Bryan Eisenhower

with: Karl Johan

Astrom, Andrzej Banaszuk, Igor Mezic*, and Je Moehlis
*Faculty Advisor
Targeted Escape in Large Oscillator Networks
Embracing instability as a means for global network re-conformation
PhD Dissertation
July 8, 2009
Acknowledgements
There are many people that helped make the work in this thesis possible. First and foremost I would like to thank
my faculty advisor Igor Mezic who gave me invaluable insight while also giving me the breathing room to chart some
aspects of my own research direction. In addition to this, other faculty in the Mechanical Engineering department
at UCSB helped to guide me through this work including Je Moehlis who is an excellent instructor. Karl Johan

Astrom, who is only at UCSB for portions of the year gave me good research ideas and also acted as a role model
with respect to everything else involved with academic life. His energy and passion for this eld is extraordinary.
I also received much help from many outside of UCSB (at UTRC) including Clas Jacobson, Scott Borto, and
Andrzej Banaszuk (Andrzej has been a mentor of mine for over a decade now). I would also like to acknowledge the
informal discussions with my colleagues at other universities including Thordur Runolfsson (UO), Prabir Barooah
(UF), Prashant Mehta (UIUC), and Umesh Vaidya (ISU). It was pleasant to work with the other group members in
Igors group and I especially thank Yueheng Lan for his long technical discussions about my research. For the DNA
work, there was some initial interaction with Jerry Marsden and Philip DuToit (both from Caltech) which helped
give me a head start on my results. None of this work would be possible without the support of my friends and
family and most notably my yoga gurus (Heather Tiddens and Deb Dobbin). Finally, I would like to acknowledge
that this work would not be possible without funding (through grants awarded to Igor) in part by DARPA DSO
under AFOSR contract FA9550-07-C-0024 and AFOSR Grant FA9550-06-1-0088.
Contents
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 Organization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Part I General Concepts
2 General Concepts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.1 Background of Hamiltonian Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 Canonical Coordinate Transformations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2.1 Generating Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2.2 Testing a Canonical Transform . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2.3 Modal Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.2.4 Action-Angle Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.3 Averaging . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.3.1 General Averaging (non periodic functions) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.3.2 Periodic Averaging . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.3.3 Multiple Frequency Averaging and Resonance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.3.4 Averaging Performed in this Thesis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.4 Geometric Numerical Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.4.1 Symplectic Integrators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.4.2 Conservation of Energy with Symplectic Integrators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.4.3 Evaluation of Dierent Geometric Numerical Integration Methods . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.4.4 Methods used in this Study . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.5 Molecular Simulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.5.1 Nose-Hoover Thermostats . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.5.2 Langevin Simulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.6 Internal Resonance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.6.1 Identication of Internal Resonance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.6.2 Resonance in our System . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.7 Dynamical Systems on Graphs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3 Stochastic Dynamics, the Langevin Equation, and Escape Rate Theory . . . . . . . . . . . . . . . . . . . . . . 21
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
3.2 Conservative Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
3.3 Equilibrium Statistical Mechanics and Boltzmann Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
3.4 Nonlinear Langevin Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
3.5 Linear Langevin Equation and the Fluctuation Dissipation Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
3.6 Displacement of a Brownian Particle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
3.7 The Fokker-Planck Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
3.8 Klein-Kramers Equation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
6 Contents
3.8.1 The Smoluchowski Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.9 Escape Rate Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.9.1 Transition State Theory (TST) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
3.9.2 Kramers Escape Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
3.9.3 Summary of Rate Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
3.9.4 Intermediate to High Damping (IHD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
3.9.5 Very Low Damping (VLD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
3.9.6 Very High Damping (VHD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
3.9.7 Mean First Passage Times . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
4 Dynamics, Symmetry, and Escape of Oscillator Arrays . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
4.1 Oscillator Synchronization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
4.2 The Eect of Symmetry on the Response of an Oscillator Array . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
4.3 Energy Transfer and Resonance in Oscillator Arrays . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
4.4 Localization in Oscillator Arrays . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
4.5 Escape of Oscillator Arrays . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
Part II Studies: DNA-inspired model, and Bi-Stable Cubic Model
5 Morse Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
5.1 Background on Biomolecules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
5.1.1 Structure of DNA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
5.1.2 DNA Dynamical Behavior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
5.2 Typical DNA Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
5.2.1 Nonlinear DNA Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
5.3 Our Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
5.4 Activation Thresholds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
5.4.1 Averaging . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
5.5 Energy Transfer Mechanisms During Activation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
5.6 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
6 Analysis of the Coupled Dung Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
6.2 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
6.3 Modal Projection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
6.3.1 Coupling Terms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
6.3.2 Nonlinear Terms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
6.3.3 Kinetic Energy in Modal Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
6.3.4 Hamiltons Equations of Motion in Modal Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
6.3.5 Numerical Simulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
6.4 Action Angle Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
6.4.1 Coupling Terms in Action Angle Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
6.4.2 Nonlinear Terms in Action Angle Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
6.4.3 Kinetic Energy in Action Angle Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
6.4.4 Hamiltons Equations in Action Angle Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
6.5 Averaging . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
6.5.1 Coupling Terms in the Averaged Sense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
6.5.2 Nonlinear Terms in the Averaged Sense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
6.5.3 Kinetic Energy in the Averaged Sense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
6.5.4 Hamiltons Equations of Motion in an Averaged Sense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
6.6 Quantication of Activation Behavior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
6.6.1 Numerical Quantication of Activation Behavior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
6.6.2 Analytical Quantication of Activation Behavior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
Contents 7
6.6.3 Bifurcation Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
6.7 Calculation of Activation Time . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
6.8 Energy Cascade . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
6.9 Stochastic Activation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
6.9.1 Eect of Damping . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
6.9.2 Eect of Nonlinearity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
6.9.3 Eect of Number of Oscillators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
6.9.4 Comparison With Kramers Estimates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
6.9.5 Eect of Coupling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
6.9.6 Stochastic Activation with Targeted Perturbation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
1
Introduction
In this thesis we study the dynamical behavior of networks of interacting multi-stable subsystems. On their own,
many physical systems exhibit multiple stable operating points, each may provide dierent benets to its operation.
Because of this, it is typically important to control the dynamics to be near one specic equilibrium. On the other
hand, security, eciency, and performance are driving engineering designs to be more networked than they have been
in the past. When these networks are generated from a series of multi-stable subsystems, the entire network is left
with multiple global conformations. Again, each conformation oers dierent benets at certain times and therefore a
controller is needed to transition between these conformations. Fortunately, instabilities exist in the global dynamics
which provide an ecient means to escape from one conformation to another with very little actuation. In this thesis
we draw on tools from dynamical systems and chemical kinetics to qualify and quantify these actuation requirements
and other concepts of the mechanics of this process.
As a test-bed for our theory, we study a chain of biologically-inspired nonlinear oscillators which are bi-stable
(two equilibria) resulting in a network with two global conformations. We investigate re-conformation between these
two states and how specic or targeted disturbance aects the transition process. It turns out that the strong
coupling creates a basis dominated by Fourier modes and the transition process is therefore driven when resonance
allows energy transfer between these dominating modes. To better understand this, we derive a multi-phase averaged
approximation which illustrates the inuence of canonical actions in the Fourier modes. An activation condition
that predicts the minimum amount of energy to achieve activation is then derived as a function of energy in the
Fourier modes. We also nd an unexpected inverse energy cascade which funnels energy from all modes to one coarse
coordinate during the activation process. The prediction tools are derived for deterministic dynamics while we also
present analogous behavior in the stochastic setting and ultimately a divergence of Kramers activation behavior
under targeted activation conditions.
Many networks (whether they are manmade or not) contain multiple equilibria and understanding the preference
towards one particular equilibrium is often one of the most important aspects of their analysis. In biological systems
multi-stability is an essential part of cellular function Angeli et al. [2004] including the opening and closing of the DNA
helix. Dierent stable conformations exist depending on how molecules interact with their environment (including
interaction with other molecules, or temperature for instance). Similarly, in physical chemistry, reaction kinetics
follow the principle where reactants and products exist on a potential landscape separated by a high energy saddle.
Chemical reaction is realized as a transition of a reaction coordinate across an energy barrier allowing it to proceed to
the other side of the potential. This process is typically analyzed in the chemical kinetics community as an activation
or escape process. In this thesis we study a similar potential while divorcing ourselves from the strict application to
chemical reaction theory.
There are certainly other examples of systems which undergo global conformation change. As a second example
consider the network of nonlinear systems that create a regional power grid. Clearly, it is desired that the power
grid is immune to any perturbation while in some situations specic perturbation aects the system in a grand and
malicious way (e.g. a tree branch fault resulting in major grid failure, as with the 2003 northeast US power blackout).
An example of analysis of this type may be found in Susuki et al. [2008]. This is another example of a large networked
system undergoing an escape process.
Control design for multi-stable systems has been an ongoing topic in the past due to the desire to operate at
one selected equilibrium. An example where a nonlinear controller was designed to stabilize a inverted pendulum
at its upright equilibrium can be found in

Astrom et al. [2008]. Examples where multi-stability is one of the design
2 1 Introduction
considerations are surfacing in networked or coordinated control systems (see Paley et al. [2004] or Bai et al. [2009] for
example). For example, autonomous search vehicles possess local control for avoidance (repulsion at close distances)
and coordination (attraction at far distances) which creates potential forces similar to what a molecule experiences
(e.g. the Lennard Jones or Morse potential). On a high level, supervisory control may schedule the network of agents
to be in one conformation when traveling towards a search location and then switch this conformation to notably
dierent motion upon arrival (to chaotic search for example). Understanding the switching behavior between these
two global equilibria is important for sensitivity analysis and controller synthesis. There is an abundance of other
biological, chemical and physical systems which have functional behavior similar to these (e.g. MEMS systems, neural
systems, superconductor arrays).
The escape process that we study occurs in a chain of strongly coupled oscillators. Dierent phenomena including
breathers drive the escape process when the coupling becomes weak (see Hennig et al. [2008]). In our case we observe
a collective and coordinated escape process because of the strong coupling which creates a spatial backbone for
the dynamics. We study the case where this backbone is disturbed by asymmetry which highlights that the escape
process is then impeded. This breaking of symmetry is discussed in the context of noise mitigation in jet engines
where acoustic oscillations were drastically reduced by altering the symmetry of the design. In this case, design of
root dynamics rather than supplemental control was a solution to a real world engineering problem.
In summary, in this thesis we study network reconguration in both a static (energy requirements) and dynamic
(rates, energy cascades) sense. Much of the prior art in this eld is tied to either biology or physical chemistry.
However, we point out that as engineered systems become more inspired by biological or chemical processes, the
methods of analysis in this thesis will become a staple of engineering design in the years to come.
1.1 Organization
The organization of this dissertation is separated into two parts: Part 1: Theory, and Part 2: Applications. In Part 1, we
introduce many of the concepts that are needed for the results in Part 2. The contents of Part 1 include introductions
to Canonical Transformations, Nonlinear Resonance, Averaging, Geometric Numerical Integration,
Molecular Simulation, and a very brief introduction to Dynamical Systems on Graphs. Following this, a very
thorough review of Statistical Mechanics is presented leading up to a summary of Transition State Theory
and Dynamics of Coupled Oscillators. All of the content in Part 1 is review of previous work and no unique
results are presented. At the end of each section we briey describe how the tools t into the applications in this
thesis. If the reader is familiar the topics that are listed in bold above, this part may be skipped with no loss.
The second part of the thesis applies techniques reviewed in Part 1 on two dierent example systems. The
rst system we analyze is a model inspired by macro level dynamics of DNA. As it turns out, the nonlinearity
in this model hinders analytical insight (it is too complex) and the results in this chapter are all numerical. In the
following chapter, a generic model is studied which conveniently exhibits similar dynamic behavior to the bio-inspired
model while lending itself to analytical results which solidify both qualitative and quantitative understanding of the
transition properties in these high dimensional oscillator systems.
Part I
General Concepts Including Canonical Coordinate Transformations,
Resonance, Averaging, and Geometric Numerical Integration
2
General Concepts
In this chapter we review general tools in Dynamical Systems that will be utilized for the remainder of the thesis.
We will begin with basic concepts of Hamiltonian systems including canonical transformations and then introduce
resonance including internal and nonlinear resonance phenomena. We then outline the perturbative analysis of
Averaging, Geometric Numerical Integration, and include some basic insight into Molecular Simulation. All concepts
here are deterministic which is a precursor for the next chapter which addresses stochastic behavior of dynamical
systems undergoing meta-stable transitions.
2.1 Background of Hamiltonian Systems
William Hamilton rst introduced a structural form for dynamical systems in 1834 and its importance was imme-
diately recognized. Hamiltonian systems are useful in many area such as classical mechanics, celestial mechanics,
as well as classical and semi-classical molecular dynamics (good introductory resources are Abraham and Marsden
[1978], Arnold [1989]). For this formulism, in the case of a classical conservative system of particles, q denotes the
vector generalized coordinates and p the conjugate momentum vector (in a mechanical system without constraint, q
is a position vector x). A Hamiltonian system is then a system of dierential equations derived by a scalar function
H(p, q) given by:
q
i
=
H
p
i
, p
i
=
H
q
i
,
where i = 1, . . . N denotes the states (or masses) of the system and the over-dot is the time derivative.
In traditional mechanics, the Hamiltonian is the total amount of energy of the system which in this formulation
is conserved. The conservation of energy is shown by noting that the time derivative of the Hamiltonian is constant
(H

=
H
pi
p
i
+
H
qi
q
i
= 0). A special case of a Hamiltonian system occurs when the Hamiltonian is separable
H(q, p) = T(p) +U(q) where T and U are kinetic and potential energies respectively.
The vector eld on which the Hamiltonian is dened is a symplectic manifold which means it has unique properties
in terms of dierential geometry (discussed later). Even further, by Liouvilles theorem trajectories on this manifold
preserve volume (or area in 2D). To study this volume preservation we dene the dynamics as a symplectic operator
which takes any initial condition q(0), p(0) to a nal state q

, p

. If we dene
t
as the symplectic operator on this
manifold, the evolution written as
_
p

_
=
_
p(t)
q(t)
_
=
t
_
p(0)
q(0)
_
.
This operator will become important later in the discussion of Geometric Numerical Integration because it will
characterize the discretized Hamiltonian system. In the two dimensional case, area conservation is conrmed by the
determinant condition: det
_
t(p,q)
(p,q)
_
= 1. In higher dimensions, if we dene dp, dq as the dierentials of
t
the
operator is symplectic under the dierential form condition: dp

dq

= dpdq. The symplectic nature of a vector

eld ensures preservation of certain features of the problem (geometric structures, conservation laws, symmetries,
asymptotic behaviors, order, etc). With this in mind we note that all Hamiltonian systems are symplectic (or volume
preserving) while all volume preserving systems are not necessarily Hamiltonian.
6 2 General Concepts
2.2 Canonical Coordinate Transformations
Coordinate transforms are typically sought to better understand particular dynamics of a system (i.e. to look at them
from a more illustrative angle or viewpoint so to speak). We will use this approach to simplify the motion of a network
of oscillators into a coarse description that better describes the global behavior of the dynamics. When performing
coordinate transformations no new physics are introduced while some information in the dynamics may be masked
or hidden which may make the equations easier to solve or analyze. Unfortunately additional information may be
mathematically lost if care is not taken. As an example, for Hamiltonian systems which contain specic structure, an
improper transform will destroy the conjugate structure or it may add dissipation to the dynamics. Using canonical
transformations is an approach which transforms a system from one conjugate set of variables to a second conjugate
set of variables in which the new Hamiltons equations are the correct equations of motion (i.e. Liouvilles theorem
still applies). Because of the importance of canonical transforms, this section describes methods to generate or test
whether a set of transform rules is canonical and concludes by presenting two specic transforms which will be used
in the following chapters of this thesis. A good introduction to canonical transforms is in either Hand and Finch
[1998] or Lichtenberg and Lieberman [1992], while a more thorough discussion may be found in Goldstein [1959] or
Whittaker [1944].
Two approaches may be taken to dene a canonical transformation. One approach is to use a generating function
which guarantees that the transformation is canonical. The second approach is to heuristically dene a transform
and later determine if it is canonical. Both of these approaches are described below.
2.2.1 Generating Functions
A generating function provides an automatic way to perform canonical transformations. It is a function that contains
one of the old coordinates (q or p) and one of the new coordinates ( q or p). Considering all the dierent permutations
of these cases, there are four dierent types of generating functions. Generating functions are typically chosen from
an educated guess but can also be derived in some cases (as we will see below with a harmonic oscillator). They
do have functional requirements and the necessary and sucient condition is that

2
Wi
q q
,= 0. For each of the four
types of generating functions there exists partial dierential equations that dene the transform rules between the
two coordinate systems. The four generating functions and their associated rules are given below.
W
1
= W
1
(q, q, t), p
i
=
W
1
q
i
, p
i
=
W
1
q
i
(2.1)
W
2
= W
2
(q, p, t), p
i
=
W
2
q
i
, q
i
=
W
2
p
i
(2.2)
W
3
= W
3
(p, q, t), q
i
=
W
3
p
i
, p
i
=
W
2
q
i
(2.3)
W
4
= W
4
(p, p, t), q
i
=
W
4
p
i
, q
i
=
W
2
p
i
. (2.4)
2.2.2 Testing a Canonical Transform
If one does not prefer to use a generating function, or if the dynamics otherwise limit its use, the transformation
must be veried by hand after it is constructed. Three dierent methods for assessing whether a transformation is
canonical are given below. They include testing whether the Poisson bracket is invariant, using dierential forms, and
identifying whether the Jacobian of the transformation matrix is symplectic (which is matrix that satises conditions
dened below).
Using Poisson Brackets to Determine if a Transformation is Canonical
One way to determine if a transformation is canonical is to calculate the appropriate Poisson bracket between the old
and new variables. A transformation q, p q, p will be canonical if q
i
, p
j

q, p
=
ij
, p
i
, p
j

q, p
= 0, q
i
, q
j

q, p
= 0.
This is equivalent to requiring that the Jacobian
( q, p)
(q,p)
is a symplectic matrix.
2.2 Canonical Coordinate Transformations 7
Using Dierential Forms to Determine if a Transformation is Canonical
Using dierential forms is just another approach to determine if the mapping between new and old variables is
canonical. In some cases it is algebraically easier to perform the test using this approach. The conservation of
projected area, which is equivalent to showing that a transformation is canonical is:

i
dp
i
dq
i
=

i
d p
i
d q
i
. (2.5)
Testing whether the Transformation is Symplectic
If the Jacobian of a coordinate transform is symplectic, the transformation is canonical. This also signies that
the sum of the projected areas in the nal coordinate system is equal to that of the original coordinate system
_
p
i
d q
i
=
_
p
i
dq
i
. Let S be the skew symmetric matrix, and J be the Jacobian:
S =
_

_
0 1 0 0
1 0 0 0
0 0 0 1
0 0 1 0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
. 0 0 0
.
.
.
.
.
. 0 0 0 0 0 0
.
.
.
.
.
. 0 0 0 0 0 1
.
.
.
.
.
. 0 0 0 0 1 0
_

_
J =
_

_
q1
q1
q1
p1
q1
q2

q1
pN
p1
q1
p1
p1
p1
q2

p1
pN
q2
q1
q2
p1
q2
q2

q2
pN
.
.
.
.
.
.
pN
q1
pN
p1
pN
q2

pN
pN
_

_
. (2.6)
A necessary and sucient condition that the transformation is symplectic is that JSJ
T
= S. Now that we have
dened what a good coordinate transformation is, we present two dierent examples that will facilitate the analysis
of the problems studied in this work.
2.2.3 Modal Coordinates
For a linear chain of coupled oscillators it is often useful to project or otherwise transform the dynamics onto a
decoupled set of coordinates. These coordinates are the linear normal modes and the transformation can be obtained
using a normalized discrete Fourier transform. In the 1950s, Fermi-Pasta-Ulam formulated a now infamous system
of coupled oscillators. Their analysis includes canonical transformations onto modal coordinates using Fermi et al.
[1955]:
q
k
=
_
2
N
N

i=1
q
i
sin
_
ik
N
_
(2.7)
p
k
=
_
2
N
N

i=1
p
i
sin
_
ik
N
_
(2.8)
where q
k
and p
k
are modal positions and velocities respectively and the linear modal frequencies are Lichtenberg et al.
[2007]

k
= 2 sin
_
k
2N + 2
_
(2.9)

k
= 2 sin
_
k
2N
_
with periodic boundary. (2.10)
The energy in each mode becomes simply
E
k
=
1
2
_
p
2
k
+
2
k
q
2
k
_
(2.11)
8 2 General Concepts
This transformation is canonical which can be conrmed by using any of the three methods described above.
For our case, we are interested in analyzing the zeroth mode of dynamics (which is the average of all positions), and
this is not included in the FPU transformations. To deal with this a second transformation was dened DuToit et al.
[2009]
q
k
=
_
2/N
_
_
_
1

2
q
0
,
N/21

i=1
q
i
cos (2ik/N),
cos (k)

2
q
N/2
,
N/21

i=1
q
N/2+i
sin (2ik/N)
_
_
_
(2.12)
p
k
=
_
2/N
_
_
_
1

2
p
0
,
N/21

i=1
p
i
cos (2ik/N),
cos (k)

2
p
N/2
,
N/21

i=1
p
N/2+i
sin (2ik/N)
_
_
_
(2.13)
and the frequencies with periodic boundary conditions are

k
=
_
|2 cos (2k/N) 2|. (2.14)
The frequencies take a sinusoidal form wherein they are linearly increasing at low mode numbers and gather at higher
mode numbers (at a value of 2.0). These frequencies are irrationally related along the way which is important as this
means there is no possibility of resonance in the linear normal modes.
In this transformation, the rst term q
0
is proportional to the averaged coordinate or the zeroth mode. The
coordinates q
1N/21
are the typical Fourier modes. Note that these are full mode shapes while in the case of the
FPU transformation, half-wave modes are included (this does not have any implications, we are just pointing this
out). As before, this transformation is canonical and projecting the dynamics onto these modes will not introduce
any dissipation or have any other adverse eects to the Hamiltonian structure.
Both of the modal transforms described above are linear and there is no coupling between the generalized coordi-
nates and momenta in the equations and therefore this transform can be represented as a matrix /. The elements
of this matrix are equivalent to the elements of the Jacobian 2.6 with some rearrangement. The matrix /, which
maps between standard and modal coordinates ( x,

x) = (/x, / x) is
/ =
_
2
N
_

_
1

2
cos 1
1
cos
_
N
2
1
_

1
(1)
1

2
sin
_
N
2
+ 1
_

1
sin
_

N
_

1
1

2
cos 1
2
cos
_
N
2
1
_

2
(1)
2

2
sin
_
N
2
+ 1
_

2
sin
_

N
_

2
.
.
.
.
.
.
1

2
cos 1

N
cos
_
N
2
1
_

N
(1)

N

2
sin
_
N
2
+ 1
_

N
sin
_

N
_

N
_

_
(2.15)

N = (N 1)
where the wave number is:

i
=
i2
N
i = 1, 2, . . . ,

N. (2.16)
There are special properties of this matrix when applied to a homogeneous oscillator array which help in the analysis
to follow and are presented in the Appendix. With this projection, original position variables become a sum of M
dierent modal contributions:
x
i
=
M1

j=0
/
i,j
x
j
. (2.17)
We start with 0 as the index because x
0
will then represent the amplitude of the zeroth mode. Note that with this
convention, the rst column of the / matrix is the 0
th
column which is not standard notation but convenient for
our purposes.
The discussion so far regarding the coordinate transformations between cartesian and modal coordinates was
introduced for a purely linear problem. In this case the dynamics become uncoupled in the new coordinate system.
2.2 Canonical Coordinate Transformations 9
For the cases studied in Part II however, the problems will be nonlinear. When the dynamics are nonlinear, we use
the same transforms while the nonlinearity typically just adds a perturbation to the variables (i.e. the energy, the
frequencies, and the modal variables themselves). This procedure is also used for the projection onto action angle
coordinates as well.
2.2.4 Action-Angle Coordinates
The modal coordinate system we have been discussing coarsens the global spatial characteristics of the dynamics of
the oscillator array we are studying. A second canonical transform which is ubiquitous in the physics community
is action-angle coordinates. These coordinates characterize 1) a notion of energy and 2) adiabatic invariants in the
motion of a nonlinear system. For time-invariant Hamiltonian systems, N constants of motion exist if it is integrable
(these constants must be in involution, the Poisson brackets vanish identically). These constants of motion, when
set in canonical coordinates are the actions (canonical momentum) and the generalized coordinates are the angles.
Intuitively, when mapping the state space of a harmonic oscillator, the action is the area spanned by the periodic
orbit, and the angle is the location on the circumference of the trajectory (see Figure 2.1). One of the main benets
of using action-angle coordinates is the characterization of energies while another benet is that you may solve the
frequencies of oscillation without solving for details of the motion.
Fig. 2.1. State space of an oscillator pointing out the action and angle variables
One interesting property of action variables is that they depict adiabatic invariance in the system. That is, in
a system in which parameters are varied slowly in time, the general behavior of the system may vary quickly but
the action variables remain nearly constant. This quality is a powerful concept in mechanics and considering these
invariants as discrete quantities led to fundamental understanding in quantum mechanics.
At this point we derive the coordinate transform rules for a harmonic oscillator in action-angle coordinates. For
a harmonic oscillator, where we assume the motion is periodic (in q, p) the generating function

