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You are on page 1of 187

An Introduction

Bernard Deconinck

Department of Applied Mathematics

University of Washington

Campus Box 352420

Seattle, WA, 98195, USA

April 10, 2009

i

Prolegomenon

These are the lecture notes for Amath 402: Dynamical Systems. This is the first year these

notes are typed up, thus it is guaranteed that these notes are full of mistakes of all kinds,

both innocent and unforgivable. Please point out these mistakes to me so they may be

corrected for the benefit of your successors. If you think that a different phrasing of

something would result in better understanding, please let me know.

These lecture notes are not meant to supplant the textbook used with this course. The

main textbook is Steven Strogatz Nonlinear Dynamics Systems and Chaos (Perseus

Book Group, 2001).

These notes are not copywrited by the author and any distribution of them is highly

encouraged, especially without express written consent of the author.

ii

Contents

1 Resources

1.1 Internet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.2 Software . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.3 Books . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1

1

1

1

2 Introduction

2.1 Continuous time t . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2.2 Discrete time n . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2.3 So, whats the deal with dynamical systems? . . . . . . . . . . . . . . . . . .

3

3

3

4

3.1 General considerations . . . . . . . . . . . . .

3.2 The phase portrait . . . . . . . . . . . . . . .

3.3 Stability of equilibrium solutions . . . . . . .

3.4 The impossibility of oscillatory solutions . . .

3.5 Another example . . . . . . . . . . . . . . . .

3.6 Example: population growth . . . . . . . . . .

3.7 Linear stability analysis . . . . . . . . . . . .

3.8 Solving differential equations using a computer

3.8.1 The Euler method . . . . . . . . . . .

3.8.2 The improved Euler method . . . . . .

3.8.3 Runge-Kutta methods . . . . . . . . .

4 Bifurcations in one-dimensional systems

4.1 The saddle-node bifurcation . . . . . . .

4.1.1 A more complicated example . .

4.1.2 The normal form of a saddle-node

4.2 The transcritical bifurcation . . . . . . .

4.3 The pitchfork bifurcation . . . . . . . . .

4.4 Exercises . . . . . . . . . . . . . . . . . .

4.5 Example: insect outbreak . . . . . . . .

4.5.1 Hysteresis . . . . . . . . . . . . .

4.5.2 Varying k . . . . . . . . . . . . .

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bifurcation

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iv

CONTENTS

5.1 The uniform oscillator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5.2 The nonuniform oscillator . . . . . . . . . . . . . . . . . . . . . . . . . . . .

45

46

47

6.1 Set-up . . . . . . . . . . . . . .

6.2 A first example... . . . . . . . .

6.3 Some definitions . . . . . . . . .

6.4 Classification of linear systems .

6.5 The eigenvalue plane . . . . . .

6.6 Application: Love affairs . . . .

6.6.1 A responsive and a fickle

6.6.2 Two cautious lovers . . .

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lover

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7.1 Generalities . . . . . . . . . . . . . .

7.2 Fixed points and linearization . . . .

7.3 Application: competing species . . .

7.4 Conservative systems . . . . . . . . .

7.5 Application: the pendulum . . . . . .

7.6 Application: the damped pendulum .

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8 Limit cycles

8.1 The van der Pol oscillator . . . . . . . . .

8.2 Bendixsons theorem . . . . . . . . . . . .

8.3 Weakly nonlinear oscillators . . . . . . . .

8.4 Regular perturbation theory . . . . . . . .

8.5 Two-timing: the method of multiple scales

8.5.1 The linear example . . . . . . . . .

8.5.2 The nonlinear example: back to the

8.6 A digression: Fourier series . . . . . . . . .

8.7 The method of averaging . . . . . . . . . .

8.8 The Poincare-Bendixson theorem . . . . .

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113

9.1 Saddle-node bifurcations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113

9.2 Pitchfork bifurcations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115

9.3 Hopf bifurcations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117

10 Difference equations

127

10.1 Linear constant-coefficient difference equations . . . . . . . . . . . . . . . . . 128

10.2 Nonlinear difference equations and linearization . . . . . . . . . . . . . . . . 131

10.2.1 Fixed points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131

CONTENTS

10.3 Poincare sections . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134

11 The

11.1

11.2

11.3

11.4

11.5

11.6

11.7

logistic map

Fixed points and their stability . . . . .

Visualizing the logistic map . . . . . . .

Periodic solutions of difference equations

Self-similarity of the bifurcation diagram

The existence of a period 3 windows . .

Lyapunov exponents . . . . . . . . . . .

Universality in unimodal maps . . . . . .

12 Fractals

12.1 Countable vs. uncountable sets . .

12.2 Cantor sets . . . . . . . . . . . . .

12.3 Dimension . . . . . . . . . . . . . .

12.3.1 The Similarity dimension . .

12.3.2 The Box-counting dimension

13 The

13.1

13.2

13.3

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139

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Lorenz equations

165

Volume contraction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166

The Lorenz map . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168

The box-counting dimension of the Lorenz attractor . . . . . . . . . . . . . . 171

14 Strange attractors

14.1 Stretching and folding . . . .

14.2 Strange attractors: definition

14.3 The Bakers map . . . . . . .

14.4 The Henon map . . . . . . . .

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vi

CONTENTS

Chapter 1

Useful resource materials

1.1

Internet

pplane: A useful java tool for drawing phase portraits of two-dimensional systems.

See http://math.rice.edu/~dfield/dfpp.html.

Caltechs Chaos course: an entire on-line course with many cool applets and

demonstrations.

The link here is to a box-counting dimension applet.

See

http://www.cmp.caltech.edu/~mcc/Chaos_Course/Lesson5/Demos.html.

Strogatz video:

this collection of videos has the author of our textbook illustrating different aspects and applications of dynamical systems

and chaos.

All are instructive, and most are very amusing.

See

http://dspace.library.cornell.edu/handle/1813/97.

1.2

Software

Dynamics Solver. A software package for the simulation of dynamical systems. Tons of features. Not always intuitive, but pretty easy to start with. See

http://tp.lc.ehu.es/jma/ds/ds.html. Freeware.

Phaser. A software package for the simulation of dynamical systems. Looks great,

but non-intuitive steep learning curve. See http://www.phaser.com/. A single license

is $60.

1.3

Books

D. Shaw. See http://www.aerialpress.com/aerial/DYN/. Theres some history

here: this book is commonly referred to as the picture book of dynamical systems.

1

CHAPTER 1. RESOURCES

Ralph Abraham is one of the masters of the subject. His exposition together with the

drawings of Chris Shaw makes a lot of sometimes difficult concepts very approachable

and intuitive. A true classic. Unfortunately, the printed edition is unavailable. An

ebook edition is available from http://www.aerialpress.com/aerial/DYN/. I have

the ebook if anyone wants to take a look at it.

Differential Equations, Dynamical Systems & An Introduction to Chaos by

Maurice W. Hirsch, Stephen Smale, and Robert L. Devaney (Elsevier Academic Press,

2004). A classic introductory text, also covering many standard aspects of differential

equations. The authors are true pioneers of our subject matter.

Chapter 2

Introduction

This course presents an introduction to dynamical systems. So, what are dynamical

systems? A dynamical system is a recipe that tells us how to evolve certain variables forward

in time t. Well encounter two distinct ways of doing this.

2.1

Continuous time t

If we are interested in systems where the variables depend on a time variable t R, dynamical

systems are systems of differential equations

y 0 = f (y, t),

where

y = y(t).

In other words, we want to determine the t-dependence of the vector function y =

(y1 , y2 , . . . , yN )T . Here N is referred to as the dimension of the system. Note that the

right-hand side of the dynamical system is specified by the vector function f (y, t) =

(f1 (y1 , . . . , yN , t), . . . , fN (y1 , . . . , yN , t))T . Thus, in essence, we are looking at solving a (vector) differential equation. So, why not call this course Differential Equations, pt. 2?

Because well adopt a different point of view, thats why!

2.2

Discrete time n

If instead we are interested in systems where the variables depend on a discrete time variable

n Z, dynamical systems take the form

yn+1 = F (yn , n).

3

CHAPTER 2. INTRODUCTION

independent variable, like t was for continuous-time systems. It is merely a matter of convention to write the dependence on discrete variables like n as an index, instead of using

parentheses. As before, yn may be a vector function, yn = (y1,n , . . . , yN,n ). In that case the

right-hand side also becomes a vector function, of course. The types of equations we encounter are known as difference equations, and you are probably less familiar with them than

you are with differential equations. Difference equations occur often when we are sampling

continuous-time processes at discrete time intervals (for instance, once per week), or when

we investigate processes that are inherently discrete, such as the standings of sports leagues

after every day of game play. So, we could just study difference equations, right? Not right:

again well have a different point of view.

2.3

For the sake of argument, lets assume were looking at continuous-time systems. As a matter

of fact, well spend more time with this case than with the discrete-time case anyways. What

is the main difference between the theory of differential equations and the theory of dynamical

systems?

Are you sitting down? Heres some bad news:

Fact 1. Most differential equations cannot be solved. Lets be more precise: most

differential equations cannot be solves in terms of functions that we know. In fact, almost

no differential equation can be solved in such terms. For instance, the simple first-order

equation

y 0 = y 2 + t2

for a function y = y(t) cannot be solved. Bummer!

Having taken a course on differential equations you now feel cheated. Hey, dont shoot

the messenger! If we had told you this when you took your differential equations course,

you wouldnt have been very motivated, right1 ? Why then, do we put you through an entire

course on differential equations, presenting lots of solution techniques for the few equations

we can solve? Well, we have to start somewhere: solving those few equations provides lots

of intuition on which we can build.

How do we deal with this observation? Theres two ways:

We could solve differential equations numerically, using a computer, or

Instead of trying to find a formula for the solution, we could restrict ourselves to just

trying to find important characteristics of the solutions.

1

Im assuming you were a bundle of energy, constantly paying attention and providing feedback in your

differential equations course. . .

Both approaches are viable, and they actually complement each other: the first approach

produces numbers, which are required for many applications. The second approach provides

insight, and it provides some checks for the answers produced by the first approach. So this

is the good news2 !

Fact 2. We dont care about all the details of the solutions (usually). What

we do care about are properties of the solutions: periodicity, asymptotic values and limits,

etc. Returning to the above example, we can easily see that all solutions approach infinity

as t , since y 0 0 and y 0 = 0 only for y = 0 and t = 0. Thus solutions increase without

bound faster and faster.

In the theory of dynamical systems, we are interested in the qualitative

behavior of solutions, not necessarily their quantitative properties.

CHAPTER 2. INTRODUCTION

Chapter 3

Flows on the line

3.1

General considerations

In this chapter we study dynamical systems consisting of one differential equation with a

continuous time variable that are autonomous:

dy

= y 0 = f (y),

dt

where y is a function of the independent variable t. The equation is called autonomous

because the right-hand side does not depend on t explicitly: the only t dependence is through

y = y(t). This dynamical system is called one dimensional because for any value of t,

y R1 = R, or, in other words, y is a scalar.

This differential equation is separable, so we can actually solve it:

dy

= f (y)

dt

1

dy = dt

f (y)

Z

Z

1

dy = dt + c

f (y)

Z

1

dy = t + c.

f (y)

Depending on f (y), we may or may not be able to do the integral on the left. In many cases

we cant. Even if we can do it, we have obtained only an implicit solution. In order to obtain

an explicit solution, we have to solve the remaining equation for y, which again may or may

not be possible. This is not the approach we will follow.

Heres the specific question we want to answer: for a given initial condition, deter7

Lets look at an example.

Example. Consider the equation

y 0 = sin y,

with initial condition

y(0) = y0 .

Using separation of variables, as above, and using lots of calculus, we find (check this!)

t = ln |cosec y + cot y| + c.

At t = 0 we want y = y0 , thus

0 = ln |cosec y0 + cot y0 | + c

c = ln |cosec y0 + cot y0 |,

so that

cosec y0 + cot y0

.

t = ln

cosec y + cot y

This equation can actually be solved for y, but it is not easy (try it!). Using the above, we

return to our question: as t , what can we say about y, for different y0 ? You notice

this is a hard question to answer. Is there another way of getting at this information in a

more convenient way? Well, you know I wouldnt be asking if the answer was No!

3.2

The phase portrait of a dynamical system contains a lot of information about the solutions of

the system, without all the detail one finds in a solution formula. Usually the phase portrait

can be obtained much more easily, and it often contains lots of the interesting information

we want. Since phase portraits are new to us now, lets take it step by step. Well use our

first example above to illustrate the steps as we encounter them.

1. Draw the phase space: the phase space is the collection of all possible y values. For

our example, since we have only one differential equation, this is R. Thus, the phase

space looks like

are components of y. Draw is in quotes, because once we get beyond 2 or 3 components, were doomed by our measly human capabilities of not being able to see more

than three dimensions1 .

2. Find the equilibrium points: Next, we find the equilibrium points or fixed points.

These are the values of y for which nothing happens: if we are at one of these values,

nothing changes. In other words, for the equilibrium points y 0 = 0. This implies that

f (y) = 0,

which is an algebraic equation for y. Granted, this may be a difficult algebraic problem

to solve for y, depending on how complicated the function f (y) is, but its better than

having to solve a differential equation. Having found all solutions of this algebraic

problem, weve determined all the constant solutions of the differential equation. They

correspond to points in the phase space. So, having found these points, we draw them

in the phase space.

Going back to our example, we have to solve

sin y = 0,

which results in

y = 0, , 2, . . . .

Drawing these points in the phase space gives the picture below.

Suppose that our equation was not autonomous:

y 0 = f (y, t).

Looking for equilibrium solutions, as before, we need y 0 = 0, which implies we have to

solve f (y, t) = 0, for constant values of y. But this is not possible: solving f (y, t) =

0 results in values of y that will depend on t, thus y 0 (t) 6= 0 and we cannot find

any equilibrium solutions. In general, non-autonomous systems are significantly more

complicated that autonomous ones. Well do very little with non-autonomous systems

in this course.

1

10

3. Determine the motion in between any two equilibrium points: At this point,

all that is left to do is determine the motion around the fixed points. For onedimensional systems, theres not many possibilities. This question becomes more interesting once we consider higher-dimensional systems. But, hold your horses, were

not there yet.

Since we have determined all the fixed points, i.e., all values for which f (y) = 0, the

function f (y) is either strictly positive or negative in between any two fixed points.

Wherever this function is positive, we have y 0 > 0, meaning y is increasing there. We

indicate this by a right arrow between the two fixed points. Elsewhere the function

f (y) is negative, implying y 0 < 0 and y is decreasing. Well put a left arrow. This

results in the picture below, which is the phase portrait for the system were currently

studying.

+

2

2

0

What do we do with the phase portrait? Heres a start: plunk down an initial condition

anywhere you want. Where will it go? How will it evolve? Theres three possibilities.

If we manage, somehow, to select one of the fixed points as an initial condition, nothing

changes. The time evolution does not lead to different values.

If we choose an initial condition in a region with an arrow to the right (increasing y

values), the solution starting from the chosen initial value will evolve to higher values.

The solution cannot go past any equilibrium points: at these points there is no change.

As the equilibrium points are approached, the value of y 0 , which is also f (y), decreases,

meaning that the increase in y is less, and thus the equilibrium point is only approached

as t . Note that the approach to the equilibrium point is monotone, as the arrow

always points to the right.

If we choose an initial condition in a region with an arrow to the left (decreasing y

values), the solution starting from the chosen initial value will evolve to lower values.

As before, the solution cannot go past any equilibrium points. As the equilibrium

points are approached, the value of y 0 , which is also the value of f (y), approaches

zero, meaning that the decrease in y is slower, and thus the equilibrium point is only

approached as t . Note that the approach to the equilibrium point is monotone,

as the arrow always points to the left.

We deduce that the knowledge of the phase portrait allows us to infer the graph of

the solutions as functions of t, for different initial conditions. This graph is indicated in

Figure 3.1. Although we can always infer this graph from the phase portrait, we will hardly

ever bother. The information we want is in the phase portrait and we will focus on that

instead.

11

Figure 3.1: The solutions of the system y 0 = sin y, for varying initial conditions. Here the

horizontal axis represents t, while the vertical axis represents y. In essence, the vertical axis

is the phase portrait turned on its side. The figure was produced using dfield.

3.3

From the phase portrait we easily infer the behavior of the dynamical system near the fixed

points. For instance, for our example, we immediately see that values near y = 0 end up

farther away from it, as time goes on. We call such fixed points unstable. Similarly, we see

that values that start near y = evolve to values even closer to y = . such a fixed point is

called stable. Formally, we have the following definitions.

Definition. A fixed point is called stable if solutions that start near it stay near it.

Definition. A fixed point is called asymptotically stable if solutions that start near it,

approach the fixed point as t .

Definition. A fixed point is called unstable if solutions that start near it, end up

wandering away from it.

Thus, in our example, the fixed point y = 0 is unstable, whereas the fixed points at

12

3.4

y 0 = f (y).

It follows from the discussion in the previous section that the phase space is separated in

different regions, with the equilibrium points as their boundaries. In these regions either

f (y) > 0,

or

f (y) < 0,

leading to

y0 > 0

or

y 0 < 0,

respectively. This implies that solutions are monotonely increasing or decreasing, until they

reach one of the stable equilibrium points, if there are any. In particular, it is not possible

for solutions of equations of the form

y 0 = f (y),

to oscillate.

3.5

Another example

Before we move on to other things, lets do another example to illustrate all the concepts

weve introduced, to ensure it all makes sense. Consider the one-dimensional system

y0 = 4 y2,

with y R. Lets draw the phase portrait and determine which, if any, fixed points are

stable, unstable, etc.

1. The phase space: This is the real line, as drawn below.

13

f (y) = 0 4 y 2 = 0 y 2 = 4 y = 2.

These are indicated in the phase space below.

in between any fixed points. This gives the phase portrait below.

We see that the fixed point y = 2 is unstable, whereas the fixed point at y = 2 is

asymptotically stable. If we wanted, we could sketch the actual solutions as a function of t.

This is done in Figure 3.2.

3.6

As a more extended example, we consider a simple model for the evolution of a population.

For argument sake, lets assume were talking about a population N (t) of rabbits in a large,

but finite meadow. The meadow is assumed very large, but its finiteness implies there is a

limit to the resources available to the rabbit colony. For starters, we may assume that the

change in the population will depend on the size of the population, but it will not depend

on when that population is obtained. The consequence of this simple assumption is that we

consider an autonomous model for the population dynamics:

dN

= f (N ),

dt

for some function f (N ), to be determined. What kind of function should f (N ) be? We

dont have much information. Lets expand f (N ) in its power series. We get the dynamical

system

dN

= a + bN + cN 2 + dN 3 + . . . .

dt

Here a, b, c, d, . . . are the expansion coefficients of the power series. Lets find out what we

can say about them.

1. The term a. For very small populations our model implies that the most important

contribution comes from the first term in the power series, thus we consider

14

Figure 3.2: The solutions of the system y 0 = 4 y 2 , for varying initial conditions. Here the

horizontal axis represents t, while the vertical axis represents y. As before, the vertical axis

is the phase portrait turned on its side. The figure was produced using dfield.

N 0 = a N = N0 + at.

what can we say about this? The above equation says, among other things, that if we

start with no initial population (N0 = 0), then the population grows linearly in time.

This is surely peculiar. To avoid this unrealistic phenomenon, we are forced to equate

a to zero:

a 0,

reducing our model to

dN

= bN + cN 2 + . . . .

dt

15

2. The term bN . We proceed as before. For small N , the dominant contribution is due

to the first term bN , since the term with a is gone. Thus we study

N 0 = bN.

The solution of this simple equation is

N = N0 ebt .

We find that the population changes exponentially as long as N is small (meaning,

small enough, so that the next term (cN 2 ) is not important yet). Now, do we expect

the population to increase or decrease? We are dealing with a small population with

an abundance of resources, so we expect it to increase. We conclude that

b > 0,

establishing exponential population growth for initially small populations. The constant b is referred to as the growth rate.

3. The term cN 2 . Next, we incorporate the quadratic term. Ignoring the cubic and

higher-order terms, we have

N 0 = bN + cN 2 ,

which well rewrite as

cN

N =b 1+

b

0

N.

are there to reflect that its not really a growth rate as its not constant, due to the

explicit dependence on N . Thus this growth rate changes in time, because N does.

For small N our growth rate equals b, as expected. However, as N gets bigger, the

finite amount of resources should have an impact on the dynamics, and we see that it

does: the dependence of the growth rate on N becomes more and more important.

We can also argue at this point that c should be negative,

c < 0,

since otherwise the growth rate would increase with N , resulting in ever faster rates

of growth, despite the finite amount of resources. With negative c however, we see that

the growth rate will decrease, and it can even be zero or negative for sufficiently large

16

N . This is to be expected: if we start with a rabbit population that is too large to

be sustained by the resources of the meadow, the population should decrease. For

convenience we rewrite

c=

b

,

K

N

N =b 1

N.

K

0

4. Higher-order terms. We could continue along these lines, including more and more

terms. However, at this stage we have already incorporated the two effects we wished

to model: the growth of small populations and the negative effect of the finite amount

of resources. So, well stick with the quadratic model, which is known as the logistic

equation.

Next, we draw the phase portrait for the logistic model of the population dynamics.

First, the phase space is given by the positive or zero real numbers. We can exclude the

negative real axis, since were looking at population numbers, which are inherently positive.

The fixed points are found by solving

N

N = 0,

b 1

K

which gives

N = 0 or N = K.

The first fixed point is expected: nothing happens if we start without a population. The

second fixed point is more interesting: it is the value of the population that balances growth

and resources. We expect it to be stable, as the arrows of the phase portrait in Figure 3.3

below confirm. The value K is referred to as the carrying capacity of the population. The

same figure also shows the behavior of different solutions as a function of time t.

3.7

It is possible to determine the stability of a fixed point from the phase portrait as weve

done before. However, theres an even easier way of doing this. Better still, this approach

generalizes easily to higher-dimensional systems as well see.

Consider the system

y 0 = f (y).

17

Figure 3.3: The phase portrait (top) for the logistic equation, with b = 1 and K = 2. Below,

several solutions as functions of t are displayed, using dfield.

Lets examine a part of the phase space near a fixed point y0 . At the fixed point we have

f (y0 ) = 0. Thus there are two possibilities, shown in Figure 3.4. Note that we are assuming

that y0 is a simple root of the equation f (y0 ) = 0. Roots of higher multiplicity result in

more complicated scenarios that well comment on briefly in what follows. That case also

plays an important role in the study of bifurcations, which well get to in the next chapter.

