line is increasing. However it is
impractical to perform an exhaustive analysis of
a dynamical system looking at the full range of
parameters of each system. Therefore, it is unlikely
that the range of values in which one is interested
had been sufficiently studied.
In this article we show how a global analysis of
bifurcations of a dynamical system, together with
the precise study of the evolution along a parameter
for specific values of the rest of parameters, may be
sufficient to have a fair idea of what will happen in

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R. Barrio et al.
other ranges of parameter values. With this anal-
ysis, the study on other range of parameters will
only need a light overview to link with the former
results. This is done here taking, as paradigmatic
example, the Lorenz model.
The paper is organized as follows: Section 2
presents the Lorenz model and a review of some
classic results. Section 3 presents a three paramet-
ric analysis of the model. Finally, in Sec. 4 we study
how the same behavior patterns are reproduced
again and again, allowing reuse of the same anal-
ysis for different values.
2. Basic Results of the Lorenz
Model
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One of the apparently most simple nonlinear mod-
els is the classical Lorenz model [Lorenz, 1963]. This
simple model has generated thousands of research
papers and it continues to generate more [Viana,
2000] due to the fact that the system is not com-
pletely understood. The Lorenz model is a sim-
plification of a previous more complicated model
of Saltzman [1962] to describe buoyancy driven
convection patterns in the classical rectangular
Rayleigh–Bénard problem applied to the thermal
convection between two plates perpendicular to the
direction of the Earth’s gravitational force. The
final objective was to obtain a meteorological pre-
diction. As described in [Doherty & Ottino, 1988]
the physical problem consists of two flat plates, sep-
arated by a liquid layer. Both plates are maintained
at a uniform temperature when the lower plate is
heated. In the model, the flow is assumed to be
two-dimensional and incompressible. Therefore, to
determine the motion of the fluid, different sets of
coupled nonlinear field equations, as the continuity,
the energy and the Navier–Stokes equations, have to
be solved. Saltzman and later Lorenz used Fourier
series approximations in field equations and a large
set of ordinary differential equations for the Fourier
coefficients appeared. After several simplifications,
Lorenz arrived at his famous equations:
dx
= −σx + σy,
dt
dy
= −xz + rx − y, (1)
dt
dz
= xy − bz,
dt
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where t is a dimensionless time, x is proportional
to the intensity of the convective motion, y is pro-
portional to the temperature difference between
the ascending and descending currents, and z is
proportional to the distortion of the vertical tem-
perature profile from linearity. In the equations,
there are also three dimensionless control param-
eters [Dullin et al., 2007]: σ = ν/κ is the Prandtl
number that describes the ratio of the two molecular
time scales τν = L2 /ν and τκ = L2 /κ for momen-
tum and energy transport in the system, ν and κ
being the kinematic viscosity and thermal diffusion,
respectively; b is a positive constant originated from
the nonlinearity of the Boussinesq equation and it
is of order 1; and r is the ratio of the Rayleigh
number Ra and the critical Rayleigh number Rac
(the value of Ra at which convection sets in). The
Rayleigh number is defined as Ra = gαH 3 ∆T /νκ
where H is the distance between the plates, ∆T
is the temperature difference between the plates,
g is the gravity acceleration and α is the thermal
expansion coefficient. The parameter r is therefore
positive and at small values 0 ≤ r < 1 the tem-
perature difference is insufficient to cause motion
while for r ≥ 1 the fluid starts to move, first in
regular roll cells and for larger r becomes turbu-
lent. Note that small Prandtl numbers character-
ize fast molecular exchange as occurs in mercury
σ ≈ 0.025, in air and other gases σ ≈ 0.7 (at room
temperature) and in water σ ≈ 7 (at room tempera-
ture). Large Prandtl numbers indicate a broad kine-
matic boundary layer containing a small thermal
one, fast molecular momentum exchange and small
convective Reynolds numbers as occurring in typical
organic liquids (σ from 600 to 3000) and in glycerine
σ ≈ 7250.
We begin our analysis by reviewing several
results (see [Afraimovic et al., 1977; Alligood et al.,
1997; Doherty & Ottino, 1988; Sparrow, 1982;
Kaplan & Yorke, 1979; Marsden & McCracken,
1976; Li et al., 2005; Shilnikov et al., 2001]):
• The Lorenz equations present a symmetry, the
equations are invariant under (x, y) → (−x, −y).
• The system is dissipative with a value of the
divergence −(σ + b + 1), and therefore the vol-
ume in phase-space always contracts under the
flow.
• The Lorenz system is bounded and in the litera-
ture there are several estimates of the bound [Li
et al., 2005].
 July 7, 2012 16:6
• On equilibrium points:
— For r < 1, C 0 = (0, 0, 0) is a globally attract-
ing equilibrium point.
— In r = 1, there is a supercritical pitch-
fork bifurcation (due to the symmetry of the
system).
— For 1 < r < rH = σ(σ + b + 3)/(σ − b − 1), C 0
is unstable (a saddle with one unstable and
two stable eigenvalues)
and two stable