W(q, ) will be
periodic in . Because of this, we have
_
d

W = 0. From the fundamental properties of the generating function we
have d

W = pdq +Jd, and taking the contour integral we have the equation for the action in a harmonic oscillator

_
pdq =
_
Jd J =
1
2
_
pdq. (2.18)
The generating function for a harmonic oscillator can be found by evaluating the indenite integral of d

W. In
doing this we have
_
d

W =
_
pdq
_
Jd, where p =
_
2E
2
q
2
(where E is the constant energy contour). This
results in the generating function

W =
1
2
q
2
cot . Using the rules for a type-one generating function (p =


W1
q
,
J =


W1

) we can then derive the action-angle coordinate transform rules

q
i
=
_
2J
i

i
sin
i
, p
i
=
_
2J
i

i
cos
i
. (2.19)
For periodic Hamiltonian systems the action-angle transformation takes a Hamiltonian H(q, p) to

H(J) which is
only a function of the action (J). Hamiltons equations then become:

J
i
=

i
,

i
=


H
J
i
= . (2.20)
10 2 General Concepts
The rate of change of the angle is the angular frequency
i
(J) =

i
where we use the tilde to describe this as a time
dependent frequency which may not be constant.
2.3 Averaging
Since exact solutions for nonlinear dierential equations are typically out of reach, we often seek an approximate
solution that closely captures the original dynamics. These approximations include both numerical (Section 2.4)
or asymptotic solutions to bridge the gap between the full nonlinear system and a model which is tractable for
analysis. In this section we discuss approximate perturbed solutions to dierential equations using formal averaging.
The theory of averaging began in the 18th century with the study of celestial motion when analysis progressed
from the two-body problem to its perturbation which was expected to better capture full celestial interactions (i.e.,
three-body interaction). The theory of averaging began with Laplace and Lagrange while the needed formalism
for Hamiltonian systems was introduced by Jacobi (with canonical perturbation theory). The theory of averag-
ing was advanced further with the work of Poincar`e and other scientist including Van der Pol (a short history
is available in Sanders et al. [2007]). A good set of references on averaging and perturbation methods in general
are Arnold [1988], Samoilenko and Petryshyn [2004], Sanders et al. [2007] or Lichtenberg and Lieberman [1992])
Grebenikov et al. [2004] and Neishtadt [1997].
When a conservative system is slightly perturbed, the rst integrals of motion begin to evolve with time (they go
from being constant to slowly varying). The averaging approach allows one to write an analytical expression for this
slow variation. This analytical expression is developed by expanding in terms of a small parameter () resulting in a
series solution. For a single degree of freedom, Linstedt and Poincare devised a way to develop series expansions that
are convergent. In higher dimension systems where resonance may occur (often leading to chaos), the series diverges
and perturbation theory will not capture the actual solution. Fortunately, secular perturbation approaches have been
developed to account for this situation when the topology of state space changes across resonance islands.
The terminology of averaging is synonymous with evaluating an integral over some independent variable. The
connection between this integration process (in time for typical cases) and a series expansion of the dynamics can be
explained in the context of Hamiltonian systems. In these systems, the classical perturbation approach is to develop
a change of coordinates using a generating function where the new Hamiltonian is a function of the averaged action
alone (no angle dependence). In order to do this, characteristics of the generating function are chosen such that
angle dependence is eliminated and in order to accomplish this, the -dependent part of the Hamiltonian must be
integrated over the angle variable (this independent variable is similar to time in a conservative system).
There are many benets to averaging, most notably reduction of system dimension. An additional eect is that the
perturbation in the dynamics is such that the time scales that remain after averaging are better suited for numerical
integration. That is, fast time scales have been removed causing the system to be less sti. Unfortunately, there are
also disadvantages to averaging; all complex dynamics are reduced to a system that is everywhere integrable and any
chaotic behavior of the system is lost. In addition, adiabatic invariants that are derived from perturbation theory
are not conserved for time scales much larger than their slow time evolution resulting in non-conservative behavior
known as Arnold diusion. These drawbacks are typically justied and formal averaging is often used as a productive
analytical tool.
The formal theory of averaging is typically divided into two dierent classes; periodic averaging and general
averaging. In periodic averaging we usually obtain approximations on time scales of 1/ with O() accuracy. On
the other hand, for general averaging, the accuracy limit becomes a function of the form (). These bounds can
be extended, for all positive time when the dynamics are limited to special circumstances including presence of an
attractor (Sanders et al. [2007]). The bounds for both of these types of situations are briey discussed below.
2.3.1 General Averaging (non periodic functions)
We will devote most of our attention to averaging in periodic systems because it is more relevant to the remainder
of the study. However, for completeness we present averaging for general systems as well. If g(x) is continuous and
bounded it is said to have an average if the limit Khalil [1996]:
g(x) = lim
T
1
T
_
t+T
t
g(, x)d (2.21)
2.3 Averaging 11
exists and the 2-norm
_
_
_
_
_
1
T
_
t+T
t
g(, x)d g(x)
_
_
_
_
_
(T) (2.22)
is bounded by a continuous function that is strictly decreasing and goes to zero as T ((T) 0 as T ).
What this says is that the averaged solutions stays close to the actual solution if the function (right hand side of the
ODE) is well behaved. The function (T) is a convergence function and in the periodic case is (T) =
1
T
.
2.3.2 Periodic Averaging
As the name implies, periodic averaging takes into account oscillatory dynamics (dynamics on tori). In this approach
one is typically interested in separating the fast scale dynamics of the oscillation itself with slower dynamics of say a
mean or coarse observable. These slow dynamics are approximate integrals of motions otherwise known as adiabatic
invariants. There are at least two dierences between the general and periodic averaging approaches. Unlike in general
averaging, averaging in periodic systems only to be performed over one periodic cycle. The second exception deals
with the case of resonance between multiple frequencies which we will discuss later.
To perform the averaging procedure, the system must be placed in standard form. The perturbed system may be
placed into standard form using the method of variation of parameters
x = f
1
(x, t) +
2
f
2
(x, t, ), x(0) = a (2.23)
where f
i
are Taylor coecients. By truncating the equation at and averaging over the time variable t we have the
averaged equation
z = f
1
(z), z(0) = a (2.24)
f
1
(z) =
1
T
_
T
0
f
1
(z, s)ds (2.25)
where f
i
are periodic in T. The averaging theorem states Sanders et al. [2007]
|x(t) z(t)| c for 0 t L/ (2.26)
where L and c are positive real constants. Equation 2.25 is an example of rst order averaging and greater accuracy
can be achieved with higher order averaging by increasing the order in which you truncate the series.
The theory of averaging becomes more clear in classical action-angle coordinates where handling multiple frequen-
cies is more straightforward. Consider a 2m-dimensional system where J R
m
are rst integrals or action variables
(slow variables) and T
m
are angles (fast variables)

J = f(J, , ) (2.27)

= (J) +g(J, , ) (2.28)

where f and g are periodic in . The averaging approach takes this system to

J = F(

J) (2.29)
where F(J) =
1
(2)
m
_
Tm
f(J, , 0)d (2.30)
where T
m
is the m-dimensional torus. This approximate system will be accurate on time intervals up to 1/.
2.3.3 Multiple Frequency Averaging and Resonance
The presence of multiple frequencies complicates both the behavior and analysis in any system. With respect to
perturbation methods and averaging, multiple frequencies opens up many challenges, some of which are currently
open problems. One of the easiest ways to illustrate the complications to analysis is to consider a single degree of
12 2 General Concepts
freedom oscillator (say a simple model of a bridge) forced by a single frequency source (people walking across the
bridge for example). A simple model of the bridge is second order which will have a frequency response that has a
resonant peak. The frequency response function for this system contains a numerator and denominator and at this
peak, when the forcing frequency is resonant with the natural frequency, the denominator goes to zero. Physically
this means that if people walking over the bridge walk at this resonant frequency, the response of the bridge will go
to innity and collapse (this is why the military suggests soldiers to break step when walking over bridges!).
In systems with more than two frequencies, or time varying frequencies, the complexity due to small denominators
is compounded. The resonance between frequencies will either alter or destroy adiabatic invariants. In the case where
a pair or more of frequencies are commensurate in a m-frequency system, the trajectories of the unperturbed motion
ll a torus with a dimension smaller than m so averaging over T
m
in equation 2.30 will not capture the dynamics
correctly. The previously dense set of angle trajectories falls onto a smaller set (sub-torus) in the resonant case.
Another way of thinking about this is that in resonance, non-oscillatory terms appear and averaging out these
dynamics leads to erroneous results. The general idea of how to deal with resonance during averaging is to make a
canonical change of variables onto to a coordinate system that rotates along with the resonant frequency and then
capture only the slow variation around this frame of reference.
In the case where only some of the frequencies are resonant the method of partial averaging Arnold [1988] is
employed. In partial averaging, the vector of angles is parsed into resonant and non-resonant angles ( = , ).
The averaged system is found by averaging over leaving a description with the semi-fast variables which vary
slowly in resonance zones and rapidly elsewhere. The averaged Hamiltonian becomes

H(J) =
1
(2)
P
_
2
0

_
2
0
H(J, , 0)d
1
. . . d
i
. . . d
P
(2.31)
where is a P-dimensional vector of non-resonant angles. In many actual physical systems since frequency and
amplitude of oscillation are interdependent, the parsing into resonant and non-resonant angles is not a static process.
That is, due to the varying frequencies, passage through resonance may occur and the relative dimensions of and
vary in time. In this situation, the parsing procedure as described above is performed along a trajectory. Another
advanced topic in averaging is performing averaging sequentially to break down a system by parts. In this approach
one would average over fast variables and then start again and consider the previously slow variables as fast variables
and average again. This is called secondary averaging, and results in a hierarchy of adiabatic invariants.
2.3.4 Averaging Performed in this Thesis
We will use averaging extensively in the work that is presented here. Our high dimensional system is composed of
strong linear dynamics with an added nonlinear perturbation. The strong linear dynamics contain many frequencies
which are not resonant. However, when the nonlinearity is turned on by passing through certain portions of state
space, these frequencies change in time and resonances occur. We nd that formal averaging leads to useful results
while we do not use this technique to attempt to fully capture the dynamics. We perform partial averaging over regions
outside of resonance and nd that the reduced order dynamical system resulting in this procedure illuminates key
features of the transition behaviors of this system. Further details about this this procedure and what we mean by
partial averaging will be presented in context when the applications are discussed.
2.4 Geometric Numerical Integration
Although both Runge-Kutta and linear multistep methods are well developed in the eld of numerical integration,
physical problems that deal with long term behavior (i.e. molecular, astronomical dynamics etc.) have motivated the
development of new types of integrators that preserve structure in the dynamics which make them better candidates
for these types of problems. Geometric Numerical Integration (GNI) is a class of numerical integration techniques
that achieves this by explicitly considering the geometry of the dynamics when performing the time discretization.
This is important for Hamiltonian systems which conserve certain quantities such as energy, angular momentum,
state space volume, and other symmetries. To preserve the Hamiltonian structure, the discretization in time, which
is simply a mapping, needs to be symplectic. That is, the mapping
t
: (q(0), p(0)) (q(t), p(t)) must be a canonical
transformation (see Section 2.2). In this section we present a few numerical methods which adhere to this constraint
and numerically contrast them to illustrate the performance of GNI methods on a relatively simplistic model.
2.4 Geometric Numerical Integration 13
2.4.1 Symplectic Integrators
Since volume preservation is a characteristic of Hamiltonian systems, it was natural to nd numerical methods
that share this property. There are many approaches to developing these methods including using a generating
function (as in Section 2.2.1), Runge Kutta methods, and variational approaches (which are good for PDEs) see
(Sanz-Serna and Calvo [1994], Hairer et al. [2002], Scovel [1989], and Channel and Neri [1996]). Below we present
three methods derived from these approaches. We specically focus on a suite of methods that are available in a
Matlab package written by Ernst Hairer (www.unige.ch/~hairer/) because they are easy to implement (although
slow compared to the c-code that was written to obtain most of the results in this thesis).
Symplectic Euler Method: The most fundamental symplectic integrator is the Euler method and a 1
st
order
scheme can be represented as
p
n+1
= p
n
hH
q
(p
n
, q
n+1
), q
n+1
= q
n
+hH
p
(p
n
, q
n+1
)
where H
q
is the derivative of the Hamiltonian with respect to q (or p respectively). This method is implicit in general
and explicit if the Hamiltonian is separable. Since this method is rather simple we can illustrate its conservation
properties using a simple pendulum model. The Hamiltonian and equations of motion for the pendulum are:
H(p, q) =
1
2
p
2
cos q,
dq
dt
= p,
dp
dt
= sinq. (2.32)
First we dene the discrete ow:
h
: (p
n
, q
n
) (p
n+1
, q
n+1
). Using an explicit Euler method on this set of equations
we have:
q
k+1
= q
k
+hp
k
, p
k+1
= p
k
hsinq
k
(2.33)
where k is the step number, h is the stepsize, and the right hand sides in system 2.32 have been used for the function
evaluations. To check area preservation, we calculate the determinant:
det

h
(q
k
, p
k
)
=

1 h
hcos q
k
1

= 1 +h
2
cos q
k
,= 1. (2.34)
Since the determinant is nonzero, area preservation is lost.
If we now move to symplectic Euler method, we have both the discretized equations and determinant as:
q
k+1
= q
k
+hp
k
, p
k+1
= p
k
hsin q
k+1
, det

h
(q
k
, p
k
)
= 1 (2.35)
since the determinant is equal to one, we have area preservation which illustrates that this method is symplectic.
Partitioned Runge-Kutta (RK) Methods: Similar to the method above, an appropriately designed Runge
Kutta method can be symplectic as well. That is, although the explicit Runge Kutta method cannot be symplectic
a properly implemented implicit Runge Kutta method may be. The partitioned Runge Kutta method treats the
generalized coordinate dierently than the momenta. The method and its coecients for the discretization are:
k
i
= f
_
_
q
n
+h
s

j=1
a
ij
k
j
, p
n
+h
s

j=1
a
ij
l
j
_
_
(2.36)
l
i
= g
_
_
q
n
+h
s

j=1
a
ij
k
j
, p
n
+h
s

j=1
a
ij
l
j
_
_
(2.37)
q
n+1
= q
n
+h
s

i=1
b
i
k
i
(2.38)
p
n+1
= p
n
+h
2

i=1

b
i
l
i
(2.39)
where s is the number of stages and the as and bs are coecients that dene the method. In the partitioning
process, the system is solved by using two methods simultaneously. Each method will have a dierent coecient list,
14 2 General Concepts
(a
ij
, b
i
) for the rst method, and ( a
ij
,

b
i
) for the second. The necessary and sucient conditions for a partitioned
RK method to be symplectic are
b
i
b
j
= b
i
a
ij
+

b
j
a
ij
, for i, j = 1, . . . , s (2.40)
b
i
=

b
i
, for i = 1, . . . , s (2.41)
Only (2.40) needs to be satised if the Hamiltonian is separable. Specic coecients for methods with a dierent
number of stages can be obtained in literature.
Stormer-Verlet Method: (2nd order) The Stormer-Verlet Method is a symmetric and symplectic 2
nd
order
method. It is a combination of a half-step of a partitioned Euler method (explicit in q, implicit in p) and a half-step
of its adjoint (explicit in p, implicit in q). This is a popular integration method especially in the molecular dynamics
community while its drawback is that it is only 2
nd
order. The equations for the method are
p
n+
1
2
= p
n

h
2
H
q
(p
n+
1
2
, q
n
)
q
n+
1
2
= q
n
+
h
2
H
q
(p
n
, q
n+
1
2
)
q
n+1
= q
n
+
h
2
_
H
p
(p
n+
1
2
, q
n
) +H
p
(p
n+
1
2
, q
n+1
)
_
. (2.42)
The Stormer-Verlet method is a particular case of a partitioned Runge-Kutta method and the coecients can be
conveniently placed in table form. See Ascher and Petzold [1998] for a description of coecient tables for these types
of methods.
0 0 0
1
1
2
1
2
1
2
1
2
1
2
1
2
0
1
2
1
2
0
1
2
1
2
. (2.43)
Since these coecients satisfy equation (2.40) and (2.41), the method is symplectic.
Partitioned Linear Multistep Methods The linear multistep methods for geometric integration are extensions
of the original methods by Adams and Bashforth . It has been shown that there is no partitioned linear multistep
algorithm with an order greater than one which is also symplectic. However, it has also been shown that we can still
obtain a near conservation of energy by studying the so-called underlying one-step method of a partitioned linear
multistep method. This says that the dynamics of the linear multistep method (LMM) can be approximated by those
of a one step method in certain cases.
Composition Methods / Higher order methods A composition of one step methods can be used in series
in order to increase the order of a method (of say the Verlet method for instance). That is, given a one step method

h
, a composition of the methods become

h
=
h1

h2

hs
(2.44)
where each
hi
is a symplectic one-step method. Because each one step method is symplectic the composition of all
the methods are symplectic as well. The challenge is to nd parameters h
i
such to achieve a certain order. There are
certain procedures to accomplish this up to order 8 Yoshida [1990]. In this method, for a step integrator each step
is dened as
q
i+1
= q
i
+hc
i
T
p
(p
i
) (2.45)
p
i+1
= p
i
hd
i
|
q
(q
i+1
) (2.46)
where (q
i=1
, p
i=1
) = (q(t), p(t)) and (q(t + h), p(t + h)) = (q
i=
, p
i=
). The coecients c
i
, d
i
may be found using
algebraic relations. Up to 4
th
order these coecients are found directly while for higher orders they are obtained
numerically. The 4
th
order Yoshida method was used (in C-code) for most of the nal results in this work and for
completeness, the coecients for this method are below.
c
1
= c
4
=
1
2(2 2
1/3
)
, c
2
= c
3
=
1 2
1/3
2(2 2
1/3
)
(2.47)
d
1
= d
2
=
1
2 2
1/3
, d
2
=
2
1/3
2 2
1/3
, d
4
= 0. (2.48)
2.4 Geometric Numerical Integration 15
2.4.2 Conservation of Energy with Symplectic Integrators
A common misconception is that geometric integration methods conserve quantities exactly. This is not the case as
with any numerical scheme quantities are only as exact as numerical precision. With this in mind, the invariants of
Hamiltonian systems are conserved with geometric integration within round o error. The key dierence between
geometric and non-geometric integration methods is that this error builds in time with non-geometric approaches
while oscillating about zero for GNI approaches. For an r
th
order integrator, the global error in the Hamiltonian is
Hairer et al. [2002]
H(q
n
, p
n
) H(q
0
, p
0
) = O(th
r
), General Method (2.49)
H(q
n
, p
n
) H(q
0
, p
0
) = O(h
r
), Symplectic Method (2.50)
This holds for extremely long times when the trajectories stay in a compact set. These conditions illustrate that for a
generic scheme, error in the Hamiltonian grows with time, while for a symplectic discretization, the error is bounded
and small.
2.4.3 Evaluation of Dierent Geometric Numerical Integration Methods
In this section we outline the performance of both traditional and geometric integration methods on a small test
problem. We study six dierent methods; we experiment with four algorithms from the GNI/Matlab package (down-
loadable at http://www.unige.ch/~hairer/), the standard Matlab RK45 routine, and a hand-coded GNI method
(Yoshida [1990]) implemented in the C-language. The GNI-Hairer Package implements three dierent xed stepsize
high order geometric integrators based on the Implicit Runge-Kutta Method (irk), the Partitioned Multistep Method
(lmm), and a Composition Method (comp). These implementations are summarized below.
Partitioned Implicit Runge-Kutta Method (gni irk2) This is an implementation of Gauss methods, built
on the n-step Gaussian quadrature with associated Legendre Polynomials. This is an implicit method of order
2n, which is symplectic and symmetric. The options for the method can be set to values G4, G8, and G12,
indicating 4th, 8th, and 12th order Gauss methods respectively. The default selection is G12. The parameter
MaxIter species the maximum number of xed-point iterations performed at every integration step to solve the
non-linear system of equations. The default value is 50.
Partitioned Multistep Method (gni lmm2) The formula for partitioned multistep methods for second order
dierential equations is given by

k
j=0
A
j
q
n+j
= h
2

k
j=0
B
j
g(q
n+j
) which is similar to the standard formula-
tion. To obtain the coecients that uniquely determine the method, the and polynomials are solved (see
Ascher and Petzold [1998]). The gni irk2 algorithm with Method set to G12 is used to provide starting approxi-
mations. This method is of order 8 and therefore cannot be symplectic but it is symmetric and nearly symplectic
(conserving energy). The Method selector can be set to values 801, 802, and 803 specifying dierent sets of
coecients, all of them yielding 8th order methods.
Composition Method (gni comp) Given a basic one step method
h
with dierent step sizes h, the compo-
sition method is given by a series of these:
h
=
sh
. . .
2h

1h
. The composition method is symplectic if
the basic method is symplectic, and it is symmetric if the basic method is symmetric. A composition method is
characterized by the set of coecients and the basic method itself, the default basic method for this implemen-
tation is the Stormer/Verlet method. Users are allowed to specify a Matlab le dening their own basic method
through the selector PartialFlow. The Method selector for this implementation species dierent predened sets
of coecients and can be set to the values 21, 43, 45, 67, 69, 815, 817, 1033. The rst part of the value species
the order, i.e. these methods have order 2, 4, 6, 8, and 10 respectively. The second number species the number
of coecients or compositions. Using the option 21 is the special case that gives the basic one step Verlet method
itself.
Test Problem The Kepler problem is one of a few standard test problems for geometric integrators (Hairer and
others use it to prole integrator performance). It is a two-body problem with Hamiltonian:
H =
1
2
_
p
2
1
+p
2
2
_