We see from the figure that the fixed point is unstable if f (y) is increasing at the fixed

point, whereas it is stable if f (y) is decreasing there. We can characterize this as follows:

f 0 (y0 ) > 0 implies y 0 is unstable, and

f 0 (y0 ) < 0 implies y 0 is stable.

Another way of coming to this same conclusion, and relying less on pictures, is the

following. Lets linearize our equation near y = y0 . Equate

18

f(y)

f(y)

y0

y0

Figure 3.4: The two possible phase portraits near a fixed point that is a simple root of

f (y) = 0. On the left we have an unstable fixed point, on the right a stable one.

y = y0 + x,

where we think of x as a small quantity, compared to y0 . Then

y 0 = f (y)

y00 + x0 = f (y0 + x)

x0 = f (y0 ) + xf 0 (y0 ) +

x2 00

f (y0 ) + . . . ,

2

where we have used the Taylor expansion of f (y) near y0 , and the fact that y00 = 0. Further,

since f (y0 ) = 0, we have

x2 00

x = f (y0 )x + f (0) + . . . .

2

If the first term is not zero, it dominates the other terms on the right-hand side, and we

get (approximately)

0

x0 = f 0 (y0 )x,

which gives

0

x = x0 ef (y0 )t .

Here x0 is the initial deviation from y0 . To investigate stability, we need to see what the

dynamics of this deviation is as t . We see that

19

and

lim x = , if f 0 (y0 ) > 0 (instability),

where the is determined by x0 . In any case, we see that we find the same conclusion this

way as using the graphical method. Note that these calculations show that

=

1

|f 0 (y

0 )|

is a characteristic time for the behavior near the fixed point: it is the time it takes the

dynamics to change by a factor of e = 2.718 . . ..

A few remarks are in order. The linearization method requires that f (y) can be expanded

in a Taylor series near y = y0 . Specifically, if f (y) has a vertical tangent at the fixed point,

the linearization method cannot be used, since there is no Taylor series. Also, if f (y) has a

horizontal tangent at y = y0 , the method cannot be used. In that case y0 is a higher-order

root of the equation and the linear term vanishes since f 0 (y0 ) = 0. Thus we have to take

the quadratic and higher-order terms into account. In a case like that, it is possible that the

graphical method still gives the right result, even if the linearization method is inconclusive.

As an example, you should examine the system

y 0 = y 3 = f (y).

Youll find easily that y = 0 is a fixed point, but with f 0 (y) = 3y 2 is zero there. Thus the

linear stability analysis is inconclusive. The graphical method shows that the fixed point is

unstable, since y 3 > 0 for y > 0 and y 3 < 0 for y < 0. Thus y = 0 is an unstable fixed point

of the system y 0 = y 3 .

Example. Consider the logistic equation. We have

N

0

= f (N ).

N = bN 1

K

As weve seen, there are two fixed points:

N1 = 0,

N2 = K.

N

b

2b

f (N ) = bN 1

= bN N 2 f 0 (N ) = b N.

K

K

K

evaluating this at the fixed points gives

f 0 (N1 ) = f 0 (0) = b > 0 N1 = 0 is unstable,

20

and

f 0 (N2 ) = f 0 (K) = b < 0 N1 = K is stable,

3.8

We wont say much about using numerical solutions in this course, as we are more interested

in the qualitative behavior of solutions. Nevertheless, using numerical methods is unavoidable and very helpful in real-life applications. Further, this section will give us a first glimpse

of dynamical systems with a discrete time variable.

The ideas well outline below also work for non-autonomous equations, but to ease the

presentation we will restrict ourselves to autonomous systems. Thus we study an equation

of the form

y 0 = f (y).

Observe that for every pair (t, y) this allows us to draw an arrow in the (t, y)-pair indicating

the slope to the solution of the differential equation at that point. The collection of these

arrows is known as the direction field. One is drawn in Figure 3.5.

So, how do we numerically construct the solution to the equation passing through a given

point (the initial condition)? Well, one idea would be to just follow the direction of the arrow

for a bit. This is exactly what the Euler method does.

3.8.1

Using the idea of following the arrows, Eulers scheme simply says that the derivative of the

solution y(t0 ) is given by

y(t0 + t) y(t0 )

,

t

where on the right-hand side weve used the differential quotient of y(t0 ) and the neighboring

point y(t0 + t). We get

y 0 (t0 ) = f (y(t0 ))

This is known as the explicit Euler method with time step t. If we let t1 = t0 + t, then

y1 = y0 + f (y0 )t,

where y0 = y(t0 ), y1 = y(t1 ), etc. In general,

yn+1 = yn + f (yn )t,

21

Figure 3.5: A direction field for an ordinary differential equation. The plot was produced

using dfield.

which is a first-order (since theres only one shift appearing) difference equation. However

naive, Eulers method is not bad. It is clear that to obtain a good approximation, one needs

to choose a sufficiently small t.

One measure of the accuracy of a numerical scheme is its local truncation error:

En+1 = |yn+1 y(tn + t)| .

This is the error made by moving from the point we obtained for the nth position to the

(n + 1)th point where the Euler method takes us. We can say more by using a Taylor

expansion:

En+1 = |yn+1 y(tn + t)|

(t)2 00

0

= yn + f (yn )t y(tn ) + ty (tn ) +

y (tn ) + . . .

2

22

2

(t)

00

= yn + f (yn )t yn + tf (y(tn )) +

y (tn ) + . . .

2

2

(t) 00

y (tn ) + . . .

=

2

= O(t)2 ,

where O((t)2 ) indicates that the local truncation error is of second order in t. Thus, at

every time step were making an error which is quadratic in the small time-step t.

3.8.2

The ideas that went in to the Euler method are pretty rudimentary. Can we do something

fancier, something that might result in an approximation scheme that has a better local

truncation error, for instance? It turns out there are many ways of doing this. The simplest

way to improve Eulers method is to use the improved Euler method2 !

Heres how it works. For Eulers method we use derivative information from the current

point to get to the next point. But the derivative changes all along the solution curve that

were trying to approximate. So, perhaps, we could do better by incorporating derivative

information from the next point. Why dont we do this? Thats an easy one to answer: we

dont do this, because we dont know the next point on the solution curve. On the other

hand, we do know a decent approximation to this next point, namely what we get from

Eulers method. Lets use that. Heres what well do.

1. We use Eulers method to get to a new point yn+1 :

yn+1 = yn + f (yn )t.

This is illustrated by the black arrow in Figure 3.6.

2. The derivative information from this predictor point is f (

yn+1 ), indicated by the red

arrow in Figure 3.6.

3. Using this new direction, we calculate a new, updated guess for our new point, by

averaging the two directions:

yn+1 = yn +

t

(f (yn ) + f (

yn+1 )).

2

This gives a new scheme to numerically solve differential equations. Lets examine the

local truncation error to confirm that this scheme is actually better than Eulers method.

We have

2

No, seriously!

23

y^n+1

yn+1

yn

tn

tn+1

Figure 3.6: An illustration using too many colors of the improved Euler method. The black

arrow shows the prediction from Eulers method. The red arrow shows the derivative at

the prediction point. The blue arrow gives the average direction of the black and the red

arrow, resulting in a final point for the improved Euler method, which might be a better

approximation.

2

3

(t)

(t)

t

0

00

000

(f (yn ) + f (

yn+1 )) y(tn ) + ty (tn ) +

y (tn ) +

y (tn ) + . . .

= yn +

2

2

6

2

3

t

t

(t)

(t)

0

00

000

= f (yn ) +

f (yn + tf (yn ) ty (tn )

y (tn )

y (tn ) + . . .)

2

2

2

6

2

2

t

(t) f (yn ) 00

t

0

= f (yn ) +

f (yn ) + tf (yn )f (yn ) +

f (yn ) + . . .

2

2

2

(t)2 00

(t)3 000

0

ty (tn )

y (tn )

y (tn ) + . . .

2

6

2

3

= t + (t) + (t) + . . . ,

24

where

1

1

= f (yn ) + f (yn ) y 0 (tn ) = 0,

2

2

and we have used that

y 0 (tn ) = f (y(tn )) = f (yn ).

Next, we have

1

1

= f (yn )f 0 (yn ) y 00 (tn ) = 0,

2

2

where we have used that

y 00 (tn ) = f 0 (y(tn ))y 0 (tn ) = f 0 (yn )f (yn ),

by the chain rule. Similarly, you can show that generically (meaning, almost always, unless

f (y) is chosen in a very special way) 6= 0. This implies that the improved Euler method does

indeed appear to be a more accurate method than Eulers method, as its local truncation

error is given by

En+1 = O((t)3 ),

which is one order of magnitude better than Eulers method.

3.8.3

Runge-Kutta methods

Methods like the above can be more refined. At some point, we have to pay a price in

efficiency (read: speed of the computation) compared to accuracy of the method. It is

generally agreed that the 4th order Runge-Kutta method is one of the best methods when it

comes to balancing these two effects. The method is given by

yn+1 = yn +

t

(k1 + 2k2 + 2k3 + k4 ) ,

6

where

k1

k2

k3

k4

= f (yn ),

= f (yn + k1 /2),

= f (yn + k2 /2),

= f (yn + k3 ).

25

One can show (do not necessarily try this at home!) that the local truncation method

for this method is

En+1 = O((t)5 ).

26

Chapter 4

Bifurcations in one-dimensional

systems

Up to this point, we have considered systems of the form

x0 = f (x),

where x is one-dimensional. We have seen that the behavior of solutions of the these equations is rather restricted: solutions change in a monotone way. Either they approach a fixed

point, or else they head off to one of .

So, what can be interesting about systems like this? The answer is their dependence

on parameters.

In this chapter, we will study bifurcations. Bifurcation theory is the study of how solutions of dynamical systems change as a parameter is changed. As an example, consider the

growth of mosquito populations. As we all know, this heavily depend not only on the size of

the population and the available resources1 , but also on the temperature. If the temperature

T is so that T < Tc (a certain threshold) then the mosquitos are immobilized. On the other

hand, if T > Tc , they become very active. Thus, if we expect to have a good model for the

mosquito evolution, the temperature should show up as a parameter. Further, for the special

value T = Tc , we expect something special to happen in the system. If the phase portraits

for T < Tc and T > Tc are qualitatively different, we say that a bifurcation occurs

at T = Tc .

4.1

x0 = + x2 ,

1

27

28

x

1/2

1/2

()

()

(a)

0

(b)

(c)

Figure 4.1: The three different phase portraits for the system x0 = + x2 , for different values

of . On the left (Figure (a)), < 0. In the middle (Figure (b)), = 0, while > 0 on the

right in Figure (c).

where is a real-valued parameter. The fixed points of this system are given by

+ x2 = 0 x2 = .

We see immediately that there are three different possibilities:

1. < 0: In this case is positive, meaning we can take a square root. Thus there are

two distinct fixed points (which we indicate with a super-index ):

x = .

As shown in Figure 4.1a, the phase

portraits do not change qualitatively as changes

in this range. The fixed point at is always stable, and the fixed point at

is unstable.

2. = 0: This is easy. Now theres only one fixed point,

x = 0,

which is semi-stable.

3. > 0: In this case there are no fixed points, and the value of x increases forever. This

scenario is illustrated in Figure 4.1c.

Thus, in the bifurcation of changing from a negative value to a positive value,

two fixed

points disappear and instead of all solutions with initial condition less than (which

ceases to be defined for > 0) converging to a fixed point, they end up drifting off to infinity.

In a saddle-node bifurcation, two fixed points are destroyed or appear.

We wont explain where the name of this bifurcation comes from, until we start talking

about bifurcations in higher-dimensional systems. Somehow well survive until then. The

29

<0

=0

>0

Figure 4.2: The evolution of the phase portrait for varying .

evolution of the phase portrait for different parameter values is shown more schematically in

Figure 4.2. The summary of all these phase portraits is usually represented in the bifurcation

diagram, which displays the local of the fixed points as a function of the parameter. Thus,

we turn the phase portrait on its side and examine how it changes as changes through the

bifurcation value = 0. The bifurcation diagram is shown in Figure 4.3.

On a more schematic level, the bifurcation diagram is often displayed without the arrows

indicating the phase flow. Instead, curves depicting stable fixed points are shown as solid

curves, whereas unstable fixed point curves are shown dashed. Such a bifurcation plane

cartoon is shown in Figure 4.4.

4.1.1

x0 = x ex = f (x).

As before, we start by finding the fixed points. These satisfy

x ex = 0.

In general, for arbitrary values of , we cant solve this equation for x. How can we check

whether there is a saddle-node bifurcation in this system? Lets reconsider our first example

again. We see that, in order to have a saddle-node bifurcation as a certain bifurcation point,

it is necessary to have

1. A fixed point: f (x) = 0, and

2. This fixed point should be semi-stable, as it occurs at the transition of the collision of

two fixed points of opposite stability properties. In order to have a semi-stable fixed

point, it is necessary that

f 0 (x) = 0.

30

x*

Lets see what these two equations give for our current example. The first condition

weve already written down above. The second one gives

f 0 (x) = 0

1 + ex = 0.

f (x) = 0, f 0 (x) = 0,

give two conditions to be satisfied at the bifurcation point (c , xc ). Thus, even if we cannot

solve these equations with pen and paper, we still have two equations for two unknowns,

which we could solve using a computer. Sweet!

So, what do we get here? The second equation gives

ex = 1 x = 0.

Using this in the second equation gives

= 1.

Thus, a saddle-node bifurcation takes place at (c , xc ) = (1, 0).

31

x*

bifurcation, using a dashed line for a curve of unstable fixed points and a solid line for a

curve of stable fixed points.

4.1.2

Having determined the bifurcation point, we can now put our system in a familiar form, at

least in a neighborhood of the bifurcation point. Again, consider

x0 = x ex = F (, x).

We have made the dependence of the right-hand side on the parameter explicit. Near any

point (0 , x0 ) in (, x) plane, we may expand the function F (, x) using a two-dimensional

Taylor series as

F

F

+ (x x0 )

+

F (, x) =F (0 , x0 ) + ( 0 )

(0 ,x0 )

x (0 ,x0 )

2

1

2 F

2 F

( 0 )

+

+ ( 0 )(x x0 )

2

2 (0 ,x0 )

x (0 ,x0 )

2

1

2 F

(x x0 )

+ ...,

2

x2 (0 ,x0 )

32

where the . . . terms denote terms that are at least of cubic order. Lets work out what this

expansion gives for our F (, x), near (c , xc ) = (1, 0). We have

F (c , xc ) = 0,

F

= 1,

(c ,xc )

F

= 0,

x (c ,xc )

2 F

= 0,

2 (c ,xc )

2 F

= 0,

x (c ,xc )

2 F

x

=

e

= 1.

((c ,xc ))

x2 (c ,xc )

Here the first and third result are by construction. Indeed, these are the conditions we

imposed to locate the bifurcation point. Putting all this together, we get

1

1

x0 = 0 + ( c ) 1 + (x xc ) 0 + ( c )2 0 + ( c ) 0 + (x xc )2 (1) + O(3)

2

2

1 2

= ( 1) x + O(3),

2

where O(3) denotes terms of third order. This description allows us to draw a bifurcation

diagram easily, valid near the bifurcation point (c , xc ) = (1, 0). This is shown in Figure 4.5.

One should remember that this description, or any description of a bifurcation, is only

valid close to the bifurcation point. This example illustrates that the original system

x0 = + x2

may be considered as the standard system with a saddle-node bifurcation. We (or at

least, I) refer to it as the normal form for the saddle-node bifurcation.

4.2

x0 = x x2 ,

where R. The fixed points are given by

33

Figure 4.5: A schematic bifurcation diagram for x0 = x ex , near the bifurcation point

(c , xc ) = (1, 0).

x x2 = 0 x = 0, x = .

Thus, for every value of , there are two fixed points. Well, not exactly: if = 0 these two

fixed points collide. Thus we have a good guess that something happens at (c , xc ) = (0, 0).

The bifurcation diagram is displayed below, in Figure 4.6. A schematic (no arrows) is shown

in Figure 4.7.

It follows from these figures that for < 0 x = 0 is a stable fixed point, whereas x =

is unstable. For > 0, the roles are reversed. Now x = is stable, and x = 0 is unstable.

In a transcritical bifurcation, two families of fixed points collide and exchange

their stability properties. The family that was stable before the bifurcation is

unstable after it. The other fixed point goes from being unstable to being stable.

4.3

As a set-up example, lets start by considering the example of a solid elastic beam (think

steel), which is supporting a weight. This situation is illustrated in Figure 4.8, for two

different weights. If the weight W does not exceed a critical weight Wc , the beam supports

the weight. Thats nice. If the weight exceeds a critical weight Wc , then it will buckle, either

to the left or to the right (because we have a two-dimensional beam; three-dimensional

34

Figure 4.6: The bifurcation diagram for x0 = x x2 , showing the transcritical bifurcation.

beams have more options). The smallest perturbation (for instance in the composition of

the weight) may determine which way the beam will buckle. The possibility of the beam

remaining upright is still there, but this possibility is unstable. This set-up, which involves

three fixed points in the latter scenario, cannot be modeled by a saddle-node or transcritical

bifurcation. Thats where the pitchfork bifurcation comes in.

The normal form of a pitchfork bifurcation is given by the system

x0 = x x3 .

The fixed points are given by

x = 0, x = ,

where the latter two are only defined for > 0. Case-by-case, we get

1. < 0: x = 0 is the only fixed point. It is stable, as an elementary linear stability

analysis (for instance) shows.

2. = 0: x = 0 is the only fixed point, but it has triple multiplicity. It remains stable,

as a graphical analysis shows. Note that the linear stability analysis is inconclusive

here.

3. > 0: x = 0 and x = are all fixed points. The fixed point x = 0 has lost its

stability (sob), but the other two fixed points are stable.

4.4. EXERCISES

35

The bifurcation diagram is given in Figure 4.9. We see that in a pitchfork bifurcation

one family of fixed points transfers its stability properties to two families after/before the

bifurcation. Note that this is very similar to the example of the steel beam we discussed

above. The bifurcation of this example is called supercritical, because the nontrivial (i.e.,

nonzero) families of fixed points occur for values of the parameter larger than the bifurcation

value.

Similarly, a pitchfork bifurcation is called subcritical if the nontrivial fixed points occur for

values of the parameter lower than the bifurcation value. Such a case is shown in Figure 4.10.

It can be obtained from the system

x0 = x + x3 .

Now the fixed points are given by

x = 0, x = ,

where the latter two are only defined for values of < 0, i.e., before the bifurcation which

takes place at = 0. In that case it appears that the stability of a fixed point (at zero, in

this case) is destroyed through its collision with two families of unstable fixed points.

4.4

Exercises

To practice the concepts weve learned so far, you should try to classify the bifurcations in

the two following problems.

Consider the problem

36

W<Wc

W>Wc

Figure 4.8: A beam. Actually, two beams. With weights on top. So there.

x0 = (R x2 )(R 2 + x2 ).

Find all the fixed points. How many bifurcations are there, and of what type? Draw

the bifurcation plane. Answer: there are two transcritical bifurcations, and two saddlenode bifurcations.

Consider the problem

x0 = Rx

x2

.

1 + x2

How many bifurcations are there, and of what type? Draw the bifurcation plane.

Answer: there is one transcritical bifurcations, and two saddle-node bifurcations. There

is also a singular (i.e., at x = ) bifurcation at R = 0.

4.5

Well examine a model for the dynamics of the spruce budworm, which is a real pest in

Eastern Canada, and other parts of Canada. When an outbreak occurs, the budworm can

defoliate and kill the fir trees in an entire forest in about four years! Similar pests have

37

had a major impact on some of the national forests of Washington, especially in the Entiat,

Chiwawa and Wenatchee areas.

Well examine a model where we assume that the forest variables are constant, especially

when compared to the fast changing spruce worm population variable. At the end of our

analysis we will take the potential change of the forest parameters into account, which leads

to bifurcations.

Lets look at which model we will use. Well start with a logistic model (which takes into

account exponential growth for small populations, and finite resources), augmented with a

death rate term, due to the presence of predators, mainly birds. This leads to a model of

the form

N

0

N = RN 1

p(N ),

K

where p(N ) is the announced death rate term. What would be a good model for the death

rate? Taking into account that for very small populations N , the death rate should be small,

as predators have a hard time locating prey, and that any predator can only eat so much

prey, we expect the term p(N ) to behave as in Figure 4.11.

It does not really matter what the functional form of p(N ) is, as long as it has the above

features: monotone, quadratically small for small N and saturating as N . We can use

p(N ) =

BN 2

,

A2 + B 2

dN

N

BN 2

= RN 1

2

.

dt

K

A + N2

38

There are 4 parameters in this problem: A, B, R and K. Lets see if we can rescale our

variables to reduce this number. Let

N = N0 x, t = t0 .

Expressing the equation using the new variables and x introduces two new constants in the

equation, t0 and N0 . We get to choose these at will, to simplify our life as much as possible.

We get

N0 dx

N0 x

BN 2 x2

= RN0 x 1

2 0 2 2.

t0 dt

K

A + N0 x

We can rewrite this as

N0 x

Bt0 x2

dx

.

= Rt0 x 1

d

K

N0 (A2 /N02 + x2 )

There are different choices we can make to simplify our life. If we wish to make the last term

parameter free, we can pick

N0 = A, Bt0 = N0 ,

N0 = A, t0 = A/B.

dx

x2

x

= x 1

,

d

k

1 + x2

where we have defined

=

RA

K

, k= ,

B

A

39

p(N)

N

Figure 4.11: A likely profile for the death rate p(N ).

two parameters defined in terms of the old ones. The consequence of this rescaling business

is that we have reduced the number of parameters in our system from 4 to 2! Thats a good

days work! We see that represents a rescaled growth rate, whereas k represents a rescaled

carrying capacity.

The concept of rescaling variables to reduce the number of parameters in an equation is

an important one, which well use many more times in this course. Especially for equations

with units, this allows us rewrite everything in terms of dimensionless variables, which is

important as it allows us to make sense out of statements about large and small, etc. Well

come back to this when we need it.

We now analyze this system. We start by looking for the fixed points. They satisfy

x

x 2

,

=

x 1

k

1 + x 2

which implies there is one fixed point x = 0, which is hardly exciting. The rest is more

enticing:

x

x

1

=

.

k

1 + x 2

This (after getting rid of denominators) is a cubic equation for x . We could use Cardanos

formulae for the solutions of the cubic, but does anyone really want to do that? Didnt think

so. Lets do a graphical analysis instead.

1. For very small values of , (i.e., < 1 , see below) we see (Figure 4.12, upper left)

that there is one fixed point, x = a, which is a relatively small value. Since the curve

is below the straight line it follows that the fixed point is stable, thus the value x = a

is stable. It is referred to as the refuge level. A budworm population of this size in a

forest does not pose a threat.