equilib-
rium points C + = (+
b(r − 1), +
b(r − 1),
r − 1) and C − = (− b(r − 1), − b(r − 1),
r − 1) appear (that correspond to convection
dynamics).
— In r = rH there is a subcritical Hopf bifurca-
tion.
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— For rH < r there are three unstable equilib-
rium points, C 0 and C ± .
• All the above results are analytic ones, with care-
ful numerical simulations for the Saltzman values
(σ = 10 and b = 8/3), it was obtained:
unstable limit cycle
|x|
rP rhom
3. Global Parametric Analysis
The Lorenz system has three free parameters, and
so to perform a global analysis, it is not an easy
task. This was done first in [Barrio & Serrano,
2007] where the authors presented a global three-
parametric analysis. The remaining question was
to link the analysis with some global bifurcations
and to see if we may identify several regions with a
similar behavior.
Before performing a three-parametric study, we
show in Fig. 1 three biparametric plots, one for
each of the possible pairs we may form with the
three parameters, taking the corresponding value
{r, σ, b} = {500, 10, 8/3} for the remaining constant
parameter. Each one of these plots will give us infor-
mation about the behavior of the system in the
three-parametric space. In these plots, we will show
a Maximum Lyapunov Exponent picture (MLE),
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Behavior Patterns in Multiparametric Dynamical Systems
— For 1 < r < rhom ≈ 13.9162 all the trajecto-
ries tend to one of the rest points.
— r = rhom is a transition value where a global
bifurcation occurs. At this value, two sym-
metric homoclinic orbits of C 0 appear (“the
homoclinic explosion”).
— For rhom < r < rhet ≈ 24.0579 there are
unstable limit cycles, two stable equilibrium
points and transient chaos. This is the pre-
turbulence regime.
— r = rhet is a transition value where a global
bifurcation occurs. At this value, two symmet-
ric heteroclinic orbits from C 0 to C + or C −
appear (“the heteroclinic explosion”), and the
chaotic attractor is created.
— For rhet < r < rH ≈ 24.7368, there are unsta-
ble limit cycles, two stable equilibrium points
and a chaotic stable attractor (there exists
coexistence of attractors).
— For rH < r there is one symmetric or a pair of
asymmetric chaotic attractors or stable limit
cycle.
C -+
C0
rhet rH
parameter r
where black color means that we are in the regular
region, whereas the white color is associated with
a positive value of the MLE, and thus to chaotic
behavior. Besides, we combine the picture with sev-
eral bifurcations of the system. To be precise, we
show fold (saddle-node or tangent), period dou-
bling (flip), pitchfork, homoclinic and Andronov–
Hopf bifurcations. The last one has been obtained
analytically, the others with the software AUTO
[Doedel et al., 2000]. Note that the bifurcation
curves coincide perfectly with the data provided by
MLE, giving the typical structure of the Lorenz-
linkage [Jackson, 1991]. The homoclinic bifurcation
curve gives us the value of the “homoclinic” explo-
sion of the system. At this value, two symmetric
homoclinic orbits of C 0 appear. We observe that the
homoclinic bifurcation curve bounds quite well the
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R. Barrio et al.

Fig. 1.
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(c)
(a)

(b)

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MLE plots and parametric bifurcation curves.