1
_
q
2
1
+q
2
2
(2.51)
This results in the equations of motion:
16 2 General Concepts
q
1
= p
1
, q
2
= p
2
, p
1
=
q
1
(q
2
1
+q
2
2
)
3
2
, p
2
=
q
2
(q
2
1
+q
2
2
)
3
2
(2.52)
We will perform initial value simulations with initial conditions p
1
(0) = 0, p
2
(0) =
_
((1 +e)(1 e)
1
), q
1
(0) =
(1 e), q
2
(0) = 0 with the initial condition parameter e = 0.6 for 5000 time steps. These conditions are standard
and are also used by Hairer. Two dierent test cases were performed, Test A has a stepsize of 0.01 for all xed step
solvers (all of the GNI methods) and a relative/absolute tolerance of 1.0 10
5
/1.0 10
8
for the RK45 method,
while Test B has a stepsize of 0.005, and tolerances of 1.0 10
6
/1.0 10
9
.
The error in constant energy is presented in Figure 2.2 for both test cases. As we can see, all of the GNI methods
have error in energy estimates while having no secular terms. On the other hand the RK45 method has error in
energy that is increasing with time.
0 1000 2000 3000 4000 5000
10
18
10
16
10
14
10
12
10
10
10
8
10
6
10
4
10
2
Time
E
r
r
o
r

i
n

C
o
n
s
e
r
v
e
d

E
n
e
r
g
y


RK
IRK
LMM
Comp
Verlet
Yoshida
0 1000 2000 3000 4000 5000
10
18
10
16
10
14
10
12
10
10
10
8
10
6
10
4
10
2
Time
E
r
r
o
r

i
n

C
o
n
s
e
r
v
e
d

E
n
e
r
g
y


RK
IRK
LMM
Comp
Verlet
Yoshida
Fig. 2.2. Energy error for dierent GNI methods (test A & B)
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
IRK
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
LMM
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
COMP
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
Verl
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
RK45
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
Yoshida
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
IRK
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
LMM
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
COMP
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
Verl
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
RK45
2 1.5 1 0.5 0 0.5 1
2
1
0
1
2
Yoshida
Fig. 2.3. State space for dierent GNI methods (test A & B)
2.5 Molecular Simulation 17
Below is a rough comparison of CPU times for each of the experiments. It should be noted that the Yoshida method
was performed in C-code which biases the comparison slightly because it is much more ecient for calculations like
this. Also note that the RK45 method is indeed a variable step method which increases its CPU eciency.
Table 2.1. CPU time for entire simulation using dierent GNI methods
IRK LMM Comp Verlet RK45 Yoshida
Case A 338 199 822 206 18 14.2
Case B 970 1919 700 744 24 26
2.4.4 Methods used in this Study
The tests above are just a brief introduction to the performance of numerical integrators on Hamiltonian problems.
A more in-depth study can be found in duChene et al. [2006] where these algorithms were studied on the Kepler
problem as well as a larger system (with Morse oscillators). In this study, not only CPU time, but function evaluations
vs. error was investigated. It was found that for the precision we desired, none of the standard Matlab integrators
were eective. Of the GNI-Hairer integrators, the composition method was most useful. However, because of the
ineciencies, for most of the numerical work here we use C-code with an implementation of the Yoshida method
which we mentioned above (which is a composition method).
2.5 Molecular Simulation
Most of the numerical work that has been performed on systems of N masses has been in the molecular dynamics eld
and because of this we briey discuss the basics of molecular simulation here. One of the questions that molecular
modeling often seeks to answer is to identify stable conformations of long chains of molecules. In order to accomplish
this, force elds and system parameters are chosen and the mechanics of this system are optimized in some way to
nd a stable equilibrium/energy minimum. There are many available software tools for this type of analysis which are
listed in Ramachandran et al. [2008] or Schlick [2002] or many other references. However, with the advance of highly
ecient computational engines, the idea of tracking trajectories on the atomic level is becoming more of a reality.
There are also free numerical packages for this purpose available on the web. One of the functions that this software
needs to be able to accomplish is ensemble simulation (i.e. constant pressure, temperature, number of molecules for
instance). There are a few approaches to accomplish this and one of which (thermostatting) gave us poor results. To
avoid future pitfalls in simulation we discuss this approach and its alternative below.
2.5.1 Nose-Hoover Thermostats
The Nose thermostat is a structural form of a molecular dynamic system model which is derived to ensure ensemble
constraints are met during simulation. To generate heat (or nonzero temperature) in typical molecular dynamics
simulation, a positive damping constant is introduced either in the Langevin setting or as a general drag term. In
the Nose formulation however, the friction constant is not pinned to be positive or negative, it varies in time with
a time average of zero at equilibrium. As it was originally derived, the friction term becomes a dierential control
variable to the equations of motion Hoover [1986]. In this way, proportional control scheme is implemented where the
damping is chosen to drive the error between the desired temperature (or even pressure) and a setpoint to zero. It
was Nose that introduced the idea of integral control to accomplish ensemble modeling (i.e. constant EVN, or VTP,
etc., see Nose [1984a] , and Nose [1984b]). In this way the damping is chosen proportional to the time integral of the
error. Fortunately, this approach provides an equation system which is time reversible (unlike in the other previous
control approaches) and can be connected to Gibbs statistics easily.
In general, the Nose approach to constant temperature molecular simulation adds an additional degree of freedom
to the system (an oscillator). The natural frequency of this oscillator is tuned such that it behaves in a limit cycle
and this oscillatory response excites the N masses that are being simulated to generate the needed kinetic energy to
18 2 General Concepts
achieve the correct temperature distribution. Hoover was accredited with associating Noses formulation with Gauss
principle of least constraint and to scale time dierently which improved the applicability of the method.
One of the basic assumptions in the thermostat formulation is that the dynamics are ergodic. This may be the
case when the system of particles is very large but for smaller systems, the Nose formulation will not give the correct
equilibrium distributions. To overcome this, extensions from the single thermostat to a chain of thermostats were
derived Martyna et al. [1992]. In this case, a chain of oscillators are designed while only one of the oscillators directly
forces the system of particles. With the addition of multiple oscillators in the thermostat, more frequencies are
available for tuning and therefore the correct distribution may be achieved.
The Nose-Hoover thermostat produces canonically distributed congurations, but the addition of the thermostat-
ting variables breaks the Hamiltonian structure of the system. Recently, work has been performed to preserve the
Hamiltonian structure in this process Bond et al. [1999]. Although the development of thermostatting dynamics has
come a long way, this approach is not well suited for our type of system. Even though there are tuning methods
of the thermostat oscillators even in the most advanced methods (Leimkuhler and Sweet [2005] for example) the
transitions that we experience take the dynamics through large variations in the state space. It is hard to imagine
that the thermostats will function the same when the system is at the bottom of a potential well or at the summit
between these two wells. In fact, we have found that these methods numerically do not perform very well in these
instances and instead used the more traditional method of Langevin simulation to perform the stochastic simulation.
2.5.2 Langevin Simulation
A second approach to molecular simulation is to simply numerically integrate the Langevin equation (we will discuss
the Langevin equation at length in Chapter 3). We use this method because of the issues that arise from the
thermostat approach that we discussed above. In order to accomplish this, there are many fancy ways to integrate
the stochastic ODE. Some of these methods address numerical eciency including how the random numbers are
generated. However, in our case, our numerical experiments are not that expensive and we choose to use a very
simple 4
th
order integration scheme. We do place care in making sure that the random inuence is scaled properly
to ensure that the uctuation dissipation theorem holds in our simulation.
2.6 Internal Resonance
A ubiquitous behavior in high dimensional nonlinear systems is internal energy transfer. This includes transfer of
energy between dierent entities (elements, masses, modes, etc.). In our array of oscillators, resonance permits energy
transfer between individual oscillators or global modes. In oscillatory systems, energy transfer is most eective at
resonance. For example, in a forced linear oscillator, maximum energy transfer will occur when the forcing frequency
is tuned to the natural frequency of the unforced system. As the two frequencies become mistuned, the energy
transfer becomes periodic with a period dependent on the separation in frequencies (beating). If the same system
is autonomous (unforced), internal resonance occurs when internal frequencies are resonant (or commensurate) and
therefore energy transfer is built into the underlying function of the system.
In nonlinear systems, where frequencies change within dierent zones in the state space (with the amplitude of
oscillation), the system may fall in and out of resonance as time evolves. Since frequency and amplitude are inter-
dependent, once energy is transferred (and amplitudes change) frequencies that were once resonant may become
non-resonant which will halt any further energy transfer leaving what had been transferred in a sink. This process is
termed energy pumping or funneling and is becoming a popular replacement for linear for passive vibration control
(see Larsen et al. [2004],Panagopoulos et al. [2007], Kerschen et al. [2007], and Vakakis et al. [2004]).
2.6.1 Identication of Internal Resonance
Knowing or identifying that internal resonance may occur is an important part of system analysis. The resonance
condition for a system with M frequencies is (see Arnold [1988]):
[(, )[ <
1
c[[
v
(2.53)
2.7 Dynamical Systems on Graphs 19
where (, ) =
0

0
+
1

1
+ +
M1

M1
, and
i
are any integers while c and v are positive constants. When the
integers
i
are chosen appropriately, the quantity on the left hand side of the inequality goes to zero when frequencies
are rationally commensurate (exact resonance) and the term on the right hand side accounts for resonance in small
regions where the frequencies are almost commensurate. Characteristics of the resonance zone both in the size of the
region in state space and time spent inside this region during evolution are related to this value.
2.6.2 Resonance in our System
Identifying whether resonance occurs becomes challenging when studying nonlinear systems. In linear xed frequency
systems, the condition (2.53) is evaluated once and the possibility of resonance is determined for all time. However, for
nonlinear systems, with changing frequencies this inequality may be satised only at specic times in the evolution.
That is, we will show that the i
th
frequency for our nonlinear system is
i
=
i
+ f
i
(J, , ) which varies with
time. In our system, the vector containing

i
s is not commensurate, and so resonance only occurs with nonzero
. That is, the term is a tuning knob that promotes internal resonance, and thus internal energy transfer which
leads to ecient conformation change. This concept is important and will be explored with numerical simulation and
averaging in the later chapters of this thesis.
2.7 Dynamical Systems on Graphs
As we mentioned above, internal resonance opens pathways for energy transfer but we made no comment on the
direction in which energy transfers. Clearly, the directional characteristics of energy transfer are important as a
subset of oscillators or modes in a system may be more sensitive or important than others. Graph theoretic tools
allow you to gain insight into this directional behavior.
The analysis of dynamical systems on graphs is useful for shortest path analysis, numerical analysis and compu-
tation, model reduction, and to gain other useful insight into the underlying structure (see Dellnitz et al. [2006] and
Varigonda et al. [2004]). In these methods, a seemingly disorganized high dimensional system may be decomposed
into a series of sequential functional components. One such method is the Horizontal-Vertical Decomposition (HVD)
method, developed in Mezic [2004]. This method isolates modules which may contain one or more highly coupled
dynamic states from others (the horizontal class of elements). These modules are then ordered in a way in which
they unidirectionally interact with other modules (the vertical structure). Using the HVD method, one can easily
observe how the ow of a process is aected by the removal of one key module. In this way, understanding these
strongly coupled components is key to quantifying the robustness (weak links) of a large system.
Rearranging a system into its Horizontal-Vertical components was further automated in Lan and Mezi`c [2009].
This study focused predominately on cellular networks wherein series of modules or motifs dominate the dynamical
behavior. Unfortunately the dimension of the system makes stability or input-output analysis typically out of reach
because of computational burden. Here, the HVD structure is found and special attention is paid towards the
directionality of coupling between dierent modules. This system is parsed into forward only modules which are
essential for the process of the cellular network as they are used as generators. On top of this are a series of feedbacks
that regulate what is generated to the desired level of output. A schematic representing a dynamical system before
and after Horizontal-Vertical Decomposition is presented in Figure 2.4 (note that this is a generic example and that
the dotted arrows were deemed weak interconnections and thus ignored in the simplied schematic).
In order to analyze the topology of systems using these methods, an adjacency matrix is calculated to denote
interactions. This matrix contains nonzero elements when edges in the interconnection graph appear (when compo-
nents are coupled) and zeros when no interaction is present. This interconnection topology and subsequent matrix
which holds the same information oers insight into system stability, periodic orbits, uniqueness of equilibria and
other system-wide concepts.
In the work that follows, we provide no development of graph tools for dynamical systems. What we do report
is their use on coupled oscillator systems going through transition processes. In Varigonda et al. [2004] it was found
that the HVD structure can be discovered in the dynamics by appropriate re-ordering of state variables. On the other
hand, in this work we nd that the HVD structure dominates with no modication of the structure of the system.
These results are found by linearizing the action-angle dynamics along a trajectory and using the action dynamics
as the interacting modules.
20 2 General Concepts
Fig. 2.4. Example of the graphical structure of a dynamical system before (left) and after (right) simplication and horizontal-
vertical decomposition (HVD)
3
Stochastic Dynamics, the Langevin Equation, and Escape Rate Theory
3.1 Introduction
This chapter outlines concepts in the dynamical behavior of particles under stochastic environmental inuence.
Although most of the theory was either founded or is otherwise associated with Brownian motion of particles, most if
not all of it can be extended to stochastic behavior of general inertial masses (i.e. engineered systems). The ultimate
goal of this chapter is to introduce tools for the analysis of transitions in large systems of particles (escape rate
theory). For completeness, the rest of this chapter presents the supporting topics for this theory including the basics
of conservative particle mechanics and equilibrium and non-equilibrium statistical mechanics.
There are many good textbooks which outline the basics (and details) of stochastic mechanics. For the equilibrium
case, Dill and Bromberg [2003] provides an excellent introduction, and McQuarrie [2000] and Chandler [1987] oer
more details. When it comes to non-equilibrium statistical mechanics, a good introduction in very brief but readable
form is Balakrishnan [2008], and a brief but more in-depth review can be found in Zwanzig [2001]. The book by
VanKampen VanKampen [2007] is a classic and contains a lot of information. When it comes to only the Fokker-
Planck equation, Risken [1984] is an essential resource.
3.2 Conservative Dynamics
Stochastic mechanics is the theory of time evolution of inertial objects with random inuence. It is built on aspects
of deterministic mechanics (specically the Liouville equation). This will be useful later as a comparison for Langevin
dynamics (the Liouville equation is to Hamilton dynamics as the Fokker-Planck equation is to Langevin dynamics).
Since stochastic mechanics is derived mostly in the realm of particle dynamics, the dimension of the system is very
high (O(10
23
)) and to get any traction we typically study the propagation of densities in state space rather than the
individual trajectories of particles. In the special case of conservative systems this evolution is such that the principle
of density and volume conservation holds. The density () evolution is such that
(q(0), p(0), 0) = (q(t), p(t), t) (3.1)
where q is a vector of generalized coordinates and p is momenta. That is, for a conservative system, as the densities
evolve there is no tendency to crowd in any portion of state space. Similarly, volume conservation is such that
dq(0)dp(0) = dq(t)dp(t). (3.2)
Furthermore, probability is conserved (a particle must be somewhere at any time). Letting = (q, p) be the entire
state space
_
d(, t) = 1. (3.3)
When an invariant like this holds, other conservation laws may be derived. One such law is the continuity equation,
and to obtain it, we study a number of particles within a given volume V . The number of points n within this volume
in state space and its time derivative can be written as
22 3 Stochastic Dynamics, the Langevin Equation, and Escape Rate Theory
n = ^
_
V
d(, t) (3.4)
dn
dt
= ^
_
V
d

t
(3.5)
where ^ is a normalization factor. We can arrive at the same equation by considering the ux through a surface and
using Gauss theorem to obtain
dn
dt
= ^
_
V
d (u) (3.6)
where u is a 6N dimensional vector ow vector (velocities and accelerations). Subtracting 3.5 from 3.6 we have the
continuity equation

t
+ (u) = 0 (3.7)
where
(u) =
3N

j=1
_

q
j
q
j
+

p
j
p
j
_
+
3N

j=1
_
q
j
q
j
+
p
j
p
j
_
. (3.8)
In the context of Hamiltonian mechanics ( p
i
=
H
qi
, q
i
=
H
pi
) the second term goes to zero and equation 3.7
becomes

t
+
3N

j=1
_
H
p
j

q
j

H
q
j

p
j
_
(3.9)
If we rewrite this equation in terms of the Poisson bracket
, H =
3N

j=1
_
H
p
j

q
j

H
q
j

p
j
_
(3.10)
We have the Liouville equation

t
= , H = L (3.11)
where L is the Liouville operator. This operator has many convenient properties and 3.11 is one of the fundamental
equations in statistical mechanics, the full solution in time can be written as
(, t) = e
Lt
(, 0). (3.12)
We can derive the response function and susceptibility from the Liouville operator (non-equilibrium statistical me-
chanics) which is the analog to the partition function in equilibrium statistical mechanics. The Liouville operator is
used with many other analysis tools in non-equilibrium statistical mechanics including linear response theory.
3.3 Equilibrium Statistical Mechanics and Boltzmann Statistics
The origins of equilibrium statistical mechanics began with the theoretical explanation of heat at the molecular level
and the random Brownian motion that creates it. In theoretical terms, Maxwell sought probability distributions for
the random velocities of gases in a xed volume in equilibrium. Boltzmann generalized Maxwells results to systems
with conservative force elds and total energy E() = U(q) +p
2
/2m, resulting in the distribution
f(E()) = Ce
E()/kT
(3.13)
which is known as the Maxwell-Boltzmann distribution (C is a normalizing constant).
In statistical mechanics we study the behavior of not one but ensembles of dierent masses. Analyzing these
particles in the state space, the Gibbs distribution denotes the probability of nding the state of a system in an
element d = dq
1
, . . . , dq
N
, dp
1
, . . . , dp
N
as
3.4 Nonlinear Langevin Equation 23
d = Ce
E(q1,...,qN,p1,...,pN)
dq
1
, . . . , dq
N
, dp
1
, . . . , dp
N
(3.14)
where = (kT)
1
, and C is chosen such that
_

d = 1. This constant is typically addressed with the use of the

partition function. The partition function is Z =
_

e
E()
d and for any observable A(), the average or expected
value becomes
A()) =
1
Z
_

A()e
E()
d. (3.15)
From this formula for the average, we can establish the properties of how energy is equilibrated in classical systems.
Using a simple harmonic approximation (with only one position and momentum coordinate) the energy and its
average are:
E() =
1
2
kq
2
+
1
2m
p
2
(3.16)
E()) =
1
Z
_

E()e
E()
d (3.17)
where the partition function is
Z =
_

e
E()
d (3.18)
=
__
+

p
2
2m

dp
___
+

kq
2
2

dq
_
(3.19)
which can be simplied to
Z =
_
k
2
_

1
2
_
1
2m
_

1
2
. (3.20)
Using this partition function and Equation 3.17, we have
E) =
1
2
kT +
1
2
kT = kT (3.21)
which states that each degree of freedom contributes equally to the average energy per particle (which is called the
Equipartition Theorem). This can easily be extended when more degrees of freedom are involved as well.
3.4 Nonlinear Langevin Equation
The ability to dene distributions of many particles using the Gibbs distribution is very powerful even though
it only applies to situations in equilibrium. To understand escape processes we need expressions for stochastic
non-equilibrium behavior. Later we will discuss non-equilibrium mechanics of distributions while rst we outline
non-equilibrium stochastic dynamics of individual particles described by the Langevin equation.
Along with of Einstein and Schmoluchowski, Langevin studied Brownian motion of particles by introducing the
eect of bombardment of neighboring masses by adding random inuence in the dierential equations of motion for
each particle. To counteract the introduction of this energy, damping was introduced and nding the appropriate
balance and interplay of these two eects was the main contribution of his work. The results build on the stochastic
dynamics with no external eld (linear Langevin equation) while here we present the nonlinear Langevin as it is a
more general case. The nonlinear Langevin equation is:
q =
p
m
(3.22)
p =

q
U(q)
p
m
+F(t) (3.23)
where is a constant damping term and F(t) is the time dependent random force.
24 3 Stochastic Dynamics, the Langevin Equation, and Escape Rate Theory
3.5 Linear Langevin Equation and the Fluctuation Dissipation Theorem
The nonlinear Langevin equation is useful for analysis of a particle under the inuence of an external potential while
the complexity that is introduced from the form of this external potential means that conclusions from this equation
must be made on a case by case basis. On the other hand, a great amount of information may be obtained regarding
the dissipation/random force balance as well as diusive properties of particles in the case where the potential is set
to zero. The resulting equation is the linear Langevin equation:
m x(t) = x(t) +F(t) (3.24)
where U(q) = 0 and the generalized coordinate q has become x (just for notational purposes). From Stokes law
we have the damping of a spherical mass as = 6a, where a is the radius, and is the viscosity of the uid. A
few assumptions are made regarding the forcing inuence which is assumed to be independent of x and varies much
faster than x(t). It is also assumed that F(t)) = 0. The idea that the particles are moving very fast alludes to the
notion that collisions are instantaneous, and the variation or autocorrelation can be expressed as:
F(t)F(t

)) = 2B(t t

) (3.25)
where B is related to the strength of the uctuating force which we solve for below. The assumptions as they stand
specify the dynamics only up to the rst two moments. It is typical to additionally assume that the random force
is Gaussian which supplies the information for the higher moments (odd moments vanish and even moments are
interdependent).
The strength of the stochastic forcing B is determined using the uctuation dissipation theorem which is obtained
by solving for the time evolution of the linearized Langevin equation and comparing this to what is expected from
Boltzmann statistics. Equation 3.24 can be written as two rst order dierential equations
_
x
v
_
=
_
0 1
0

m
_ _
x
v
_
+
_
0
F(t)
m
_
. (3.26)
Using the form of the matrix exponential and the Laplace transform we obtain the solution
x(t) = x(0) +
mv(0)

(1 e

m
t
) +
m

_
t
0
dt

F(t

)
m
(1 e

m
(tt

)
) (3.27)
v(t) = v(0)e

m
t
+
_
t
0
dt

F(t

)
m
e

m
(tt

)
. (3.28)
We take the time averages of these equations to determine the equilibrium statistics. For the second equation, since
F(t)) = 0 we have
v(t)) = v(0)e

m
t
(3.29)
and mean squared velocity is
v(t)
2
) = v(0)
2
e

2
m
t
+
1
m
2
_
t
0
dt

m
(tt

)
F(t

)
_
t
0
dt

m
(tt

)
F(t

). (3.30)
The delta correlated properties of the noise can be used to reduce this equation to
v(t)
2
) = v(0)
2
e

2
m
t
+
B
m
(1 e

2
m
t
). (3.31)
In the long time limit it is assumed that the Maxwell-Boltzmann distribution applies and using 3.21 we have
lim
t
v(t)
2
) =
B
m
=
kT
m
(3.32)
B = kT. (3.33)
This result is the uctuation dissipation theorem (Kubo [1966]) relating the value of B to the amount of damping,
a balance between friction and random forcing. This calculation is needed to implement a numerical approximation
to the dynamics (among other things).
3.6 Displacement of a Brownian Particle 25
3.6 Displacement of a Brownian Particle
Now that we have the force/damping balance understood, we focus on displacement or diusion of Brownian particles.
we do this because certain escape processes are diusion driven. The linear Langevin equation 3.24 describes the
motion of one particle, while to understand many particles we take the average. After multiplying 3.24 by x(t) and
averaging, we have
m
2
d
dt
_
dx(t)
2
)
dt
_
m x(t)
2
) =

2
dx(t)
2
)
dt
+F(t)x(t)). (3.34)
The last term goes to zero because the random force and space are uncorrelated. In steady state, the Maxwell
distribution holds so the mean kinetic energy reaches its equilibrium value
1
2
m x
2
) =
1
2
kT. Renaming the variable
dx(t)
2

dt
= y(t) we have the rst order dierential equation,
y(t) =

m
y(t) = 2kT (3.35)
with the solution
y(t) =
dx(t)
2
)
dt
= e
t/m
+
2kT

. (3.36)
By setting the constant of integration equal to zero we are neglecting the role of inertia (i.e. assume velocities
assume equilibrium - Smoluchowski assumption). By integrating equation 3.36 we obtain
x
2
) =
2kT

t (3.37)
which is Einsteins relation for mean-square displacement of a Brownian particle. This equation is not dierentiable
at the time origin and Uhlenbeck and Ornstein extended this result to account for this resulting in a mean-square
displacement of
x
2
) =
2kTm

2
_

m
t 1 +e

m
t
_
. (3.38)
In this equation we see two dierent characteristic times

di
=

2kT
x
2
,
fric
=
m

. (3.39)
This equation can also be arranged to nd a characteristic diusion length
x =
1

mkT (3.40)
which dictates whether inertial or diusion eects dominate a process.
This result can be related to the diusion constant by using Einsteins relation D =
1
2t
x
2
) resulting in the
relation
D =
1
2t
_
2kT

_
t =
kT

. (3.41)
To fully understand the diusion process, we use Ficks law of diusion to obtain the rate of ow of mass (u) which
is proportional to the gradient of density
u = D (3.42)
which is applicable when the gradient of density is small. If we plug this into the continuity equation 3.7, and use
Einsteins relation for diusivity of a Brownian particle we get

t
=
kT

2
(3.43)
which highlights how temperature and damping or viscous forces aect the movement (and ultimately the escape)
of a Brownian particle.
26 3 Stochastic Dynamics, the Langevin Equation, and Escape Rate Theory
3.7 The Fokker-Planck Equation
Theoretical analysis using the Langevin equation presented above may be fruitful when the dynamics are linear
while when nonlinearity is present, analysis of the Langevin equation is very complicated (and typically performed
numerically). On the other hand, the Fokker-Planck approach oers tools for this analysis which results in a dierential
equation for the distribution function describing Brownian motion or other Markov processes which is much easier to
analyze as the ensemble size grows. There are many derivations of the Fokker-Planck equation using methods such as
the Kramers-Moyal expansion or by analyzing small jump processes for example which may be found in a standard
text referenced above. Here we omit the derivation and present the Fokker-Planck equation in one dimension
W
t
= x
W
x
+

m
_

x
( xW) +
kT
m

2
W
x
2
_
(3.44)
where W(x, x, t) is a concentration of state space points of which this equation describes the evolution.
3.8 Klein-Kramers Equation
The Fokker-Planck equation is very useful in the study of many dierent types of systems, while to study particles
inuenced by external elds we need to further simplify this equation. The Klein-Kramers and Smoluchowski equa-
tions are extensions of the Fokker-Planck Equation that accomplish this. In particular, the Klein-Kramers equation
is an equation of motion for a distribution of particles in state space with an external eld depending on position
only. To obtain this equation (in a 1-D setting), we begin with the deterministic case and add in stochastic forcing
using Einsteins approach at the end (note that the Klein-Kramers equation can be derived from the Fokker-Planck
equation as well). From equation 3.7, the continuity equation is:

t
+

q
( q) +

p
( p) +
q
q
+
p
p
= 0. (3.45)
Plugging in the nonlinear Langevin equation (without noise) and simplifying we have

t
+
p
m

q

_

m
p +
U
q
_

p


m
= 0. (3.46)
To capture the noise term we use the approach used by Einstein by adding the diusive term

D
_

p
2
_
to the
right hand side of the equation

t
+
p
m

q

_

m
p +
U
q
_

p


m
=

D
_

p
2
_
. (3.47)
Assuming that the equilibrium solution satises the Maxwell-Boltzmann distribution we obtain