40

=1

<1

1<<2

b=c

=2

c k

c k

a=b

>2

c k

Figure 4.12: The different possibilities for the fixed points, for fixed k and increasing .

2. At = 1 , the straight line touches the curve in an additional point, which gives rise

to another fixed point, x = b = c. Indeed, the multiplicity of this additional point is

two, due to the tangency. At the same time, the refuge fixed point x = a still persists.

That point remains stable, whereas the new fixed point is semi-stable for this value of

= 1 . It is the tip of a saddle-node bifurcation in which two fixed points are born.

3. For values of > 1 (but below the next bifurcation value 2 , see below) there are

three distinct fixed points (always in addition to the trivial one at x = 0, which really

does not enter our discussion), x = a (refuge, stable), x = b (threshold, unstable) and

x = c (outbreak, stable). It is clear why this last one is referred to as the outbreak

level, as it corresponds to a stable budworm population that is very high. On the

other hand, the second fixed point x = b is unstable: any initial condition higher than

x = b will result in an outbreak scenario, hence the name threshold.

41

x

c

b

a

1

Figure 4.13: The bifurcation diagram for the budworm problem, for a fixed value of k.

4. For = 2 , the fixed points x = a and x = b collide, and they annihilate in a

saddle-node bifurcation. At this value of , x = a = b is semi-stable, whereas the

outbreak level x = c persists and is stable.

5. Finally, for > 2 , the outbreak level is the only fixed point remaining. The point is

stable and all initial conditions lead to outbreak. Sad but true2 .

Putting all of this together, results in the bifurcation diagram shown in Figure 4.13. As

discussed there are two saddle-node bifurcations.

4.5.1

Hysteresis

Question: what can happen if the forest parameters changed for some external

reason? Lets examine this. Suppose we start in the regime where < 1 , but close to it.

Since x = a (refuge) is the only stable point, thats where well end up. Now suppose were

to increase beyond 1 . The budworm population will remain on the x = a (refuge) branch

of fixed points, since it is stable. Now, when reaches the point where 2 , something

happens, since beyond there, the refuge level does not exist anymore. The only stable fixed

2

42

point is given by the outbreak level, thus the population will see a sharp rise, from x = a

to x = b. For larger values of , the budworm population remains at outbreak levels, since

that is the only stable scenario. This is all bad news.

Suppose we, somehow, someway, somewhere, were to reduce the forest parameters. Would

we be able to undue these effects? Suppose we start from outbreak, but decreases to levels

below 2 . Since the outbreak branch is stable, this is where the population level remains.

Doh3 ! Lets see what happens as we increase more. As decreases below 1 , we finally

get the sharp decrease in the budworm population we were hoping for. This drop happens

because the outbreak level ceases to exist, and the refuge level is the only level that is stable.

We see that the system has executed the yellow loop of Figure 4.13, known as a hysteresis

loop. Such phenomena are known from electromagnetism, but they occur more widely in a

large variety of dynamical systems. We see that the presence of two saddle-node bifurcations

(one subcritical, one supercritical) leads to hysteresis.

4.5.2

Varying k

What happens if we also consider variations in k? It is clear that the values of 1 and 2 will

vary as k is changed, but it also appears that lots will remain as discussed above. In more

generality, lets determine what behavior is possible in our two-dimensional parameter space.

To this end, lets determine at what values of the parameters (k, ) bifurcations occur.

We have already seen that the only bifurcations in this problem are of saddle-node type.

And we know how to determine saddle-node bifurcations: we need a fixed point, and a

vertical tangent at the fixed point. Recall that our system looks like

x2

x

= F (k, , x).

x0 = x 1

k

1 + x2

At a bifurcation point, we need

F (k, , x) = 0,

F (k, , x)

= 0.

x

x

x2

x 1

= F (k, , x) = 0,

2

k

1

+

x

x

x2

x 1

= F (k, , x) = 0.

x

k

1 + x2

The rest is tedious algebra:

3

43

x

x 2

=

x 1

,

k

1 + x 2

x

(1 + x 2 2x x 2 2x)

x

=

k

k

(1 + x 2 )2

x

x 2

x 1

=

,

2

k

1

+

x

2x

x

k

(1 + x 2 )2

x

x

=

,

1

k

1 + x 2

1 x 2

k

(1 + x 2 )2

1 x 2

x

,

=

+x

(1 + x 2 )2

1 + x 2

1 x 2

k

(1 + x 2 )2

2x 3

=

,

1 + x 2

2 2

k = (1 + x )

1 x 2

3

2x

=

,

1 + x 2 .

3

2x

k =

x 2 1

We can consider x as a parameter. Then the above equation gives us expressions for

and k at which bifurcations happen. Since the first bifurcation happens to the right of the

maximum of x/(1 + x2 ) (which occurs at x = 1), it follows that the range for x [1, ).

Drawing the above curves in the (k, )-plane as a function of the parameter x gives rise to

Figure 4.14. Three regions are indicated there. Anytime one of the curves in the figure is

crossed, a saddle-node bifurcation takes place.

44

outbreak

refuge

refuge+outbreak

k

Figure 4.14: The bifurcation curves for the budworm problem in the parameter (k, )-plane.

Chapter 5

Flows on the circle

Instead of considering the dynamical system

x0 = f (x)

with x R, we could consider it on the circle. By this we mean that we let x [0, L), for some

positive L. Further, whenever x crosses one of the boundaries of its interval of definition, we

assume it comes back in on the other side. Mathematically, this implies were considering x

mod L. This amounts to considering x like an angle on the circle. To emphasize this more,

we write

0 = f ()

instead, with SL , the circle with circumference L. Thus 0 denotes the rate of change of

the angle , or the angular velocity. The main difference with flows on the line is that now

the flow can return to where it was, by going around the circle. Thus, periodic solutions are

possible!

Example. In this first example we show that periodic solutions do not always occur for

systems defined on the circle. Consider

0 = sin , S2

First we look for fixed points:

sin = 0 = N ,

for any integer N . Note that only N = 0 and N = 1 give rise to distinct points on S2 .

Thus, we have two fixed points:

1 = 0, 2 = .

Using 0 , we determine the phase portrait of the system, which is displayed in Figure 5.1.

We see that the fixed point 2 = is (asymptotically) stable, whereas 1 = 0 is unstable.

45

46

*

2

*

1

=0

We have encounted this same example before, but we treated it as a system on the line.

It is far more natural to treat it as a system on the circle! Whether that is the correct thing

to do or not has to be determined by the specific application that leads one to the system.

One should also realize that not every system can be considered as a system on the circle:

for instance the system

0 = 2

cannot be regarded as a system on S2 . Indeed, the flow gives conflicting information at

= 0 and at = 2, which should correspond to the same point. The system says that

the rate of change at that point is either 0 = 0, or else 0 = 4 2 , which are very different.

Such inconsistencies imply that this system cannot be defined on the circle. Somehow well

survive.

5.1

0 = ,

where is a real nonzero constant and S2 . This system is easily solved:

= t + 0 ,

47

where 0 represents the initial angle. We see that the entire circle is rotating with angular

velocity . After

2

,

T =

5.2

0 = a sin ,

with S2 . For the sake of argument we consider both and a to be positive. Looking

for the fixed points, we find

= a sin .

There are three different cases.

1. If a < then the fixed point equation has no solutions (see Figure 5.2, left). The whole

circle rotates towards increasing angles. The velocity is higher for angles in the third

and fourth quadrant, as is clear from Figure 5.2. In this case, the motion is periodic:

after some amount of time, the circle will be back to its initial position. The phase

portrait is shown on the right of Figure 5.2. It is actually pretty easy to figure out the

period T of the motion. We have

0 = a sin

Z 2

d

dt =

a sin

Z0 2

d

.

T =

a sin

0

The bounds of integration have been picked as follows: we can choose any initial

condition we want: the whole circle is rotating, so all solutions will be periodic. Now,

after one period = 2, namely the circle has rotated once. In this case we can work out

the integral. Dandy! The important part is to realize that even if this is not possible,

we have obtained an expression for the period, in terms of an integral which could be

easily evaluated numerically. Here we get, using the substitution = 2 arctan u (check

this!)

T =

2

.

2 a2

48

slow

0

a

fast

Figure 5.2: The right-hand side of 0 = a sin , for a < , on the left. The phase portrait

for this case is shown on the right.

/2

/2

Figure 5.3: The right-hand side of 0 = a sin , for a = , on the left. The phase portrait

for this case is shown on the right.

2. When a = , there is exactly one fixed point at /2, but it is a semi-stable fixed point,

as observed from Figure 5.3. Note that all initial conditions eventually lead to the

fixed point at /2. We say that the fixed point is attracting. This does not imply that

the fixed point is stable though.

3. For a > , there are two distinct fixed points, one stable and one unstable. These are

born out of a saddle-node bifurcation at the critical value a = .

49

Figure 5.4: The right-hand side of 0 = a sin , for a > , on the left. The phase portrait

for this case is shown on the right.

50

Chapter 6

Two-dimensional linear systems

We have seen that the behavior of linear systems is very constrained. Things got a bit more

interesting when we discussed bifurcations. This kind of lured us to a second dimension,

but not really. Lets go there now. Well start by studying linear systems, to build some

intuition before we go to nonlinear systems.

6.1

Set-up

0

x1 = ax1 + bx2

x02 = cx1 + dx2 .

Here a, b, c, and d are constants. We conveniently rewrite this using vector-matrix notation

as

x0 = Ax,

with

x=

x1

x2

,

and

A=

a b

c d

.

One immediate consequence of the system being linear is that if x(1) and x(2) are solutions,

then so is

x = c1 x(1) + c2 x(2) ,

where c1 and c2 are arbitrary constants.

51

52

with mechanical systems, since Newtons law is a differential equation of second order. For

instance, consider the case of a particle suspended from an elastic spring, governed by Hookes

law:

my 00 = ky,

where m denotes mass, k is Hookes spring constant and y is the displacement away from

equilibrium. Our standard approach is to rewrite this as a first-order system. Since the

equation is of second order, we introduce two variables:

x1 = y, x2 = y 0 .

What are the differential equations for these quantities? We start with x1 . Taking a derivative, we get

x01 = y 0 = x2 .

That was easy! Now for x2 :

x02 = y 00 =

k

k

y = x1 .

m

m

Thus

(

x01 = x2

x02 =

.

k

x1

m

d

x1

0

1

x1

=

.

k/m 0

x2

dt x2

6.2

A first example...

d

dt

x1

x2

=

a 0

0 1

x1

x2

,

where a is a real parameter. Note that this system isnt really worthy of the name system,

as its really two decoupled scalar equations:

x01 = ax1 , x02 = x2 .

These equations are easily solved:

53

x1

x10

t

x20

x2

Figure 6.1: A plot of x1 (t) and x2 (t) as functions of t, for specific initial conditions x10 and

x20 .

where x10 and x20 are initial conditions for x1 and x2 respectively.

How do we graphically represent these solutions? We could plot x1 (t) and x2 (t) as

functions of t for different initial conditions. Such a plot is shown in Figure 6.1. The

disadvantage of this approach is that wed need a different plot for different initial conditions.

More importantly, in order to use this approach, we need to be able to solve the differential

equations explicitly. More often than not, we wont be able to do this, so wed be stuck.

Further, often we dont care much for the detail of these plots. As before we are more

interested in qualitative features.

Instead, we can opt for the same approach we used for one-dimensional systems, where

we drew the phase portrait. The phase space (the collection of permissible pairs (x1 , x2 ))

will be the plane R R, or a part thereof. The equations

x1 = x10 eat

x2 = x20 et

define a parametric plot in the phase plane: for a given initial condition, every value of t

defines a point (x1 , x2 ) in the phase plane which moves around as t is varied. The phase

portrait is the collection of the parametric plots so obtained. You may object: it appears we

still require an explicit form of the solutions to be able to draw the phase portrait. Correct.

But well see later how we can draw a relatively correct phase portrait without having the

actual solution in hand. This is what were going for.

54

For the example below, well distinguish different cases: a > 1, a = 1, 0 < a < 1, a = 0,

and a < 0. Note that for all cases the point (0, 0) is a fixed point: (x01 , x02 ) is identically zero

there, thus this point does not move.

1. Case 1: a > 1. Lets start by seeing what happens on the axes: since the equations

are decoupled, we see that points on the axes stay on them. Their dynamics moves

them along the axes, except for the origin. Further, since

x01 = ax1 ,

we see that the motion on the x1 axis is away from the origin. Similarly, for the x2

axis, we have

x02 = x2 ,

also leading to motion away from the origin. In general, for points that may be off the

axes, we have the following two limit results:

lim x1 (t) = ,

lim x2 (t) = ,

and

lim x1 (t) = 0,

lim x2 (t) = 0.

In other words, both x1 and x2 tend to as time goes on, and they both tend to zero,

as we go back in time. In order to draw an accurate phase portrait, we need to find

out which of x1 or x2 dominates as t . First, lets examine t . Since a > 1,

x1 grows faster than x2 , and it follows that the curve through points far away from the

origin will go predominantly in the direction of x1 . Second, as t , since a > 1,

it follows that x1 decays faster than x2 , implying that x2 will dominate. Thus, close

to the origin, the solutions will follow the x2 direction. All the information we have

gathered results in the phase portrait shown in Figure 6.2. As stated, the origin is a

fixed point. It is clearly unstable. It is referred to as an unstable node.

2. Case 2: a = 1. Now we have

x1 = x10 et , x2 = x20 et .

Thus x1 and x2 grow (or decay) at exactly the same rate as t (as t ). You

may guess that this will result in straight-line motion in the phase plane, and this is

correct. We can easily show this: using the above two equations, we have

55

Figure 6.2: The phase portrait for the system x01 = ax1 , x02 = x2 , with a > 1. Here x1 is on

the horizontal axis, x2 on the vertical axis. The plot was produced using pplane.

x2

x20

=

x1

x10

x2 =

x20

x1 .

x10

In the phase plane, this is the equation of a straight line through the origin, with slope

x20 /x10 determined by the initial conditions. As before, all motion is away from the

origin. The phase portrait is shown in Figure 6.3. The origin is still an unstable

node. Sometimes it is also called an unstable star.

3. Case 3: 0 < a < 1. Since a is still positive, but smaller than 1, we can repeat the

analysis from the first case, but with the roles of x1 and x2 switched: now x2 dominates

as t , whereas x1 is dominant close to the origin (t ). Again, the origin is

an unstable node. The phase portrait is shown in Figure 6.4.

4. Case 4: a = 0. This case is special. The fixed point at the origin is not unique

anymore: the entire x1 axis consists of fixed points. On this axis, our system is given

by

x01 = 0, x02 = x2 .

Thus, if we start with initial conditions on the x1 axis: (x10 , x20 ) = (x10 , 0), then there

is no dynamics. Thus the entire x1 axis consists of fixed points. Thus, with a = 0, the

fixed points are not isolated! Further, the system is easily solved:

56

Figure 6.3: The phase portrait for the system x01 = ax1 , x02 = x2 , with a = 1. Here x1 is on

the horizontal axis, x2 on the vertical axis. The plot was produced using pplane.

x1 = x10 ,

x2 = x20 et .

These are equations for vertical lines, as shown in Figure 6.5. You can regard this

phase portrait as a limit case of that in Figure 6.4, as a 0.

5. Case 5: a < 0. This case is different from all the others. Now points on the x1

axis approach the origin. Other points are drawn closer to the x2 axis, but ultimately,

when they get close to it, they drift off towards infinity. The phase portrait is shown

in Figure 6.6. The fixed point at the origin is called a saddle point. This name is

used because the phase portrait obtained is similar to the top view of the trajectories

a ball would follow when put on a saddle-surface in three-dimensional space. A saddle

point is unstable, because the probability of ending up at the fixed point is zero: in

an experimental setting you would never be able to pick initial conditions that get to

the origin: the slightest error would put you ever so slightly off the x1 axis, resulting

in eventual drift away from the fixed point.

57

Figure 6.4: The phase portrait for the system x01 = ax1 , x02 = x2 , with 0 < a < 1. Here x1 is

on the horizontal axis, x2 on the vertical axis. The plot was produced using pplane.

6.3

Some definitions

In this section we present some definitions that we have already been using somewhat loosely.

Definition. (Lyapunov stability) A fixed point x is said to be Lyapunov stable if all

trajectories that start close to it remain close to it for all time t > 0. Otherwise the fixed

point is said to be Lyapunov unstable.

Usually well drop the Lyapunov bit and just say stable or unstable. Note that in

all cases of our example in the previous section, the fixed point at the origin was Lyapunov

unstable.

Definition. (Attractive fixed point) A fixed point is called attractive if all trajectories

that start near it approach it as t .

It may be tempting to assume that attractive fixed points are stable. This is not true,

and we have already seen an example. Here it is again.

Example. Consider the dynamical system on the circle given by

0 = (1 sin ).

with phase portrait given in Figure 5.3. In this case the fixed point at = /2 is attractive,

58

Figure 6.5: The phase portrait for the system x01 = ax1 , x02 = x2 , with a = 0. Here x1 is on

the horizontal axis, x2 on the vertical axis. The plot was produced using pplane.

if it is both attractive and stable.

6.4

x0 = Ax,

where A is an N N matrix and x is an N -dimensional vector. Since this equation has

constant coefficients, we guess a solution of the form

x = et v,

where is a constant, and v is a constant vector. We hope to be able to determine both

of these in order to obtain solutions of this form for the differential equation. To do so, we

substitute this ansatz in the equation. We need

x0 = et v.

Substitution gives

59

Figure 6.6: The phase portrait for the system x01 = ax1 , x02 = x2 , with a < 0. Here x1 is on

the horizontal axis, x2 on the vertical axis. The plot was produced using pplane.

et v = Aet v.

Since et is scalar, we can move it in front of the matrix A, and cancel it from the equation.

Thus we have

Av = v.

This equation tells us that the s we seek are the eigenvalues of the matrix A, whereas the

vs are their corresponding eigenvectors. To find , we write down the eigenvalue equation:

det(A I) = 0,

where det denotes the determinant of the matrix, and I is the N N identity matrix. This

equation is called the characteristic equation of the system. It is a polynomial equation

in of degree N . Finding its solutions is the hard part of this entire solution procedure.

But, in the end, weve reduced the problem of finding solutions of these constant-coefficient

linear dynamical systems to finding roots of a polynomial. This is progress!

Thus, with every eigenvalue k and its corresponding eigenvector v (k) we get a solution

x(k) = ekt v (k) .

Since the equation is linear, we can get the general solution by taking linear combinations

of all of these solutions:

60

Honestly, this is not the full story: sometimes we do not get enough solutions this way,

because some of the eigenvalues have higher multiplicity and not enough eigenvectors are

found. This will not be a big concern for us in this course, but you should be aware it may

be an issue. Next, well examine some of the different possibilities.

Two real eigenvalues: nodes. Lets assume that both 1 and 2 are real, and 1 >

2 > 0. Then

x = c1 e1 t v (1) + c2 e2 t v (2) .

First, lets assume we start with an initial condition so that c2 = 0. Then

x = c1 e1 t v (1) ,

which corresponds to a straight line in the phase plane. Indeed, this formula implies that x is

always a multiple of the eigenvector v (1) . As t , we approach as the exponential factor

becomes bigger and bigger. The value of c1 (determined by the initial condition), determines

whether we end up in the direction of the eigenvector (c1 positive), or the opposite direction

(c1 negative). More explicitly, we may obtain the equation for the straight line:

(1)

v

x2

= 2(1)

x1

v1

(1)

x2 =

v2

(1)

v1

x1 ,

(1)

(1)

which is the equation for a straight line through the origin with slope v2 /v1 . A similar

analysis holds for x(2) : it represents a straight-line solution, in the direction of the second

eigenvector. The eigenvalue is positive again, thus on this line we move away from the origin.

Other solutions are linear combinations of these fundamental ones. To draw the phase

portrait, we need to follow the arrows. The hard part is to figure out which arrows to follow.

As t the solution e1 t v (1) dominates since 1 > 2 . Thus for large time solutions

will predominantly follow the direction of the first eigenvector.

As t the solution e2 t v (2) dominates since 1 > 2 . Thus for large negative time

the first solution damps faster than the second one. Thus close to the origin (which

is where we are as t ) will predominantly follow the direction of the second

eigenvector.

In this case the origin is called an unstable node. A representative phase portrait is

shown in Figure 6.7. A stable node is similar, but with the directions of all arrows reversed.

This occurs when both eigenvalues are stricly negative.

Two real eigenvalues: saddle points. If we have two real eigenvalues, but one

is positive and the other is negative, we end up with a saddle point. Lets assume that

1 > 0 > 2 . Then we have

61

Figure 6.7: The phase portrait a stable node. Here x1 is on the horizontal axis, x2 on the

vertical axis. The plot was produced using pplane.

x = c1 e1 t v (1) + c2 e2 t v (2) .

As before, the two fundamental solutions give rise to straight-line solutions in the directions

of the eigenvectors. In the direction of v (1) , the motion is away from the origin, since 1 > 0.

On the other hand, in the direction of v (2) , the motion is towards the origin, since 2 < 0.

For the other solutions, we just follow the arrows. The phase portrait for a saddle point is

given in Figure 6.8. Note that, using Lyapunovs definition, a saddle point is unstable.

Definition. (Stable manifold) The stable manifold of a fixed point is the collection

of all trajectories that approach the fixed point as t .

As examples, for the saddle point, the stable manifold consists of the straight line in the

direction of v (2) . For the unstable node, the stable manifold consists of only the fixed point.

On the other hand, for a stable node, the stable manifold is the entire phase plane.

Definition. (Unstable manifold) The unstable manifold of a fixed point is the collection of all trajectories that approach the fixed point as t .

Thus, the unstable manifold is the stable manifold as we go back in time. As examples,

for the saddle point, the unstable manifold consists of the straight line in the direction of

v (1) . For the unstable node, the unstable manifold consists of the entire phase plane.

Two complex eigenvalues: spirals and centers. If the eigenvalues are complex, we

62

Figure 6.8: The phase portrait a saddle point. Here x1 is on the horizontal axis, x2 on the

vertical axis. The plot was produced using pplane.

know that they have to be complex conjugates, since they satisfy a quadratic equation with

real coefficients. Thus

1,

2 =

where the bar indicates complex conjugate. Thus, if we write

1 = + i,

then

2 = i.

Similarly, if v (1) is the eigenvector corresponding to 1 , we may choose the eigenvector

corresponding to 2 to be v(1) . Thus, we obtain two fundamental solutions:

x(1) = e(+i)t v (1) , x(2) = e(i)t v (2) = x(1) .