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 July 7, 2012 16:6
chaotic region (in this case, it is mainly the region
with a chaotic attractor).
In the plot (c) of Fig. 1, the parameter that
we have fixed is r. Therefore, we study the (σ, b)
phase space, and this case is revealed to be the key
one [Barrio & Serrano, 2007]. The main reason is
that on this plane the chaotic region is bounded
[Barrio & Serrano, 2009] in opposite to the previ-
ous cases (a) and (b) with some unbounded regions.
Moreover, the chaotic pattern seems to be simi-
lar for any constant value of r > 1, which pro-
vides us with a model of the chaotic region. This
model is shown in Fig. 2, where there are several
important points to remark. First, the nonchaotic
“bubble” on the bottom-left part of the plot L1
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justifies the “horseshoe” pattern of the plot (b) of
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Fig. 1 (σ = 10) because this is originated by cut-
ting the “bubble” (with fixed value of σ). There-
fore, the upper bound tends to a horizontal line.
Fig. 2. Important nonchaotic structures (L1), and the three-parametric chaotic region model (L2 and L3).
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Behavior Patterns in Multiparametric Dynamical Systems
Moreover, this fact motivates the classical observed
evolution in r for the classical parameters [Kaplan &
Yorke, 1979] of alternation among chaotic and reg-
ular bands up to a high value of r. This value of r is
precisely the value when we enter inside the “bub-
ble”. From this value on, the evolution is always
regular because once inside the “bubble” we cannot
go out just by increasing r. Besides, if we fix the
parameters σ and b, then we will always enter the
“bubble” for a value of r. So, in this region, for large
values of r the evolution is guided by this structure.
Another interesting region is the bottom struc-
ture of the plot L1 of Fig. 2. There is a foliation
of chaotic and regular bands making the numeri-
cal and analytical study quite difficult. Moreover, a
nonchaotic “cave” appears along all the base. This
“cave” and the “bubble” form the hyperbolic bands
in the (r, σ) plane shown in the plot (a) of Fig. 1
[Dullin et al., 2007].
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R. Barrio et al.
From Fig. 1, we may ask ourselves if really some
uniparametric sections will give us all the relevant
information as most of the bifurcation curves do not
cross each other. To answer this question, we see in
Fig. 2 at the bottom, a three-dimensional model
[Barrio & Serrano, 2007, 2009] of the attracting
chaotic region with the main structures “bubble”
and “cave”. The results obtained in [Barrio & Ser-
rano, 2007] suggest this region grows linearly with
the parameter r. In this model, we have pointed
out the regions that bound the “bubble” structure
as regions where we will see in the next section that
any cut will give us the same qualitative informa-
tion, and in particular, the traditional straight line
σ = 10 and b = 8/3.
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4. Search for Behavior Patterns
As suggested from the bifurcation curves, it is con-
jectured that there are infinite different sections of
the parametric space that will give us the same
information. To observe this behavior we show sev-
eral bifurcation diagrams by plotting

the value of
the variable z at the plane y = b(r − 1). In Fig. 3,
the plot on the top is a magnification of plot (b) of
Fig. 1, but with four straight lines which correspond
with the different bifurcation diagrams and Maxi-
mum Lyapunov Exponent (MLE) curves shown in
the rest of the plots. The first three plots are with
constant value of b (8/3, 5 and 10) and the last
one with constant value of r = 300. Any of these
straight lines crosses the chaotic region from outside
to inside the “bubble” and, along the way, they go
through the different bifurcations only once and in
the same order in all the cases.
We can see the same parametric evolution for
the four cases. From left to right, the system begins
with a fast convergence to one equilibrium point.
The chaotic behavior appears at the homoclinic
bifurcation curve and the chaotic attractor at the
heteroclinic bifurcation. Later, for a range of the
parameter (the wide part of the body of the “horse-
shoe”), several intervals of different sizes, with non-
chaotic behavior alternate with chaotic ones. These
chaotic regions are created via a classical period-
doubling chain (from right to left), and destroyed in
a Intermittency I boundary crisis, and so at a fold
bifurcation. These are the main routes of chaos in
Lorenz system inside the model. To see what hap-
pens in a window of the bifurcation diagrams, we
show in Fig. 4 two magnifications for the intervals
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squared in red in Fig. 3, where we observe clearly
these routes and also another boundary crisis, when
the unstable branch of the family of periodic orbits
(obtained by using continuation techniques) created
at the fold bifurcation touches the chaotic attractor
created at the period-doubling chain. A merging cri-
sis is originated and the chaotic attractor expands
abruptly. The same situation takes place for the
other values, we just draw two of them as illustra-
tion. On the right part of the bifurcation diagrams
of Fig. 3, we have a symmetric stable periodic orbit
inside the “bubble”, and after a pitchfork bifurca-
tion, the orbit loses its symmetry and two asym-
metric stable periodic orbits are generated (at lower
values of r).
Therefore, from these plots we see that the
evolution seems to be the same in all the sections.
But, does it occur the same for other relevant
information?
Up to now, all numerical analyses have
been done for just one set of initial conditions
(x(0), y(0), z(0)) = (60, 60, 10). Therefore, it is also
interesting to analyze what happens if we change
the initial conditions for the numerical simulations.
Thus, in Fig. 5 we show the MLE plots on the three
biparametric plates for three different sets of initial
conditions: (x(0), y(0), z(0)) = (60, 60, 10) for a1,
a2 and a3 plots, (x(0), y(0), z(0)) = (500, 500, 2000)
for b1, b2 and b3 plots and (x(0), y(0), z(0)) =
(10, 10, r − 1) for c1, c2 and c3 plots. The a1,
a2 and a3 plots give the largest chaotic region
of all our numerical tests, thus giving our three-
dimensional model for the chaotic region. The other
plots present some handsaw like patterns (plot b1)
and some chaotic regions of a’s plots disappear. The
reason for these differences is the coexistence of
attractors for several values of the parameters. Note
that outside the Andronov–Hopf curve the equilib-
rium points C ± are stable and therefore they are
attractors that may coexist with a chaotic attrac-
tor. Therefore, if we are in the basin of attraction of
the chaotic attractor we will show a white (chaotic)
color in the MLE plot and black (regular) in the
basins of attraction of the equilibrium points. The
region inside the Andronov–Hopf curve is the same
in all our tests, as now we do not have coexistence
of attractors of different nature.
For an attractor A we define the domain of
attraction of A as the set of all points x0 for which
the distance between φt (x0 ) (the solution with ini-
tial condition x0 ) and A goes to zero as t + ∞.
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Fig. 3.
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Bifurcation diagrams and MLE.