D = kT and

t
+
p
m

q

U
q

p
=

m

p
_
p +mkT

p
_
. (3.48)
This equation is the Klein-Kramers equation, the right hand side perturbs the streaming variables which behave
according to the dynamics on the left hand side.
The amount of time that is needed before the Maxwell-Boltzmann distribution in velocities holds for the Klein-
Kramers equation pertains to the coupling to the bath and particularly the amount of damping present. For Brownian
motion in a potential, the characteristic diusion length 3.40 is small and it is assumed that the potential does not
vary over this length. This suggests that the Maxwell distribution is obtained after frictional time
fric
.
3.9 Escape Rate Theory 27
3.8.1 The Smoluchowski Equation
In the limit when damping is very high (when damping forces are larger than external forces) or inertial forces
are small, the Klein-Kramers equation reduces to the Smoluchowski equation. In this case the PDE is described in
conguration space only. To obtain the Smoluchowski equation, we integrate the Klein-Kramers equation with respect
to momentum along lines through the state space q(t) + mp(t)/ = q
0
where q
0
is a constant. This results in an
equation for diusion in conguration space (note that the diusion equation can only be described in conguration
space when damping is high, it does not depend on momenta)
(q
0
, t)
t
=

q
0
_
mF(q
0
)

(q
0
, t)
mkT

(q
0
, t)
q
0
_
. (3.49)
This equation is valid when the variation of q(t) is small compared to distances over which the force (F(q
0
)) and
density vary. Up to now we have developed generic concepts for stochastic behavior of inertial particles. We did this
to set a foundation for the analysis of stochastically driven escape processes which will be discussed below.
3.9 Escape Rate Theory
In chemical kinetics, the quantity of energy needed to switch a system between states has been studied extensively in
the past including a signicant amount of work relating to rates of reaction in thermally equilibrated systems. These
rate theories were initiated by Arrhenius over a century ago and developed further in the early 20th century using
contributions from the work of uctuation theory. It was these uctuation theories and understanding of Brownian
motion that opened a door to further understanding leading to Kramers rate theory which describes the mechanism of
noise-assisted activation (see a thorough review in Hanggi et al. [1990], or Truhlar et al. [1996]). The general concept
of this theory is that transitions in high dimensional systems occur when a single critical energy is surpassed which
is determined from stochastic analysis of particle interactions.
Escape rate theory characterizes the dynamics of a mass inuenced by an external potential which has multiple
equilibria and the transition process between these equilibria (see Figure 3.1 for an example of a bistable potential).
In a physical sense, the potential landscape and eective barrier can arise from many forces including electrical,
magnetic, gravitational and other eects. The analysis includes studying the release of a particle from a reactant
state at x
a
and monitoring the amount of time it takes for thermal energy to drive it across a summit in the potential
landscape to a product state. The summit (or local maximum) of the potential (U(x)) at x
b
is called the transition
state. The predominant question in rate theory is to determine how fast particles transition from the reactant to
product state. Considering the average amount of time for a large number of uncoupled particles to breach the
transition state reveals the traditional average escape rate =
1
escape
. This method of escape represents a simple
model of a chemical reaction, when the particle exceeds the barrier energy the chemical bond is broken.
Fig. 3.1. Example of the bistable potential considered in escape rate theory
The theoretical analysis of escape rates began in the 1880s with Arrhenius who found from experimental results
of chemical reactions that the rate of a chemical reaction (reaction velocity) takes the form
= e
U/kT
(3.50)
28 3 Stochastic Dynamics, the Langevin Equation, and Escape Rate Theory
where U is the activation energy (dierence in potential energy between the reactant and transition states) and
is a prefactor. Since this was empirical work this relation was known more as a law (the Vant Ho-Arrhenius Law),
and the analytical challenge was to determine the prefactor (). Shortly after discovering this law, it was determined
that the transitions were noise driven and analytical progress was delayed until the theory of uctuations introduced
in the early 1900s.
The analytical results in escape rate theory are separated into two categories. The initial results were known
as Transition State Theory which were followed by the pioneering work of Kramers, and we present both theories
separately below. In all of the analytical work a few assumptions are held, it is assumed that U >> kT , because
when the thermal energy (kT) is greater than or equal to the barrier height particles move freely between each domain
of attraction with negligible inuence from the underlying potential landscape. More specically, rate theory assumes
a time scale separation between the dynamics of libration within a potential well and the rare-event transition to a
dierent equilibrium. In practice it is assumed that the thermal energy is an order of magnitude less than the barrier
height. In addition to this assumption, for the results that we present in this work, we study the behavior in terms of
classical mechanics and neglect quantum eects (while correction factors do exist in literature for quantum eects).
3.9.1 Transition State Theory (TST)
The rst theoretical results on the prefactor in the rate equation was from Wigner and Eyring in 1928-1935 and is
termed Transition State Theory (TST). As we will discuss below, there are shortcomings to these results while it
did initiate a good analytical foundation for future results. In this approach two assumptions are imposed 1) the
equilibrium distribution always holds and 2) there is no recrossing once the barrier is crossed. Considering a particle
moving in a one-dimensional metastable environment with no coupling to a bath, Wigner dened the transition rate
as
= Z
1
0
1
2
_
dqdp(q) q( q) exp[H(q, p)]. (3.51)
Where the partition function is dened as
Z
0
=
1
2
_
q<0
dqdp exp[H(q, p)] (3.52)
upon transformation to action angle coordinates the formula reduces to
=

A
2
exp[U]. (3.53)
This is a well known textbook result where
A
is the attempt frequency of a particle oscillating at the bottom of
well A (considering it is moving from reaction state A to product state C through transition state B). The attempt
frequency is simply the linearized frequency in the bottom of the initial potential well. With this in mind, the rate is
equal to the number of times a particle reaches the position closest to the barrier (i.e.
A
/2 times a second) times
the probability of escape (exp[U]). In a dierent mindset, the rate is the ux through a dividing surface of the
subspace perpendicular to the unstable mode. TST is qualitatively insightful while having limitations, the weakness
is that it does not consider the eect of the bath which ignores the uctuation dissipation theorem. In fact we will
nd that one of Kramers relations equals the TST result when the damping goes to zero (which is nonphysical).
3.9.2 Kramers Escape Theory
In 1940 Hendrik Kramers made an impact on the analytical understanding of rate theory by studying a particle
moving in a one-dimensional bistable potential adhering to Brownian motion (Kramers [1940]). In his formulation,
the motion is described by Langevin dynamics and the diusion of probability density is described by the Fokker-
Planck equation. His contribution was to capture the eect of the interaction of more degrees of freedom than
the TST results including coupling to a thermal bath. He developed analytical results with respect to the relative
strength of this coupling (high to low damping). The many degrees of freedom that a particle experiences are broken
into one reaction coordinate while the dynamics of all other degrees of freedom are lumped into the bath dynamics
(following the work of Christiansen [1936], see also the contemporary reference May and Kuhn [2004]). The coupling
between the bath and the reaction coordinate is a function of the damping () and the driving force F(t). Under the
3.9 Escape Rate Theory 29
assumptions of the uctuation dissipation theorem, the dynamics are Markovian and the time evolution adheres to
the Klein-Kramers equation (3.48).
As with TST, it is assumed that particles receive thermal energy while adhering to the Maxwell-Boltzmann
distribution. However, after long periods of time, a single particle may gain energy greater than the transition energy
and the Maxwell-Boltzmann distribution is perturbed. With the time scale separation assumption (thermal energy
much less than barrier energy) the slow perturbation of the distribution due to a particle escape is considered
negligible. As a means of summary, the assumptions of Kramers theory are 1) Particles are initially trapped in
the reaction state. 2) The barrier height is large compared to the thermal energy 3) Particles achieve the Maxwell-
Boltzmann distribution rapidly in the well 4) Quantum eects are negligible 5) Escape is slow so it does not adversely
eect the M-B distribution 6) Once a particle goes through the transition state is stays in the product state (does
not return). 7) A particle can be modeled as Brownian including inertia.
There are two dierent cases originally studied by Kramers depending on the relative inuence of the thermal bath
which is related by the damping. In the case of intermediate to high damping, the Maxwell-Boltzmann distribution
dominates with slight perturbation to allow particles to leave the reactant well (spatial-diusion regime). As far as
dynamics, it is considered that the barrier region is so small that the potential is locally harmonic (though unstable).
In the case of very low damping, the particles no longer adhere to the Maxwell-Boltzmann distribution, and the
potential is no longer locally approximated as linear (energy-diusion regime). In this case action angle coordinates
are used along with averaging to obtain an escape rate estimate. Since the dynamics are nearly conservative, the
Liouville term is negligible and only the diusion terms of the Klein-Kramers equation prevail. Below we briey state
the results for both regimes.
3.9.3 Summary of Rate Equations
Kramers rate theory was established long ago but there is ongoing work with respect to special circumstances of
activation that are being applied as extensions to the original results. Below we summarize the original results and
some of the extensions in Table 3.1 and oer a brief description of how they were obtained. The regions in which
each rate equation is valid spans a space dependent on damping and amount of thermal energy as show in Figure
3.2.
Table 3.1. Summary of rate coecients
Case Type Damping Rate Derivation
A Arrhenius NA = e
U
Emperical work of Arrhenius, no
damping (no bath)
B VLD

m
J(UB) kT =

m
I(U
B
)
kT

A
2
e
U

U
mkT
e
U
Diusion equation for time average
of Action near saddle
C IHD

m
J(UB) > kT =

A
2
__
1 +

2
4m
2

2
B

2m
B
_
e
U
Linearized about summit, reaction
is function of positive eigenvalue.
D IHD

m
J(UB) > kT , lim
0
=

A
2
e
U
Recovers TST result (not physical)
E VHD

m
B =

A
2
m
B

e
U
Limit of IHD when

m
B or by
using Schmoluchoswki.
3.9.4 Intermediate to High Damping (IHD)
For strong friction (cases C & D of Table 3.1) where

m
I(E
B
) >> kT the damping is so strong that the equilibrium
distribution holds in all regions except near the summit. In this region around the summit, the dynamics are assumed
to be slow ( 0) and linear (a quadratic potential). Substituting these considerations into the Klein-Kramers
equation (3.48) we obtain the stationary diusion equation

2
B
q

p
+p

q

p
_
p +kT

p
_
= 0 (3.54)
30 3 Stochastic Dynamics, the Langevin Equation, and Escape Rate Theory
k
T
/

U
Ib/U
Kramers Conditions
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
Kramers low
damping
region
Kramers mid/high damping
region
No separation in time scale,
no formula in this region
Fig. 3.2. Schematic illustrating where Kramers formulae are applicable
where q

= q q
c
is the spatial deviation from the summit. After substituting the distribution
= (q

, p)e
(p
2

2
B
q
2
)/2kT
(3.55)
the stationary distribution is

2
B
q

p
+p

+p

m

p
kT

m

p
2
= 0 (3.56)
where (q

, p) is what is called a crossover function which varies as you move along the potential surface towards the
barrier. In this equation the coecients are linear in both displacement and momentum, and Kramers then simplies
the equation using the approximation = (p q

) (where is an unknown coecient determined by boundary

conditions). This simplies the equation to an ODE and using these approximations to calculate the number of
particles that cross the barrier in a unit of time he obtained the rate formula:
=

A
2
_
1 +

2
4m
2

2
B

2m
B
_
e

U
kT
. (3.57)
Notice that this is just a correction term for the prefactor in the Arrhenius relation and happens to be proportional
to the positive eigenvalue of the Langevin equation linearized about the saddle point at the transition state ( =

2m

_

2
B
+

2
4m
2
). Also not that in action coordinates, the energy loss per cycle is
J(U)
m
.
The second case of intermediate to high damping (case D of Table 3.1) is easily obtained by letting the damping
() go to zero in equation 3.57. This recovers the TST result but as mentioned before it lacks any validity because
of the neglect of the inuence of the bath. The assumption that the particles that approach the transition state are
in thermal equilibrium is violated when very low damping is present. This result also suggests that the IHD result
does not apply in the limit of low damping which is addressed with the VLD result below.
3.9.5 Very Low Damping (VLD)
When energy loss per orbit is much less than the thermal energy, there exists departures in the Maxwell-Boltzmann
distribution that are signicant enough that the transition dynamics can no longer be approximated linearly (this
occurs when J(U
B
)/m kT). In fact, in this case the oscillations themselves are nearly linear. Because of this,
using action-angle coordinates, Kramers reduced the dynamics into a single variable PDE (in terms of action only).
By considering the time scale separation and averaging over the angle variables he obtained a diusion equation in
the slow energy variables. This averaged equation is:
(

J, t)
t
=

J
_
1 +
2kT

J
_
(

J, t). (3.58)
This equation is transformed into energy coordinates and becomes
3.9 Escape Rate Theory 31
(

E, t)
dt
=

m

J
_

J(E) +kT

J(E)

E
_
(

E, t). (3.59)
This is a diusion equation in one variable (the action) where the diusion constant is D =
2kTJ
m
. Analysis of this
equation in terms of escape (VanKampen [2007]) reveals the rate constant as:
=

A
2
J(U
B
)
mkT
e
U
kT
(3.60)
which holds when J(U) << mkT.
Notice that in equation 3.60 the reaction rate goes to zero with zero damping which correctly captures the idea
that escape does not occur when there is no coupling to the bath (which is unlike TST). Kramers performed a lot of
analysis with respect to regimes and validity of these estimates but was not able to generate any conclusive results
in the case where J(U) mkT (the region between IHD and VLD). Since his work other authors have made
headway in this regards by more complex arguments and splicing of dierent eects but we do not present these
results to keep the discussion brief.
3.9.6 Very High Damping (VHD)
To obtain a very high damping result (case E of Table 3.1), equation 3.57 is taken as the limit of the damping
becomes large, resulting in the rate:
=

A
2
m
B

e
U
. (3.61)
The same result result can be obtained by analysis of the Smoluchowski equation which is in the form of a one-
dimensional diusion equation (an energy diusion equation) and in this case, it is not necessary to linearize the
Langevin equation. By considering the stationary solution and appropriate absorbing boundaries, using mean rst
passage time analysis techniques and the method of steepest descent, the escape rate can be determined. As mentioned
above, this rate is equivalent to equation 3.61.
3.9.7 Mean First Passage Times
The theory for escape processes discussed above describes the Brownian diusion of a particle across an energy
barrier. This work was developed using various approximations to the Fokker-Planck equation. Like this work, there
are many results for diusion of a particle which is described as a Markov process. In this case, a region with well
dened boundaries is dened and analysis is performed to determine when a particle leaves this boundary. The time
in which the particle leaves the boundary is termed the rst passage time. It can be shown that this time is indeed
a random variable and hence we study its mean, the mean rst passage time. The Markov process which pushes the
particle to the boundary can be described by many phenomena including Brownian motion. In addition, if a potential
such as the typical bi-stable potential as shown in Figure 3.1 is dened, this approach will regenerate Kramers results
in the very high damping limit. We develop this result below (see Balakrishnan [2008], Strantonovich [1967], and
VanKampen [2007] for background on this material).
We begin with the backward Kolmogorov equation which describes the behavior of the probability density as the
particle diuses within a well dened region Strantonovich [1967]
P
t
= K
1
(x
0
)
P
x
0
+
1
2
K
2
(x
0
)

2
P
x
2
0
(3.62)
where P(t) is the probability that x(t) never reaches the boundary (a or b) during the time interval [t
0
, t] starting at
a point x
0
. It is clear that P(t
0
) = 1 and P() = 0. The mean rst passage time is then
=
_

t0
P(t, x
0
)dt. (3.63)
Using this information and Equation 3.62, we integrate with respect to t from t
0
to resulting in the following one
dimensional ODE
32 3 Stochastic Dynamics, the Langevin Equation, and Escape Rate Theory
K
1
(x
0
)
d
dx
0
+
1
2
K
2
(x
0
)
d
2

dx
2
0
= 1. (3.64)
The boundary conditions for this equation are
(a) = (b) = 0. (3.65)
If we denote
(x

) =
_
x
M
2
K
1
(x

)
K
2
(x

)
dx

(3.66)
where M [a, b] (3.67)
the solution to this equation becomes VanKampen [2007]
=
_
a
x
dx

e
(x

)
_
x

b
dx

2
K
2
(x

)
e
(x

)
. (3.68)
When particle is experiencing one dimensional diusion according to the Smoluchowski equation
P(x, t)
t
=
1

x
U

(x)P +
kT

2
P
x
2
(3.69)
this general equation becomes
=
1
kT
_
b
a
dx

e
U(x

)/kT
_
x

dx

e
U(x

)/kT
. (3.70)
Furthermore, the potential near the summit can be approximated using a parabolic approximation as
U(x) U(b) [U

(b)[(x

b)
2
. (3.71)
Using this approximation, the entire expression reduces to VanKampen [2007]
=
2
_
U

(a)[U

(b)[
exp
U(b) U(a)
kT
. (3.72)
It is customary to let
_
U

(a) =
a
(3.73)

b =
b
(3.74)
which results in the escape rate as
1

=

a

b
2
exp
U
kT
(3.75)
which is Kramers equation for the the very high damping limit when m = 1 (see E in Table 3.1).
4
Dynamics, Symmetry, and Escape of Oscillator Arrays
When oscillators are coupled to other oscillators (either similar or dissimilar), forming a chain or array, new global
behaviors arise in the dynamics. Because oscillator chains exhibit many dierent behaviors, these models are used
to capture many dierent physical processes including distributed vibration systems (strings, bridges, etc.), wave
phenomena in various media, biological dynamics, and many more. In each of these cases, dierent phenomena
are usually targeted in the study which include but are not limited to oscillator synchronization, energy trans-
fer/resonance, localization behavior including localized excited states or localized traveling waves (solitons), and
other coherent phenomena including traveling waves on a ring (as found in combustion dynamics). These local be-
haviors include the existence of breathers which is one of the suggested mechanisms for activation in oscillator arrays
(although applicable only in the weak coupling limit). We briey discuss these dierent behaviors below.
4.1 Oscillator Synchronization
Synchrony in coupled oscillators refers to the same time oscillation among the dierent constituents of an oscillator
array. This response is typically measured as phase synchrony which is a variable that many oscillator systems can
be reduced to when characteristics of the amplitude of oscillation are unimportant (creating a phase only model).
Synchrony in multiple oscillators was rst discovered by Huygens in the 1600s and has been applied to the study
of electronic circuits, the response of large swarms of animals, and even neurological events (see Strogatz [2003], or
Kuramoto [1984]). The analysis of these oscillator arrays typically includes determining which oscillators are in synch
with others (either all, some regions, or spatial patterns on a ring, etc). Identifying existence of dierent possible
synchronous solutions and subsequently the stability of these equilibria is typically the main thrust of the analysis.
In this thesis we have not studied the synchronization properties of our oscillator array as we feel it is not the main
mechanism for the transition process. In addition to this, the synchronization phenomena typically includes weak
coupling while here we are investigating oscillators with strong coupling.
4.2 The Eect of Symmetry on the Response of an Oscillator Array
The dynamics of combustion processes in aircraft engines has been successfully analyzed using coupled oscillators on
a ring as a representation of the complex interplay between the acoustic environment and heat release that interacts
with it. Many dierent phenomena result from this interaction and in some cases, waves which rotate around the
annular combustor arise. These rotating waves produce large sound levels which make the engine inoperable at
some operating conditions. The eect of asymmetry in this annular combustor was studied and it was found that
altering the symmetry reduced the presence of these rotating (or traveling) waves. We will briey outline this study
here (details are in Eisenhower et al. [2008]), and connect the eect of asymmetry in oscillator arrays to our escape
problem in Chapter 6.
Thermoacoustic instabilities in gas turbines develop when acoustics in a combustor couple with an unsteady heat-
release in a positive feedback loop. Control of thermoacoustic oscillations is a rich eld due to the complexity of the
dynamics as well as the prominence of both land and air-based jet engines. These high-energy devices operate in a wide
range of operating conditions, all of which are highly nonlinear due to turbulence, combustion, and other extreme
34 4 Dynamics, Symmetry, and Escape of Oscillator Arrays
conditions. The oscillations lead to compromised performance, high noise levels, or catastrophic engine damage.
Current control approaches include avoiding operating conditions which exhibit large oscillations, and introduction
of additional dissipation including acoustic dampers or resonators, or in some cases active feedback control. The
rst option is detrimental in terms of marketing/engine use while redesign using dampers and resonators takes time
and adds weight. Active control is challenging due to actuator limitations including harsh conditions, high temporal
frequencies, and the limited amount of control authority a nite number of actuators oers. With these limitations
in mind, any approach that opens the operating envelope, and does not add weight or signicant complexity and
redesign is a valuable solution.
The combustion process on a annular domain can be represented as a pair of partial dierential equations:
u

t
= a
2
p

(4.1)
p
t
+
u

= p +q, (4.2)
Where u is velocity and p is pressure, is the spatial rotational coordinate, is a damping constant, a is the acoustic
wavespeed, and q is a driving heat release mechanism. The equations (4.1, 4.2) are self contained with the exception
of the heat release function. The heat released from combustion is most frequently modeled as a function of acoustic
velocity that contains a saturation like quality. With this in mind we denote the heat release contribution as:
q = [u] +[u
3
] (4.3)
where is a linear destabilizing eect, and is a parameter that introduces the limiting eect ( < 0 is chosen).
It has been shown that altering symmetry can have both destabilizing and re-stabilizing aects in spatial dynamics
on a circle Mehta et al. [2007] so in order to incorporate this into our model we introduce an asymmetry in the speed
of sound. A perturbation is added to the wavespeed in the form of the second spatial harmonic. The reason for this
choice is that using linear analysis in a previous study, it was found that altering the wave-speed in this pattern
eected the stability the most. The resulting spatially perturbed acoustic wavespeed is:
a = a
0
+

2 cos(2) (4.4)
where a
0
is a nominal wave-speed and is the asymmetry parameter with second harmonic preference.
Discretized equations are obtained by projecting the rotational coordinate onto spatial Fourier modes. The rst
two spatial modes are retained; sin(), cos(). If we then represent the velocity modes [u
sin
, u
cos
] as [x
1
, x
2
] we
obtain the following second order coupled nonlinear dierential equations:
x

1
+x

1
+ (a
2
0
)x
1
= x
2
(a
2
0
)
_

_
3

4
_
x
2
1
+x
2
2
_
__
(4.5)
x

2
+x

2
+ (a
2
0
+)x
2
= x
1
(a
2
0
+)
_
+
_
3

4
_
x
2
1
+x
2
2
_
__
(4.6)
The main point of the remainder of the work was to illustrate the stabilizing (and de-stabilizing) eects of both
the dominant heat release parameter () and the asymmetry parameter (). Bifurcation analysis can be performed
on the reduced order equations revealing a bifurcation which occurs due to increasing the strength of the ame ()
in Figure 4.1. This bifurcation indicates velocity (and thus pressure) oscillations in the combustor which results in a
large amount of noise. The unfortunate problem is that in many operating conditions during ight, it is a requirement
for the strength of the heat release to be at this value. The stabilizing eect of adding asymmetry to the combustion
dynamics is performed by investigating the behavior of the system under variations of the asymmetry parameter
. Taking a nonzero positive value for which insures oscillations in the dynamics, we perform the same type of
bifurcation analysis. The results show that increasing asymmetry provides a stabilizing mechanism as illustrated in
Figure 4.2. The most promising aspect of this analysis is that the stabilizing eect of adjusting the symmetry of
the dynamics does not rely on re-design or addition of heavy components including a controller. The asymmetry
can be adjusted in the combustor on the y by altering the fuel injection pattern. Because of this, this solution was
implemented and realized very quickly into the design process of aircraft engines at United Technologies (where this
work was originated).
4.3 Energy Transfer and Resonance in Oscillator Arrays 35
0 0.1 0.2 0.3 0.4 0.5
10
8
6
4
2
0
2
4
6
8
10
Bifucation Diagram
Bifurcation Parameter ()
S
y
s
t
e
m

P
a
r
a
m
e
t
e
r


Stable Fixed Point
UnStable Fixed Point
Hopf Bifurcation
Periodic Orbits
Fig. 4.1. Bifurcation solutions representing the destabilizing eect of the parameter
0 0.1 0.2 0.3 0.4 0.5
10
8
6
4
2
0
2
4
6
8
10
Bifucation Diagram
Bifurcation Parameter ()
S
y
s
t
e
m