So, we have two complex-valued solutions. Whoopedee-doo! Wed really1 prefer to have

real-valued solutions. How do we obtain these? Well, we know that any linear combination

of two solutions is again a solution. Consider the following linear combination:

1

Really, really!

63

1

1

x(1) + x(1)

x(3) = x(1) + x(2) =

= Re x(1) ,

2

2

2

where Re denotes the real part. The great thing about the real part is that its real2 . Thus,

x(3) is a real solution of our equation! Sweet. One down, another one to go. Consider

1

x(1) x(1)

1 (1)

x x(2) =

= Im x(1) ,

2i

2i

2i

where Im denotes the imaginary part. The great thing about the imaginary part is that its

real3 . Thus, x(4) is a second real solution of our equation! Were unstoppable! The general

solution can be written as

x(4) =

We see that one complex-valued solution allows us to generate the general solution, by

considering its real and imaginary parts. Lets do an example.

Example. Consider the system

5 10

x =

1 1

First we find the eigenvalues of the matrix:

0

det

x.

5

10

1 1

=0

(5 )(1 ) + 10 = 0

2 4 + 5 = 0

1,2 = 2 i.

3+i

(1)

v =

.

1

Our complex-valued solution is

3+i

1

e

(2+i)t

2t

3+i

1

3+i

1

=e

2t

=e

2t

=e

2

3

eit

(cos t + i sin t)

cos t i sin t

Really!

Really! The i cancels in the calculation above!

.

64

e

2t

3 cos t sin t

cos t

3 sin t + cos t

sin t

2t

x = c1 e

2t

3 cos t sin t

cos t

+ c2 e

2t

3 sin t + cos t

sin t

,

Wow! That was a lot of work. Now we want to draw the phase portrait. We could do

this using the above formula, but the good news is that typically we dont need to do this,

unless we really want to know the phase portrait in a lot of detail. What do we want to

know?

A lot of relevant information may be obtained simply by considering the eigenvalues. We

have

1 = + i, 2 = i.

The presence of an imaginary part tells us there will be sins and coss, thus there will be

oscillations: both x1 and x2 will oscillate between positive and negative values. The real

part is where the action is:

If < 0 then we will get damped oscillations, as all is multiplied by an exponential

which 0 as t . All solutions tend to the origin as t . Such a case is called a

stable spiral. The two possible phase portraits are shown in Figure 6.9. There are two

distinct possibilities for a stable spiral: a clockwise or counter-clockwise spiral. When

given a system, it is easy to tell which one you have: pick your favorite point (not the

origin), say (1, 0) and use the system to determine what the tangent vector is there. We

should be honest: we cannot obtain all information about the phase portrait this way.

The spirals could be squashed, like those in Figure 6.10. The tangent vector at our

favorite point may indicate this, but the eigenvalues do not provide this information.

Often thats fine.

If > 0 then we will get growing oscillations, as all is multiplied by an exponential

which as t . All solutions tend to infinity as t . Such a case is called

an unstable spiral. As before, we may have a clockwise or a counter-clockwise unstable

spiral. Both scenarios are illustrated in Figure 6.10.

65

Figure 6.9: The phase portrait for a stable spiral. Here x1 is on the horizontal axis, x2 on

the vertical axis. Both plots were produced using pplane.

If = 0, there is no exponential, only oscillations. All solutions are periodic. such a

fixed point is called a center. A center is stable, but not asymptotically stable. Again,

we may go clockwise, or counter clockwise. Both are illustrated in Figure 6.11.

Equal eigenvalues: degenerate cases. What happens if the eigenvalues are equal (in

which case they have to be real)?

Case 1. If there are two linearly independent eigenvectors corresponding to our sole

eigenvalue, we have two linearly independent solutions. We proceed as before:

x = c1 e1 t v (1) + c2 e1 t v (2) = e1 t (c1 v (1) + c2 v(2) ),

and the phase portrait is a star (check this!). The star is stable if 1 < 0 and it is

unstable if 1 > 0.

Case 2. If there is only one eigenvector, we need the method of generalized eigenvectors

to produce a second linearly independent solution. However, the important realization

is that in this case there is only one eigenvector, implying there is only one straightline solution. The fixed point is referred to as a stable degenerate node (1 < 0, two

possibilities (clockwise and counter clockwise), Figure 6.12), or an unstable degenerate

node (1 > 0, two possibilities (clockwise and counter clockwise), Figure 6.13).

6.5

The main realization from all these examples is that all the important information about the

stability of a fixed point is contained in the eigenvalues: if a single4 eigenvalue has a positive

4

66

Figure 6.10: The phase portrait for an unstable spiral. Here x1 is on the horizontal axis, x2

on the vertical axis. Both plots were produced using pplane.

real part, this will lead to growth of a solution in a certain direction. This immediately

causes the solution to be unstable in the sense of Lyapunov. And so it goes . . . One rotten

apple spoils the bunch! Summarizing, we get

If there is one eigenvalue with a positive real part, the fixed point is unstable.

If all eigenvalues have a negative real part, the fixed point is asymptotically unstable.

There are cases other than these, but then a more detailed analysis is required: do

eigenvalues on the imaginary axis have higher multiplicity? Do they have a sufficient number

of eigenvectors?

6.6

Lets do an example of an application that may perhaps be described using linear systems.

Should love affairs take any nonlinear effects into account? Hmm. Well leave that one to

the philosophers.

Consider two lovers, randomly called Romeo and Juliette. Let R(t) be Romeos love

(positive values) or hate (negative values) for Juliette. See a tragedy coming a mile away,

no? Similarly, J(t) is Juliettes love or hate for Romeo. Our linear system is given by

d

R

a b

R

=

.

c d

J

dt J

Lets figure out what these different parameters mean.

The parameter a: If a > 0 then Romeos love is self-reinforcing. The stronger his

feelings are, the stronger they become. If a < 0, Romeo is cautious: If his feelings

67

Figure 6.11: The phase portrait for a center. Here x1 is on the horizontal axis, x2 on the

vertical axis. Both plots were produced using pplane.

for Juliette are strong, the contribution from this term to the rate of change of his

feelings is negative: not too fast. . . . On the other hand, if he hates Juliette ardently,

his caution tells him to ease up.

The parameter b: If b > 0 then Romeos feelings are reinforced by Juliette. If she

loves him, his love for her grows stronger. If she hates him, he loves her less. On the

other hand, if b < 0 then Romeo is affected oppositely by Juliettes response: if she

loves him, he resents that. If she hates him, he wants her.

The parameter c: plays the same role as the parameter b, but with Romeo and

Juliette switched.

The parameter d: plays a similar role to a, but with Romeo and Juliette switched.

Lets look at some special scenarios.

6.6.1

Let

d

dt

R

J

=

0 b

c 0

R

J

,

with b, c positive. Thus, Romeo responds to Juliettes emotions: if she loves him, he loves

her more. If she hates him, he loves her less. Juliette, on the other hand, turns away from

Romeo when he loves her. When he hates her, she wants him. What could the outcome be?

And do we need a bard to tell us?

The eigenvalues are given by

68

Figure 6.12: The phase portrait for a stable degenerate node. Here x1 is on the horizontal

axis, x2 on the vertical axis. Both plots were produced using pplane.

det

b

c

1,2

=0

2 + bc = 0

2 = bc

= i bc.

Thus the fixed point (R, J) = (0, 0) is a center. This scenario is not ideal. Starting in the

fourth quadrant might make a bad Hollywood movie, though. At least theyre both happy

one quarter of the time.

6.6.2

For starters, lets assume theyre both cautious, but they do respond to each other. Thus

we have

d

dt

R

J

=

a b

b a

R

J

,

where both a, b are positive. Thus a measures their caution (assumed equal for both) and b

represents their positive response to each other.

The eigenvalues are given by

69

Figure 6.13: The phase portrait for an unstable degenerate node. Here x1 is on the horizontal

axis, x2 on the vertical axis. Both plots were produced using pplane.

det

a

b

b

a

=0

(a + )2 b2 = 0

( + a)2 = b2

1,2 + a = b

1,2 = a b.

Thus both eigenvalues are real, and at least one of them is negative. There are two possibilities.

1. If a > b then 1 = a + b < 0 and 2 = a b < 0. Both eigenvalues are negative,

resulting in the origin being a stable node. Thus, eventually (R, J) (0, 0), independent of the initial conditions. In other words, their caution is too strong to overcome

their affection for each other. Things fizzle out. A representative phase portrait is

shown on the left of Figure 6.15.

2. If a < b then 1 = a + b > 0 and 2 = a b < 0. The origin is a saddle, and thus

unstable. You can easily find that the eigenvectors are

(1)

=

1

1

, v

(2)

=

1

1

.

We see that, eventually, Romeo and Juliette agree: in the limit t we have R = J.

Where they end up depend on their initial condition. If there is originally more love

70

Figure 6.14: The phase portrait for a responsive Romeo and a fickle Juliette. Here R is on

the horizontal axis, J on the vertical axis. The plot was produced using pplane.

than hate, theyll end up in a relationship that Im not at liberty to discuss, because

of censorship reasons5 . Otherwise, they eventually hate each other.

71

Figure 6.15: Two cautious lovers. On the left: too cautious lovers. On the right, less

cautious. Here R is on the horizontal axis, J on the vertical axis. Both plots were produced

using pplane.

72

Chapter 7

Nonlinear systems in the phase plane

7.1

Generalities

0

x1 = f1 (x1 , x2 )

,

x02 = f2 (x1 , x2 )

or, more compactly,

x0 = f (x),

where x = (x1 , x2 ) and f = (f1 , f2 ). So, for every x, this system gives us a tangent vector

to the trajectory through that point x representing the solution of the differential equation

that passes through that point. As before, we will assume that f1 and f2 are sufficiently

smooth so that solutions exist.

A first remark is that no two trajectories can cross. At a crossing point, the system

gives a unique tangent vector, which is not compatible with there being two solution curves

through a point.

Example. Consider the phase portrait shown in Figure 7.1, where P is a fixed point. Is

this possible? It does appear that different trajectories cross at P . This is not actually the

case: P is a fixed point, thus there is no motion through the point P . In fact, there are four

trajectories that meet at P , but the tangent vector to each of them there has length zero,

due to the presence of the fixed point.

7.2

0

x1 = f1 (x1 , x2 )

.

x02 = f2 (x1 , x2 )

73

74

Figure 7.1: An example of a dynamical system in the plane. Or is it? The figure was

produced using pplane.

This means that

f1 (x1 , x2 ) = 0, f2 (x1 , x2 ) = 0.

Lets figure out what happens near this fixed point. Let

x1 = x1 + y1 , x2 = x2 + y2 ,

where we think of y1 and y2 as being small quantities. Our differential equations for these

quantities become

y10 = f1 (x1 + y1 , x2 + y1 )

.

y20 = f2 (x1 + y2 , x2 + y2 )

Since y1 and y2 are thought of as small, lets Taylor expand these right-hand sides. We get

75

f

f

x1

x2

.

f2

f

2

y20 = f2 (x1 , x2 ) + y1

(x , x ) + y2

(x , x ) + O(2)

x1 1 2

x2 1 2

The first terms on the right-hand side vanish, since our point x = (x1 , x2 ) is a fixed point.

Ignoring the second-order terms, we see that close to this fixed point, the perturbations

(y1 , y2 ) satisfy

f

f

x1

x2

f

f2 ,

2

y20 = y1

(x1 , x2 ) + y2

(x , x )

x1

x2 1 2

which we can write in matrix form as

d

y1

y1

= J(x1 , x2 )

,

y2

dt y2

where

f1 f1

x2

1

J = x

f2 f2

x1 x2

is referred to as the Jacobian of the system. Thus, near the fixed point x = (x1 , x2 ),

our perturbations satisfy a linear constant-coefficient system with coefficient matrix equal

to the Jacobian evaluated at the fixed point. Thus, the stability of a fixed point is

determined by the eigenvalues and eigenvectors of the Jacobian evaluated at the

fixed point.

Is this always justified? In other words, can we always ignore the effect of the secondorder terms? This depends on the eigenvalues: if the eigenvalues give rise to a saddle, node

or spiral, the small second-order terms have no effect. This makes sense: the character of

the fixed points for these cases is determined by strict inequalities. A small perturbation

of these inequalities will not change them. On the other hand, the second-order terms may

have a significant effect if we find, using the linear approximation, that we have a center or a

degenerate fixed point. Indeed, these cases are determined by equalities for the eigenvalues

(Re= 0, for instance), which may cease to hold exactly if small perturbations are considered.

Fixed points without any eigenvalues on the imaginary axis are called hyperbolic. Thus, for

hyperbolic fixed points, the linear stability analysis predicts the stability correctly. Lets do

an example.

Example. Consider the system

0

x = x + x3 = f (x, y)

,

y 0 = 2y = g(x, y)

76

x + x3 = 0,

2y = 0.

Ths gives three fixed points: P1 = (0, 0), P2 = (1, 0) and P3 = (1, 0). In order to calculate

the stability of these fixed points we compute the Jacobian:

f f

1 + 3x2 0

x y

.

J = g g =

0

2

x y

Evaluating this at the different fixed points gives the following.

P1 = (0, 0), then

J(0, 0) =

1 0

0 2

,

can easily check that the corresponding eigenvectors are the horizontal and vertical

directions.

P2,3 = (1, 0). Then

J(1, 0) =

2 0

0 2

,

which has eigenvalues 1 = 2 and 2 = 2. Thus both P2 and P3 are saddle points,

thus unstable. As before, you can check that the horizontal and vertical directions

correspond to eigenvectors.

Since this example consists of two, essentially uncoupled, one-dimensional systems, we

can verify that the results we just obtained using linearization are correct. A phase portrait

for this system is shown in Figure 7.2.

0

x = y + ax (x2 + y 2 )

,

y 0 = x + ay (x2 + y 2 )

where a is a parameter. Note that P = (0, 0) is a fixed point. Lets analyze its stability. We

calculate the Jacobian:

3ax2 + ay 2 1 + 2axy

J=

.

1 + 2axy ax2 + 3ay 2

Evaluating this at the fixed point P = (0, 0) we get

77

Figure 7.2: A nonlinear system with three fixed points. Exciting. Here x is on the horizontal

axis, y is on the vertical axis. The figure was produced using pplane.

J(0, 0) =

0 1

1 0

.

A quick calculation gives that the eigenvalues are 1,2 = i, thus the linear stability analysis

predicts a center at the origin P . Is this really what is going on?

The system were working with is special, in the sense that it is better expressed in terms

of polar coordinates

x(t) = r(t) cos (t),

Indeed, if we substitute these transformations in, we find that r(t) and (t) satisfy the

following differential equations:

78

a>0

a=0

a<0

Figure 7.3: The three possible one-dimensional phase portraits for r0 = ar3 . Note that

strictly speaking we are not interested in r < 0.

r0 = ar3 ,

.

0 = 1.

These equations are decoupled, and we may solve them exactly. Or we can use onedimensional phase plane analysis on both of them. The second equation implies that the

angle is always increasing, thus we keep on moving around counter clockwise in the phase

plane. The other equation is more interesting. It shows that r = 0 is a fixed point, but it

also shows that its stability depends on the sign of a. The three possible one-dimensional

phase portraits for this system are shown in Figure 7.3. Thus, if a > 0, r = 0 is unstable. If

a = 0, all r values are fixed. And if a < 0, r = 0 is stable.

In terms of our original system this implies the three phase portraits shown in Figure 7.4.

Only in the case a = 0 is the fixed point P = (0, 0) actually a center. In that case the system is

linear. For the other case we get either an unstable spiral (a > 0) corresponding to increasing

r, or a stable spiral (a < 0) for decreasing radii r. These results should not surprise us: our

linear stability analysis predicted a fixed point with purely imaginary eigenvalues. These

did not persist under small perturbations coming from nonlinear terms. This example shows

the inaccurate results one may obtain from using linearization to determine the stability of

a non-hyperbolic fixed point.

7.3

As a more extensive example we consider the Lotka-Volterra model for the dynamics of two

populations that are competing for shared resources. We may focus our minds by picturing

rabbits and sheep.

Let x denote the population of rabbits, and y the population of sheep. If either population

was on its own, wed be using a logistic model:

a>0

a=0

79

a<0

Figure 7.4: The three possible phase portraits for different values of a. All plots were

produced using pplane.

we have chosen specific values for the growth rates and the carrying capacities, for the sake

of argument. Note that for obvious reasons we have given the rabbits a higher growth rate,

and a higher carrying capacity. How do we modify the above equations to take competition

into account? The Lotka-Volterra model proposes that we write

0

x = x(3 x) 2xy

.

y 0 = y(2 y) xy

The way to interpret this is that the competition is reflected by negative terms (obviously)

that become more negative as the competition (i.e., the effect of the other population) grows.

The coefficients 2 and 1 have again be chosen for the sake of argument. Simplifying the above,

we get

0

x = x(3 x 2y)

.

y 0 = y(2 y x)

Lets look for fixed points: we need

x(3 x 2y) = 0, y(2 y x) = 0.

From the first equation it follows that either x = 0 or x = 3 2y. If x = 0 the second

equation given

y(2 y) = 0,

resulting in two solutions: y = 0, y = 2. Thus, we have found two fixed points:

P1 = (0, 0), P2 = (0, 2).

from x = 3 2y we get from the second equation

80

y(2 3 + 2y y) = 0 y(1 + y) = 0,

so that y = 0 (with x = 3 2 0 = 3) or y = 1 (with x = 1). Thus, we find two more fixed

points:

P3 = (3, 0), P4 = (1, 1).

Thus, for P 1 we have neither rabbits nor sheep. For P2 we have no rabbits. For P3 we are

sheepless1 , and for P4 we have both rabbits and sheep. In order to examine the stability of

these fixed points, we calculate the Jacobian. To this end, we first expand the equations for

the system:

0

x = 3x x2 2xy

.

y 0 = 2y y 2 xy

Then

J=

3 2x 2y

2x

y

2 2y x

.

At P1 = (0, 0):

J(0, 0) =

3 0

0 2

,

giving rise to two positive eigenvalues (3 and 2), thus, not surprisingly, the point P1 is

an unstable node.

At P2 = (0, 2), we get

J(0, 2) =

1 0

2 2

,

giving rise to two negative eigenvalues (-1 and -2), this the point P2 is a stable node.

At P3 = (3, 0),

J(3, 0) =

3 6

0 1

,

giving rise to two negative eigenvalues again (-3 and -1), thus P3 is also a stable node.

1

in Seattle! Hah!

81

J(1, 1) =

1 2

1 1

.

det

1

2

1

1

=0

(1 )2 = 2

1,2 + 1 = 2

1,2 = 1

2.

One of these eigenvalues is positive, whereas the other is negative. Thus the fixed point

P4 is a saddle (unstable).

The phase portrait that collects all this information is drawn in Figure 7.5. We see that

if the initial condition starts in the shaded region, we end up with only rabbits. Otherwise

we end up with only sheep. Apparently there is no peaceful coexisting of these rabbits and

sheep.

The shaded region is called the basin of attraction of the attractive fixed point P2 . Previously we agreed we could call the stable manifold of P2 . Uusually, that name is reserved

for situations that are lower dimensional than the actual phase space. But it matters not.

Similarly, the unshaded region is the basin of attraction of P3 . Note that the separatrix (the

separating boundary) of these two basins is the stable manifold of the saddle point P4 .

7.4

Conservative systems

In this section we look at an important subclass of dynamical systems, those that are conservative. This name is used for systems that originate from Newtons law with a conservative

force:

F = ddV x,

where V (x) is a potential. Newtons law is

dV

.

dx

We know that for conservative systems the total energy is conserved. We can see this by

multiplying this equation by the velocity, to get

mx00 =

82

Figure 7.5: The Lotka-Volterra model for competing species. Here x is on the horizontal

axis, y is on the vertical axis. The figure was produced using pplane.

mx0 x00 + x0

d

dx

dV

=0

dx

1

mx02 + V (x) = 0

2

1

mx02 + V (x) = E.

2

Here E is an integration constant that we can clearly interpret as the total energy.

Next, we rewrite Newtons law as a first-order system: let

y = x0 .

Then

83

x0 = y

1 dV .

m dx

Different solutions (x, y) of this dynamical system correspond to different trajectories in the

(x, y) phase plane. It also follows from the conservation of energy that along such trajectories,

the energy is conserved, thus the graph of the trajectories can be obtained from

r

E V (x)

1 2

my + V (x) = E y = 2

.

2

m

This immediately tells us that the phase portrait is symmetric with respect to the horizontal

axis, due to the in the above formula.

What kind of fixed points can a system like this have? Fixed points require x0 = 0,

from which y = 0. Further, y 0 = 0, so that

y 0 = x00 =

1 dV

dV

=0

= 0.

m dx

dx

Thus, fixed points of the dynamical system correspond to extrema of the potential energy.

Next we consider the energy:

1

E = my 2 + V (x).

2

Suppose that (x , y = 0) is a fixed point. Then V 0 (x ) = 0. Further, in the y-direction,

the energy has a quadratically increasing profile, for all values of x. Thus, if there are two

possibilities:

1. If x is a local minimum of the potential energy, then (x , 0) is a local minimum of the

energy.

2. If x is a local maximum of the potential energy, then (x , 0) is a saddle point of the

energy.

The trajectories are constant-level contours of the energy surface. If (x , 0) is a fixed point

and thus a local minimum of the energy, nearby trajectories will be closed curves, thus the

fixed point is a center! This is excellent news: we just determined, using no approximations,

that the minima of the energy for a conservative system correspond to fixed points that are

centers. The great benefit of this realization is that we can use linear approximations. If the

conclusion coming from this linear calculation is that the fixed point is a center, we know

this center structure persists, even if nonlinearities are taken into account. Sweetness indeed!

We summarize this in the following theorem.

Theorem. If (x , y = 0) is an isolated fixed point of the conservative dynamical system

1 dV

,

m dx

and if (x , y = 0) is a local minimum of the energy function E, then (x , y = 0) is a center.

x0 = y, y 0 =

84

7.5

d2

g

+ sin = 0,

2

dt

L

where [, ) the angle away from the stable equilibrium position, as illustrated in

Figure 7.6.

The pendulum equation is rewritten in first-order form as

(

0 = v

.

g

g d

sin =

cos

L

L d

We see that this system is conservative, with potential

v 0 = 00 =

V () =

g

cos .

L

85

1

g

E = v 2 cos .

2

L

What are the fixed points? We need y = 0, and

sin = 0 = .