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Fig. 4. Bifurcation diagrams and MLE. Magnification.

Fig. 5. MLE plots for different sets of initial conditions on each plane of parameters.

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Related is the notion of “basin of attraction of A”,
that is defined as the region in the phase space that
is the interior of the closure of the domain of attrac-
tion of A. And finally, the basin boundary is the set
of all points for which each open neighborhood has
a nonempty intersection with at least two differ-
ent basins of attraction. The basin boundary in the
cases where we are in a preturbulence regime, that
is, we have chaotic behavior but we do not have a
chaotic attractor, forms some nonattracting chaotic
objects, the chaotic-saddles.
Thus, to study the basins of attraction we have
integrated numerically the system with a grid of
1000 × 1000 initial conditions, and in Fig. 6 we have
painted in gray the initial conditions that converge
to C + , in white to C − and in black when slipping
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into a chaotic attractor (or when they have a very
long transient time). All the numerical integrations
of the ODEs have been done by means of the soft-
ware TIDES [Abad et al., 2010], with the modified
Taylor method developed in [Barrio, 2006], which
permits an easy formulation of the variational equa-
tions and a very stable and acute solution of the
ODEs. This method also provides directly a dense
output used in the bifurcation diagrams.
In Fig. 6, plots on the left are done with b = 8/3
and plots on the right with b = 10 (two of the bifur-
cation diagrams of Fig. 3). The qualitative evolu-
tion is the same in both cases: initially the basins of
attraction to the equilibrium points are well defined
(plots A1 and B1). When r increases, the bound-
ary becomes more and more irregular and a mix-
ing region appears, where any range contains initial
conditions that converge to both equilibrium points
(plots A2 and B2). Here the chaotic behavior starts,
because the high dependence of the initial condi-
tions is one of the main characteristics of chaos.
However, there is no chaotic attractor yet. This is
the preturbulence regime that begins at the homo-
clinic curve (the “homoclinic explosion”). A quite
important fact is that, although there is no chaotic
attractor, there is a chaotic-saddle, as we can see in
Fig. 9. Increasing the value of r the chaotic region
grows, and the basins of attraction of the stable
equilibria are mixed (plots A3 and B3). This behav-
ior has been recently explained in detail by means
of the stable manifold of the equilibria C 0 [Aguirre
et al., 2011]. In plots C1 and C2, we illustrate some
orbits showing how they fall into different equilib-
rium points for b = 10 just by changing a little the
initial conditions (placed on the square point). The
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Behavior Patterns in Multiparametric Dynamical Systems
initial conditions on the bullet, converges clearly to
one equilibrium point, as they are inside a basin of
attraction, and not in the mixed region. The region
of transient chaotic behavior grows, and in the mix-
ing region we have very long transient times (we
plot in black such points) before the creation of the
chaotic attractor (plots A4 and B4). So, we will
now have orbits with very close initial conditions
that fall in one of the two stable equilibrium points
or stay a long time in transient chaos (plot C3).
Later, after the heteroclinic bifurcation, the chaotic
attractor appears, first with coexistence of the two
stable equilibria (plots A5 and B5). And finally, as
the straight line b = 8/3 crosses the Andronov–Hopf
bifurcation curve, in that case, the only remaining
attractor is the chaotic attractor (plot A6), while
for b = 10, the three attractors coexist.
In all cases, the boundaries of the different
basins of attraction will be given by the stable man-
ifold of the origin (as shown for the case b = 8/3 in
[Aguirre et al., 2011]).
With the previous study we have shown that
the only difference in the basins of attraction
is given if the straight line crosses or not the
Andronov–Hopf bifurcation curve.
Another question is if the topology of the
attractors and the periodic orbits remain the same
at the different cuts. In Fig. 7, we can appreciate
that the chaotic attractors for different values of
parameters have the same geometry when we follow
different ways from outside to inside the “bubble”.
We see that for large values of r there are regions
where there are two asymmetric chaotic attractors
(one the reverse of the other) created at the left
of the pitchfork bifurcation via the classical period-
doubling chain, and also the different periodic orbits
are found in both straight lines. The attractors on
the pictures on the left have the same topological
template, the bottom case of Fig. 8, a template
with three branches because the First Return Map
(FRM) (taking the successive maxima of the vari-
able z) has two extrema. Thus, it is a bimodal map
and we need three symbols to describe all orbits.
For completion we give the Linking matrix (LM)
and the Insertion matrix (IM) of the different tem-
plates [Letellier et al., 1994] at classical values (this
is not a complete study of the Lorenz templates).
But, what about the classical template? That
is, the template on the top of Fig. 8, for the case
where the FRM is a unimodal map, as given by
the classical Saltzman’s values. In this case, the
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R. Barrio et al.
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Fig. 6. Basins of attraction on the plane z = 10 and some orbits with different initial conditions.