P
a
r
a
m
e
t
e
r


Stable Fixed Point
UnStable Fixed Point
Hopf Bifurcation
Periodic Orbits
Fig. 4.2. Bifurcation solutions representing the stabilizing eect of the parameter
4.3 Energy Transfer and Resonance in Oscillator Arrays
Internal energy transfer enables the redistribution of energy throughout an oscillator array, and as we discussed in
Section 2.6, resonance is a key enabler to this process. This is important because during the activation process,
energy is transferred from wherever it is initially placed in the initial condition to the transition mode. In high
dimensional systems, which contain many frequencies, energy transfer due to resonance is intuitively expected unless
the frequencies of the system are widely disparate. However, as it turns out, this resonance only occurs in very
specialized dynamics.
There is a signicant amount of background research on energy transfer in oscillator chains in the context
of unimolecular chemical reaction rate theory (see a review in Uzer and Miller [1991]). Historically there are two
dierent schools of thought for the mechanism of energy transfer leading to reaction in these chains. The rst
school of thought was originated by Slater (Slater [1959]) and assumes that the molecule is a collection of harmonic
oscillators, and energy is not shared between its modes. The reaction or transition process only occurs when a
certain reaction coordinate reaches a critical point forced by a superposition of the other modal displacements.
The second school of thought was founded by Rice-Ramsperger-Kassel-Marcus (RRKM) (Marcus [1952]) which is
an approach that assumes that energy is statistically distributed among modes prior to reaction. This theory is
similar to that of Kramers theory in that the size of the problem is signicantly reduced (statistical motion along
the reaction coordinate is independent of other degrees of freedom) and has proven itself to be widely accurate in
many situations. The hypothesis of statistical distribution or energy equipartition (see Chapter 3) between all modes
of a system is intuitive but not always the case. As Fermi-Pasta-Ulam (FPU) (Fermi et al. [1955]) illustrated there
can be a lack of energy relaxation or energy sharing even in a very simple model. Later Ford [1961] pointed out
that the FPU dynamics lack a mechanism for internal or Fermi resonance which is the key enabler for internal
36 4 Dynamics, Symmetry, and Escape of Oscillator Arrays
energy distribution. The two theories coalesced with the emergence of the work of Kolmogorov-Arnold and Moser
(KAM) which made the connection between essential nonlinear resonance and ergodicity (see Uzer and Miller [1991]
for review). More recently, a class of near-integrable systems (similar to our chain of coupled oscillators) have been
studied in Forest et al. [1992] and Ercolani et al. [1990] where equipartition of energy and dynamic properties related
to integrable instability theory of partial dierential equations were investigated.
Our models are a great example of this phenomena. The coupling between the oscillators in our system create
strong Fourier modes as the fundamental basis of the dynamics. The frequencies of these Fourier modes are not integer
related and therefore no resonance or energy transfer exists. However, the introduction of local on-site nonlinearities
perturbs these frequencies when the system evolves in time. It is when these frequencies are perturbed that energy
transfer occurs ultimately leading to the escape/reaction of the chain.
4.4 Localization in Oscillator Arrays
Energy localization occurs when a series of homogeneous coupled oscillators experiences a local phenomena where
most oscillators are nearly stationary and a certain local subset experiences high amplitude oscillation. These local
states are also referred to as breathers or intrinsic localized modes (ILM). Good references on this subject are
the proceedings found in Vazquez et al. [2002] or Dauxois et al. [2004] or the paper Peyrard [1998]. Breathers are
stationary in space while on the other hand, a soliton is a similar phenomena in which a solitary wave which maintains
it shape travels down a continuous medium or array of oscillators Dauxois and Peyrard [2006] (it is like a traveling
breather). Breather solutions have been discovered in many dierent types of models including both the Sine-Gordon
and nonlinear Schrodinger equation among many other systems including Hamiltonian lattices.
Because breathers are states with high amplitude oscillation, they may play a key roll in the activation or
reconformation process of a metastable oscillator array. The excitation of these breathers is commonly known as
Targeted Energy Transfer and great progress has been made in this context to understand the analytical conditions
needed in both generic and biological systems (Memboeuf and Aubry [2005] and Aubry et al. [2001]). One of the
necessities for breather solutions is weak coupling. That is, when coupling is strong, localized solutions are discouraged
as the entire oscillator will be pulled along with those oscillators which are excited. However, there is a research group
which studies escape of oscillator arrays in the weak coupling limit and we briey summarize their results below.
4.5 Escape of Oscillator Arrays
In systems where the strength of the coupling is of the same order as the strength of the local nonlinearity, neighboring
oscillators do not restrain each other from excursions across local barriers. These excursions or breathers initiate the
transition process of the entire chain. In Hennig et al. [2007] it was shown that the transition process of an entire
oscillator array occurs when combination of small breathers merge into larger breathers with enough strength to
pull the entire oscillator array over the barrier. In Hennig et al. [2008] the same authors developed an analytical
calculation for the transition process considering a single oscillator (which represents a breather) diusing through a
separatrix layer and subsequently pulling the other oscillators along. This theory does not work in our setting since
the coupling strength is much greater than the local nonlinearity and excursions of a few oscillators and formation
of breathers is discouraged. We nd that it is not excursions of individual or groups of oscillators that drives the
transition process but rather dynamics of the mean position of all oscillators. In fact, we show that in the time-
averaged sense, the dynamics of the mean position and velocity are sucient to predict properties of the activation
process.
Part II
Studies: DNA-inspired model, and Bi-Stable Cubic Model
5
Morse Model
5.1 Background on Biomolecules
In this section we introduce our rst application which is a study of the dynamics of a model inspired by the coarse
behavior of DNA. As a means to this end, we introduce the general structure and biological form of DNA, discuss
some of its normal function, and present some information about typical modeling approaches and currently existing
models. We then proceed by discussing the details of our model and the analysis of it. Wonderful introductory texts
on biomolecules and DNA function (with a focus on modeling) can be found in Hinchlie [2000] or Yakushevich
[1998].
5.1.1 Structure of DNA
A biomolecule is an organic molecule which is constructed of a few selective fundamental elements (e.g. carbon, hy-
drogen, nitrogen, oxygen). Biomolecules range in size from small (carbohydrates, lipids, hormones, etc.) to monomers
(Amino acids, etc.) to larger polymers (peptides, nucleic acids, cellulose, etc.). These larger polymers are of interest
to us because of their dynamic complexity. The two major classes of these larger biomolecules are (1) proteins, (2)
nucleic acids. DNA is one type of nucleic acid and acts as the genetic instructions for all known living organisms
(as well as some viruses). To give an idea of magnitude, DNA in the human genome is arranged into 24 distinct
chromosomes, and each of these molecules has between 50 and 250 million base pair components.
The basic construction the DNA helix consists of two linear polymers, each of which has monomeric units of
nucleotides which contain sugar, phosphase, and a heterocyclic base (which can be either A/G: purine, or T/C:
pyrimidines). Each strand is polarized by its end (which is denoted 3 or 5), and when in a helix, each strand connects
using opposite end-to-end polarity. To form the helix, the bases connect through a Hydrogen bond preferentially based
on either A-T or G-C pairing. This sequence of alternating connections creates the signature of each DNA strand
and is dierent in dierent organisms. The energy of base-to-Hydrogen bonds is dierent for A/T vs G/C bond by
an order of 2. Since the types of bonds vary as you move down the strand, its strength also varies which alters the
susceptibility of portions of the DNA helix to external inuence from environmental triggers (i.e. to open for normal
functioning).
DNA is typically pictured in literature as a helix which seems to have innite ends. In fact, it is most often coiled
and is most inactive in its uncoiled or straight state. It is believed that these coils (or supercoils) are found in at
least one stage of its biological life cycle. Coiling is proposed to be needed for 1) packing into cells, 2) making it the
strand more active, or 3) accumulation of energy. It is also thought that enzymes control the circular formations of
DNA, and in certain viruses, the double helix closes in on itself Vologodskii [1992]. In this study, our model has a
periodic boundary to capture this coiling eect.
DNA has many dierent conformations depending on the sequence of pairing and the amount of coiling as well as
other conditions including environmental eects. The three most common conformations are A-DNA, B-DNA, and
Z-DNA. The B-DNA conformation is most prevalent in cells, while other conformations may exist due to inuence
from chemicals or other environmental impact (e.g. dehydration).
40 5 Morse Model
5.1.2 DNA Dynamical Behavior
It may seem that the signature of DNA is complicated enough, but as a matter of fact, the static description is
not even enough to describe the entire function. In fact, some chemical reactions that seem impossible may only
be explained by the response of temporary large molecular distortions Dauxois et al. [1993]. So what is needed for
a full understanding of DNA behavior is a dynamic representation of the molecule itself. This becomes a challenge
because DNA is exible, it has a large number of degrees of freedom, and is somewhat inhomogeneous. To compound
this even further, DNA reacts with much of its environment including drugs, carcinogens, mutants, dyes as well as
the properties of the local thermal bath including temperature. As an external manipulation, drugs can be slid in
between the base pairs of DNA, the helix is stretched and unwound in order to accomplish this. Proteins may become
attached to the DNA helix, and the rst attachment may create a disturbance that propagates down and allows the
second protein to attach even when far away. Attachments like this, including carcinogen attachment, leads to strong
distortions in the DNA structure.
As we mentioned above, DNA can move between the A,B, and Z conformations. This mobility can be caused by
many things including properties of the thermal bath, collisions, or local proteins, drugs, or other ligands. DNA is
usually in the B-form, but may change to the A-form for certain fragments of the chain because of external conditions
or protein attachment. However if there exists less that 30% G-C pairs in a section B-A transition is challenging.
B-Z transitions also occur but the reasons and evolution of this process is less understood.
The time scales of DNA dynamics are on the order of femtoseconds to seconds. On the nano-second scale (of which
we are probably most interested) there are solid-like motions of sugars, phosphates and bases including: conformation
transitions, gene regulation, DNA-protein recognition, energy transmission, and DNA denaturation.
Mechanically, the opening of DNA is due to large amplitude oscillations imposed either by other molecules (pro-
teins apply forces to unzip and stretch DNA Cocco et al. [2001]) or from other environmental conditions. Physically,
the separation of the double Helix (unwinding, opening, melting, denaturation) is caused by two reasons 1) rotation
of the bases, 2) transverse displacements in the strands, each of which breaks the Hydrogen bonds. One common
explanation is that the opening of the double helix is due to breather phenomena as described in Section 4.4 which
is analogous to the kink and anti-kink solutions of the Sine-Gordon equation for example.
On the other hand, in the work of Baldini et al. [2005] it was found that before unfolding there are several
periodic oscillations between conformations with frequencies dependent on the molarity of the denaturant. In fact,
it was found that by applying external periodic forcing at these resonant frequencies, these oscillations resonate and
are amplied. This experimental data supports a concept of global coherent behavior that enables rapid changes in
conformation rather than a slower process in which energy travels down the strand. This coherent behavior is what
we are investigating in this thesis.
Two of the most signicant dynamical behaviors of DNA are denaturation (where the molecule falls apart due to
thermal agitation), and transcription/replication. The rst is typically an unwanted process but is studied because
of its detrimental eects while the second process is a normal function of the molecule. We present a summary of
these two processes below.
Denaturation
Denaturation of a biomolecule is the process in which it loses its stable structure due to external environmental
inuence. These inuences may include presence of acids/bases, organic solvents, or heat. The change in structure
is clearly evident for example in food when it is cooked and changes its consistency. Many feel that the process of
denaturation is initiated by a breather state that opens a portion of the strand and proceeds down the chain. It has
been found that denaturation is highly tied to temperature (which breaks bonds), although at temperatures below
denaturation macromolecules do open and close as a normal function Dauxois et al. [1993]. Denaturation in DNA
occurs when a signicant amount of hydrogen bonds are broken separating the strands of the helix, and if these
bonds are re-formed too quickly, the strand will realign improperly which damages its signature. Because of this,
denaturation is one of the most commonly studied dynamic phenomena in DNA dynamics.
Transcription and Replication
Denaturation is an unwanted function while two of the main desired dynamical behaviors of DNA are transcription
and replication. When cells divide as their normal function, they need to take some of their identity (the DNA
5.2 Typical DNA Models 41
signature) with each division. In order to do this, the DNA code is replicated with the help of DNA polymerase.
Transcription on the other hand is the passage of information in the DNA strand onto a RNA messenger.
The process of replication takes a single DNA helix and produces an identical copy of it (which is taken with the
daughter cell in cell division). To initiate the replication process, a specic xed location on the DNA strand called
the origin is targeted by a protein to separate the double helix. These initial proteins then call in other proteins to
help separate the helix even further, creating a bubble or a fork-like shape (the two tongs of the fork are the two new
DNA strands). Once split, the two forks are rebuilt into stable helixes with the same paring (identity). This process
continues down the original strand until it is completely split into two forks and eventually replicated.
In the transcription process, information stored on mRNA is transferred into a linear sequence of amino acids by
an enzyme (RNA polymerase) that selectively unzips 20 base pairs at a time reading the information in the DNA
code. That is, the gene information in the DNA strand is copied into an auxiliary nucleic acid (messenger ribonucleic
acid, mRNA). There are three stages to this transcription process: initiation where the polymerase binds with a
promoter region, elongation where a small fragment is release from RNA and moves along the molecules, and nally
termination which closes the helix back up. During all of these processes waves are transmitted down the strand (as
solitons) and it is thought that inhomogeneity along the strand alters the dynamics of these solitons and ultimately
terminates the transcription process.
The process of opening the DNA helix that occurs in denaturation, transcription or replication is one of the
processes we are seeking to better understand in this thesis.
5.2 Typical DNA Models
Modeling biomolecules or DNA is essential to be able to better understand its normal function including response
to environmental stimuli including medicine. However, because of its size and other experimental challenges, when
modeling DNA structure and dynamics, there is very little information about the bonding, specics of electrical
properties, quantum eects, and interaction with the local environment. Below we discuss typical DNA models and
how some of these uncertainties are addressed. The dierent types of models we discuss below are characterized by
delity which in turn denes the functions that the models can approximate. The types of models are separated
into linear models which mostly capture the linear frequencies and nonlinear models which capture more of the large
amplitude behavior like conformation change and denaturation.
Linear Models
There are many dierent types of linear models which capture DNA dynamics. These dierent models are character-
ized by the number of constraints imposed on the motion. The coarsest model considers each strand as a single rod
and this assumption is relaxed as the delity is increased leading up to models which capture cartesian movement
on the atomic level.
Single Rod Model
The rst order linear model is a rod model where one single rod captures the dynamics of the entire double helix. The
Hamiltonian is divided into stretching, twisting, and bending contributions as well as interaction terms between each
of these functions. This model has been developed because spectral separation between modes (i.e. stretching/torsion
vs. bending) has been found in data. There exist closed form solutions (decoupled plane wave solutions) in time and
the frequencies for these equations may be easily found.
Double Rod Model
A second level model is the double rod model which has two backbones each of which is modeled as a single rod. In
this model, the Hamiltonian has contributions from two strands and more interconnection terms. Upon analysis of
this type of model it is found that the frequencies have six branches, three acoustic, and three optical.
42 5 Morse Model
Cartesian Model
For the third level model, dominant motions are chosen, which may lead to up to 36N DOF (N is the number of
atoms). However, typically this is too much information and several atoms are grouped as subunits and the motion
of these subunits are analyzed instead. An example of such a model has x vs y motion in the nucleotides, torsional
motion in the nucleotides, and two motions in the sugar rings. This leads to an 8N model which is often larger than
needed for most types of analysis (only a 2N model is really needed to study denaturation for instance).
Normal Mode Model
The fourth level of linear models are described by a superposition of normal modes. In this case, atomic trajectories
are described by contributions from 3N-6 Normal modes. These linear solutions are combinations of plane waves
(phonons). The methods for analyzing this is to begin by transforming the system into normal coordinates and
studying the spectra of the linear matrices. Although this approach can lead to the highest delity models, often
times transitions and re-conformation in molecular systems can be described using only just a few modes. The lowest
order modes oer the most information about correlated movements. In fact, out of all the possible degrees of freedom,
basic biological processes (i.e. DNA replication, transcription, and maintenance) explore only a small subspace of all
possible movements. In fact even a one mode model is sucient for the design of novel drugs to prevent opening and
closing from occurring in bacterial or viral DNA-dependent polymerases Delarue and Sanejouand [2002].
5.2.1 Nonlinear DNA Models
Large amplitude oscillations which occur during conformation transition, denaturation, or formation of open states
for recognition or transcription need nonlinear theory to fully describe the behavior. The most common approach
for nonlinear models is to model the DNA strand as a chain of coupled oscillators. The approach to modeling the
rotation of DNA bases using coupled pendula dates back to Englander et al. [1980] where dierent wave phenomena
including solitons and breathers were studied. This model was described as an array of coupled pendula which can
be approximated in continuous form as Sine-Gordon dynamics. Sine-Gordon solutions have solitons which have both
kinks and anti-kinks, phonon solutions (linear behavior), and breather solutions (nonlinear behavior). Nonlinearity
in this model may enter in both coupling and on-site potential terms.
Certainly, specifying the nonlinearity in a model like this is a signicant challenge when the data is limited. In
fact, there is not much understanding on the atomic level of the exact forces that hold the DNA strands together.
However, in Cocco et al. [2001], forces for separating base pair bonds are compared between a static model and
Atomic Force Microscope experiments with good agreement. In this study it was discovered that a 12.0 pN force
is needed for strand separation (it was also found that the double Helix has greater rigidity than a single strand).
A second study investigating the force vs. displacement characteristics of mechanically perturbed proteins is found
in Li et al. [2001], and others exist in literature. In summary, one of the most common nonlinear potentials that
captures on-site nonlinearity is the Morse potential, which captures both the attraction from the hydrogen bonds
and repulsion from the phosphate groups. We will use this nonlinear potential for the on-site forces in our model.
Aside from the peculiarities of the on-site potential, there are many nonlinear models available in literature. In
most cases, each model is created and analyzed to answer questions about one particular function. For instance, a
model for denaturation is found in Dauxois et al. [1993] where it was found that the frequency of phonon waves in the
strand decreases with increasing temperature, which may explain some of the opening behavior during this thermal
process. In Theodorakopoulos et al. [2000] denaturation is studied as a process where excitation of phonons drive
the molecules outside of their stable potential well. Similarly, in Muto et al. [1990] it is suggested that the number
of thermally generated solitons is a function of the number of base pairs in the simulation as well as temperature. A
model which captures the statistical processes of the DNA signature using 2-state model with stochastic diusion,
and is compared to data with good agreement is found in Allegrini et al. [1995]. Some of the most commonly reference
models for thermal denaturation that captures some aspects of both replication and transcription come from Peyrard
[2004] and Peyrard and Bishop [1989] and other publications in that group. Our model has many similarities to the
structure of these models.
In the remainder of this chapter we will briey outline the characteristics of the model used in the current study
to approximate DNA function and present our results on the mechanism for conformation change and its relevance
to the geometric structure of an external perturbation. With insight into this, we will then describe the internal
behavior of the system as energy transfer within the spectrum of internal modes. We present a prediction of the
necessary activation energy as well as the graph theoretic behavior during energy exchange and transition process.
5.3 Our Model 43
5.3 Our Model
We model the nonstatistical behavior of this system as a set of nonlinear Ordinary Dierential Equations. For our
modeling purposes we begin by untwisting the double helix which results in two backbones with nger-like appendages
representing the base pair/Hydrogen bond interactions. The dynamics of these appendages are captured as pendula
which rotate on the rigid backbone (which have periodic boundary). We allow the rotation on one backbone to
dominate and constrain the other to be xed (schematically pictured in Figure 5.1).
Fig. 5.1. Schematic of the DNA-inspired model including the xed and free backbone. For the analysis to follow, the angle
= 0 is dened as the upper pendula in the down position.
The forces that drive the motion are contributed from a strong harmonic nearest neighbor potential (torsional
spring force) and weak anharmonic force from a pairwise Morse potential between each free and xed pendula (see
Figure 5.2).
Fig. 5.2. Schematic representation of the immobilized and mobile strands which approximates the Hydrogen bonds of the
DNA double helix
44 5 Morse Model
With the appropriate distance function for the Morse potential, each pendula possesses two stable equilibria at
an angle close to that of the xed strand ( = 0). Conformation change is dened as the movement of all pendula
from one equilibria to the other.
This model is very similar to the popular Peyrard and Bishop model Peyrard and Bishop [1989] while their model
describes translational motion by way of stretching the Hydrogen bonds and our model considers rotation on the
backbone. The model described in this chapter is exactly the same as in Mezic [2006], Eisenhower and Mezic [2007],
Eisenhower [2007] and DuToit et al. [2009].
The model consists of entirely conservative, deterministic dynamics and the constant Hamiltonian for a macro-
molecule containing N Hydrogen bonds (pendula) is:
H =
N

k=1
p
2
k
2
+
_
e
a
d
(h(1cos(
k
))x0)
1
_
2
+
1
2
(
k1

k
)
2
, =
1
2a
d
hL
2
(5.1)
where a
d
is the Morse decay constant, h is the length of the pendula, x
0
is an equilibrium distance in the Morse
potential and L is a parameter that re-scales time. The coordinate system includes the angle of a single pendulum
(
k
) as well as its angular velocities (p
k
) which denes a positive denite kinetic energy landscape. For the numerical
studies in the remainder of this document the following nominal parameters are used L = 10, h = 10, a = 0.7, x
0
= 3
(which makes a small parameter). A plot of the Morse force using these parameters is presented in Figure 5.3.
4 3 2 1 0 1 2 3 4
0.1
0.08
0.06
0.04
0.02
0
0.02
0.04
0.06
0.08
0.1
Angle ()


Morse Force
Fig. 5.3. Representation of the force from the Morse potential which approximates the Hydrogen bond interaction in the
DNA model.
At this point, to partially familiarize ourself with the nonlinear aspects of the nominal model we plot contours
of constant energy for a single pendulum in Figure 5.4. The horizontal aspect of the state space is modular 2 with
a symmetric potential landscape containing two wells. This bistability is the key feature of the model that allows
conformation change. As it turns out, because of the strength of the linear coupling term which keeps all pendula
angles in a small variance region around the mean angle, the state space contours for a single pendulum is nearly
equivalent to those for the average angle/velocity of all pendula (this is important and will be discussed below).
Dierent equilibria arise from both the linear and nonlinear potentials in this system (illustrated by the red
and green dots in Figure 5.4). For the nonlinear potential there are four equilibria
eq
= 0, , arccos(1
x0
h
)
the rst two are unstable while the last two are linearly stable. The energy associated with these equilibria are
0.03668 N, 0.000714 N, 0, 0. From this we see that in terms of barrier height, it is easier to traverse the top of
the pendulum swing (through ) rather than through the bottom. For the linear potential, the equilibrium condition
is to have all pendula in a straight line (or an integer number of twists). In summary, the linearly stable equilibrium
for the entire system is when all pendula are aligned and at one of the two locations arccos(1
x0
h
).
5.3 Our Model 45
0 1 2 3 4 5 6
0.05
0.04
0.03
0.02
0.01
0
0.01
0.02
0.03
0.04
0.05
Contours of Constant Energy
Position ()
V
e
l
o
c
i
t
y

(

)
Fig. 5.4. Energy surface contours for a single pendulum, the red and green dots are unstable and stable equilibria respectively
Numerous numerical experiments have been performed on (5.1) which illustrate that by even very modest per-
turbation (in as few as one pendulum) the entire system regresses to a collective behavior and re-conforms. One of
these characteristic simulations is presented in Figure 5.5 where 30 pendula are simulated with only a few disturbed
as an initial condition.
Fig. 5.5. Example simulation of the re-conformation process using 30 pendula. Notice how the average of all angles (upper
plot) is very close to the angle positions themselves (lower plot)
The goal of this study is to illuminate the dynamical mechanism for this behavior. In order to do this we perform
a series of nonlinear (albeit canonical) coordinate transforms to reveal dierent aspects of the dynamics. Because of
the periodic boundary condition and translational invariance along the backbone, the spatial empirical eigenfunctions
are Fourier modes Lumley et al. [1996]. To gain further insight into the dynamics along these coordinates we project
the nominal model onto this basis using the normalized Discrete Fourier Transform (DFT). The projection matrix
(/) for this procedure is a N N linear orthogonal matrix which is a symplectic mapping between the original
variables (, p) and the modal coordinates
_

, p
_
(/ is the same matrix as 2.15 in Section 2.2.3). The transformed
coordinates and transformed Hamiltons equations take the form (bold characters refer to vectors):
46 5 Morse Model
_

, p
_
= (/, /p)
_
_
_

=

f
_

, p
_

p = g
_

, p
_
_
_
_
(5.2)
With this transformation, we have a decomposed (albeit coupled) system which has a single highly nonlinear
mode (the zeroth mode, which is the average of all original pendula angles) and a series of nearly linear modes
each representing a dierent spatial wavenumber. The nonlinear mode has two rank 1 saddles whos state space
is approximately equivalent to what is presented in Figure 5.4. A typical simulation showing the response of the
dierent modes is presented in Figure 5.6.
0 1 2 3 4 5 6
0.5
0
0.5
A
n
g
u
l
a
r

V
e
l
o
c
i
t
y
Angle
Response of System in Modal Coordinates
0.200.2
0.1
0
0.1
0.200.2
0.1
0
0.1
0.100.1
0.1
0
0.1
0.100.1
0.1
0
0.1
0.100.1
0.1
0
0.1
0.100.1
0.2
0
0.2
0.100.1
0.2
0
0.2
0.100.1
0.2
0
0.2
0.100.1
0.2
0
0.2
0.100.1
0.2
0
0.2
0.100.1
0.2
0
0.2
0.100.1
0.2
0
0.2
0.100.1
0.2
0
0.2
0.100.1
0.2
0
0.2
Fig. 5.6. Position and velocity coordinates for a typical activation process. Each subplot has position on the independent axis
and velocity on the dependent axis. The top subplot is the 0
th
mode and starting at the upper left, the small subplots are
modes 1-14.
This structure becomes more apparent in action-angle coordinates where the system takes the following form
(after using the transform rules 2.19):

0
= J
0

J
0
= g
0
(J, , )
,

i
=
i
+f
i
(J, , )