Note that we have restricted ourselves to values for [, ]. Strictly speaking, we

could omit one of these boundary values, since they correspond to identical positions for the

pendulum. Thus, there are two fixed points:

P1 = (0, 0),

P2 = (, 0).

The point P1 corresponds to the pendulum being at rest in the downward position, whereas

for P2 the pendulum is in the upward position. To investigate the stability of these fixed

points, we calculate the Jacobian.

!

0

1

g

.

J=

cos 0

L

At P1 :

J(0, 0) =

0

1

g/L 0

.

1,2 = i gL.

Thus P1 is a center, using the linear approximation. Since this system is conservative,

we know it is also a center when the nonlinear terms are taken into account. Thus the

fixed point P1 is stable, as expected.

At P2 :

J(, 0) =

0 1

g/L 0

1,2 = gL.

Thus P2 is a saddle, and is unstable, as expected.

.

86

Figure 7.7: The phase portrait for the undamped pendulum. Here is on the horizontal

axis, and v = 0 is on the vertical axis. The figure was produced using pplane.

The phase portrait is drawn in Figure 7.7, for [, ]. Note that the vertical sides

of this picture should be identified, thus our phase space is really a cylinder.

In the inner region (blue), the solutions oscillate around the stable equilibrium point

P1 . These oscillations go alternatingly left and right, reflected in the trajectories spending time above and below the horizontal axis. Note that for small oscillations (near

P1 ), the solutions may be obtained approximately in terms of trigonometric functions.

These trajectories are approximately ellipses. For larger oscillations, the pendulum

may come close to the upright position, and the trajectories are enclosing P1 , but they

are definitely not elliptical.

On the separatrix between the inner (blue) and outer (red) regions, the pendulum

traverses from the upright position to the upright position, taking infinitely long to do

so (check this!). The equations for the trajectories may be calculated explicitly. At P2

the energy is

1

E = 02 cos = 1.

2

Thus, the equation for the orbits is

87

1 2

v cos = 1

2

v 2 = 2(1 + cos )

p

v = 2(1 + cos )

v = 2 cos(/2),

In the outer (red) region, the trajectories remain above or below the inner region,

reflecting that the pendulum never reverses direction. These solutions correspond to

the pendulum spinning around forever. The orbit shows that its velocity is maximal

when the pendulum is in the downward position, and minimal when it is upward.

7.6

g

sin = 0.

L

Here b is the damping coefficient. We assume b is small, in the sense that the dominant

behavior of the pendulum is still oscillatory. The energy is no longer conserved. Indeed:

00 + b0 +

0 00 + b02 +

g 0

sin = 0

LZ

1 02 g

cos + b 02 d = 0

2

L

Z

E = b 02 d,

The two-dimensional first-order system is given by

( 0

= v

g

g

.

v 0 = 00 = 0 sin theta = bv sin

L

L

The fixed points of this system are (check this!)

P1 = (0, 0), P2 = (, 0),

88

J=

0

1

f racgL cos b

.

At P1 :

J(0, 0) =

0

1

g/L b

.

1,2

b

= i

2

g

b2

.

L

4

Thus P1 is a stable spiral point. Thus the fixed point P1 is stable, as expected. Indeed,

the inclusion of the small friction term destroys the center from the conservative case,

resulting in the stable spiral we find here.

At P2 :

J(, 0) =

0

1

g/L b

.

1,2

b

=

2

g

b2

+ .

L

4

The phase portrait for the damped pendulum is drawn in Figure 7.8, for [, ]. As

before, the vertical sides of this picture should be identified, and our phase space is really a

cylinder.

Almost all solutions eventually settle down to the stable downward position, represented by P1 . Solutions may revolve several times before being drawn in to the fixed

point. As the pendulum swings around, it loses energy and its velocity decreases

(bringing it closer to the horizontal axis in the phase portrait), until it does not go all

the way around anymore, after which it is drawn to P1 , using ever smaller oscillations.

There are two curves along which solutions end up at the unstable fixed point P2 .

These curves constitute the stable manifold for this fixed point.

89

Figure 7.8: The phase portrait for the damped pendulum. Here is on the horizontal axis,

and v = 0 is on the vertical axis. The figure was produced using pplane.

Note that in this section, or the previous one, we did not solve, nor even attempt to solve,

for the angle as a function of t. This can be done for the undamped pendulum, but not for

the damped pendulum. However, even without knowing the explicit form for the solutions,

we know pretty much all there is to know about its important properties. As stated before,

this is really the main difference between differential equations and dynamical systems.

90

Chapter 8

Limit cycles

We start with a definition.

Definition. A limit cycle is an isolated closed trajectory that does not begin or end at

a fixed point.

In this definition, isolated means there are no other closed trajectories near it: nearby

trajectories either approach it or go away from it. In the first case, the limit cycle is said to

be stable. In the second case it is unstable.

A closed trajectory in the phase plane corresponds to a periodic solution of the system

0

x = f (x, y)

.

y 0 = g(x, y)

Figure 8.1 displays the scenario of a stable (left) and unstable (right) limit cycle. For the

stable limit cycle on the left, the origin is an unstable spiral point, and orbits leaving from

near the origin are attracted to the limit cycle. Orbits outside of the limit cycle are similarly

attracted. The unstable limit cycle is similar, but with arrows reversed.

It is possible for limit cycles to be semi-stable. In that case, orbits on one side of it are

attracted to it, while they are repelled from it on the other side. Limit cycles cannot occur

in linear systems. The closest thing to one would be the orbits surrounding a center, but

those orbits are not isolated. Thus, limit cycles are a specific nonlinear feature of dynamical

systems.

Example. In this example, we show that something else than a fixed point is required

for phase portraits to work out consistently. Consider the system

0

x = x y x(x2 + y 2 )

.

y 0 = x + y y(x2 + y 2 )

This system has a fixed point at the origin (0, 0). You should check that this is the only

fixed point. Using linearization, you find that the origin is an unstable spiral. However, at

(x, y) = (2, 2) the tangent vector is given by (x0 , y 0 ) = (16, 12), which points towards the

origin. This is not compatible with the unstable spiral! Something else has to happen

91

92

Figure 8.1: A stable limit cycle (left) and an unstable one (right). The figure was produced

using pplane.

between the origin and the point (2, 2)! A cartoon of this situation is presented in

Figure 8.2.

As you may have guessed, this system is more conveniently rewritten in polar coordinates.

After some calculations1 you find that

R0 = R(1 R2 ),

0 = 1.

The second equation tells us that points keep on moving in a counter-clockwise fashion.

From the first equation, we get the one-dimensional phase portrait shown in Figure 8.3. It

shows that the origin is indeed an unstable fixed point, but also that R = 1 is a stable fixed

point. In Cartesian coordinates, this corresponds to a circle of radius 1: x2 + y 2 = 1, which

must be a limit cycle, since R = 1 is stable. The full phase portrait is shown in Figure 8.4.

It confirms all the things we just said. Naturally.

Typically, we cannot get an easy formula for the limit cycle, but there are various statements about whether there are any limit cycles or not. Thats what well see in this chapter.

Further, well discuss some methods that allow us to derive approximate formulas for limit

cycles.

8.1

x00 + (1 x2 )x0 + x = 0.

1

93

(2,2)

y

Figure 8.2: An example demonstrating that theres more to life than fixed-point dynamics

in two-dimensional systems.

Here is a positive parameter. We can think of this equation as oscillator (first and last

term), with some nonlinear damping (the middle term):

If x2 1 > 0 then the damping is positive, and we expect solutions to get smaller.

If x2 1 < 0 then the damping is negative and it acts as an amplifier. We expect

solutions to get larger.

Thus, small solutions grow, and large solutions decay. What is happening in between?

Figure 8.5 presents the phase portrait and x as a function of t for a solution near the limit

Figure 8.3: The phase portrait for the one-dimensional system R0 = R(1 R2 ).

94

Figure 8.4: The phase portrait for our example, showing a stable limit cycle C, a circle of

radius 1.

cycle. Note that the limit cycle is not circular or ellipsoidal. Neither is the x(t) signal a

regular sine or cosine wave.

Rewriting the equation as a first-order system, we get

0

x = y

y 0 = x (x2 1)y

Well come back to this first-order system later, when we will have methods to approximately

find the limit cycle.

8.2

Bendixsons theorem

The easiest way to rule out the presence of limit cycles is Bendixsons theorem.

Theorem. (Bendixson) If a region D R2 has no holes and

f

g

+

x y

95

Figure 8.5: The limit cycle for the van der Pol oscillator with = 0.5. On the right, the x(t)

signal for a solution near the limit cycle is shown. The figure was produced using pplane.

is not identically zero and does not change sign in D then the system

0

x = f (x, y)

y 0 = g(x, y)

has no closed trajectories in D

Proof. We prove this by contradiction: we assume there is a closed orbit and show that

this leads to a contradiction, implying there is no closed orbit. Thus: Assume there is a

closed orbit, call it , which is entirely contained in D. On any such closed orbit we have

dy

dy/dt

g(x, y)

=

=

.

dx

dx/dt

f (x, y)

Thus

Z

f dy gdx = 0.

By Greens theorem

ZZ

S

f

g

+

x y

dxdy = 0,

where is the boundary of S. But, by our assumption, the integrand is either > 0 or < 0,

implying the integral cannot be zero. This is our contradiction, so there cannot be any closed

orbits.

Example. Consider the system

96

Figure 8.6: The different regions where closed orbits cannot exist. Any closed orbit has to

cross the boundaries of these regions.

x0 = f (x, y) = y

,

y 0 = g(x, y) = x x3 ay + x2 y.

f

g

+

= a + x2 .

x y

limit cycles

or other closed orbits, they must cross one or both of the vertical lines x = a. This is

illustrated in Figure 8.6. In the blue region f /x + g/y < 0 and no closed orbits exist.

Similarly, in the red region f /x + g/y > 0 and no closed orbits can exist.

8.3

97

x00 + x + h(x, x0 ) = 0

is called a weakly nonlinear oscillator2 . It resembles an oscillator with some nonlinear term

h(x, x0 ) added in. If we restrict ourselves to small , then maybe we can obtain some results

about possible limit cycles.

Example. The van der Pol oscillator

x00 + x + (x2 1)x0 = 0,

Example. The Duffing equation

x00 + x + x3 = 0,

8.4

The most naive thing we can try3 is to look for a solution of the weakly nonlinear oscillator

problem in the form of a series in :

x = x0 (t) + x1 (t) + 2 x2 (t) + . . . .

This is called regular perturbation theory. It works well for some problems, but it fails

even more spectacularly on other equations. Lets examine why.

Example. Consider the equation

x00 + 2x0 + x = 0,

with initial conditions

x(0) = 0, x0 (0) = 1.

You can easily find the exact solution for this problem, since it is linear:

1

t

2

x=

1 t .

e sin

1 2

suppose we didnt know this, and we proceeded using regular perturbation theory. We would

start with

2

3

Maybe theres more naive things possible. But this will do.

98

Then

x0 = x00 (t) + x01 (t) + 2 x02 (t) + . . . ,

and

x00 = x000 (t) + x001 (t) + 2 x002 (t) + . . . ,

Plugging this all in to the equation gives

x000 + x001 + 2 x002 + . . . + 2 x00 + x01 + 2 x02 + . . . + x0 + x1 + 2 x2 + . . . = 0,

with initial conditions

x0 (0) + x1 (0) + 2 x2 (0) + . . . = 0, x00 (0) + x01 (0) + 2 x02 (0) + . . . = 1.

Lets deal with the initial condition first. Since it has to hold for all values of , we

can impose that the terms without (the order 0 terms) satisfy the initial conditions, after

which we have that the other terms are equal to zero. Thus

x0 (0) = 0, x00 (0) = 1,

and

xk (0) = 0, x0k (0) = 0, for k = 1, 2, . . . .

Now we turn to the differential equation.

At order 0 , we get:

x000 + x0 = 0

.

x0 (0) = 0,

x00 (0) = 1

x0 = sin t.

So far, so good.

99

At order 1 , we obtain:

.

x1 (0) = 0,

x01 (0) = 0

This is a bit harder to solve, but not much. The main thing to note is that the righthand side gives rise to a resonant term, as it represents a forcing term at exactly the

same frequency as the characteristic frequency.

x1 = t sin t.

This is not good. We know that our solution, for all should be a bounded function of

t. But this contribution contains oscillations of ever increasing amplitude as t !

This is not what we expected: our solution should have decaying amplitude.

If we cared to proceed, wed find that things get even worse. Once again, we have

resonant forcing in our equation for x2 . This time it gives rise to t2 terms: so now we

get oscillations increasing quadratically with t! Boohoo!

Figure 8.7 compares our exact solution for = 0.1 with the perturbation solution, containing the first three terms (up to order 2 ). You see that the agreement for t close to zero

is good, but it becomes horrible after a while, as our solution decays and our approximation

for it diverges!

Whats going on?

Actually, this problem is comparable with that of the Taylor approximation for the sin

or cos functions:

sin x = 1

x3

+ ...,

6

and

x2 x4

+

...,

2

24

both of which are valid for all x. The left-hand sides of these series are between 1 and -1 for

all x. If we truncate the right-hand sides, to obtain a computable approximation, we find

functions that approach as x .

cos x = 1

The same is going on in our problem. In essence, what we have found is the first-order

Taylor approximation of the exact solution x(t) (which depends on , of course), but with

the Taylor expansion done with respect to . Because the exact solution has dependence

on t in the exponential, this Taylor series gives rise to terms that are linear in t. Thus,

for small t, the agreement is good. But, it wont allow us to determine limit cycles, which

require us to have good approximations as t .

So, how do we improve this?

100

Figure 8.7: The comparison between the exact solution (red) and the approximation using

regular perturbation theory (green).

8.5

In order to improve our results, we take into account some more information about the

problem. We know that solutions will change due to two different effects.

1. Solutions will oscillate, due to the oscillator terms.

2. Solutions will decay in amplitude, due to the damping.

Now, this second effect will happen much slower, since the damping is small. This is the

origin of the main idea behind the method of multiple scales, or two-timing. We introduce

two different time scales. One is slow, the other is fast. For instance, for our example we let

= t fast, T = t slow.

The second time scale is considered slow, as it takes a long time (on the order of 1/) to

experience significant changes.

Treating and T as independent variables, we obtain the following transformation rules:

101

dx

x d

x dT

=

+

dt

dt T dt

x

x

=

+ .

T

We see that the change as a consequence of the second time scale appears as a higher-order

effect. That is not a surprise. As a matter of fact, it is exactly what we want. Next,

d2 x

d dx

=

2

dt

dt

dt

d x

x

=

+

dt

T

2

2

x

x

2x

= 2 + 2

+ 2 2 ,

T

T

for the second derivative.

We still have

x = x+ 0 + x1 + 2 x2 + . . . ,

where xk (k = 1, 2, . . .) are all regarded as functions of both and T .

8.5.1

Lets first transform our initial conditions: from x(0) = 0, equating different powers of

gives

x0 (0, 0) = 0, x1 (0, 0) = 0, x2 (0, 0) = 0, . . .

The condition on the derivative is a bit more complicated:

dx

=1

dt t=0

x

x

+

=1

T (,T )=(0,0)

2

2

(x0 + x1 + x2 + . . .) + (x0 + x1 + x2 + . . .)

=1

T

(,T )=(0,0)

x0 x1

x1 x2

x0

= 0,

+

= 0,

+

= 0, . . . ,

T

T

T

T

102

Now we transform the differential equation. Writing only terms of order 0 or 1 , we get

2 x0

2 x1

2 x0

x0

+

+ O(2 ) = 0.

+

2

+ x0 + x1 + 2

2

2

2 x0

+ x0 = 0.

2

Thus

x0 = A(T ) cos + B(T ) sin .

Here A(T ) and B(T ) are integration constants. Since we solved for the -dependence of

x0 only, these constants of the integration may depend on the other variable T .

Next we consider the terms of order 1 . We have

2 x1

x0

2 x0

+

+ x1 + 2

=0

2

T

2 x1

2 x0

x0

+

x

=

2

2

1

2

0

= 2 (A sin + B 0 cos ) 2 (A sin + B cos )

= 2(A + A0 ) sin + 2(B + B 0 ) cos .

As before, we see that resonant terms arise. If we let these be, they will give rise to slowly

growing terms (also called secular terms) that will eventually dominate our zeroth order

term. The total solution will become unbounded, leaving us with a major problem. But,

we can avoid this problem: we can choose the T -dependence of A and B to eliminate the

resonant terms: let

A0 + A = 0, B 0 + B = 0,

which are easily solved to give

A = A0 eT , B = B0 eT .

Thus,

x0 (, T ) = A0 eT cos + B0 eT sin .

It appears this might be a good time to use our initial conditions on x0 :

x0

= 1.

x0 (0, 0) = 0,

(,t)=(0,0)

We easily find

103

A0 = 0, B0 = 1,

so that

x0 = eT sin ,

and

x = et sin t + O().

Remember that this has to be compared with the exact solution

1

x=

1 2 t .

et sin

1 2

Our newly constructed approximated solution is a much better approximation than we obtained from regular perturbation theory! It captures the oscillations well (the frequency is a

little off, but not much), and it captures the exponential damping spot on! Awesome! The

amplitude is also a little bit off, but overall this is a huge improvement! We could choose to

turn this crank longer, obtaining higher-order terms. Things would get more complicated,

and we would get an even better result.

8.5.2

Recall that the differential equation for the van der Pol oscillator is given by

x00 + x + (x2 1)x0 = 0.

We will not specify initial conditions: we are looking for limit cycles, if any exist. Since we

dont know where they might be, it does not make sense to impose initial conditions. They

are part of our problem. As in the above, we introduce two time scales: a fast one and a

slow one.

= t,

T = t.

Then

x

x

dx

=

+ ,

dt

T

2

2

2

dx

x

2x

2 x

= 2 + 2

+

,

dt2

T

T 2

and

x = x0 + x1 + 2 x2 + . . . .

104

Plugging all of this into the van der Pol equation, we get at order 0

2 x0

+ x0 = 0,

2

from which

x0 = R(T ) cos( + (T )).

Here R(T ) and (T ) are integration constants, which may depend on T . Note that we have

expressed the solution in the form specifying an amplitude and a phase. This is because were

looking for limit cycles, thus we are particularly interested in determining an amplitude.

At order 1 we get (check this!)

2 x0

x0

2 x1

+

x

+

2

+ (x20 1)

=0

1

2

2 x0

x0

2 x1

+ x1 = 2

(x20 1)

2

(R2 cos2 ( + ) 1)R sin( + )

= 2R0 sin( + ) + 2R0 cos( + )+

R3 cos2 ( + ) sin( + ) R sin( + ).

As before we want to eliminate resonant terms. For many of these terms, it is clear which

are resonant. However, for the term with R3 we need to do some more work. Using the trig

identity

cos2 sin =

1

1

sin(3) + sin

4

4

we get

2 x1

1

1

+x1 = 2R0 sin( +)+2R0 cos( +)R sin( +)+ R3 sin 3( +)+ R3 sin( +).

2

4

4

In order to avoid resonant terms, we have to equate the coefficients of cos( +) and sin( +)

on the right to zero. This results in:

cos( + )

2R0 = 0,

sin( + )

1

2R0 + R3 R = 0.

4

105

(T ) = 0 ,

where 0 is constant. Note that weve ignored the R = 0, because R = 0 is not a very

interesting limit cycle. From the second equation

1

R0 = R(4 R2 ).

8

We could solve this equation using separation of variables, but thats more information

than were looking for. This equation is a one-dimensional dynamical system. It has equilibrium points at R = 0 (nothing new there) and at R = 2. The phase portrait for this

equation is given in Figure 8.8. From it, we see that R = 2 is a stable fixed point. This

gives us the location for the limit cycle: in Cartesian coordinates R = 2 is the equation for

a circle of radius 2. Thus, there is a limit cycle, as this closed orbit is indeed isolated.

Putting this all together we find that the approximate equation for the limit cycle solution

is given by a circle of radius 2 with frequency 1:

x = x0 + x1 + 2 x2 + . . .

= 2 cos(t + 0 ) + O().

The statements about the radius and the frequency of this limit cycle are only approximate.

More correctly:

R = 2 + O(),

= 1 + O(2 ).

To obtain more information,, especially higher-order corrections for the frequency, we need

to go to higher order in the perturbation expansion, and we need to include higher-order

time scales. Another way to look at what we have accomplished is that we found a good first

guess as to where the limit cycle is. This is essential if we wish to construct the limit cycle

numerically. For a numerical method we need a good first guess, meaning we need a point

that is close to the desired limit cycle. But in a nonlinear system it is not always clear

what close means, as there may be many other things going on: multiple fixed points,

other limit cycles, etc. Our perturbation method provides us with a good first guess: if

we use an initial condition that satisfies our perturbation prediction for the limit cycle, we

should do OK finding it numerically.

106

Figure 8.9: The limit cycle for the van der Pol equation.

The full phase portrait for the van der Pol oscillator with epsilon=0.1 is shown in Figure 8.9. Note that the limit cycle is indeed very close to a circle of radius 2. In the fast time

scale, the solution winds around the limit cycle in the (x, y = x0 )-plane. In the slow time

scale, the solutions get closer to the limit cycle.

8.6

Fourier declared that any periodic function of frequency can be expanded in a linear

combination of sins and coss that have either the same frequency or have frequency that

is an integer multiple of the base frequency. In other words: if you understand the trig

functions, you can get your hands on all periodic functions! This is quite a statement.

Fouriers colleagues didnt believe him and it took a bit for his ideas to be fully recognized.

He was correct of course4 So, lets go over these ideas, in a sort of hand-wavy way. For actual

proofs of all of this stuff, see amath403, or perhaps even amath569.

Lets assume that f () is a periodic function of period 2. Fourier stated that all such

4

107

X

a0 X

f () =

+

an cos(n) +

bn sin(n),

2

n=1

n=1

assuming that such an expansion hold, lets figure out what these coefficients are. How can

we determine them given the function f ()?

First we define the averaging operation. Let

Z 2

1

hF i =

F ()d.

2 0

This is the average value of the function F (). Now, we all know that the average values

of sin(n) and cos(n) are zero. Thus,

a0

,

2

since all the other terms have zero average. Thus

Z

1 2

a0 =

f ()d.

0

hf ()i =

How about the other Fourier coefficients. We need some help. Heres the cavalry:

hsin(n) cos(k)i = 0, for all k =

6 n,

hsin(n) sin(k)i = 0, for all k =

6 n,

hcos(n) cos(k)i = 0, for all k =

6 n,

2

1

sin (k) = ,

2

2

1

cos (k) = ,

2

where k and n are positive integers. You can check these easily5 , using integration by parts,

or using complex exponentials, or using trig identities.