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Fig. 6.

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Fig. 7. Evolution of the attractors.
topological template has just two branches. Making
a careful study on the straight line b = 10, we have
not found such a template on the chaotic attractors.
Now, the key point is the chaotic-saddle that is cre-
ated at the homoclinic bifurcation. At that point,
a nonattracting chaotic invariant structure is cre-
ated. An orbit close to it remains for some time, but
Fig. 8. Topological template of the equivariant fundamental
domain (one wing) of the chaotic attractor for the Lorenz
model.
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finally the orbit will fall to one of the equilibrium
points. This generates the preturbulence regime.
There are a small number of methods for detect-
ing chaotic-saddles. The first numerical method for
detecting chaotic-saddles is the “Sprinkle method”
[Kantz & Grassberger, 1985]. The Sprinkle method
starts with N initial points x0 that are uniformly
distributed in the transient region. For each initial
point x0 , we discard some transient time and we
consider a short time after (and these are plotted).
This method is only useful in cases where the tran-
sient time is large. A much more advanced method
is the “PIM procedure” of Nusse and Yorke [1989].
As we just want to study a case where the transient
time is quite large, as we are close to the point of
creation of the chaotic attractor, we use the Sprin-
kle method.
In Fig. 9 we show the chaotic-saddle and its
FRM. To compare with, we also show the FRM
of the classical Lorenz attractor. Both cases are
unimodal maps and originate the same topological
template, the template at the top of Fig. 8. There-
fore, at both straight lines b = 8/3 and b = 10,
we have the same topological structures, in the
chaotic attractors or in the chaotic-saddles. This
is an important point, as the chaotic-saddles com-
plete the attractor structures and information of the
chaotic region.
 July 7, 2012 16:6 WSPC/S0218-1274
Fig. 9. Chaotic saddle at (r, b, σ) = (263, 10, 10) and its FRM, and
(28, 8/3, 10). The FRM are calculated computing z such that y = b(r − 1).
by PENNSYLVANIA STATE UNIVERSITY on 07/09/13. For personal use only.
Int. J. Bifurcation Chaos 2012.22. Downloaded from www.worldscientific.com
5. Conclusions
In this paper, we have shown how a global analysis
of bifurcations of a dynamical system, together with
the precise study of the evolution along a parame-
ter for specific values of the rest, may be sufficient
to have a fair idea of what will happen in other
ranges of parameter values. This is illustrated with
the paradigmatic Lorenz model, where we also show
that some “missing” topological structures may be
found in nonattracting invariant sets such as the
chaotic-saddle.
Acknowledgments
The authors R. Barrio and S. Serrano were sup-
ported by the Spanish Research project MTM2009-
10767 and the author F. Blesa was supported by
the Spanish Research project AYA2008-05572.
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