J
i
= g
i
(J, , )
(5.3)
where J
i
R and
i
R are the i
th
action and angle, and
i
R is the rotation number or linear angular frequency.
Because of the canonical nature of these coordinate transforms, high order spatial modes can be truncated without
altering the structure of the dynamics. With this in mind, the indices follow nonzero wavenumbers i = 1, 2, . . . M1
and M < N is dened as the dimension of this lower order model. It should be noted that the resulting Hamiltonian
is of the type which can be parsed into a zero-order regular Hamiltonian which is functional to only action (not
conjugate angles) and terms of small order (O()). This can be seen by noting that the angle coordinates for all
modes with nonzero wavelength have a predominately linear periodic response and the action equations in linear
limit are stationary. We also remark at this point that the independent linear natural frequencies (
i
) for each mode
are not rationally commensurate and contain no spectral gap in their values (as described in Section 2.2.3). That
is to say, the model is strongly linear and the purely linear portion contains no resonance terms or signicant time
scale separation (however, this does not mean that the system never goes into resonance).
5.4 Activation Thresholds 47
5.4 Activation Thresholds
One of the goals of this study is to characterize the threshold between the two stable global equilibria and how
this threshold changes according to the spatial structure of energy injected into the system. In the state space, the
threshold is dened as the midpoint between the two stable equilibria in the symmetric potential (which is straight
upwards in Figure 5.1). The global energetic threshold then becomes the amount of energy needed to motivate all
pendula from one potential well over this point in space toward the second equilibrium. We will quantify this energy
threshold in two ways; rst by numerical simulation, and second by analysis of a perturbed model obtained from
temporal averaging.
To quantify the activation threshold using numerical simulation, deterministic numerical experiments were per-
formed while initializing the system with dierent shapes of initial energy. The results below are equivalent if this
initialization is performed in purely potential or kinetic energy. To address the well known problem of numerical
dissipation we use geometric numerical integration which exploits the symplectic structure of the equations of motion
and have good conservation properties (see Section 2.4).
For each experiment, the initial conditions for Hamiltons equations obtained from (5.1) were chosen as a single
Fourier mode and its amplitude was increased to vary the amount of initialized energy. Using the simulation time
in which the average of all pendula angles rst exceeds the spatial threshold ( = ) we obtain a graph of the time
needed to activate vs. energy injected into the system for each pure Fourier mode (Figure 5.7). It should be noted
that the typical no-return assumption in TST held using this threshold in all numerical experiments for this model
(see Section 3.9).
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
500
1000
1500
2000
2500
Perturbation Energy
T
i
m
e

f
o
r

C
o
n
f
o
r
m
a
t
i
o
n

C
h
a
n
g
e
Time for Conformation Change vs. Perturbation Amplitude and Shape (mode shape)


0
1
2
3
4
5
6
7
8
9
10
11
12
13
RNDM
Fig. 5.7. Activation time vs. initial energy for initial conditions in one of each of the Fourier modes. The legend refers to the
wavenumber in which energy is injected.
Notice that there is signicant dierence in the amount of energy needed for conformation change depending
on the way this energy is injected into the system. In addition, notice that the curves are well behaved and have
a clear asymptote at their low energy limit, which we will call the minimum activation energy. To investigate how
some of the parameters in the model aect this response, we varied the strength of the nonlinear potential (). In
Figure 5.8 we present these results for just two modes which illustrates that a stronger on-site nonlinearity accelerates
the activation process (this occurs for all modes; we are just keeping the gures clean). Now that we have a better
understanding of the activation process in general, we will present a method to obtain the minimum activation energy
using an analytical approach which reduces the dimension of the system through averaging.
48 5 Morse Model
0 0.5 1
0
500
1000
1500
2000
Initial Energy
A
c
t
i
v
a
t
i
o
n

T
i
m
e
Mode 1


= 0.01
= 0.001
= 0.0001
0 0.5 1 1.5 2
0
200
400
600
800
1000
1200
Initial Energy
A
c
t
i
v
a
t
i
o
n

T
i
m
e
Mode 5


= 0.01
= 0.001
= 0.0001
Fig. 5.8. Activation time vs. initial energy in the Morse model as a function of .
5.4.1 Averaging
The second approach to obtain the minimum activation energy uses analysis of a perturbed set of equations obtained
by averaging. However, our system exhibits behavior which sends it in and out of resonance (see Section 2.3) and
because of this, to better understand the behavior as the system travels through resonance, we rst present numerical
results of simulation in the action-angle coordinate system. To illustrate exchange of energy during a targeted initial
condition response, we simulate the action angle system (5.3) with seven modes (M = 7) and an initial condition on
the rst mode of J
1
(t = 0) = 0.3 which is enough initial energy for conformation change. Figure 5.9 illustrates the
response to this initial perturbation.
0 100 200 300 400 500 600 700
0
0.05
0.1
0.15
0.2
0.25
A
c
t
i
o
n
s
Transfer during Conformation Change


I
1
I
2
I
3
I
4
I
5
I
6
0 100 200 300 400 500 600 700
0
2
4
6
A
n
g
l
e
Time

0
Equilibria
Fig. 5.9. Time simulation illustrating conformation change by the average angle (0) going from one equilibrium to the other.
This transition does not occur immediately but only after sucient exchange of action occurs in the system. Exchange in
action occurs in resonant zones observed in wild oscillation of action adjacent to regions of relative calm.
Notice the two distinct behaviors evident in the numerical response; there are time periods where the action
remains constant, and short intervals where action varies wildly. It can be veried using the criteria in Equation 2.53
5.4 Activation Thresholds 49
that it is in these intervals where energy is exchanged through internal resonance. This behavior occurs when the
zeroth mode traverses the portion of the state space with large nonlinear gradient, and the term in the Hamiltonian
(5.1) dominates. Outside of these resonance zones the dynamics evolve on an integrable manifold dened by constant
action. We will now show that a reduced system can be obtained through averaging that captures the interplay
between these integrable constant action manifolds and the behavior in conformation change.
We average the dynamics as in Section 2.3 by integrating over all of the higher order angle dynamics which reveals
reduced order action angle equations that capture the state space outside of resonance (for this system we are forced
to perform this the averaging integral numerically):

J
0
(t) = g(

J
0
(t),

J
1
, . . . ,

J
M
,

0
) (5.4)

0
(t) =

J
0
(t).
The time dependencies are explicitly presented to illustrate that the action of all of the nonzero Fourier modes are
now constant and play a parametric role in the nonlinear state space of the zeroth mode. In fact, these values re-shape
the state space in a way that promotes activation and with this low order model we can estimate activation energies.
As illustrated in Figure 5.4 the bistable state space is separated by areas where the pendula experience libration in
one or the other well, as well as a foliation of manifolds in which rotation occurs. In the process of conformation
change, the zeroth mode must enter this path of rotation in order to proceed to the second well and this is the key
to estimating activation energy.
The amount of activation energy needed from high order modes can now be approximated using the averaged
representation of the model. The condition needed to cross the energy barrier is when the higher order actions drive
the equilibrium of the zeroth mode across the separatrix between libration and rotation. If we consider the averaged
potential energy of the system

| =

H

J
0
we have the condition for activation as:

|(

0
=

eq
, J
1
, J
2
, . . . J
M
) =

|(

0
= , J
1
, J
2
, . . . J
M
) (5.5)
where

0
is modal coordinate representing the average of all angles, and

eq
is one of the equilibrium positions (again,
the barrier is ). The eect of reshaping the potential by high order action resulting in the breach of the separatrix
by the original equilibria is presented in Figure 5.10.
0 1 2 3 4 5 6
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
0.1
Average Angle
P
o
te
n
tia
l
0
1
2
3
4
5
6
0.1
0
0.1
0.03
0.04
0.05
0.06
0.07
0.08
0.09
0.1
Average Angle
Average Momentum
P
o
te
n
tia
l
Increasing
Action
Separatrix
Original equilibrium
no longer in
potential well
Fig. 5.10. The eect of high order action on the state space of the zeroth mode in the averaged system. The left hand gure
shows the way that the eective potential is altered with increasing a single higher order action (J1 for example) which moves
an original equilibrium outside of its potential well. The right hand plot shows that with sucient high order action the
separatrix is traversed with the original equilibrium.
With knowledge gained from the approximate model, we revisit the quantication of minimum activation energy
determined by the vertical asymptotes of Figure 5.7. We take these asymptotic values and compare them with those
obtained from criteria (5.5) in Figure 5.11 showing good agreement.
The data presented in Figure 5.11 reveals interesting qualities of the activation behavior of this system. In the
right hand plot we see that perturbation in wave numbers greater than 5 still undergo conformation change over
the top (through ) while its energy is much larger than the other saddle energy at = 0 which suggests behavior
that can be explained only by high dimensional analysis. In addition to this, in the left hand plot we see that the
amount of energy needed for conformation change is well behaved and increasing with respect to the wave number
50 5 Morse Model
0 0.5 1 1.5 2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
Temporal Frequency [rad/sec]
A
c
t
iv
a
t
io
n

A
c
t
io
n
Amount of Action Needed for Activation as a Function of Perturbation Shape


Numerical
Averaging
y = .88289 x
0 5 10
0
0.5
1
1.5
2
2.5
3
Fourier Mode Wavenumber
A
c
t
iv
a
t
io
n

E
n
e
r
g
y


Single Mode
Random
Saddle ( = )
Saddle ( = 0)
Fig. 5.11. Amount of action needed for activation of as a function of type of spatial perturbation. The abscissa is the
wavenumber or temporal frequency associated with Fourier mode perturbed. Results of numerical simulation as well as those
from averaging are compared with a linear t.
in which energy is injected. We also see that the averaging approach captures the behavior driving activation very
well and agrees with our simulation results. There is also a linear trend evident in the data when activation energy
is plotted as a function of the temporal frequency of the wavenumber which is perturbed. This linear trend extends
to the likely case when energy exists in more than one mode. In this case, a critical activation surface is dened by
an ane hyperplane of dimension equal to the number of modes in which energy is injected into the system. Details,
and analytical results supporting this phenomena will be presented in the next chapter.
5.5 Energy Transfer Mechanisms During Activation
The averaging analysis which results in a prediction for the amount of activation energy is an analysis of the
energetic behavior of the system in steady state. In this section we investigate the energy exchange during transient
passage through resonance during the activation process. As illustrated in Figure 5.9, at certain times leading up
to the transition, oscillation in action occurs each time the system goes through resonance. During each of these
instances, energy is re-distributed throughout the spatial modes. When the outcome of this redistribution satises
the multidimensional criteria of Equation (5.5), the system breaks its libration state and will transit the threshold and
end up in the second potential well. However, the resonance phenomena of high dimensional systems is complicated
making it challenging to predict where a trajectory will fall once it travels through resonance. In this section we
illuminate a characteristic which claries some of this uncertainty by studying the dynamics on a time dependent
discrete graph.
The analysis of dynamical systems on graphs is useful for shortest path analysis, numerical analysis and com-
putation, model reduction, and to gain other useful insight into the underlying structure (see Section 2.7). In these
methods, a seemingly disorganized high dimensional system may be decomposed into a series of sequential functional
components. For the system in this case study, this organization is clearly evident without any manipulation beyond
what we have already done.
The time dependent operator we study represents interconnection properties of the energy in the dierent modes.
To obtain this graph, we linearize the action angle dynamics and investigate this time dependent matrix as the
system evolves. When evaluated over a transition trajectory, we nd that the structure adheres to a funneling
behavior wherein energy from higher order modes is transmitted to modes of lower wavelength while transmission in
the other direction occurs to a much less extent.
The action angle equation system (5.3) is linearized analytically without specifying the equilibrium location for
this linearization revealing the form:
_

J
_
=
_
/
11
/
12
/
21
/
22
_ _

J
_
(5.6)
where each /
ii
R is a M M matrix. We are interested in energy transfer and in this system which is represented
by change in action which means the block /
22
becomes important as the change is action is only weakly dependent
5.6 Summary 51
on conjugate angles. In Figure 5.12 we present the time averaged evolution of this operator for the same numerical
experiment presented in Figure 5.9. The grided lattice plots depict the absolute value of the time averaged Jacobian
(/
22
) inside and outside of the resonance zone. In the resonance zones, the Jacobian has a clear upper triangular
structure while outside of it the structure is uniform and of small value. What this implies is that there is a preference
for change in action based on inuence from modes of equal or higher wavenumber only. It is very important to realize
this preference in direction of energy transfer since we know that conformation change is ultimately realized in motion
of the zeroth mode.
2 4 6
2
4
6

Inside Resonance

C
h
a
n
g
e

i
n

A
c
t
i
o
n
0
0.1
0.2
0.3
2 4 6
2
4
6

Out of Resonance

C
h
a
n
g
e

i
n

A
c
t
i
o
n
0
0.1
0.2
0.3
Fig. 5.12. Time averaged representation of the submatrix of the linearized action-angle operator. The left gure shows the
response during resonance and the right gure shows the nominal integrable response.
Schematically this process can be thought of in terms of a directed graph structure for the transfer of energy.
Outside of the resonance zone all paths for energy transfer are uniform and small while in resonance, certain directed
paths become evident (a schematic is presented in Figure 5.13). That is, all high wavelength modes eect the energy
in the lower wavelength modes while these same lower order modes do not eect their neighbors of higher wavelength.
This explains how a structured perturbation in any mode greater than zero eventually aects the zeroth order mode
and in our case eventually leads to conformation change. This also agrees with the ndings in Vakakis et al. [2004]
where cascades of irreversible energy transfer occurred due to the preference of modal frequency with the resonant
characteristics of the system.
Fig. 5.13. Schematic representation of the funneling of energy that occurs during resonance.
5.6 Summary
In this study we have shown that using a series of canonical transformations the quantication of activation in a model
based on DNA dynamics becomes straightforward and pathways for energy transfer become evident. Specically, we
52 5 Morse Model
nd that for a model of a biological macromolecule (DNA), there is a preference for energy transfer through the
spatial Fourier modes from high wavenumber towards lower wavenumberss. We have also outlined how the energy in
these high order modes alters the state space of the zeroth order mode. This nding elucidates qualities of robustness
to external perturbation for this system. These qualities are particular to the model studied in this paper while they
may also describe qualities of many other systems including manmade engineered systems.
The averaging that is performed in this chapter and the subsequent prediction of activation energy was purely
numerical. This approach is needed because the exponential term in the Morse potential is dicult to manipulate
once in modal coordinates. To overcome this diculty, a model with a similar state space was developed which allows
for more analytical progress. These results are presented in the next chapter.
6
Analysis of the Coupled Dung Equation
6.1 Introduction
The previous chapter describes the transition behavior of a physically-motivated system (inspired by the dynamics of
DNA). We were able to gain insight into these dynamics while because of the form of the nonlinearity, little analytical
progress can be made. In this chapter we overcome this obstacle by studying a generic model that has much of the
same behavior while being easier to analyze.
Specically, as with the biomolecule model, we start with a chain of bistable oscillators and project the dynamics
onto modal coordinates and then to action angle coordinates. In order to present tractable results we do this on
a small (3-mode) model. In doing so, we can analytically calculate the minimum activation energy requirement.
We can also explicitly calculate activation rates for these dynamics. We present comparisons of these estimates
with numerical data. In addition to this we also present other numerical experiments including stochastic activation
behavior as well as evidence of an energy cascade during the transition process. The analysis in this chapter follows
Eisenhower and Mezic [2008],Eisenhower [2009], and Eisenhower and Mezic [2009].
6.2 The Model
The on-site potential that we study in this chapter is polynomial in nature and is attributed to the original work of
G. Dung. The Dung system is a historical equation that models many dierent phenomena by having both linear
and cubic restoring forces (with damping) which is typically periodically forced. When the linear forces are negative,
the system of equations describe a hardening or softening spring (depending on the sign of the cubic term). When
the linear force is positive the model describes a mass in a double well potential which originally represented a steel
beam hanging between two magnets Guckenheimer and Holmes [1983]. When this apparatus is periodically forced,
a wide variety of dynamics ensue (including chaos) which makes this a popular model to study (because it is also
rather simple). Because this potential has a double well (much like the model in the previous chapter), and is very
simple and easy to analyze, we will use it as a test model in this chapter. We will however, neglect the damping term
and periodic forcing term until it is added in the Langevin setting.
Taking the deterministic potential from the Dung model, we create an oscillator array by adding linear coupling
between nearest neighbors. This strong neighbor coupling acts like a backbone for the oscillator array and this
backbone has periodic boundary conditions (oscillators on a ring). Each oscillator possesses two linearly stable
equilibria at a symmetric distance on either side of the origin which itself is unstable. Conformation change is dened
as the movement of all oscillators from one region of attraction to the other (see Figure 6.1 but note that each
oscillator is coupled although the in the gure it is not drawn that way).
Denoting the on-site potential as |
NL
, the coupling potential as |
B
, and kinetic energy as T , we have the total
Hamiltonian H = |
NL
+|
B
+ T
54 6 Analysis of the Coupled Dung Equation
Fig. 6.1. Schematic of the transition process for N coupled oscillators in the Dung potential.
H =
N

i=1

2
x
2
i

1
4
x
4
i
_
+B
1
2
(x
i1
x
i
)
2
+
1
2
x
2
i
where |
NL
=
N

i=1

2
x
2
i

1
4
x
4
i
_
(6.1)
|
B
= B
N

i=1
1
2
(x
i1
x
i
)
2
(6.2)
T =
N

i=1
1
2
x
2
i
(6.3)
where N is the number of oscillators, and x
i
R is the position of the i
th
oscillator and is a constant parameter
which species the position of the nonlinear equilibria. The parameters and B are parameters that will later help
to understand the strength of nonlinearity and coupling respectively. A contour plot of the constant energy levels
for one oscillator ( = 10, B = 0, = 1) is presented in Figure 6.2. Notice the two potential wells which map the
two stable regions in the state space of each bistable oscillator. This bistability is the key feature of the model that
allows global conformation change.
15 10 5 0 5 10 15
8
6
4
2
0
2
4
6
8

0
I
0
Phase Space for a Single Oscillator
Fig. 6.2. Constant energy surface contours for a single oscillator with three equilibria denoted by black dots
For the nonlinear potential there are three equilibria x
i
= 0, the rst is unstable while the last two are
linearly stable, and the energy associated with each is 0,

4
N
4
,

4
N
4
. The equilibria with respect to the neighbor
interactions occurs when all oscillators are aligned collinearly. In summary, the global linearly stable equilibria is
when all oscillators are aligned and at one of the two locations ().
Hamiltons equations for 6.3 are
x
i
= y
i
(6.4)
y
i
=
_
x
i
x
4
i
_
+B(x
i+1
2x
i
+x
i1
) . (6.5)
6.2 The Model 55
Numerous numerical experiments have been performed on these equations which illustrate that with even very
modest initial displacement (in as few as one oscillator) it is possible that the entire system regresses to a collective
behavior leading to a transition of the oscillator chain between the potential wells (see Figure 6.3). From this
5 0 5
0
20
40
60
80
100
T = 0
O
s
c
i
l
l
a
t
o
r

N
u
m
b
e
r
2 0 2
0
20
40
60
80
100
T = 72.5
2 0 2
0
20
40
60
80
100
T = 109
2 0 2
0
20
40
60
80
100
T = 145.5
O
s
c
i
l
l
a
t
o
r

N
u
m
b
e
r
Position
2 0 2
0
20
40
60
80
100
T = 182
Position
2 0 2
0
20
40
60
80
100
T = 254.5
Position
Oscillator Number
T
i
m
e
log(Total Energy)


0 20 40 60 80 100
0
50
100
150
200
250
14
12
10
8
6
4
2
0
2
Fig. 6.3. Example evolution of N = 100 oscillators (B = 1, = 0.001, and = 1). The upper gure is snapshots of the
oscillator chain in space and the lower gure illustrates the total energy distribution in the chain as time proceeds. As an
initial condition, all of the oscillators are in equilibrium (at -1) except two which are displaced to the left.
example simulation we conclude a few characteristics about the transition process. First, because of the strong
coupling (backbone) the oscillators tend to stay close to the mean (solid black line) as they proceed across the saddle
(x = 0) towards the second equilibria (x = 1, the second blue line). Secondly, in the lower subplot we illustrate that
the oscillator energy, which is initially only placed in two oscillators, is dispersed throughout the oscillator chain as
it proceeds across the barrier. We will investigate this energy dispersion later in the chapter.
The goal of this study is to illuminate the sensitivity of this system to external perturbation which invites this
re-conformation behavior. In order to do this we perform a series of nonlinear (albeit canonical) coordinate transforms
which reveal dierent aspects of the dynamics.
56 6 Analysis of the Coupled Dung Equation
6.3 Modal Projection
Because of the periodic boundary condition and translational invariance along the backbone, the spatial empirical
eigenfunctions of this model are Fourier modes Lumley et al. [1996]. To gain further insight into the dynamics along
these coordinates we project the nominal model onto this basis using the normalized Discrete Fourier Transform
(DFT). The projection matrix (/) for this procedure is a N N linear orthogonal matrix which is a symplectic
mapping between the original variables (x, x) and the modal coordinates
_
x,

x
_
(/ is the same matrix 2.15 in
Section 2.2.3). The transformed coordinates and transformed Hamiltons equations take the form (bold characters
refer to vectors):
_
x,

x
_
= (/x, / x)
_
_
_

x =

f
_
x,

x
_

x = g
_
x,

x
_
_
_
_
. (6.6)
The expression above is the same general form of the equations in modal coordinates as the Morse model while
below we will explicitly perform this calculation for the Dung system. When executing this coordinate transform,
the equations for coupling and kinetic energy remain relatively simple while the equations for nonlinear energy in
modal coordinates algebraically explode. To deal with this, we present a nite mode approximation (3 modes) and
use some relations in the Appendix to help simplify things. We also did this exercise for a 5-mode system but
these equations become too messy to include in text. It will be clear that any three modes can be taken giving the
results presented here (except where noted). Because the modal coordinate change is symplectic, no dissipation is
introduced in the reduction to a low order model. After the truncation retaining only a three mode model, the i
th
position variable then becomes:
x
i
= /
i,0
x
0
+/
i,1
x
1
+/
i,2
x
2
(6.7)
where x
i
are modal variables and the matrix element terms are ordered such that /
i,j
is the i
th
row, j
th
column of
the modal transformation matrix. The rst term is labeled as the zeroth row because it is associated with the zeroth
Fourier mode (while it is indeed the rst row of the matrix).
6.3.1 Coupling Terms
The coupling terms can easily be calculated in modal coordinates regardless of the number of modes retained (i.e.
you do not need to have a small three mode model for this calculation). In modal coordinates, the coupling dynamics
become:
|
B
=
1
2
B
m

i=1
(x
i
x
i1
)
2
=
1
2
B
m

i=1
(/
i,0
x
0
+/
i,1
x
1
+/
i,2
x
2
/
i1,0
x
0
/
i1,1
x
1
/
i1,2
x
2
)
2
(6.8)
after much simplication this becomes

|
B
= B
m

i=1

2
i
2
x
2
i
. (6.9)
6.3.2 Nonlinear Terms
For the nonlinear contribution (i.e. the terms with leading ), the modal calculation is much more dicult. The
nonlinear portion of the potential in cartesian coordinates is:
|
NL
=
N

i=1

2
x
2
i

1
4
x
4
i
_
. (6.10)
Now lets look at how these terms contribute in modal coordinates. The two polynomial terms are:
6.3 Modal Projection 57
x
2
i
= (/
i,0
x
0
+/
i,1
x
1
+/
i,2
x
2
)
2
(6.11)
= (/
i,0
x
0
)
2
+ 2/
i,0
/
i,1
x
0
x
1
+ 2/
i,0
/
i,2
x
0
x
2
(6.12)
+ (/
i,1
x
1
)
2
+ 2/
i,1
/
i,2
x
1
x
2
+ (/
i,2
x
2
)
2
x
4
i
= (/
i,0
x
0
+/
i,1
x
1
+/
i,2
x
2
)
4
(6.13)
= (/
i,0
x
0
)
4
+ (/
i,1
x
1
)
4
+ (/
i,2
x
2
)
4
(6.14)
+ 4(/
i,0
x
0
)
3
(/
i,1
x
1
) + 4(/
i,0
x
0
)
3
(/
i,2
x
2
) + 4(/
i,0
x
0
)(/
i,1
x
1
)
3
+ 4(/
i,0
x
0
)(/
i,2
x
2
)
3
+ 4(/
i,1
x
1
)
3
(/
i,2
x
2
) + 4(/
i,1
x
1
)(/
i,2
x
2
)
3
+ 6(/
i,0
x
0
)
2
(/
i,1
x
1
)
2
+ 6(/
i,0
x
0
)
2
(/
i,2
x
2
)
2
+ 6(/
i,1
x
1
)
2
(/
i,2
x
2
)
2
+ 12(/
i,0
x
0
)
2
(/
i,1
x
1
)(/
i,2
x
2
) + 12(/
i,0
x
0
)(/
i,1
x
1
)
2
(/
i,2
x
2
)+
+ 12(/
i,0
x
0
)(/
i,1
x
1
)(/
i,2
x
2
)
2
.
We will need a few simplications to reduce these equations. Because the modal transformation matrix is just a
collection of sinusoidal terms, taking rows of this matrix to dierent powers and summing these rows/columns leads
to very simple expressions. These simplications are presented in Appendix. With the simplications A-1, A-2, A-3
and A-4 we have:

|
NL
=

2
N

i=1
(/
i,0
x
0
)
2
+ (/
i,1
x
1
)
2
+ (/
i,2
x
2
)
2
(6.15)