Lets return to the form of the Fourier series. We have

f () cos(N ) =

X

X

a0

cos(N ) +

an cos(n) cos(N ) +

bn sin(n) cos(N ),

2

n=1

n=1

for some integer N > 1. Now the average of the whole lot. The average of the first term

on the right-hand side is zero. All the terms in the second sum have zero average too, using

5

108

the cavalry. Similarly, all terms in the first sum have zero average, except one. Indeed, if

n = N , we get a contribution.

1

hf () cos(N )i = aN ,

2

from which

Z

1 2

aN =

f () cos(N )d,

0

for all N = 1, 2, . . .. Doing entirely the same thing, but multiplying by sins instead of coss,

we get that

Z

1 2

bN =

f () sin(N )d,

0

For N = 1, 2, . . ..

Why is this not a proof of the Fourier series? Theres two main reasons:

1. We switched integrals (the averages) and infinite sums, and that may not be allowed.

We need to have uniform convergence of the series to do this, which we did not investigate.

2. We have shown that if sins and coss appear in the Fourier series, their coefficients

should be what we determined them to be. But we did not show that were getting everything this way. Maybe theres some part of the function f () that was not captured

by the trig functions. Under some assumptions on f (), it turns out we did capture

everthing, but we sure did not prove it.

8.7

Recall that the differential equation for the general weakly nonlinear oscillator is given by

x00 + x + h(x, x0 ) = 0.

As for the van der Pol oscillator, we will not specify initial conditions. We are looking for

limit cycles, if any exist. Finding the initial conditions giving rise to limit cycles is part of

our problem. As before, we introduce two time scales: a fast one and a slow one.

= t,

T = t.

And again

x

x

dx

=

+ ,

dt

T

2

d2 x

2x

2x

2 x

=

+

2

+

,

dt2

2

T

T 2

109

and

x = x0 + x1 + 2 x2 + . . . .

Plugging all of this into the equation for the weakly nonlinear oscillator, we get at order 0

2 x0

+ x0 = 0,

2

from which

x0 = R(T ) cos( + (T )),

as for the van der Pol oscillator. Thus R(T ) and (T ) are integration constants, which

may depend on T .

We now proceed to the first-order terms: at order we have

2 x0

x0

2 x1

+ x1 + 2

+ h x0 ,

=0

2

T

2 x0

x0

2 x1

+ x1 = 2

h x0 ,

2

T

0

0

= 2R sin + 2R cos H().

Here

H() = h(R cos , R sin ),

with = + (T ).

What are we trying to do? We want to avoid resonant terms, like before. The resonant

terms are those terms that have either cos or sin . We want to equate the coefficients of

these contributions to zero. Aha! This is where this Fourier series business is helpful: these

coefficients are exactly the Fourier coefficients of cos and sin of the right-hand side. Thus,

to first approximations, the equations for the limit cycle will follow from

h(2R0 sin + 2R0 cos H()) cos i = 0,

h(2R0 sin + 2R0 cos H()) sin i = 0.

Lets work these out. From the first equation,

2R0 hsin cos i + 2R0 cos2 hH() cos i = 0,

1

2R0 = hH() cos i

2

1

0 = hH() cos i .

R

110

2R0 sin2 + 2R0 hcos sin i hH() sin i = 0

1

2R0 = hH() sin i

2

R0 = hH() sin i .

Thus, to first approximation, the equation of the limit cycle will be given by equilibrium

solutions of this last differential equation, which is a one-dimensional dynamical system for

R0 , since the right-hand side will depend on R.

Example. Consider the Duffing equation

x00 + x + x3 = 0.

Thus h = x3 . Then

H() = R3 cos3 ,

and the equation for the limit cycle follows from

R0 = hH() sin i

= R3 cos3 sin

= 0.

Here we have used that < cos3 sin >= 0. Thus, to first approximation, the Duffing

oscillator has a lot of closed orbits. This is not surprising, as this system is conservative.

The origin of the phase plane is a center fixed point, thus we expect plenty of closed orbits

around it.

The above shows that it is handy to have a table at hand for expressions of the form

k

cos sinn ,

since these expressions pop up again and again in these calculations.

8.8

The Poincar

e-Bendixson theorem

We now know how to rule out closed orbits, using Bendixsons theorem. We also know how

to find approximate formulae for closed orbits, if any exist, using two timing or averaging.

Consider the following scenario: suppose we have a bounded region of the plane, call it

R. Suppose that this region contains no fixed points for a given autonomous dynamical

system, but that it contains a trajectory of this system that is confined to this region R.

8.8. THE POINCARE-BENDIXSON

THEOREM

111

Where can it go? A picture for such a scenario is drawn in Figure 8.10. Since the region is

bounded, were running out of space soon, especially since the trajectory is not allowed to

cross itself. There are no fixed points, thus the trajectory cant go to one of those. A limit

cycle is another option we know about, and it would offer us a solution to this problem. The

Poincare-Bendixson theorem tells us that this happens, and that it is basically about the

only thing that happens.

Theorem. (Poincar

e-Bendixson) Suppose that

0

x = f (x, y)

y 0 = g(x, y)

is a continuously differentiable vectorfield, and that (i) R is a closed6 , bounded subset of R2 ,

(ii) R contains no fixed points, and (iii) there exists a trajectory which is confined to R for

all t > 0. Then R contains at least one closed orbit of the dynamical system.

We wont prove this theorem here, see Amath575 instead. We mention the main con6

112

sequence of the theorem: two-dimensional autonomous systems cannot exhibit chaos. The

Poincare-Bendixson theorem states that the two possible kinds of limit behavior are provided

by either fixed points or by closed orbits, such as limit cycles.

Thus, if we wish to study chaos, we need to go beyond two-dimensional autonomous

systems. Well do this shortly.

Chapter 9

Bifurcations in two-dimensional

systems

Previously we have studied bifurcations in one-dimensional systems. This allowed us to

examine how fixed points are turned on or off, or how their stability properties change as

we change a parameter. Now we can do the same in two-dimensional systems. However, we

can do more: we can also study how periodic solutions are turned on or off, or how their

stability properties are changed.

We will investigate only a few different possibilities for bifurcations in two-dimensional

systems. We start by studying some two-dimensional versions of saddle-node, transcritical

and pitchfork bifurcations. We see that, in essence, these bifurcations are similar to what we

have seen in one-dimensional systems. It gets more interesting when we consider the Hopf

bifurcation, which cannot occur in a one-dimensional system.

9.1

Saddle-node bifurcations

x0 = y ax,

x2

y0 =

y.

1 + x2

Here a is a parameter, chosen to be positive. This is motivated by the origin of this system:

it arises in the study of genetic control systems.

As usual, we start by looking for the fixed points. We need

y = ax, y =

x2

,

1 + x2

so that

ax =

x2

1 + x2

x = 0 or a =

113

x

.

1 + x2

114

P1 = (0, 0),

for all values of a. Next, from a = x/(1 + x2 ), we get

2

ax x + a = 0 x =

1 4a2

.

2a

P2 =

1+

1 4a2 1 +

,

2a

1 4a2

2

, P3 =

1 4a2 1

,

2a

1 4a2

.

2

These fixed points are only defined when the inside of the square root is positive, which

requires

1

a< .

2

Immediately, we see there are three different regimes to our bifurcation:

1. a < 1/2: in this case there are three distinct fixed points: P1 , P2 and P3 .

2. a = 1/2: now there are two distinct fixed points, as P2 = P3 .

3. a > 1/2: this case has only a single fixed point, P1 .

These considerations might lead us immediately to claim that were examining a generalization of a one-dimensional saddle-node bifurcation: for a < 1/2 we have two fixed points,

which are annihilated as a is increased past its critical value a = 1/2. Well see that what

we have here is indeed a saddle-node bifurcation. At the same time, well explain where the

name of this bifurcation comes from1 !

Next, we examine the stability of these fixed points. We calculate the Jacobian:

a

1

.

2x

J(x, y) =

1

(1 + x2 )2

We now evaluate the Jacobian at the different fixed points. First, at P1 we have

a 1

J(0, 0) =

,

0 1

which has eigenvalues 1 = a and 2 = 1. Both are strictly negative for a > 0, this P1

is a stable node: anything close to P1 gets attracted by it. Here close is determined by how

far either one of P2 or P3 is from the origin.

1

Ah, the end of your anticipation! Youve had to wait a long time for this one.

115

a

1

J(P2 ) =

.

a(1 1 4a2 ) 1

The eigenvalues of this matrix are

q

(a + 1) (a + 1)2 4a 1 4a2

1,2 =

.

2

For a < 1/2 both of these are negative, thus the fixed point P2 is a stable node. When

a = 1/2, one of the eigenvalues is zero, and the fixed point becomes degenerate, as expected.

Lastly, we look at the Jacobian evaluated at P3 :

a

1

.

J(P3 ) =

a(1 + 1 4a2 ) 1

The eigenvalues of this matrix are

q

(a + 1) (a + 1)2 + 4a 1 4a2

1,2 =

.

2

For a < 1/2 one of these is negative, the other is positve. Thus the fixed point P3 is a

saddle point. When a = 1/2, one of the eigenvalues is zero, and the fixed point P3 becomes

degenerate too, again as expected. Lets summarize what happens in this bifurcation: for

a < 1/2 we have two fixed points, P2 and P3 . One of these is an (unstable) saddle, the

other is a stable node. At a = 1/2 these two fixed points merge. For a > 1/2, both fixed

points have disappeared. Throughout this entire ordeal, there is another fixed point P1 ,

which leves its own merry life, seemingly unaffected by all that happens away from it. The

three different types of phase portraits in this bifurcation scenario are shown in Figure 9.1.

In this figure, the two colors are used to denote the different basins of attraction. Note that

the stable manifold of the saddle point P3 is the dividing boundary between the basins of

attraction of P1 and P2 .

9.2

Pitchfork bifurcations

x0 = x + y + sin x,

y 0 = x y.

Here is a parameter. Notice that for all values of this parameter P1 = (0, 0) is a fixed

point. The Jacobian at this fixed point is

+1 1

J(0, 0) =

,

1

1

116

(ii) a = 1/2

Figure 9.1: A two-dimensional saddle-node bifurcation. The figures were created using

pplane.

which gives rise to the eigenvalues 1 , 2 :

2 ( + 2) = 0

2 + 4( + 2)

p 2

2 + 4 + 8

=

p 2

( + 2)2 + 4

=

.

2

1,2 =

Thus both 1 and 2 are real. One of them may be zero when

p

= 2 + 4 + 8,

which happens when = 2. Thus = 2 is a candidate for a bifurcation value. Indeed,

for this value of , the fixed point P1 has an eigenvalue on the imaginary axis (namely at 0),

thus its stability properties might change under small perturbations. This is the case: for

< 2, the fixed point P1 is a stable node (check this!), whereas for > 2, P1 is a saddle

(yes, check this too!). Thus = 2 is a bifurcation value.

Lets examine what happens for values close to this bifurcation value, and for points

(x, y) close to P1 = (0, 0). We can simplify our life by using a Taylor approximation for the

sin function:

0

x3

x = x + y + x

+ O(x5 ),

6

y 0 = x y.

As usual, we start by looking for fixed points. Close to P1 we may ignore the O(x5 ) terms.

Then our fixed-points condition becomes, using y = x,

117

(i) = 3 < 2

(ii) = 2

Figure 9.2: A two-dimensional pitchfork bifurcation. The figures were created using pplane.

x + x + x

x3

=0

6

x2 = 6( + 2)

p

x = 6( + 2),

provided 2. We have divided through by x, since we already know about the fixed

point P1 . Thus we find two (approximate) branches of fixed points for 2:

x2,3 =

p

p

6( + 2), y2,3 = 6( + 2),

so that P2 = (x2 , y2 ) and P3 = (x3 , y3 ) are fixed points for > 2, near the bifurcation

point.

This very much looks like a (supercritical) pitchfork bifurcation at the origin at = 2,

which indeed it is: for < 2 there is a single (stable) fixed point near the origin. For

= 2, this fixed point is degenerate. Finally, for > 2 there are two additional fixed

points originating from P1 . You should check that after the bifurcation these new fixed

points P2 and P3 inherit the stability properties of P1 before the bifurcation. The old fixed

point has now become unstable. This bifurcation is illustrated in Figure 9.2.

9.3

Hopf bifurcations

The bifurcations we have studied so far have had eigenvalues changing stability by the

movement of an eigenvalue from the left to the right-half of the complex plane by passing

through the origin. Indeed, for one-dimensional systems this is the only way to do so: there

is only one eigenvalue and it has to be real. For two-dimensional systems, there is another

option available to us: we might have two complex conjugate eigenvalues. If they are on the

left of the imaginary axis, the fixed point is a stable spiral. If they are on the right, the fixed

point is an unstable spiral. In passing from one to the other, the two eigenvalues will be on

118

Im

1

Re

2 = 1

Im

1

Re

2 = 1

Figure 9.3: A schematic for a supercritical Hopf bifurcation. Here a < ac (top) and a > ac

(bottom)

the imaginary axis for a certain parameter value, at which stage the fixed point is a linear

center.

Consider the following scenario: for a < ac (here ac denotes a critical value of the

parameter a, the bifurcation parameter) we have a stable spiral point, and the entire phase

plane is attracted to the fixed point. Now, as the parameter a changes to a > ac , the fixed

point changes to an unstable spiral point. However, the overall dynamics far away from the

fixed point should be unaltered, as bifurcations are local phenomena. Thus, far away the

dynamics is moving in, but near the fixed point its moving away. The only possibility is

that as a consequence of the bifurcation a limit cycle has been created. Such a bifurcation is

referred to as a Hopf bifurcation. This is illustrated in Figure 9.3. Since in this scenario

the limit cycle exists for a > ac , this is a supercritical Hopf bifurcation.

There is another way to look at a supercritical Hopf bifurcation. Suppose we have a

system with a parameter a, so that for a < ac the system settles down to a constant value, in

119

an oscillatory way. In other words, oscillations eventually decay and die out. Such a signal

is shown in Figure 9.4.

Now imagine that for increasing values of a the damping rate (which is the real part of the

eigenvalue, remember?) decreases, so that the signal decreases less rapidly. Then, for a > ac

the solution is no longer damped , and instead we have a periodic signal. This corresponds

to the limit cycle in the phase plane. Such a signal is shown in Figure 9.5. This is the

consequence of the system undergoing a Hopf bifurcation.

Lets do some examples.

Example. Consider the system

R0 = R R3

,

0 = + R2

where is our bifurcation parameter, and is a given positive constant. The system is given

to us in polar coordinates, thus x = R cos and y = R sin . Equating the right-hand side of

the first equation to zero, we can find a fixed point at the origin and a limit cycle. Indeed:

R R3 = 0

R = R3

R = 0 or R2 =

120

R

R=0

Figure 9.6: For < 0 the origin is a stable spiral point. The phase portrait for the onedimensional R-system is shown on the left. The two-dimensional (x, y)-portrait is on the

right. The right panel was made using pplane.

R = 0 or R =

Note that we have ignored the solution R = . Thus we have a fixed point at the origin

portrait for R and the two-dimensional one it implies for (x, y) are shown for < 0 in

Figure 9.6, and for > 0 in Figure 9.7.

Lets examine what happens near the origin in the (x, y) coordinates. We have

x0 = (R cos )0

= R0 cos R0 sin

= (R R3 ) cos R( + R2 ) sin

= R cos R3 cos R sin R3 sin

= x y (x + y)(x2 + y 2 ),

and

y 0 = (R sin )0

= R0 sin + R0 cos

= (R R3 ) sin + R( + R2 ) cos

= y + x + (x y)(x2 + y 2 ).

Thus the Jacobian for the fixed point at the origin is

121

R

1/2

R=

R=0

Figure 9.7: For > 0 the origin is an unstable spiral point, and a limit cycle exists at

x2 + y 2 = R2 = . The phase portrait for the one-dimensional R-system is shown on the

left. The two-dimensional (x, y)-portrait is on the right. The right panel was made using

pplane.

J(0, 0) =

,

det

=0

( )2 + 2 = 0

( )2 = 2

1,2 = i

1,2 = i.

Indeed, for < 0 both eigenvalues are in the left-half plane. They cross into the right-half

plane for > 0. This is illustrated in Figure 9.8.

Example. Consider the system

0

R = R + R3 R5

,

0 = + R2

where is a bifurcation parameter. As before, the system is given in polar coordinates, and

the radial and angular variables are decoupled. Looking for stationary R values, we get

122

<0

=0

>0

Figure 9.8: The complex eigenvalue plane for a supercritical Hopf bifurcation.

R1 = 0 or + R2 R4 = 0

1 1 + 4

2

R =

r2

1

1

+

R2 =

2

4

s

r

1

1

R2,3 =

+ .

2

4

Thus the origin R1 = 0 is always a fixed point. There are different possibilities for different

values of .

1. If < 1/4, there are no limit cycles and the origin R1 is the only fixed point.

p

2. If = 1/4 there is one limit cycle, at R2 = R3 = 1/2. It follows from the onedimensional phase portrait for the R dynamics that it is semi-stable. There is still a

stable spiral point at the origin.

3. If (1/4, 0) the square root in the last expression is positive. Further, both

expressions for R2 and R3 are positive, and there are two limit cycles. Both are circles.

They have radii R2 and R3 . The outer one is stable, the inner one unstable. The origin

remains a stable spiral point.

4. If = 0, R1 = R2 = 0. The fixed point at the origin persists, but its stability properties

change. There remains a stable limit cycle at R3 = 1.

5. If > 0, the origin remains an unstable spiral point, whereas the limit cycle at R3

remains stable. The expression for R2 is no longer real.

123

R1

R1

R1

<1/4

R2 = R3

=1/4

R3

1/4<<0

R2

R1 = R2

R3

R1

R3

=0

>0

Figure 9.9: The one-dimensional phase portraits for the subcritical Hopf bifurcation example.

The different phase portraits for R are shown in Figure 9.9. Their corresponding twodimensional (x, y) phase portraits are given in Figure 9.10. We see that a subcritical Hopf

bifurcaton happens at = 0, where a limit cycle at R2 gets destroyed. The second limit

cycle at R3 does not partake in this bifurcation.

Example. Let

x0 = x y + xy 2 = f (x, y)

.

y 0 = x + y + y 3 = g(x, y)

Indeed, the origin (0, 0) is a fixed point. Its Jacobian is

1

J(0, 0) =

,

1

with eigenvalues (check!)

1,2 = i.

124

< 1/4

= 1/4

=0

>0

Figure 9.10: The two-dimensional phase portraits for the subcritical Hopf bifurcation example. The plots were created using pplane.

We see that for < 0 we have a stable spiral at the origin, whereas for > 0 the origin

becomes an unstable spiral. Thus all the ingredients are in place for a Hopf bifurcation.

Further,

g

f

+

= 2 + 4y 2 .

x y

It follows from Bendixsons theorem that there are no limit cycles for > 0. How about for

< 0? For < 0, (0, 0) is a stable spiral. On the other hand, for (x, y) large, it is clear

that the tangent vectors move away from (0, 0). Thus there is a definite possibility for an

unstable limit cycle. Using pplane, you can confirm that such a limit cycle exists. Thus we

have a subcritical Hopf bifurcation at the origin when = 0. The different phase portraits

are collected in Figure 9.11.

125

Figure 9.11: The phase portraits for the non-circular limit cycle example. The plots were

made using pplane.

126

Chapter 10

Difference equations

A difference equation is an equation of the form

xn+1 = f (xn ),

where both f and xn may be vectors. A difference equation tells you how to move xn

forward one step, to xn+1 . Difference equations are similar to differential equations, but for

differential equations the stepsize is infinitesimally small. For difference equations, it is 1.

There are many important differences between differential equations and difference equations. For instance, the solution of a difference equation is just a sequence of points, and

there is no continuity associated with it at all. If we were to draw the phase portrait of a

difference equation, there are no constraints imposed by other solutions: different solutions

can jump over them unimpeded.

Example. Consider the first-order scalar difference equation

xn+1 = xn .

The general solution of this equation is given by the sequence

(x0 , x0 , x0 , x0 , . . .),

where x0 is the initial value. This sequence oscillates around the origin. Note that xn = 0 is

a fixed point of the equation. This is already different from first-order differential equations,

which cannot have any oscillatory behavior, as we showed.

What can be said in general about solutions of difference equations? Like differential

equations, they are typically hard to solve1

1

127

128

10.1

For starters, lets restrict our attention to linear, constant coefficient systems2 . Such systems

are written as

xn+1 = Axn ,

where A is an N N constant (i.e., independent of n) matrix. As with differential equations,

our main method of solution is to guess. Lets guess the solution form

xn = n v,

where is a scalar constant, to be determined, and v is a constant vector, also to be

determined. So, can we find and v such that the above gives a solution of the equation?

If not, well have to try another guess. Lets see what we get with this one. We have

xn+1 = n+1 v,

thus, plugging in,

n+1 v = An v Av = v,

an eigenvalue equation3 ! Thus, we can get our guess to work if we pick to be an eigenvalue

of A, and v its corresponding eigenvector. Even better, since the matrix A typically has

a bunch of eigenvalues with corresponding eigenvectors, we get a bunch of solutions of the

difference equation this was. Since the difference equation were considering is linear, any

linear combination of a bunch of solutions will again be a solution. Thus, if 1 , 2 , . . . ,

N are eigenvalues of A with corresponding eigenvectors v1 , v2 , . . . , vN , then the general

solution is given by

xn = c1 n1 v1 + c2 n2 v2 + . . . + c1 nN vN .

So far, this is all very similar to constant coefficients differential equations. The poisson is

in the details: how do we interpret out results. This is where things get to be a bit different.

1. If R, and > 1 then n v increases in size, without oscillations. This is an unstable

mode.

2. If R, and < 1, but > 0 then n v increases in size, without oscillations. This is

a stable mode.

3. If R, and < 1 then n v increases in size, while oscillation around the origin.

This is an unstable mode.

2

3

Raise your hand if you are surprised.

129

4. If R, and > 1 but < 0 then n v decreases in size, while oscillation around

the origin. This is a stable mode.

5. If C, then = ||ei , where is the argument of the complex number . Thus

n = ||n ein = ||n (cos n + i sin n). We see that the size of our solution decreases

(increases) if || < 1 (|| > 1).

In summary, we see that eigenvalues outside the unit circle give rise to unstable modes,

whereas eigenvalues inside the unit circle are stable. Any modes on the unit circle are linearly

stable, but more work is necessary to investigate the linear stability of the zero fixed point, as

the multiplicity of these eigenvalues and the presence of any generalized eigenvectors might

have a say in this. If this system is obtained as the linearization near a fixed point of a

nonlinear system, then all bets are off: the nonlinearities have to be taken into account to

determine stability of instability if there are modes on the unit circle, but none outside.