1
4
N

i=1
(/
i,0
x
0
)
4
+ (/
i,1
x
1
)
4
+ (/
i,2
x
2
)
4
+ 12(/
i,0
x
0
)(/
i,1
x
1
)
2
(/
i,2
x
2
)

6
4
N

i=1
+(/
i,0
x
0
)
2
(/
i,1
x
1
)
2
+ (/
i,0
x
0
)
2
(/
i,2
x
2
)
2
+ (/
i,1
x
1
)
2
(/
i,2
x
2
)
2
.
Using A-8,A-9, A-10, and A-11 we have the potential inuence from nonlinearity as:

|
NL
=
_

2
_
x
2
0
+ x
2
1
+ x
2
2
_
_
(6.16)

4
_
1
N
x
4
0
+
3
2N
_
x
4
1
+ x
4
2
_
+
6
N
_
x
2
0
x
2
1
+ x
2
0
x
2
2
+ x
2
1
x
2
2
_
+
12

2
2N
x
2
1
x
0
x
2
_
.
6.3.3 Kinetic Energy in Modal Coordinates
Projecting the kinetic energy onto modal coordinates is very straight forward. From before we have T =

N
i=1
1
2
x
2
i
and in modal coordinates the i
th
velocity variable becomes
x
i
= /
i,0

x
0
+/
i,1

x
1
+/
i,2

x
2
. (6.17)
The kinetic energy in modal coordinates is then

T =
1
2
N

i=1
_
/
i,0

x
0
+/
i,1

x
1
+/
i,2

x
2
_
2
(6.18)
=
1
2
_

x
2
0
+

x
2
1
+

x
2
2
_
which again was simplied using properties from the Appendix.
58 6 Analysis of the Coupled Dung Equation
6.3.4 Hamiltons Equations of Motion in Modal Coordinates
The total Hamiltonian in modal coordinates is

H =

T +

|
NL
+

|
B
. Using equations 6.9, 6.16, and 6.18 Hamiltons
equations of motion for the system projected onto the rst three modes are:

x
0
= y
0

x
1
= y
1

x
2
= y
2

y
0
=
_

x
3
0
N
+
_

3 x
2
1
N

3 x
2
2
N
+
_
x
0
+
3 x
2
1
x
2

2N
_
(6.19)

y
1
=
_

3 x
3
1
2N

3 x
2
0
x
1
N
+
3

2 x
0
x
2
x
1
N
+
_

3 x
2
2
N
_
x
1
_
+B
2
1
x
1

y
2
=
_

3 x
3
2
2N

3 x
2
0
x
2
N
+
3 x
0
x
2
1

2N
+
_

3 x
2
1
N
_
x
2
_
+B
2
2
x
2
.
With this transformation, we have a organized the system into a single highly nonlinear mode (the zeroth mode,
which is the average of all original oscillator positions) and a series nearly linear modes each representing a dierent
spatial wavenumber (coupling still occurs between all modes). This can be seen by recalling that
i
is constant and
with = 0 we have linear oscillators for the x
1
, x
2
states. The nonlinear mode has one rank 1 saddle and a state
space is approximately equivalent to what is presented in Figure 6.2.
6.3.5 Numerical Simulation
In Figure 6.4 and 6.5 and we illustrate behavior of the system in modal coordinates (the data is from a model with
30 oscillators projected onto 15 Fourier modes). To do this we numerically integrate using the parameters B = 1,
= 1 and using = 10
7
and = 0.001 respectively for each gure. The initial condition for the simulation is the
left-most equilibrium for the zeroth mode and equivalent action for all other nonzero modes. The amount of this
action was adjusted such that there was sucient energy to promote a transition between the two equilibria.
The gures plot the state space for each of the rst 15 modes. In addition to this, we plot the dierence in angles
of each oscillator (
i

j
). This dierence is fundamental to establishing when resonance (and hence energy transfer)
occurs.
20 0 20
0.1
0
0.1
Mode 0
10 0 10
10
0
10
Mode 1
10 0 10
10
0
10
Mode 2
10 0 10
10
0
10
Mode 3
10 0 10
10
0
10
Mode 4
10 0 10
10
0
10
Mode 5
10 0 10
10
0
10
Mode 6
10 0 10
10
0
10
Mode 7
10 0 10
10
0
10
Mode 8
10 0 10
10
0
10
Mode 9
10 0 10
10
0
10
Mode 10
10 0 10
10
0
10
Mode 11
10 0 10
10
0
10
Mode 12
10 0 10
10
0
10
Mode 13
10 0 10
10
0
10
Mode 14
0.5 1 1.5 2
x 10
4
0
0.5
1
1.5
F
r
e
q
u
e
n
c
y

D
i
f
f
e
r
e
n
c
e
s
Time


f
0
f
1
f
0
f
2
f
0
f
3
f
0
f
4
f
0
f
5
Fig. 6.4. Numerical simulation of the action-angle system with = 10
7
. Each upper subplot is a state space of a mode while
the lower subplot illustrates a resonance condition (fi is equivalent to i as discussed in the text).
Comparing the two numerical experiments (which have dierent strength nonlinearity ), we see that with the
smaller value of nonlinear perturbation (Figure 6.4) the state space of each nonzero mode remains nearly circular
6.4 Action Angle Coordinates 59
and that the frequency dierence does not approach zero indicating very little resonance during the re-conformation
process. On the other hand, with increased perturbation, we see this resonance condition dive towards zero frequently.
In addition to this we nd that the trajectories of the nonzero modes become distorted in their state space which both
indicate a high occurrence of internal resonance. The process of conformation change is leveraged by this internal
resonance which is also evident in these numerical experiments. That is, the situation where resonance is negligible
takes 24 times as long to re-conform with twice as much initial perturbation in action as the situation with stronger
resonance.
20 0 20
20
0
20
Mode 0
10 0 10
10
0
10
Mode 1
10 0 10
10
0
10
Mode 2
10 0 10
10
0
10
Mode 3
10 0 10
10
0
10
Mode 4
10 0 10
10
0
10
Mode 5
10 0 10
10
0
10
Mode 6
10 0 10
10
0
10
Mode 7
10 0 10
10
0
10
Mode 8
10 0 10
10
0
10
Mode 9
10 0 10
10
0
10
Mode 10
10 0 10
10
0
10
Mode 11
10 0 10
10
0
10
Mode 12
10 0 10
10
0
10
Mode 13
10 0 10
10
0
10
Mode 14
100 200 300 400 500 600 700 800 900 1000
0
0.5
1
1.5
F
r
e
q
u
e
n
c
y

D
i
f
f
e
r
e
n
c
e
s
Time


f
0
f
1
f
0
f
2
f
0
f
3
f
0
f
4
f
0
f
5
Fig. 6.5. Numerical simulation of the action-angle system with = 0.001. Each upper subplot is a state space of a mode
while the lower subplot illustrates a resonance condition.
6.4 Action Angle Coordinates
Since the focus of this study is to comprehend energy requirements for transition behavior in this oscillator system,
the next coordinate transformation is into canonical energy coordinates otherwise known as action angle coordinates.
We use the coordinate transform rules that we previously developed (equations 2.19) to accomplish this:
x
0
=
0
,

x
0
= J
0
(6.20)
x
i
=
_
2J
i

i
sin
i
,

x
i
=
_
2J
i

i
cos
i
. (6.21)
6.4.1 Coupling Terms in Action Angle Variables
Utilizing the transformation rules, the coupling terms in action angle coordinates are
|
B
(J, ) =
m
4
B
m

i=1
2
2
i
J
i
sin
i
2
. (6.22)
6.4.2 Nonlinear Terms in Action Angle Variables
Similarly, the nonlinear terms in action angle space are
60 6 Analysis of the Coupled Dung Equation
|
NL
(J, ) =

2
_

2
0
+
2J
1
sin
2
(
1
)

1
+
2J
2
sin
2
(
2
)

2
_
(6.23)
+

4
_
24J
1
J
2
sin
2
(
2
) sin
2
(
1
)
N
1

2
+
12
2
0
J
1
sin
2
(
1
)
N
1
+
12
2
0
J
2
sin
2
(
2
)
N
2
_
(6.24)
+

4
_

4
0
N
+
6J
2
1
sin
4
(
1
)
N
2
1
+
6J
2
2
sin
4
(
2
)
N
2
2
_
+
6J
1

0
sin
2
(
1
) sin(
2
)
_
J2
2
N
1
. (6.25)
6.4.3 Kinetic Energy in Action Angle Variables
In action angle coordinates the kinetic energy becomes
T (J, ) =
1
2
_
J
2
0
+ 2
1
J
1
cos
2
(
1
) + 2
2
J
2
cos
2
(
2
)
_
(6.26)
6.4.4 Hamiltons Equations in Action Angle Coordinates
Summing all of the energy terms and performing the necessary operations to obtain Hamiltons equations, when
B = 1 we have:

0
= J
0
(6.27)

1
=
1
+
_
_
_
_
sin
2
(
1
)
_
3J
1

2
sin
2
(
1
) +
1
_
6J
2
sin
2
(
2
)
_
3
2
0
+ 6 sin(
2
)
_
J
2

0
+ N
_

2
__
N
2
1

2
_
_
_
_

2
=
2
+
_
_
_
_
_
_
_
_
_
_
_
_
sin (
2
)
_
_
_
_
sin(
2
) J
2

1
_
3J
2
sin
2
(
2
) +
_
3
2
0
N
_

2
_
3 sin
2
(
1
) J
1
_
_
_
_
J
2

0
_
J
2

2
2 sin(
2
) J
2
_
_
_
_

2
_
_
_
_
NJ
2

2
2
_
_
_
_
_
_
_
_
_
_
_
_

J
0
=
_
_
_
_

1
__
N
2
0
_

2
6 sin
2
(
2
) J
2
_
6 sin
2
(
1
) J
1
_

0
sin (
2
)
_
J
2

2
_

2
N
1

2
_
_
_
_

J
1
= 0 +
_
_
_
_
sin (2
1
) J
1
_

1
__
3
2
0
+ 6 sin (
2
)
_
J
2

0
+ N
_

2
6 sin
2
(
2
) J
2
_
3 sin
2
(
1
) J
1

2
_
N
2
1

2
_
_
_
_

J
2
= 0 +
_
_
_
_
_
_
_
_
_
_
_
_
2 cos (
2
)
_
_
_
_
3J
1
_
_
_
_
J
2

0
_
J
2

2
2 sin(
2
) J
2
_
_
_
_

2
sin
2
(
1
) + sin (
2
) J
2

1
__
N 3
2
0
_

2
3 sin
2
(
2
) J
2
_
_
_
_
_
N
1

2
2
_
_
_
_
_
_
_
_
_
_
_
_
.
When B ,= 1 the linear frequency terms (i.e. the terms in the

i
that do not have ) become
_
cos
2

i
+Bsin
2

i
_

i
.
Similarly, the 0 terms in the

J
i
equations become J
i

i
(sin 2
i
Bsin 2
i
). We mention this and set B = 1 because
the structure of this system conveniently becomes

0
= J
0

J
0
= g
0
(J, , )
,

i
=
i
+f
i
(J, , )

J
i
= 0 +g
i
(J, , )
(6.28)
where J
i
R and
i
R are the i
th
action and angle and
i
R are the linear natural frequencies. The transformed
Hamiltonian is of the type which can be parsed into a zero-order regular Hamiltonian which is functional to only
action and terms of small order (O()). That is, the angle coordinates for all modes with nonzero wavelength are
predominately linear and the action equations in linear limit are stationary. We also note at this point that the
independent linear natural frequencies (
i
) for each mode are not rationally commensurate and contain no spectral
gap (for all realistic parameters). That is to say, the purely linear portion of the model, contains no resonance terms
or signicant time scale separation (however, this does not mean that the system never goes into resonance).
Models with structure similar to equations 6.28 are studied at length in Wiggins [1988]. In this text, a thorough
analysis with regards to identifying the presence of periodic orbits which are both homoclinic and heteroclinic to
dierent types of invariant sets is performed on three dierent test models. Our model does not exactly match these
three test case models because of the degeneracy in the zeroth mode (no linear frequency), but the methods in this
reference do oer general insight into the analysis.
6.5 Averaging 61
6.5 Averaging
Since the system in action angle coordinates takes the form of nearly linear oscillators with small perturbation, the
next logical step is to perform averaging. In light of this we use the averaging techniques described in Section 2.3.
The averaged Hamiltonian becomes

H(J) =
1
(2)
M
_
2
0

_
2
0
H(J, , 0)d
1
. . . d
i
. . . d
M
(6.29)
where we are averaging over the nonzero modes leaving the zeroth mode untouched. For our 3-mode example, we only
average over two angles (
1
and
2
). For purposes of presentation we average each component of the Hamiltonian
separately below.
6.5.1 Coupling Terms in the Averaged Sense
Averaging over the angle variables we have
|
B
(J) =
m
2
B
m

i=1
J
i

2
i
. (6.30)
6.5.2 Nonlinear Terms in the Averaged Sense
Upon averaging over the fast angle variables the nonlinear potential becomes
|
NL
(J) =

4
0
4N
+

_
8N
2
2

2
1
+ 24J
2

2
1
+ 24J
1

2
2

1
_

2
0
16N
2
1

2
2
(6.31)
+

_
9J
2
2

2
1
8J
2
N
2

2
1
8J
1
N
2
2

1
+ 24J
1
J
2

1
+ 9J
2
1

2
2
_
16N
2
1

2
2
.
6.5.3 Kinetic Energy in the Averaged Sense
Averaging over the phase variables, the kinetic energy term becomes
T (J) =
1
2
_
J
2
0
+J
1

1
+J
2

2
_
. (6.32)
6.5.4 Hamiltons Equations of Motion in an Averaged Sense
The averaged Hamiltonian is H(J) = T +|
NL
+|
B
. Hamiltons equations of motion are then

0
=
H
J
0
= J
0

1
=
H
J
1
=

1
2
+ B
_
N
2
1

N cos
_
2
N
_
2
1
_
+
_
3
2
0
2N
1

2
1
+
3J
2
2N
1

2
+
9J
1
8N
2
1
_

2
=
H
J
2
=

2
2
+ B
_
N
2
2

N cos
_
4
N
_
2
2
_
+
_
3
2
0
2N
2

2
2
+
3J
1
2N
1

2
+
9J
2
8N
2
2
_
(6.33)

J
0
=
H

0
=
_

3
0
N
+
0

3

J
1

0
N
1

3J
2

0
N
2
_

J
1
=
H

1
= 0

J
2
=
H

2
= 0.
62 6 Analysis of the Coupled Dung Equation
Looking into the system of equations describing the averaged variables we nd a structure that conceptually
captures the eect of placing energy into higher order modes. That is, by inspection we nd that in the averaged
sense, the dynamics that describe activation (the zeroth mode) are self contained and parametrically inuenced by
the higher order actions. In addition to this, these higher order actions are stationary and have no time dependency.
The higher order angle variables are eected by all variables but do not have any feedback on the zeroth mode. This
structure is sketched in Figure 6.6.
Fig. 6.6. Block Diagram of the Interactions in the Averaged Dung System
The equations for the central dynamics, those of the nonlinear zeroth mode are

0
= J
0
(6.34)

J
0
=
_

3
0
N
+
0

3J
1

0
N
1

3J
2

0
N
2
_
.
The above analysis has been performed using dierent combinations of (nonzero) modes resulting in the following
relation for any amount of modes:

0
= J
0
(6.35)

J
0
=
_

3
0
N
+
0

3
0
N
N

i=1
J
i

i
_
.
Either of these equations can be rewritten in the form of a parametrically forced Dung equation with parameters
which vary with the value of the actions in the higher modes.
6.6 Quantication of Activation Behavior
As we have mentioned, the term activation refers to a dynamical behavior where all coupled oscillators begin near
one equilibrium and transition to the second local equilibrium of the Dung potential. In this section we quantify
this behavior using numerical simulation and analytical calculation and show where the two approaches agree. Two
dierent quantities are investigated with respect to activation in the system;
1. Time needed for activation vs. amount of energy injected into the system
2. Minimum amount of energy needed for activation
6.6.1 Numerical Quantication of Activation Behavior
Both of these quantities may be extracted from numerical experiments using the initial model (6.3) in cartesian
coordinates. Many dierent experiments were performed while for the data presented here we use N = 100 oscillators
with B = 1 and = 1. In each simulation we impose initial potential energy onto one of the nonzero Fourier modes
(the zeroth mode is set to its equilibrium) and determine/tabulate when the average of all positions breaches the
origin which is the saddle or separation point between the two equilibria; we call this the activation time. We start
6.6 Quantication of Activation Behavior 63
with a very small amplitude perturbation in the initial condition and then increase it, which increases energy and
decreases the activation time.
The results for these experiments are presented in Figure 6.7 where we see two distinctive behaviors. First,
it is clear that the amount of activation energy is dependent on spatial structure (Fourier mode) of the initial
potential energy and increases with the spatial wavenumber. This is important nding because most activation
theories suggest a constant activation energy independent of the structure of the initial condition which initiates the
activation process. In addition to this we nd that with very low energies, the amount of time needed for activation
increases asymptotically. We call this asymptote the minimum activation energy and show that this is a well behaved
function of the spatial structure of initial perturbation below.
0 10 20 30 40 50 60 70 80 90
0
100
200
300
400
500
600
Initial Energy
A
c
t
i
v
a
t
i
o
n

T
i
m
e
Activation Behavior vs. Mode for the Duffing Model


1
2
3
4
5
6
7
8
9
10
Fig. 6.7. Time for conformation change vs. energy imposed into one of the rst 10 Fourier modes ( = 1e 4, B = 1, = 1)
Changing the parameters of the model eect these curves only slightly. For instance, changing has no noticeable
eect on these curves quantitatively. Changing shifts the curves up and down as seen in Figure 6.8.
0 0.2 0.4 0.6 0.8 1
0
500
1000
1500
2000
Initial Energy
A
c
t
i
v
a
t
i
o
n

T
i
m
e
Activation Behavior vs. for the Duffing Model (Mode 1)


0.001
0.0001
1e005
1e006
Fig. 6.8. Time for conformation change vs. energy imposed into one of the rst mode while changing (B = 1, = 1)
Up to now, all of the oscillator models which we have been studying have been homogeneous (spatially symmetric).
As we discussed in Section 4.2 changing the symmetry in a ring of oscillators impacts the stability properties of the
dynamics. In order to better understand this eect, we break the symmetry in both the mass of the oscillators and
their local coupling. In Figure 6.9, we present the activation plots when introducing a normal distribution on both
the masses and the coupling strengths with dierent standard deviation. In order to best capture the eect of this
parameter variation, as an initial condition we perturb three of the one hundred oscillators only (not a Fourier mode
64 6 Analysis of the Coupled Dung Equation
perturbation). We do this because in this case a traveling wave is initiated and the asymmetry impacts the diusion
of energy in this wave along the chain. We also compare these results to Fourier mode initial conditions (rst, third
and fth mode) as in the previous plots (here = 0.0001, = 1, N = 100, B = 1). It is clear in Figure 6.9 that
symmetry accelerates the activation process by requiring less energy to achieve the same activation time. This result,
that symmetry eects the global coherent behavior of oscillator arrays, is aligned with the results obtained from
studying similar dynamics in a combustion process.
5 10 15 20 25
0
100
200
300
400
500
600
Initial Energy
A
c
t
i
v
a
t
i
o
n

T
i
m
e


Symmetric, Mode 1 Dist
Symmetric, Mode 3 Dist
Symmetric, Mode 5 Dist
Symmetric, Local Dist.
Coupling (
2
= 0.1), Local Dist.
Coupling (
2
= 0.2), Local Dist.
Coupling (
2
= 0.3), Local Dist.
Mass (
2
= 0.1), Local Dist.
Mass (
2
= 0.2), Local Dist.
Mass (
2
= 0.3), Local Dist.
Fig. 6.9. Time for conformation change vs. energy when asymmetry is introduced into the spatial dynamics.
The minimum activation energy is a concept that is used in Transition State Theory of chemical kinetics (Section
3.9.1), and as we have shown above varies with the energy driving the activation. In Figure 6.10, we present and
compare the minimum activation energy for the rst ve Fourier modes with varying nonlinear perturbation (). To
generate this plot, in each of the numerical simulation cases, the asymptotic value from the activation energy vs.
time for activation curve is noted for each mode (see Figure 6.7 for one example, more simulations were performed
for other s).
1 2 3 4 5
0
50
100
150
200
250
300
350
400
450
500
Mode Number
M
in
im
u
m

A
c
t
iv
a
t
io
n

E
n
e
r
g
y
Activation energy required based on Fourier Mode of injected energy


= 0.001
= 0.0001
= 0.00001
= 1e7
Fig. 6.10. Amount of activation energy needed for conformation change, as a result from long numerical simulation
6.6 Quantication of Activation Behavior 65
6.6.2 Analytical Quantication of Activation Behavior
The reduced order system 6.35 leads itself to analysis of activation behavior of the original system. In fact, the entire
activation behavior including energy needed and time to transition can be explained quantitatively using this reduced
order model. Activation occurs when either
1. The zeroth mode is perturbed enough so that it breaches the separatrix in modal coordinates.
2. Energy is placed in higher modes which eventually diuses through the system and pushes the zeroth mode
across the barrier.
The amount of energy needed for objective (1) is straightforward, it is simply the energy of the barrier multiplied
by the number of oscillators. That is, if you take the each oscillator and give each oscillator the same energy which
is greater than the barrier energy the whole chain will proceed to the second equilibrium together.
The energy needed for objective (2) is more challenging to calculate and is derived below. The conceptual de-
scription of the activation condition relies on understanding how energy in higher order modes aects the structure
of the state space of the zeroth mode. Recall that the zeroth mode has the typical gure eight state space of the
Dung oscillator with equilibria at x
eq
=

N in modal coordinates (as seen in Equation 6.35). So with an initial

condition with the zeroth mode at this location and no inuence from higher order action, no oscillations will occur.
As soon as energy from a higher order mode is introduced however, this equilibrium begins to shift. In fact it shifts
toward the origin bringing the original location of the zeroth mode closer to the separatrix and since it has moved
o its equilibrium oscillations will ensue (libration). With sucient energy in any one of these higher order modes,
the zeroth mode variable will be pushed outside of the separatrix. When this occurs the zeroth mode will be forced
into the rotation state and transition to the second equilibrium will occur.
In equation form, the activation condition is
|
NL
(
0
= 0.0) +|
B
= |
NL
(
0
= x
eq
) +|
B
. (6.36)
This basically says that when the energy of the original equilibrium equals the energy of the separatrix we obtain
activation. Here we note that the potential contribution from coupling has no
0
terms in it so the contribution on
both sides cancel. As an example, consider that there is only one nonzero action (J
1
). Using equations 6.31 and 6.36
we obtain the activation condition (note that x
eq
=

N)
J
1
_
9J
1
8N
1
_
16N
2
1
=

_
9J
2
1
+ 4
1
_
6J
1
x
2
eq
+
_
x
2
eq
2N
_

1
x
2
eq
2J
1
N
_
_
16N
2
1
(6.37)
J
1

N
6
. (6.38)
In summary what this says is that for the chain of oscillators with no energy in the nonzero modes, the equilibrium
is one of libration. Adding a small amount of energy (say in the rst mode:

J
1
) will excite the system and the oscillators
will move back and forth around the original equilibrium. Upon adding more energy, the zeroth mode (or average
position of all oscillators) will breach the separatrix and will move to the other equilibrium. This occurs at a value
of
J1
1
=
N
6
for the rst mode. With further increase of action in the higher modes, the concept of having two wells
disappears, and the zeroth mode will wildly circle both original equilibrium in a state of rotation. This bifurcation
will be described in the next section.
The above example calculation was performed with energy in one particular mode. It can be shown that this
relation can be generalized to account for energy in any, or multiple modes. The relation then becomes
N

i=1
J
i

i
=
N
6
(6.39)
which describes an ane hyperplane with a dimension equal to the number of actions which have nonzero energy.
What this equation describes is an invariant in energy which must be exceeded for activation to occur considering
that the energy is placed in any number of pure Fourier modes.
66 6 Analysis of the Coupled Dung Equation
6.6.3 Bifurcation Analysis
As we pointed out above, the inuence from energy in higher order modes aects the zeroth mode by reshaping its
state space. The secondary eect of this is that a once stable equilibrium, which is surrounded by libration contours,
eventually breaches the separatrix and ends up in the eld of rotation. In fact, the inuence of higher order modes
is parametrically equivalent to inducing a pitchfork bifurcation on the state space of the zeroth mode. Figure 6.11
illustrates the eect of action in one nonzero mode on the state space of the zeroth mode (N = 100, = 1, J
4
is
varied).
20
10
0
10
20
0.4
0.2
0
0.2
0.4
0
2
4
6
8
10
12