This situation is illustrated in Figure 10.1. Thus, instead of having to determine whether

eigenvalues are left or right of the imaginary axis (as for differential equations), here we see

that we have to determine whether eigenvalues are inside or outside of the unit circle.

Example. Consider the Fibonacci difference equation

yn+2 = yn + yn+1 ,

which defined the Fibonacci sequence: any number in it is obtained as the sum of the previous

two numbers. Can we write down a formula for the n-th Fibonacci number? That would

allow us to calculate this number, without needing all the numbers preceding it.

We impose initial conditions

y0 = 0, u1 = 1.

We let

yn = n ,

so that

yn+1 = n+1 , yn+2 = n+2 .

We get

n+2 = n + n+1 2 = 1 + 2 1 = 0.

This is easily solved. We get

1,2

or

1 5

,

=

2

130

i

1

Figure 10.1: Different parts of the complex eigenvalue plane for the stability of fixed points

of difference equations. A fixed point is stable if all its eigenvalues are on the inside of unit

circle.

Thus, for large enough n, the influence of 2 will diminish, and we will see only the effect of

1 . The general solution is given by

!n

!n

1

+

1

5

5

+ c2

.

yn = c1 n1 + c2 n2 = c1

2

2

We use the initial conditions to determine c1 and c2 . From y0 = 0 we get

0 = c1 + c2 c2 = c1 ,

so that

!n

1+ 5

y n = c1

131

!n !

1 5

.

2

1

1 = c1 5 c1 = .

5

Finally, we have a formula for the n-th Fibonacci number:

1

yn =

5

!n

1+ 5

!n !

1 5

.

2

Perhaps this is not the formula you were looking for: the Fibonacci numbers should all be

integers, and it is not immediately clear from the formula that they are. You should convince

yourself of this fact.

10.2

xn+1 = f (xn ),

with xn , f RN as before, we proceed as for nonlinear differential equations: we start

by finding fixed points, and examining their stability.

10.2.1

Fixed points

A fixed point of a difference system is a point whose further iteration does not change it,

thus xn+1 = xn , resulting in

xn = f (xn ).

Thus fixed points satisfy

x = f (x).

For one-dimensional systems, this implies that we are looking for points at which f (x)

intersects the first bisectrix. For higher-dimensional system this geometrical intuition is no

longer present, but we still have an algebraic equation to solve.

132

10.2.2

Having found a fixed point x , wed like to establish its stability properties. To do this, we

examine the difference equation close to the fixed point. Let

xn = x + yn .

We substitute this in the difference equation to get

x + yn+1 = f (x + yn ).

We expand the right-hand side around x , assuming that yn is small. Thus

xk

+ y(n+1),k

xk + y(n+1),k

y(n+1),k

N

X

fk

= fk (x ) +

yn,j + O(||yn ||2 )

x

n,j

xn =x

j=1

N

X

fk

= xk +

yn,j + O(||yn ||2 )

xn,j xn =x

j=1

N

X

fk

yn,j + O(||yn ||2 ),

=

x

n,j xn =x

j=1

where yn,k denotes the k-th component of the vector yn . If we define the matrix

J(x ) = (Jkj )N

j,k=1 ,

where

Jkj

fk

=

,

xn,j xn =x

yn+1 = J(x )yn .

Here J(x ) is the Jacobian of the system evaluated at the fixed point. It plays the same

role as for differential equations, and is calculated similarly: the first row contains derivatives

of the first equation. The second row derivatives of the second equation and so on. The

first column contains derivatives with respect to the first variable, etc. Thus, near every

fixed point we have to solve a linear constant coefficient difference equation, to determine

the stability of the fixed point. Thats pretty sweet, because we just learned how to do this.

Some definitions: the fixed point x is called hyperbolic if none of the eigenvalues of

its linearized system lie on the unit circle. For hyperbolic fixed points, the linearization

predicts the correct stability behavior. The fixed point x is unstable if any of its eigenvalues

are outside of the unit circle, as the corresponding eigenmode will grow in size. If all the

133

eigenvalues are inside the unit circle, the fixed point is (asymptotically) stable. Lastly, if the

eigenvalues with largest absolute value lie on the unit circle, the fixed point is called spectrally

stable, which often means linearly stable, depending on the multiplicity of the eigenvalues and

whether there is a sufficient number of eigenvectors. For such fixed points the linearization

tells us not much about the stability of the fixed point, and the effect of nonlinear terms has

to be taken into account.

For one-dimensional maps, we can interpret the stability criterion geometrically. For the

one-dimensional map

xn+1 = f (xn ),

we have a fixed point x when x = f (x ). Thus f (x) has to intersect the first bisectrix, as

illustrated in Figure 10.2. For this case, the Jacobian is a 1 1 matrix, in other words, a

number. We have

J(x ) =

f

(x ).

xn

The single eigenvalue of this Jacobian is just the entry of the Jacobian itself. Thus

=

f

(x ).

xn

To investigate stability, we examine whether this value is inside or outside of the unit circle.

For a one-dimensional setting the unit circle is merely the set 1, 1. Thus, stability requires

f

|| =

(x ) < 1.

xn

Thus, the derivative at the fixed point cannot be very large in absolute value. On the other

hand if

f

|| =

(x ) > 1,

xn

we know the system is unstable. Lastly, if

=

f

f

(x ) = 1, or =

(x ) = 1,

xn

xn

then the fixed point is linearly stable, and the effect of the nonlinear terms may be important.

In addition, we also have that the sign of the eigenvalue is important for the behavior

near the fixed point: if the eigenvalue is negative, then the perturbations will oscillate around

the fixed point. If the eigenvalue is positive, the perturbations will remain on one side of the

fixed point.

134

y=x

y=f(x)

x*

x

x*

Figure 10.2: If the function defining the map intersects the first bisectrix, we have a fixed

point.

10.3

Poincar

e sections

We have already discussed some reasons why we might care about difference equations in

the beginning of this course. Lets reiterate some of these, and add some new ones.

1. We know that differential equations have to be pretty high dimensional in order for

there to be even the possibility of chaos: one-dimensional systems dont even have oscillations. Two-dimensional systems can have oscillations and limit cycles, but nothing

more complicated than that, as concluded from the Poincare-Bendixson theorem. So,

maybe difference equations provide us with a more convenient playground to examine

chaos?

2. Discretizations of differential equations using numerical methods give rise to difference

equations.

3. Another way to generate difference equations from differential equations is by using

Poincare maps, as discussed in this section.

SECTIONS

10.3. POINCARE

135

0

= y

,

y 0 = 2 y sin

where [0, 2) and y R. Thus our phase space is an infinite cylinder. Well draw it as

a rectangle, with left and right sides identified, and the top and bottom sides going off to

infinity. Lets look for fixed points: we need

y = 0, sin = 2,

which has no solutions. Thus there are no fixed points. Well show next that a closed orbit

does exist. Consider the null-cline

y = 2 sin ,

on which y 0 = 0. It is drawn in the phase portrait in Figure 10.3. Above this null-cline

y 0 < 0, below it y 0 > 0. Lets focus our attention to the region in between y = 1/2 and

y = 4. Note that all tangent vectors point to the inside of this region, so we know by the

Poincare-Bendixson theorem there is at least one closed orbit. Well now come up with a

second way to come to this conclusion, which introduces Poincare maps.

Take a trajectory starting at = 0, y = y0 (1/2, 4). We know that this trajectory

never leaves the region S. After the orbit has gone around the cylinder once, we obtain itll

be at = 0, y = y1 . This defines a map

y0 y1 .

Similarly, after n revolutions,

yn yn+1 .

We define this map to be the Poincare map:

yn+1 = P (yn ).

The Poincare map allows us to slice the vector field of a dynamical system to obtain a

lower dimensional phase space. In this lower dimensional phase space the dynamics is now

given by a discrete-time map, instead of by a continuous-time map. Thus, we are now dealing

with a difference equation. In general, a Poincare map is obtained by slicing the flow of a

dynamical system with a lower-dimensional set (our new phase space) and tracking when an

orbit returns to this set.

Back to our example. If we can establish that the Poincare map P has a fixed point y,

in other words,

y = P (

y ),

136

Figure 10.3: A first stab at the phase portrait on the cylinder, with the null-cline indicated.

then this fixed point corresponds to a periodic orbit of the underlying system. In terms of

graphs, this means that P (y) intersects the first bisectrix, as shown in Figure 10.4. Lets see

what we can do with this. We know that

P (1/2) > 1/2,

and

P (4) < 4,

by the vectorfield. Also, P (y) is continuous, since solutions of differential equations depend

continuously on their initial conditions. Thus, the plot of P (y) looks as shown in Figure 10.4.

Thus, by the mean value theorem there exists a value y such that y = P (

y ), which gives a

fixed point of the Poincare map, or a periodic solution of our original system.

We now have developed a bunch of tools to study chaotic systems. Lets go!

SECTIONS

10.3. POINCARE

137

4 P(y)

1/2

y

1/2

y^

138

Chapter 11

The logistic map

The logistic map is given by

xn+1 = Rxn (1 xn ),

in analogy with the logistic differential equation. The map depends on a parameter R > 0.

A lot of what well do in this chapter is examine the different dynamics the logistic map may

exhibit, depending on the value of R. Thus, well investigate bifurcations in maps. Concisely,

heres the plan1 : lets find out if there are any fixed points or any periodic orbits

of the logistic map, for a given value of R. If we can say something about their

stability, thatd be good too.

11.1

x = Rx(1 x),

which has two solutions:

x=0

or

1

1

R1

x=1 =

.

R

R

R

The plot of these two curves of fixed points is shown in Figure 11.1

Lets examine the stability of these fixed points. We have

1 = R(1 x) 1 x =

1

It is a good plan!

139

140

Figure 11.1: The fixed points of the logistic map, for different R.

1. For x = 0 we have = f 0 (0) = R. Thus, in order for the fixed point at x = 0 to be

stable, we need |R| < 1, or, since R is positive, R < 1. Thus, for R < 1, the fixed

point at x = 0 is stable. For x > 1, the fixed point loses its stability, and it becomes

unstable.

2. For x = 1 1/R we have = f 0 (1 1/R) = R(1 2 + 2/R) = 2 R. If R < 1 then

lambda > 1 and the fixed point at x = 1 1/R is unstable. On the other hand, if

R > 1 and R < 3 then || < 1 and the fixed point at x = 1 1/R is stable. Lastly, for

R > 3 the fixed point at x = 1 1/R is unstable.

A summary of these findings is presented in the bifurcation plot Figure 11.2. It is clear

that the fixed points undergo a transcritical bifurcation at R = 1. Then something else

happens at R = 3, but it is not entirely clear what. There are no other fixed points for this

fixed point to interact with, so how is the fixed point changing stability at this value of R?

141

Figure 11.2: The fixed points of the logistic map and their stability, for different R.

11.2

In order to answer questions like the one above, lets try to visualize the behavior of the

logistic map, for a variety of R values. Heres how one typically goes about this.

1. Pick an R value.

2. For this R value, pick an initial condition for x, chosen at random in (0, 1).

3. Iterate this initial condition forward N times, where N should be large, say 1000 or

more.

4. Plot all these N values, ignoring the first M , where M is a fraction of N . For instance

M = N/10.

5. Repeat for a different R value. You could also choose to repeat for different initial

conditions, but this is usually not done.

A little maple computer code to generate such a plot is included below.

> restart;

> # initialize

> f:=x->R*x*(1-x);

142

>

>

>

>

>

>

Rmin:=3.8:

Rmax:=4:

x0:=0.34567:

N:=400:

M:=round(N/2):

Rs:=200:

>

>

>

>

>

>

>

>

>

>

>

>

>

>

>

>

# compute values

Rvals:=map(evalf,[seq(Rmin+k*(Rmax-Rmin)/Rs,k=0..Rs)]):

punten:=[]:

for R in Rvals do

print(R);

x:=x0:

Rpunten:=[]:

for k from 1 to M do

x:=f(x):

end do:

for k from M+1 to N do

x:=f(x):

Rpunten:=[op(Rpunten),[R,x]]:

end do:

punten:=[op(punten),op(Rpunten)]:

end do:

> with(plots):

> listplot(punten,style=point);

A plot showing the result for R between 0 and 4 is shown in Figure 11.3. A few observations are in order. Since were cutting out the initial M points, and only plotting whats

after that, were only observing things that are stable. In this plot, we used 400 values of R,

and 400 iterations, cutting out the first 200 of these. The resulting plot is interesting. Lets

discuss some of the things we see.

(a) This is the stable fixed point x = 0, for R [0, 1).

(b) Here the transcritical bifurcation takes place, and the fixed point x = 1 1/R becomes

stable.

(c) Now the fixed point x = 1 1/R is stable, for R (1, 3).

(d) Here another bifurcation takes place, but were not quite sure yet what it is.

143

Figure 11.3: The bifurcation plot for the logistic map, for different values of R. The different

indicated points are discussed in the main text.

(e) A lot of other stuff happens for R > 3, but itd be audacious to guess what it is.

Whatever it is, its complicated.

Another way in which fixed points might change stability properties is by interacting with

limit cycles, as in a Hopf bifurcation. Maybe something like this is happening at R = 3.

11.3

returns to the same point in the phase plane after some amount of time, which we call the

period. We can extend this concept to difference equations: a periodic orbit of period N is

a sequence of N points

144

[x0 , x1 , . . . , xN 1 ],

so that xN = f (xN 1 ) = x0 . In other words, after N iterates, were back to where we started.

As an example, consider period two orbits. These satisfy

x1 = f (x0 ),

x0 = x2 = f (x1 ),

since we need to be back to where we started after two iterations. Substituting for x1 in this

last equation, we see that period 2 orbits satisfy

x0 = f (f (x0 )),

or, a little less cumbersome,

x = f (f (x)).

Now, this is still cumbersome if we want to examine periodic orbits of larger periods:

suppose were interested in period 5. Such orbits satisfy

x = f (f (f (f (f (x))))).

OK. Thats getting silly: its hard to read, and hard to write. Lets introduce some notation2

to simplify at least the reading and writing part. We define

f n (x) = f (f (. . . f (x) . . .)),

where there are n nested f s on the right-hand side. Be careful, this is easily misinterpreted:

f n (x) 6= [f (x)]n .

Example. As an example, lets find period 2 orbits of the logistic map. We have

f (x) = Rx(1 x),

thus

f 2 (x) = f (f (x)) = R (Rx(1 x)) (1 Rx(1 x)) .

Thus we need to solve

x = R (Rx(1 x)) (1 Rx(1 x)) .

This is a quartic equation in x3 !

As a general comment: whenever were looking for period 2 orbits, there will be some

solutions that were not interested in. Indeed, all fixed points (which may be thought of as

2

3

(This is a footnote, not a power!) Beuh.

145

period 1 orbits) are also period 2 orbits, but they are of little interest to us, since we already

know about them. That means we can eliminate these solutions, and focus on the remaining

ones.

For this example, we have two fixed points, so after we divide these away, well be left with

a quadratic equation. Sweet, were pretty awesome at solving these! The above equation is

easily divided by x, which removes the fixed point at x = 0 as a solution. That leaves us

with the cubic equation

R (Rx(1 x)) (1 Rx(1 x)) 1 = 0.

The other factor that has to be present is

x 1 + 1/R,

because of the other fixed point. Indeed, after long division we are left with the quadratic

equation (check this!)

R2 x2 R(1 + R)x + (1 + R) = 0.

The solutions are (You know, . . . : check this!)

p

(R + 1)(R 3)

1

1

.

x= +

2 2R

2R

This formula gives rise to a period 2 orbit, when it is real. Thus we need

(R + 1)(R 3) > 0,

or, since R + 1 is always positive,

R > 3.

We see that a period 2 orbit exists when R > 3, which is exactly where our fixed point

x = 1 1/R becomes unstable!

To investigate the stability of the period 2 orbit, we examine the stability of the orbit as

a fixed point of the map

F (x) = f (f (x)).

We are interested in when F 0 (x1 ) (or F 0 (x2 )) is less than one in absolute value. We have

F 0 (x) = f 0 (f (x))f 0 (x),

by the chain rule. Since x2 = f (x1 ), x1 = f (x2 ), we have

F 0 (x1 ) = f 0 (f (x1 ))f 0 (x1 ) = f 0 (x2 )f 0 (x1 ) = F 0 (x2 ).

146

Thus, all we need is to evaluate f 0 (x) at the different points of the period 2 orbit, and

multiply the result. We have

f 0 (x) = R(1 2x).

Thus

p

1 p

= 1 (R + 1)(R 1),

f (x1,2 ) = R 1 1 + (R + 1)(R 3)R

R

0

and

F 0 (x1 ) = F 0 (x2 ) = f 0 (x1 )f 0 (x2 ) = R2 + 2R + 4.

When R = 3, this is equal to 1, corresponding to marginal linear stability. This is not

surprising, as this is right at the bifurcation point. As R increases to values greater than 3,

F 0 (x1 ) decreases, until it reaches -1. Once it becomes smaller than 1, the period two orbit

loses its stability. When does this happen? We need

R2 + 2R + 4 = 1 R2 2R 5 = 0 R = 1 +

6 3.449.

There is a second solution for R, but it is negative so we ignore it. Thus, for

R (3, 3.449),

the period 2 orbit is stable.

At (R, x = 11/R) = (3, 2/3) the system is said to undergo a period-doubling bifurcation:

a period 1 orbit loses its stability and a period of twice the period is created, which is stable.

It appears from Figure 11.4 that a second period-doubling bifurcation occurs a little later,

when the period 2 orbit loses stability, and an apparent period 4 orbit is created. A little

later another period-doubling bifurcation takes place, this time from period 4 to period 8,

and so on. This and so on statement is very important: it does appear that there is a

whole, infinite sequence of period doublings, and this is indeed the case. These occur faster

and faster, until finally we can only conclude that apparently the solution no longer settles

down to anything stable.

11.4

If we enlarge various regions of the bifurcation diagram, it appears to repeat itself. This is

not what we expect from our long experience with calculus: there repeated zooming in makes

everything appear like a straight line. Here repeated zooming in, when carefully chosen, does

not alter what were looking at! Bizarre! A sequence of such plots is shown in Figure 11.5.

147

Figure 11.4: The first period-doubling bifurcation at (a) and the second one, at (b).

11.5

After stretches of what we may choose to label as chaotic behavior, there appear to be

windows of R values where the behavior is regular. For instance, there appears to be a

rather large period 3 window, shown in Figure 11.6. You can also find period 5 and period

7 windows, for instance.

This period 3 window is the most noticeable. From the graph, we are lead to believe there

exists a stable period 3 orbit for these R values, which loses its stability in a period-doubling

bifurcation to a period 6 orbit, and so on. Such a period 3 orbit has to be a fixed point of

the equation

x = f (f (f (x))) = f 3 (x).

This is a eighth-order equation in x. How many solutions do we know of it? Well, theres

148

Figure 11.5: Six consecutive zooms of the bifurcation diagram of the logistic map.

149

Figure 11.6: The period 3 window, with a hint of a period-doubling bifurcation to period 6.

two fixed points, so were left with an equation of degree six. It turns out that this equation

contains two period three orbits, one of which is unstable, and one of which is stable. This

second one is the one we see in the computer experiment.

Figure 11.7 shows the function f 3 (x) = f (f (f (x))), for three values of R. In the top

figure, R = 3.82, which is a value just before the period 3 window. We see that apart from

the two fixed points (at x = 0 and at x = 1 1/R) there are no intersection points with the

first bisectrix. But its close. Increasing R results in the peaks of the graph becoming higher

and the valleys becoming deeper. This will result in intersection points, near the regions

where the arrows are preemptively pointing. For the next panel, R = 3.835, which is in the

period 3 window. Now there are six additional intersection points. You may wish to draw

the graph yourself, to confirm the intersection points with the peak on the right4 . Three of

4

There are many things you may wish for. This one is within your power to realize!

150

Figure 11.7: The map f 3 (x) for parameter values near the period 3 window.

151

these six intersection points have small tangents to them. The stability of the period 3 orbit

is determined by

[f 3 (x1 )]0 = [f (f (f (x1 )))]0

= f 0 (f (f (x1 )))f 0 (f (x1 ))f 0 (x1 )

= f 0 (f (x2 ))f 0 (x2 )f 0 (x1 )

= f 0 (x3 )f 0 (x2 )f 0 (x1 ).

Thus if we multiply three tangent slopes that are close to zero (i.e., pretty flat tangents),

this product will be small and the orbit should be stable. For the other orbit, the points have

pretty steep tangents, and the orbit is unstable. If we increase R even more, all tangents

become steeper, and the originally stable orbit becomes unstable. This has happened at

R = 3.84, in the lower panel.

There is a famous theorem due to Sarkovskii and Yorke & Li. It is often stated as

Period three implies chaos.

Heres the precise statement of the theorem. Suppose that we have a map f (x), defined

on [0, 1] [0, 1]. Such a map is called unimodal if it is smooth (has a continuous derivative),

is concave down and has a single maximum.

Example. The logistic map

f (x) = Rx(1 x)

is unimodal. Also, the sine map

f (x) = R sin x

is unimodal.

We have the following theorem (without proof):

Theorem. Suppose f (x) is unimodal. Suppose the difference equation

xn+1 = f (xn )

has an unstable period three orbit. Then the difference equation is chaotic. More precisely,

it has unstable periodic orbits of any integer period.

The theorem is sometimes used for saying that the logistic map is chaotic, because it

has a period 3 window. This is incorrect. The theorem talks about a single map, not

about a family of maps, which is what we study using the bifurcation diagram. Further,

the requirement is about an unstable period 3 orbit, whereas what we see in the period 3

window is a stable orbit. However, there is also an unstable orbit there, for those values of

R in the period 3 window and beyond. For those values of R, the theorem does apply, and

the map is chaotic.

152

11.6

Lyapunov exponents

Which brings us to chaos. What do we mean by it? Well define it more rigorously later.

For now, let us state that one of the criteria is sensitive dependence on initial conditions,

specifically exponentially diverging dependence.

If two initial conditions are 0 apart, they will be

f (x0 + 0 ) f (x0 )

apart after one iteration. After two iterations,

f (f (x0 + 0 )) f (f (x0 )) = f 2 (x0 + 0 ) f 2 (x0 ),

and after N

f N (x0 + 0 ) f N (x0 ).

If we expect this to increase exponentially, then we should have

N

f (x0 + 0 ) f N (x0 ) |0 |eN ,

for some . Thus

N

f (x0 + 0 ) f N (x0 )

1

ln

.