0
J
0
J
4
Fig. 6.11. Eect of energy in higher order modes on the zeroth mode illustrating with sucient energy a pitchfork bifurcation
occurs
Notice that the original equilibrium at
0
= 10 is initially surrounded by libration contours. However, upon
increasing the action in the nonzero mode (

J
4
) for this example, the equilibria are brought together and the location
of this original equilibrium eventually is located in the eld of rotation (note that the minimum activation action
for this mode is J
4
= 4.187). Eventually the equilibria coalesce at zero under a pitchfork bifurcation. The physical
interpretation of this is that if energy is placed in this mode with a value greater than this bifurcation value, the
system will continuously bounce back and forth between what used to be the original equilibria positions on either
side of the energy barrier.
We can study the bifurcation properties by considering action in the J
1
mode only. If we let = N
3

J1
1
,
after re-scaling time by we have the system in the traditional normal form for a pitchfork bifurcation (see Wiggins
[2003]):
H =
1
2
J
2
0

2
0
+
1
4

4
0
. (6.40)
There exists a single equilibria when < 0 (i.e. when J
1
>
1N
3
) at
0
= 0 and when J
1
<
1N
3
the branches then
become
0
=
_
N
3J1
1
. As before, this can be generalized to the case where any amount of actions are involved
to the following bifurcation condition:
N

i=1
J
i

i
=
N
3
(6.41)
which happens to be twice the activation condition.
6.7 Calculation of Activation Time
We have used the reduced order model obtained from averaging to study the minimum activation energy and
bifurcation behavior of the dynamics of the zeroth mode of the coupled oscillator system as it is inuenced by energy
in higher order modes. In this section we use similar methods to calculate the full activation time vs. activation
6.7 Calculation of Activation Time 67
energy prole for each mode (i.e. the curves in Figure 6.7). We do this noting that when the oscillation of the zeroth
mode is in its rotation state (which is needed for activation), the activation time is the time in which the trajectory
crosses the saddle plane of the spatial variable (i.e. x = 0). In fact, for our system, since the state space for the
rotation state is symmetric this becomes 1/4 of the period of a rotation state. In summary, we can analytically derive
the behavior in Figure 6.7 by calculating the period of rotation oscillations of 6.35.
To calculate the period of rotation we generalize the Hamiltonian and Hamiltons equations for the Dung
oscillator as
H =
y
2
2

_
ax
2
2
+
by
2
2
_
(6.42)
x = y
y = ax +bx
3
where for the traditional Dung model we have a = 1, b = 1. We have parameterized this system as a function
of a and b as it is these two terms that either contain constant parameters or are modied by altering energy in
higher order modes. We allow these two variables to vary while maintaining a > 0 and b < 0 which will maintain
the structure of the gure eight state space with two equilibria. This system admits an analytical solution that is
dierent inside and outside of the gure eight separatrix, each of which uses Jacobi elliptic functions. In the process
of nding the solution one must assume the form of these elliptic functions and a dierent form is needed when the
sign of a and b change. Performing this calculation, inside of the separatrix we have
k =
_
2(a +bX(0)
2
)
x(0)

b
(6.43)

in
=

ab
b(2 k
2
)
x(t) = x(0)DN(
in
t, k)
y(t) = x(0)k
2

in
SN(
in
t, k)CN(
in
t, k)
T
in
=
2K(k)

in
where k is the elliptic modulus and SN(.), CN(.), and DN(.) are the elliptic functions while K(k) is the complete
elliptic integral of the rst kind. On the outside of the separatrix we have
k =
x(0)

b
_
2(a +bx(0)
2
)
(6.44)

out
=

2k
2
1
x(t) = x(0)CN(
out
t, k)
y(t) = x(0)
out
SN(
out
t, k)DN(
out
t, k)
T
out
=
4K(k)

out
.
From these relations we obtain the actual trajectories of the dynamics as well as the period of oscillation (T
in
, T
out
).
This period of oscillation is used to determine the activation time in the averaged model. As we have mentioned, the
activation time is 1/4 of the period of rotation (T
out
). To obtain the full analytical expression we use 6.44, and for
our system the parameters are
J
i
=

i
_
x
i
(0)
_
N
2
_
2
2
(6.45)
a =
_

3J
i

i
N
_
b =

N
68 6 Analysis of the Coupled Dung Equation
where x
i
(0) is the amplitude of the modal initial condition. This expression is compared to data for the system
with N = 100 oscillators in Figure 6.12. The analytical expression captures numerical data well when the activation
0 100 200 300 400 500
0.01
0.02
0.03
0.04
0.05
0.06
0.07
U(0) / U
A
c
t
i
v
a
t
i
o
n

R
a
t
e

[
1
/
s
]


Mode 1
Mode 2
Mode 3
Mode 4
Mode 5
Mode 6
Mode 7
Mode 8
Mode 9
Mode 10
Fig. 6.12. Time for activation vs. initial energy for dierent modes: analytical and numerical comparison ( = 1.0 10
4
,
= 1, B = 1, N = 100) The numerical data is the same data as in Figure 6.7
rates exceed the modal frequencies. The discrepancy in lowest mode at high activation rates is because the modal
frequency (of which we average over) approaches the activation rate itself. Also note that the value of = 0.0001 is
small and it was found that if you increase this by an order of magnitude, the analytical prediction still does well.
However, when increasing the strength by two orders of magnitude the data and prediction separate. This is due to
the averaging which assumes that the nonlinearity is small (there is no in the averaged equations).
The benet of the analytical insight lies both in the simple conceptual understanding of the complex process of
reaction in large dynamical systems as well as the accelerated calculation time. The data presented in Figure 6.12
took approximately 12 hours to compute while the analytical calculation took merely seconds.
6.8 Energy Cascade
By calculating the Jacobian of Hamiltons equations of (4) we obtain a matrix that reveals the change in action
variables as inuenced by other actions and angles. It turns out that the change in action is mostly dependent on
other actions (as opposed to angles) and so we present this submatrix in Figure 6.13. We see in this gure that the
change in action in any particular mode is dominated by inuences of modes of equal or higher wavenumber only.
This natural funneling of energy is remarkable and strengthens the robustness of the transition process. In fact, the
funneling concept is associated with the horizontal-vertical graph theoretic structure of the dynamics which has been
shown to be a way to characterize the robustness of a dynamical system (see reference Mezic [2004]).
6.9 Stochastic Activation
The discussion above closes the deterministic study and we have shown that we can characterize aspects of its
activation behavior analytically. Clearly, understanding the stochastic behavior of the same dynamics is essential.
In this section we will do just this, starting with Kramers analysis in the uncoupled limit and moving to numerical
experiments of the coupled chain in a stochastic environment. In order to accomplish this, the Hamiltonian system
was modied to capture Langevin dynamics as in equations 3.22, 3.23. For the numerical method, the 4
th
order
symplectic composition method of Yoshida [1990] (described in Section 2.4) using a xed stepsize of 0.005 was used.
Below we will perturb the common parameters of the model to show their inuence on the activation behavior (we
have included damping as in the Langevin approach so we will vary this parameter as well). In each case a numerical
experiment for a given temperature is performed. This temperature is then varied to obtain a dierent amount of
6.9 Stochastic Activation 69
Fig. 6.13. Absolute value of the time averaged Jacobian of action variables illustrating the funneling of energy towards the
lowest mode.
stochastic excitation. In all cases Boltzmanns constant is set to 1.0 as we are not trying to capture any specic
physical phenomena. The eective temperature is then varied to a point where the thermal energy (kT) approaches
the energy of the saddle (U) as we are not interested in activation when the thermal energy is so large that the
nonlinear landscape becomes irrelevant. The simulation is executed long enough that all oscillators are activated by
the end of the experiment. In each experiment, we simulate a number of uncoupled oscillators (nominally N = 100)
and average the transition times of all of these oscillators to generate the average escape rate. We only simulate the
dynamics up to U/kT = 8 at the most because as this ratio gets high, it takes a long time to achieve activation
and too much computational cost (this is a common range to simulate Han et al. [1992]) .
6.9.1 Eect of Damping
As expected, damping eectively slows the activation process down. That is, the Brownian motion occurs in a more
viscous medium which means that high energy excursions, approaching the high energy saddle, occur less frequently.
This can be seen in Figure 6.14 which shows activation proles for seven dierent values of damping.
1 2 3 4 5 6 7 8
10
3
10
2
U/kT
A
c
t
i
v
a
t
i
o
n

R
a
t
e

[
1
/
s
]


5e005
0.0001
0.0005
0.001
0.005
0.01
0.05
Fig. 6.14. The eect of damping on activation rate (N = 100, = 0.001, B = 0.0, varied damping)
70 6 Analysis of the Coupled Dung Equation
6.9.2 Eect of Nonlinearity
The local nonlinearity is what motivates the activation process and therefore increasing its strength also increases
the activation rate (this eect is illustrated in Figure 6.15). This may be slightly non-intuitive, and the reason is that
because changes the depth of the potential well, it also changes the linear natural frequency of the well. This linear
natural frequency dominates the frequency of approaches towards the barrier and hence the transition rate.
1 2 3 4 5 6 7 8
10
2
10
1
U/kT
A
c
t
i
v
a
t
i
o
n

R
a
t
e

[
1
/
s
]


5e005
0.0001
0.0005
0.001
0.005
0.01
0.05
Fig. 6.15. The eect of nonlinearity on activation rate (N = 100, = 0.05, B = 0.0, varied )
6.9.3 Eect of Number of Oscillators
When increasing the number of oscillators, the activation rate increases as well. However, this increase is fairly small
when compared to other parameter variations (by looking at the dependent axis on the graph). It is not currently
understood why this is the case. Recall that these experiments are with N uncoupled oscillators and therefore the data
is equivalent to doing N single oscillator experiments. One possible answer is that the actual theoretical activation
time is a Gaussian distribution and this data is on one side of the actual mean to this distribution and if an extremely
large number was investigated, this may become clear.
1 2 3 4 5 6 7 8
10
1.8
10
1.7
10
1.6
10
1.5
10
1.4
10
1.3
U/kT
A
c
t
i
v
a
t
i
o
n

R
a
t
e

[
1
/
s
]


100
150
200
250
300
400
500
1000
Fig. 6.16. The eect of the number of oscillators on activation rate ( = 0.001, = 0.05, B = 0.0, varied N)
6.9 Stochastic Activation 71
6.9.4 Comparison With Kramers Estimates
In this section we compare numerical experiments with each of Kramers rate estimates from Table 3.1 (both estimates
for the VLD case). In each of the experiments we simulate N = 300 oscillators, using = 0.0001, and = 1.0, using
six dierent damping rates. In each gure below we also present where the data falls on the plane of applicability
for Kramers formulae (i.e. the regions where his dierent formula are valid as in Figure 3.2). In addition to this, we
also present the TST rate (Equation 3.53) in comparison to the numerical data.
For the highest value of damping that we tried (0.01) as illustrated in Figure 6.17 the Kramers medium and high
damping estimates appear to approximate the results the best (as expected). As the damping is decreased (Figures
6.18 and 6.19) Kramers medium damping formula best approximates the data. When taking the damping even lower
(Figures 6.20, 6.21, 6.22), only the lowest damping estimate tends to t the data. This makes sense and is what we
expect.
1 1.5 2 2.5 3 3.5 4 4.5 5
10
5
10
4
10
3
U/kT
M
e
a
n

E
s
c
a
p
e

R
a
t
e

[
1
/
s
]
eps = 0.0001, = 1, Damp = 0.01, NumPend = 300


Data
TST
Kr Low Damping B
Kr Low Damping
Kr Med. Damping
Kr High Damping
k
T
/

U
Ib/U
Kramers Conditions
0 1 2 3 4 5
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
Fig. 6.17. Comparison of Kramers activation rate estimate with data (damping = 0.01)
1 1.5 2 2.5 3 3.5 4 4.5 5
10
4
10
3
U/kT
M
e
a
n

E
s
c
a
p
e

R
a
t
e

[
1
/
s
]
eps = 0.0001, = 1, Damp = 0.005, NumPend = 300


Data
TST
Kr Low Damping B
Kr Low Damping
Kr Med. Damping
Kr High Damping
k
T
/

U
Ib/U
Kramers Conditions
0 0.5 1 1.5 2 2.5
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
Fig. 6.18. Comparison of Kramers activation rate estimate with data (damping = 0.005)
72 6 Analysis of the Coupled Dung Equation
1 1.5 2 2.5 3 3.5 4 4.5 5
10
4
10
3
U/kT
M
e
a
n

E
s
c
a
p
e

R
a
t
e

[
1
/
s
]
eps = 0.0001, = 1, Damp = 0.0025, NumPend = 300


Data
TST
Kr Low Damping B
Kr Low Damping
Kr Med. Damping
Kr High Damping
k
T
/

U
Ib/U
Kramers Conditions
0 0.2 0.4 0.6 0.8 1 1.2 1.4
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
Fig. 6.19. Comparison of Kramers activation rate estimate with data (damping = 0.0025)
1 1.5 2 2.5 3 3.5 4
10
4
10
3
10
2
U/kT
M
e
a
n

E
s
c
a
p
e

R
a
t
e

[
1
/
s
]
eps = 0.0001, = 1, Damp = 0.0005, NumPend = 300


Data
TST
Kr Low Damping B
Kr Low Damping
Kr Med. Damping
Kr High Damping
k
T
/

U
Ib/U
Kramers Conditions
0 0.2 0.4 0.6 0.8 1 1.2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
Fig. 6.20. Comparison of Kramers activation rate estimate with data (damping = 0.0005)
1 1.2 1.4 1.6 1.8 2 2.2 2.4 2.6 2.8
10
4
10
3
10
2
U/kT
M
e
a
n

E
s
c
a
p
e

R
a
t
e

[
1
/
s
]
eps = 0.0001, = 1, Damp = 0.0001, NumPend = 300


Data
TST
Kr Low Damping B
Kr Low Damping
Kr Med. Damping
Kr High Damping
k
T
/

U
Ib/U
Kramers Conditions
0 0.2 0.4 0.6 0.8 1 1.2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
Fig. 6.21. Comparison of Kramers activation rate estimate with data (damping = 0.0001)
6.9 Stochastic Activation 73
1 1.2 1.4 1.6 1.8 2 2.2 2.4 2.6 2.8
10
5
10
4
10
3
10
2
10
1
U/kT
M
e
a
n

E
s
c
a
p
e

R
a
t
e

[
1
/
s
]
eps = 0.0001, = 1, Damp = 5e005, NumPend = 300


Data
TST
Kr Low Damping B
Kr Low Damping
Kr Med. Damping
Kr High Damping
k
T
/

U
Ib/U
Kramers Conditions
0 0.2 0.4 0.6 0.8 1 1.2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
Fig. 6.22. Comparison of Kramers activation rate estimate with data (damping = 0.00005)
74 6 Analysis of the Coupled Dung Equation
6.9.5 Eect of Coupling
The stochastic data presented in the previous section is of activation of a large number of uncoupled oscillators (this
data is similar to running experiments of one oscillator many times). However, as we discussed above, the deterministic
activation process is very dependent on the coupling between the oscillators as this provides the Fourier basis. Here we
extend the traditional analysis of stochastic activation to a coupled oscillator array. No parameters of the simulation
environment were changed except for the coupling parameter B.
Figure 6.23 illustrates the activation prole for dierent coupling strengths. We see that with low coupling values,
the activation rate is only changed slightly. However with larger coupling strengths, the activation rate is decreased
considerably. This makes sense because the array of oscillators becomes stier and more of a coordinated eort is
needed to activate all oscillators.
0 1 2 3 4 5 6 7 8
10
2
U/kT
A
c
t
i
v
a
t
i
o
n

R
a
t
e

[
1
/
s
]


0
1e005
5e005
0.0001
0.0005
0.001
0.005
0.01
0.05
0.1
0.5
1
Fig. 6.23. The eect of the coupling on activation rate (N = 100, = 0.001, = 0.05, varied B)
We nd in Figure 6.23 that at high coupling values, the activation prole has a more shapely prole than in
the lower coupling limit. Figure 6.24 provides data that suggests that this is due to the number of librations the
mean mode goes through before the oscillator chain activates. That is, with high energy, the mean immediately goes
towards the saddle and activation occurs rather quickly. At lower thermal energies, the oscillator chain is excited,
and begins to move around the rst potential well, but actually takes a bit of time to gather its momentum for the
activation process.
1 2 3 4 5 6 7 8 9
10
3
10
2
A
c
t
i
v
a
t
i
o
n

R
a
t
e

[
1
/
s
]
U/kT
One libration before activation
0 100 200 300 400 500 600
1
0.5
0
0.5
1
1.5
One Libration
Fig. 6.24. Illustration of how coupling eects the transition process with a separation of activation times based on whether a
period of libration occurs or not (N = 100, = 0.001, = 0.05, B = 1.0). The right hand plot is the actual time trajectories
of each of the data points in the left hand plot.
6.9 Stochastic Activation 75
6.9.6 Stochastic Activation with Targeted Perturbation
With the coupling activated, it is now of interest to see how the targeted perturbation that we studied in the
previous sections of this thesis eect the transition process while under stochastic excitation. To assess this case,
we perform a Langevin simulation as before but in this case we set the coupling parameter to B = 1.0. We then
excite these dynamics with thermal noise until the transition process occurs. The remaining parameters are = 1,
= 0.001 and the Langevin damping value is 0.05. We illustrate many dierent cases; rst we present the case where
no perturbation is imposed and compare this to Kramers estimate. We nd that at low temperatures, the inertial
eects of the coupled network dominate and Kramers prediction and the numerical results diverge. We then add
both structured (Fourier mode) and random perturbation (we impose an initial energy at a constant value of 5U)
and show that indeed these structured perturbations have an eect on the transition rate and help to accelerate the
process.
1 2 3 4 5 6 7 8
10
2
10
3
U/ (kT)
A
c
t
i
v
a
t
i
o
n

T
i
m
e


0th Mode
1st Mode
2nd Mode
3rd Mode
Random
No Pert.
Kramers
Fig. 6.25. Stochastic activation with inuence from external perturbation in dierent Fourier modes.
Similar to the previous section, the activation behavior of the coupled system as shown in Figure 6.25 reveals a
stepwise like response due to decreasing stochastic agitation (Temperature). This behavior is understood by investi-
gating the response of the zeroth mode as it evolves across the barrier. As shown in Figure 6.26 at high temperature,
the zeroth mode variable immediately breaches the separatrix and proceeds across the barrier. At a lower temper-
ature on the other hand, the zeroth mode librates in the initial well while it acquires more thermal energy before
transition occurs. This disparity in behavior causes the step-like nature of Figure 6.25 (i.e. 0, 1, 2, 3, . . . orbits in the
initial well before transition occurs).
76 6 Analysis of the Coupled Dung Equation
1.5 1 0.5 0 0.5 1 1.5
0.03
0.02
0.01
0
0.01
0.02
0.03

0
J
0


High T
Low T
Fig. 6.26. Example evolution of the zeroth mode in a stochastic environment for low and high temperatures.
7
Conclusion
In this thesis we investigated the escape process of an array of coupled oscillators as it climbs to the summit
of a potential well. We motivated this phenomena with examples from biological dynamics while stressing that this
behavior and the analytical tools we developed to better understand it are applicable to many other systems including
those which are manmade or engineered.
The tools that are developed to analyze these dynamics draw from the concepts of both dynamical systems and
reaction kinetics. Because of the parameters we have chosen (strong backbone and weak local nonlinearity), the
dominant dynamics are linear Fourier modes with non-resonant frequencies and no scale separation. Fortunately,
the on-site nonlinearity perturbs the dynamics such that resonance does occur during time evolution and hence the
energy transfer which is needed for the escape process.
To analyze the dynamics we utilize two canonical coordinate transforms. We initially project the dynamics onto
the dominant Fourier modes which illustrates the existence of one highly nonlinear mode which interacts with many
nearly linear modes. With this insight we then project onto action angle coordinates which highlights the energetic
behavior and adiabatic invariants which arise during the escape process.
Because of the strong linear dynamics, we are able to obtain a reduced order representation by using averaging
techniques. The averaged model does not fully capture the dynamics because of resonance phenomena brought on by
the nonlinearity. However, this reduced order model suciently captures aspects of the activation process including
the minimum activation energy and the activation time (as a function of initial energy).
Since the historical research on escape processes deals with the rate of unimolecular reactions, we contrast our
deterministic results with the noise driven escape which was initially explained empirically by Arrhenius and later by
Kramers. When we contrast the reaction dynamics of our model with the predictions from Kramers theory we nd
a divergence, the rate of our coupled oscillator array is slower than what Kramers theory predicts. On top of this we
nd that targeted perturbation accelerates the activation process even in the presence of stochastic inuence.
A nal aspect of the dynamics that we study is the directional transfer of energy during the activation process.
We nd that there is a cascade of energy from modes with high wave number to modes with longer wavelength.
Ultimately, the zeroth mode is the sink for this energy transfer which also happens to be the sensitive reaction
coordinate. We have shown this eect numerically in two dierent models and one of the future developments of this
work could be to gain better analytical insight into this energy funneling phenomenon.
Appendix
There exists special properties of the modal projection matrix that simplify the calculations to follow. These relations
refer to dierent combinations of rows of the modal matrix /:
N

i=1
/
i,j
/
i,k=j
= 0 (A-1)
N

i=1
/
3
i,j
/
i,k=j
= 0 (A-2)
N

i=1
/
2
i,j
/
i,k=j
/
i,l=j,k
= 0 (A-3)
N

i=1
/
2
i,1
/
i,2
/
i,l=j,k
=

2
2N
(A-4)
N

i=1
/
2
i,j
= 1 (j = 0) (A-5)
N

i=1
/
i,j
/
i1,j
= 1 (A-6)
N

i=1
/
i,j
/
i1,k=j
= 0 (A-7)
N

i=1
(/
i,j
)
2
= 1 (A-8)
N

i=1
6/
2
i,j
/
2
i,k=j
=
6
N
(A-9)
N

i=1
/
4
i,0
=
1
N
(A-10)
N

i=1
/
4
i,j=0
=
3
2N
(A-11)
Relation A-3 is special and only applies when the rst mode is squared as depicted. It comes from the relation
_
2
0
cos(ix)
2
cos(jx)dx =

2
for i = 1, j = 2 and zero for any other i,j combinations. These conditions work for all j
unless otherwise noted.
Personal Statement
Bryan A. Eisenhower was born in Charleston, South Carolina in 1975 and stayed in the area for the next 10 years
until his family moved north to Northern Virginia (just outside of Washington DC). In those early years, most days
were spent by the water, either sailing or swimming. Bryan swam competitively during all four seasons and was the
second fastest butterier in the state of SC at one point. When he moved to Virginia, there was less water but more
mountains and hiking opportunities. He was active in Boy Scouts and obtained the Eagle ranking at age 13 while also
taking many camping and hiking trips in VA and across the US with this group. After getting his Eagle, he became
interested in motorcycles and cars, and got a job at a Porsche, Mercedes, and BMW shop where he worked for ve
years. During this time Bryan bought and sold many antique German cars. Finding the work to be too strenuous for
a long term career he enrolled in the Mechanical Engineering program at Virginia Tech and moved to Blacksburg in
1996.
While in the Mechanical Engineering department, Bryan was active in undergraduate research including both
active suspension systems for highway trucks and active control of thermoacoustics. In the suspension program, Bryan
designed and fabricated a novel design of shock absorbers which carry magnetorheological uids which change the
performance of the shock using small electromagnets. In the active combustion control group, he built an atmospheric
combustor and actuated it using speakers driven by control commands. After graduating in honors with honors the
work in thermoacoustics led to an internship at United Technologies Research Center during the summer between
his undergraduate degree and masters work. After this, he returned to Virginia Tech to nish his masters work doing
the same research in active combustion control. While at Virginia Tech, Bryan spent much of his time working on
his old cars, exploring the outdoors and making ceramics including building his own backyard gas reduction kilns.
Upon completing his Masters degree at Virginia Tech, in 2000 Bryan moved to Hartford, CT to rejoin United
Technologies Research Center in the controls group. There he worked on many dierent problems including creating
model libraries for dynamical analysis of PEM fuel cell systems. He then joined a research eort to develop and
prototype the rst ever 60kW CO
2
heat pump. This heat pump system has very high eciencies and uses a green
working uid. With the new system came new dynamics and new challenges to the control design (multiple steady
states, etc). Bryan worked with a team of engineers to overcome these challenges and in the process received many
patents for his solutions. While working at UTRC from 2000-2005 Bryan was very active in home renovations, world
travel and oil painting. One of his paintings took a monetary prize in a juried show in Hartford.
While working at UTRC under in the jet engine noise abatement program Bryan met Igor Mezic which set up
a logical transition to UCSB to further his education. In 2005 Bryan took a leave of absence to work with Igor on
various problems including those listed in this thesis. While at UCSB Bryan got into restoring old BMW motorcycles
and motorcycle touring. He also started a thorough Yoga regimen which he continues to this day.
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