N

|0 |

In the limit of an infinite number of iterations we get

1 d N

f (x0 ) ,

= lim

N N dx

where we have used the definition of the derivative as 0 . This formula can be

simplified. Note that

d N

f (x0 ) = f 0 (f N 1 (x0 ))f 0 (f N 2 (x0 )) . . . f 0 (x0 )

dx

= f 0 (xN 1 )f 0 (xN 2 ) . . . f 0 (x0 ).

Thus

PN 1

= lim

k=0

ln |f 0 (xk )|

.

N

If this limit exists, then is called the Lyapunov exponent of the orbit starting at x0 . One

can show that is the same for almost all choices of the initial condition in the same basin

of attraction.

153

You see from this formula that for stable orbits < 0, since the derivative |f 0 (x)| < 1,

implying its logarithm is negative. Similarly, for unstable orbits, the Lyapunov exponent is

positive. For chaotic signals, we expect the presence of many unstable periodic orbits, thus

we may interpret a positive Lyapunov exponent as a sign of chaos.

Below is a maple code to generate pictures of the bifurcation diagram for the logistic

map, together with its Lyapunov exponent for any R. The resulting figures for two different

ranges of R values are shown in Figures 11.8 and 11.9. Indeed, we see that the Lyapunov

exponent is an excellent measuring stick for chaos.

>

>

>

>

>

>

>

>

>

>

>

>

>

>

restart;

# initialize

f:=x->R*x*(1-x);

g:=x->R*(1-2*x);

Rmin:=3.4:

Rmax:=4:

x0:=0.34567:

N:=400:

M:=round(N/2):

Rs:=400:

# compute values

Rvals:=map(evalf,[seq(Rmin+k*(Rmax-Rmin)/Rs,k=0..Rs)]):

punten:=[]:

lyap:=[]:

>

>

>

>

>

>

>

>

>

>

>

>

>

>

>

>

>

>

for R in Rvals do

print(R);

x:=x0:

lyapexp:=0:

Rpunten:=[]:

for k from 1 to M do

x:=f(x):

end do:

for k from M+1 to N do

x:=f(x):

lyapexp:=lyapexp+ln(abs(g(x)));

Rpunten:=[op(Rpunten),[R,x]]:

end do:

punten:=[op(punten),op(Rpunten)]:

lyap:=[op(lyap),[R,lyapexp/M]];

end do:

# plot points

with(plots):

154

Figure 11.8: The bifurcation diagram for the logistic map and its Lyapunov exponent for R

between zero and four.

> plot1:=listplot(punten,style=point, symbol=point, color=black):

> plot2:=listplot(lyap,color=red):

> display({plot1,plot2},view=[Rmin..Rmax,-1..1]);

11.7

As you observe from the bifurcation diagram, the period-doubling bifurcations appear to

occur faster and faster. Is there a pattern to this? Mitchell Feigenbaum studied the ratio

between the length of successive intervals of stability for orbits of period T and orbits with

period 2T . Specifically, he studied

155

Figure 11.9: The bifurcation diagram for the logistic map and its Lyapunov exponent for R

between 3.4 and four.

n

= 4.669 . . . ,

n n+1

= lim

where n = Rn+1 Rn and Rn is the R value at which the orbit of period 2n loses its stability,

and the orbit of period 2n+1 is born and is stable. So this limit exists, and is 4.669. . . . Now

what? How does this affect the price of gas? Well, he did the same calculation for other

unimodal maps, where period-doubling sequences also occur. He found the limit to be

the same! The value = 4.669 . . . appears to be a universal constant! It is now known as

the Feigenbaum constant. It should be put on in the display case next to and e, and a few

others.

In Figure 11.10, the bifurcation diagram for the sine map f (x) = R sin x is shown.

Notice its amazing structural similarity with the logistic map.

156

Figure 11.10: The bifurcation diagram for the sine map f (x) = R sin x.

Chapter 12

Fractals

Fractals are geometric structures with fine structure at arbitrarily small scales: no matter

how much zooming we do, we always see more features. Often fractals have some degree of

self-similarity: the new features that appear upon zooming in are partially or wholly repetitions of the original structure. An example of this is what weve seen with the bifurcation

diagram of the logistic map: successive zooms revealed structures that looked very much like

the original structure.

A lot of the structures observed in chaotic dynamics are fractal, so well try to understand

fractals a little better.

12.1

A set with an infinite number of elements is countable if its elements can be put in one-to-one

correspondence with the natural numbers. Otherwise, the set is uncountable.

Example. The natural numbers are countable. Duh.

0, 1, 1, 2, 2, 3, 3, . . . .

Example. Perhaps more surprising: the rational numbers are countable. To prove this,

well line them up, just like we lined up the integers. Indeed, we can do as in Figure 12.1.

This figure only includes the positive rational numbers, but if these are countable, than so

are all rationals. Actually, the figure includes more than all rationals, as it includes numbers

like 2/2, which are equal to rational numbers which already occured in the sequence earlier.

So, we should throw these out of the sequence, which we can do.

Example. The real numbers are not countable. This is our first example of an uncountable set. To prove this, we use contradiction. We assume the real numbers between 0 and 1

157

158

1/1

1/2

1/3

2/1

2/2

2/3

3/1

3/2

1/4

...

Figure 12.1: Counting the positive rational numbers.

are countable. This will lead to a contradiction, thus the real numbers between 0 and 1 are

not countable.

Assume the reals between 0 and 1 are countable. Then we can make an infinite list

containing all of them. Lets use a decimal representation to list them:

x2 = 0.x21 x22 x23 . . .

x3 = 0.x31 x32 x33 . . .

..

.

where all xij are one of 0,1,2,3,4,5,6,7,8,9. We now construct

y = 0.

x11 x22 x33 . . . .

Here the bar over the digit means that we can choose any digit except the one underneath

it. By construction y is not on our list. This is a contradictions, as the list is supposed to

contain all real numbers between 0 and 1. Thus the reals are uncountable.

159

1/3

2/3

Figure 12.2: The first few steps in the construction of the middle-1/3 Cantor set C.

12.2

Cantor sets

Cantor sets are intimately related with the dynamics of many chaotic systems, as well see

later. We will focus our attention on the so-called middle-1/3 Cantor set C. Heres how it

is constructed.

1. Draw the line segment from 0 to 1.

2. Remove the middle 1/3. This leaves you with two line segments: one from 0 to 1/3

and one from 2/3 to 1.

3. Remove the middle 1/3 of each segment. That leaves you with 4 segments: one from

0 to 1/9, one from 2/9 to 3/9, one from 6/9 to 7/9, and one from 8/9 to 9/9.

4. Keep on repeating this, removing the middle 1/3 of each remaining segment at each

step. The limit of this process is called the middle-1/3 Cantor set C. The process is

illustrated in Figure 12.2.

A few properties of the Cantor set C are immediate:

C is fractal: it has structure at every scale.

C is self-similar: successive zooms on any given part look just like the original set.

Well now get to some less obvious properties.

The total size of the Cantor set C is zero. This is easy to show: at step one, the

total length is 1. At step 2 it is 1-1/3 = 2/3. We subtract 1/3 of the total length at every

step. Thus at step 3, the length is (2/3)2 , and at step N it is (2/3)N . As N this goes

to zero. Thus the total cumulative length of the Cantor set is zero.

The Cantor set is uncountable. Every point in the Cantor set can be assigned an

address based on where it is. With each such point we associate an address of the form

0.x1 x2 x3 . . . ,

160

where xj {0, 1}. Here x1 is 0 if the point is in the left 1/3, or 1 if its in the right 1/3.

Next, x2 is zero if is on the left 1/3 of the previous interval, one if it is on the right 1/3 of

the previous interval, and so on. For instance, the point with address

0.111001010 . . .

is the point in C obtained by picking the right interval first, then the right interval again,

and again. Next we pick the left interval, and again. Next is the right interval, followed by

the left, etc.

We see that the set of points in C corresponds to the set of all points with decimal

expansions with all 0s and 1s. But those numbers are nothing but all numbers between 0

and 1 written in binary form. Thus this is the set of all real numbers between 0 and 1, which

we have already proven to be uncountable. This concludes the proof.

12.3

Dimension

We all have an intuitive understanding of what we mean by dimension: the space we live in

has three (spatial) dimensions. A curve is one dimensional, a surface is two dimensional, etc.

Suppose we dont want to relate to our intuition, and we want to compute the dimension of

an object. How would we go about it?

Lets start with curves. The reason a curve is one dimensional is that, starting from a

fixed point, we only have to specify one number to specify where something is. That one

number is the arc length from our starting point. Does this always work?

Example. Consider the Koch curve. This curve is constructed as follows.

1. S1 is the line segment from 0 to 1.

2. S2 is S1 with the middle-1/3 line segment replaced by an upward equilateral triangle,

as shown in Figure 12.3.

3. S3 is S2 with all middle-1/3 line segments replaced by equilateral triangles pointing

away from the bottom of the curve, see Figure 12.3.

4. This process is repeated ad infinitum. The limit curve is the Koch Curve.

Clearly, the Koch curve is fractal, and self-similar. Lets calculate the arc length of the

Koch curve. Denoting the arc length of Sk by sk , we have that

s1 = 1

4

4

s2 = s1 =

3

3

2

4

4

s3 = s2 =

3

3

...

12.3. DIMENSION

161

S1

S2

S3

Figure 12.3: The construction of the Koch curve.

In general we have that

k

4

sk =

3

lim sk = .

Thus the arc length of the Koch curve is infinite! Due to the self-similarity, the same is true

for any part of the Koch curve. Any point on the Koch curve is infinitely far away from any

other point! Thus it does not suffice to specify one point to tell where we are. Thus, perhaps

the Koch curve is not one dimensional. . . . But surely its not two dimensional? Could it

be. . . ?

There are several ways of calculating the dimension of weird sets like these. Lets discuss

a few.

12.3.1

Suppose that a self-similar set consists of M copies of itself scaled down by a factor of R.

We define the similarity dimension of this set as

162

d=

ln M

.

ln R

M = Rd ,

which appears to agree with our intuition. Lets do some examples.

Example. Consider a straight-line piece. If we cut it in half, we have two equal pieces

that look identical to the original. Thus here M = 2 and R = 2. In general, cutting it in K

pieces, we have M = K and R = K. Thus

d=

ln K

= 1,

ln K

as it should be.

R = K. Thus

2 ln K

ln K 2

=

= 2,

d=

ln K

ln K

R = K. Thus

ln K 3

3 ln K

d=

=

= 3,

ln K

ln K

Example. And now for something more interesting. Consider the middle-1/3 cantor

set. We have M = 2 and R = 3. Thus

d=

which is painful on the brain.

ln 2

0.63 . . . ,

ln 3

Example. And now for the big one. Consider the Koch curve. We have M = 4 and

R = 3. Thus

ln 4

d=

1.26 . . . ,

ln 3

which is disturbing.

12.3. DIMENSION

12.3.2

163

More popular1 , because more practical, is the the box-counting dimension of a set S. Suppose

S is a subset of RD . That means that any reasonable definition of the dimension should result

in a number less than or equal to D.

Let N () be the minimal number of D-dimensional cubes of side that we need to

completely cover S. The box-counting dimension of S is defined to be

ln N ()

,

0 ln(1/)

d = lim

You should check that this definition agrees with your intuition for the simple cases where

we have intuition. It also agrees with the similarity dimension for the cases we just discussed.

It should be noted that different definitions might give different results in some cases.

As popular as these things get. Were still talking about math, after all. . .

164

Chapter 13

The Lorenz equations

The Lorenz equations are the rather inconspicuous-looking equations

0

x = (y x)

y 0 = Rx y xz ,

0

z = xy bz

where , R and b are positive parameters. This system was derived after many approximations from a climate model. There are only two nonlinear terms, and they are only quadratic.

Thus the Lorenz equations dont appear too horrible. The story of how Lorenz started the

study of these equations is fascinating and very readable. You should look it up.

A typical solution of the Lorenz equation is shown in Figure 13.1. Were seeing a pattern

that is close to being periodic, but never quite repeats. It appears not predictable at all. Of

course it is, since were solving a differential equation.

As usual, we gain more insight by plotting the trajectory in the phase space R3 . This plot

is shown in Figure 13.2. We see that the orbit is quickly attracted to a very small region of

phase space, where the dynamics seems to take place on something resembling a two-winged

butterfly. Careful observations lead Lorenz to the conclusion that the dynamics on this set

shows sensitive dependence on initial conditions.

This motivates the following definition of chaos:

Definition. (Chaotic dynamics) The dynamics on a compact set S is chaotic provided

that (i) it depends sensitively on initial conditions, and (ii) it is transitive on the set S.

The first property means that if we take two trajectories starting close together, they

will eventually diverge, and it becomes practically impossible to predict where a given initial

condition will end up. In a system that exhibits sensitive dependence on initial conditions,

we can do short-term prediction, but it is a fools game to try to predict long term. The

second property means that if we wait long enough, any trajectory on S will eventually come

arbitrarily close to any point of S. It is clear that this is a necessary condition for chaos: far

away from the butterfly the dynamics is not chaotic, as well prove shortly. We can easily

predict what happens when we start far from the butterfly: we end up on the butterfly. If

we restrict ourselves to the butterfly, prediction is no longer a trivial matter.

165

166

The butterfly-shaped set that the trajectories go to in the Lorenz system is called the

Lorenz attractor. It is our first example of a strange attractor. Thus, on the Lorenz attractor,

the Lorenz system is chaotic.

Using the techniques that weve seen thus far, what can be say about the Lorenz system?

13.1

Volume contraction

x0 = f (x).

How does a blob1 of initial conditions move? Lets pick a volume (our blob) V (t) with

boundary surface S(t). The situation is illustrated in Figure 13.3. The motion of every

single point x inside of V (t) is governed by x0 = f (x). At t + dt, we have a slightly deformed

blob at V (t + dt), with a slightly different bounding surface S(t + dt). The volume change

through a little patch of the surface dA is given by

(f n)dt dA.

Here f n is the velocity of the flow normal to the surface S(t). We only care about the

normal velocity since the tangential velocity will not contribute to the change of the volume.

Then (f n)dt is a normal distance. Thus the formula we just write down does indeed have

units of volume. Taking into account contributions from the entire blob, we get

1

Technical term.

167

Figure 13.2: A phase space plot of the same solution of the Lorenz equations.

Z

(f n)dt dA,

V (t + dt) = V (t) +

S

or

V (t + dt) V (t)

=

dt

Z

(f n) dA,

S

which gives

V (t + dt) V (t)

V (t) = lim

=

dt0

dt

0

Z

f dV,

V

where we have used the divergence theorem. Thus the volume changes at a rate given by

Z

0

V (t) =

f dV.

V

f = 1 b = ( + 1 + b) < 0.

Using our result,

0

V =

( + 1 + b)dV = ( + 1 + b)V.

V

168

n

f(x)

V(t)

S(t)

Figure 13.3: A volume of initial conditions at time t

V = V0 e(+1+b)t .

We see that the volume of a blob of initial conditions gets smaller exponentially: any initial

condition is sucked into the butterfly exponentially fast, after which the solution moves

around there forever. This leads us to believe that the Lorenz attractor should be less than

three dimensional. Indeed, if it was three dimensional, it would have a volume associated

with it, and this volume would have to decrease exponentially. We see that this does not

happen.

13.2

In order to look at a lower dimensional set-up Lorenz took snapshots of his system, kind of

in a Poincare section kind of way. He considered the z signal with certain initial conditions.

169

Figure 13.4: A typical z signal for the Lorenz system. Two successive maxima are indicated.

He then noted the height of all the maxima of this signal, constructing a long sequence

z1 , z2 , z3 , . . . .

He then plotted the points (zn , zn+1 ). In other words, he plotted the height of the n + 1-th

peak vs. the height of the n-th peak. This resulted in a figure very much like Figure 13.5.

We should be honest2 : it appears from numerical experiments that there is some thickness

to this cusp-like curve. But for simplicity, well treat it as a single curve. What can we say

about it?

Well, for starters, it appears that this is not some random collection of points. There

appears to be a relationship

zn+1 = f (zn ),

so that now were down to studying a one-dimensional map, with implications for the Lorenz

system and its attractor. The mere existence of such a relationship is bizarre: it allows us

to predict the next amplitude from the previous one! Also, there are two branches to the

graph. The left one is always above the first bisectrix, thus f 0 (z) > 1 there. The right half

is the mirror image of the left half, so there f 0 (z) < 1. Thus, for all z values we have

|f 0 (z)| > 1.

This implies immediately that the one fixed point we see exists is an unstable one. Next,

we use this to show that all periodic orbits of the Lorenz system are unstable. Indeed, if a

2

Good idea, in general. See, theres stuff you get to take away from this course beyond math!

170

z n+1

zn

Figure 13.5: The Lorenz map and its fixed point.

periodic orbit of period N exists, it satisfies

f N (z1 ) = z1 .

Its stability is governed by

d N

f (z1 ) = f 0 (z1 )f 0 (z2 ) . . . f 0 (zN ).

dz

Thus

d N

f (z1 ) = |f 0 (z1 )||f 0 (z2 )| . . . |f 0 (zN )| > 1,

dz

and all periodic orbits are unstable.

13.3

171

d 2.05.

This is consistent with our observations. The set is almost two-dimensional, but not quite.

Different measures of dimension come up with slightly different numbers, but all seem to

agree that the dimension is greater than, but close to, two.

In the next chapter, well define strange attractors properly, and well investigate some

in more detail.

172

Chapter 14

Strange attractors

Now we have seen some examples of strange attractors, either in dynamical systems (continuous time), or in difference systems (discrete time). How can we understand the fundamentals

of what underlies or causes a strange attractor? A lot of the fundamental work in this area

is due to Steven Smale, who has one of the most fundamental objects in all of dynamical

systems named after him, the Smale horseshoe. We wont fully discuss the Smale horseshoe

(see AMATH575), but we will study the simple and fundamental process that causes it.

14.1

Almost all strange attractors have built into them the stretching and folding process. It is

schematically illustrated in Figure 14.1. The new stretched and folded object could have the

same area as the original one, but that is not required.

In itself, the stretching and folding process is not chaotic. What causes it to be chaotic

is its repeated application, as shown in Figure 14.2.

Because of the stretching, initial conditions are separating exponentially fast. The folding

is then causing mixing in the phase space. Note that a vertical cross section of the limit set

might resemble a Cantor set.

14.2

Before we show the effect of stretching and folding in an actual example, lets define what

we mean by a strange attractor.

Definition. The set S is a strange attractor for the system x0 = f (x) or xn+1 = f (xn )

if (a) S is invariant under the dynamics, (b) there is an open set A containing S such that

any element of A converges to S under the dynamics. The set A is called a trapping region.

Lastly, (c) S is the smallest set with the properties (a) and (b).

It should be noted that under this rather broad definition, both stable fixed points and

limit cycles are considered strange attractors. Now, clearly, theyre not so strange. Lets

173

174

Stretching

Folding

move on to the example.

14.3

xn+1 = 2xn ifxn [0, 1/2); 2xn 1 ifxn [1/2, 1]

yn+1 = ayn ifxn [0, 1/2); ayn + 1/2 ifxn [1/2, 1].

Lets see what this map does to the unit square (x, y) [0, 1] [0, 1], for a < 1/2. It consists

of the composition of two simpler maps: (1) and (2), as follows. The map (1) takes the unit

square, squashes it to height a, and length 2. Using equations,

(xn , yn ) (2xn , ayn ).

The map (2) takes the resulting strip, leaves the first half of it, and puts the second half 1/2

above it:

(xn , yn ) (xn 1, yn + 1/2).

Both maps and their composition are illustrated in Figure 14.3.

Lets construct the invariant set of the Bakers map. Well do this graphically, in Figure 14.4. We see that in the limit we get a Cantor line set. This is a good candidate for our

strange attractor. It is definitely an invariant set, and by construction it is stable, as any

point gets squeezed closer and closer to it.

Lets calculate the box-counting dimension of this strange attractor: we have

ln N ()

,

0 ln(1/)

d = lim

175

(1)

(2)

(3)

Figure 14.2: The first three steps of the repeated application of the stretching and folding

process.

176

1/2

a

0

1/2

(1)

(2)

a

x

0

Figure 14.3: The action of the Bakers map on the unit square.

where we are using N () boxes of size . Lets do this step-by-step. At the k-th step, we

need boxes of height ak . How many of these boxes do we need? There are 2k lines, and to

cover one line we need 1/ak boxes. Thus, if = ak , then

N () = 2k ak .

Thus,

ln(2k ak )

k ln(1/ak )

k ln(2/a)

= lim

k k ln(1/a)

ln 2 ln a

= lim

k

ln a

ln(1/2)

=1+

.

ln a

d = lim

14.4. THE HENON

MAP

177

Note that as a 1/2 the dimension d 2, which we should expect. In summary, we

have found that the limit invariant set for the Bakers map is a strange attractor. The line

Cantor set clearly satisfies the defining properties for a strange attractor, and the non-integer

dimension even allows us to call it strange in every sense of the word!

14.4

The H

enon map

xn+1 = yn + 1 ax2n

,

yn+1 = bxn

where a and b are real parameters.

This map may be interpreted as the composition of three different maps: first

(x, y) (x, 1 + y ax2 ).

This map bends a strip around the x axis to a parabolic profile, not altering the x-coordinate

of any point. This accomplishes both a stretch (since parabolas increase quadratically, as

opposed to linearly), and a fold. The horizontal strip now looks like a boomerang, symmetric

with respect to the vertical axis. Next,

178

y

y

(1)

(2)

(3)

which squeezes the boomerang along the x-axis. Lastly,

(x, y) (y, x),

which switches the roles of x and y so that now the boomerang is symmetric with respect

to the horizontal axis. From the original horizontal strip to the final boomerang, we have

accomplished both a stretching a folding. This is illustrated in Figure 14.5.

A few more properties:

1. The Henon map is invertible. Indeed, its inverse is given by

xn = yn+1 /b

.

2

yn = xn+1 1 + ayn+1

/b2

14.4. THE HENON

MAP

179

Figure 14.6: The strange attractor for the Henon map and a few zooms of it. The decrease

in the density of points in the zooms is due to the limited number of points plotted.

This is in contrast with the example of the logistic map, which is not invertible. So,

in the case of the Henon map, we can always return to from where we started. That

information is never lost.

2. The Henon map is a contraction (meaning the area decreases with every step) if b

(1, 1). Indeed, the Jacobian of the map is given by J = b.

3. The Henon map has a fractal strange attractor. It is shown in Figure 14.6.

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