Dynamics of normal and anomalous diffusion in nonlinear Fokker-Planck equations

Consequences of the connection between nonlinear Fokker-Planck equations and entropic forms are investigated. A particular emphasis is given to the feature that different nonlinear Fokker-Planck equations can be arranged into classes associated with the same entropic form and its corresponding stationary state. Through numerical integration, the time evolution of the solution of nonlinear Fokker-Planck equations related to the Boltzmann-Gibbs and Tsallis entropies are analyzed. The time behavior in both stages, in a time much smaller than the one required for reaching the stationary state, as well as towards the relaxation to the stationary state, are of particular interest. In the former case, by using the concept of classes of nonlinear Fokker-Planck equations, a rich variety of physical behavior may be found, with some curious situations, like an anomalous diffusion within the class related to the Boltzmann-Gibbs entropy, as well as a normal diffusion within the class of equations related to Tsallis’ entropy. In addition to that, the relaxation towards the stationary state may present a behavior different from most of the systems studied in the literature.     

q-Gaussians in the porous-medium equation: stability and time evolution

The stability of q-Gaussian distributions as particular solutions of the linear diffusion equation and its generalized nonlinear form, , the porous-medium equation, is investigated through both numerical and analytical approaches. An analysis of the kurtosis of the distributions strongly suggests that an initial q-Gaussian, characterized by an index q_i, approaches asymptotically the final, analytic solution of the porous-medium equation, characterized by an index q, in such a way that the relaxation rule for the kurtosis evolves in time according to a q-exponential, with a relaxation index q_rel ≡q_rel(q). In some cases, particularly when one attempts to transform an infinite-variance distribution (q_i ≥ 5/3) into a finite-variance one (q < 5/3), the relaxation towards the asymptotic solution may occur very slowly in time. This fact might shed some light on the slow relaxation, for some long-range-interacting many-body Hamiltonian systems, from long-standing quasi-stationary states to the ultimate thermal equilibrium state.     

The nonlinear Fokker-Planck equation with state-dependent diffusion - a nonextensive maximum entropy approach

Nonlinear Fokker-Planck equations (e.g., the diffusion equation for porous medium) are important candidates for describing anomalous diffusion in a variety of systems. In this paper we introduce such nonlinear Fokker-Planck equations with general state-dependent diffusion, thus significantly generalizing the case of constant diffusion which has been discussed previously. An approximate maximum entropy (MaxEnt) approach based on the Tsallis nonextensive entropy is developed for the study of these equations. The MaxEnt solutions are shown to preserve the functional relation between the time derivative of the entropy and the time dependent solution. In some particular important cases of diffusion with power-law multiplicative noise, our MaxEnt scheme provides exact time dependent solutions. We also prove that the stationary solutions of the nonlinear Fokker-Planck equation with diffusion of the (generalized) Stratonovich type exhibit the Tsallis MaxEnt form. Received 26 February 1999     

Persistence in random walk in composite media

We consider a class of inhomogeneous media known as composite media that is often encountered in experimental sciences, and investigate the persistence probability of a random walker in such a system. Analytical and numerical results for the crossover time scales are obtained for a composite system with two homogeneous components and three homogeneous components respectively.     

Generalized thermostatistics based on the Sharma-Mittal entropy and escort mean values

A generalized thermostatistics is developed for an entropy measure introduced by Sharma and Mittal. A maximum-entropy scheme involving the maximization of the Sharma and Mittal entropy under appropriate constraints expressed as escort mean values is advanced. Maximum-entropy distributions exhibiting a power law behavior in the asymptotic limit are obtained. Thus, results previously derived for the Renyi entropy and the Tsallis entropy are generalized. In addition, it is shown that for almost deterministic systems among all possible composable entropies with kernels that are described by power laws the Sharma-Mittal entropy is the only entropy measure that gives rise to a thermostatistics based on escort mean values and admitting of a partition function. Received 27 June 2002 Published online 31 December 2002     

Random walk on topologically biased anisotropic percolation clusters and transport properties

Unbiased random walks are performed on topologically biased anisotropic percolation clusters (APC). Topologically biased APCs are generated using suitable anisotropic percolation models. New walk dimensions are found to characterize the anisotropic behaviour of the unbiased random walk on the biased topology. Critical properties of electro and magneto conductivities are characterized estimating respective dynamical critical exponents. A dynamical scaling theory relating dynamical and static critical exponents has been developed. The dynamical critical exponents satisfy the scaling relations within error bar.     

Nonlinear diffusion under a time dependent external force: q-maximum entropy solutions

Nonlinear diffusion equations provide useful models for a number of interesting phenomena, such as diffusion processes in porous media. We study here a family of nonlinear Fokker-Planck equations endowed both with a power-law nonlinear diffusion term and a drift term with a time dependent force linear in the spatial variable. We show that these partial differential equations exhibit exact time dependent particular solutions of the Tsallis maximum entropy (q-MaxEnt) form. These results constitute generalizations of previous ones recently discussed in the literature [C. Tsallis, D.J. Bukman, Phys. Rev. E 54, R2197 (1996)], concerning q-MaxEnt solutions to nonlinear Fokker-Planck equations with linear, time independent drift forces. We also show that the present formalism can be used to generate approximate q-MaxEnt solutions for nonlinear Fokker-Planck equations with time independent drift forces characterized by a general spatial dependence. Received 25 April 2001 and Received in final form 6 June 2001     

Canonically invariant formulation of Langevin and Fokker-Planck equations

We present a canonically invariant form for the generalized Langevin and Fokker-Planck equations. We discuss the role of constants of motion and the construction of conservative stochastic processes. Received : 24 July 1997 / Revised : 30 October 1997 / Accepted : 26 January 1998     

Nonadditive entropy: The concept and its use

The thermodynamical concept of entropy was introduced by Clausius in 1865 in order to construct the exact differential dS = Q/T , where Q is the heat transfer and the absolute temperature T its integrating factor. A few years later, in the period 1872-1877, it was shown by Boltzmann that this quantity can be expressed in terms of the probabilities associated with the microscopic configurations of the system. We refer to this fundamental connection as the Boltzmann-Gibbs (BG) entropy, namely (in its discrete form) , where k is the Boltzmann constant, and {p _i} the probabilities corresponding to the W microscopic configurations (hence ∑^W _i=1 p _i = 1 . This entropic form, further discussed by Gibbs, von Neumann and Shannon, and constituting the basis of the celebrated BG statistical mechanics, is additive. Indeed, if we consider a system composed by any two probabilistically independent subsystems A and B (i.e., , we verify that . If a system is constituted by N equal elements which are either independent or quasi-independent (i.e., not too strongly correlated, in some specific nonlocal sense), this additivity guarantees S_BG to be extensive in the thermodynamical sense, i.e., that in the N ≫ 1 limit. If, on the contrary, the correlations between the N elements are strong enough, then the extensivity of S_BG is lost, being therefore incompatible with classical thermodynamics. In such a case, the many and precious relations described in textbooks of thermodynamics become invalid. Along a line which will be shown to overcome this difficulty, and which consistently enables the generalization of BG statistical mechanics, it was proposed in 1988 the entropy . In the context of cybernetics and information theory, this and similar forms have in fact been repeatedly introduced before 1988. The entropic form S_q is, for any q 1 , nonadditive. Indeed, for two probabilistically independent subsystems, it satisfies . This form will turn out to be extensive for an important class of nonlocal correlations, if q is set equal to a special value different from unity, noted q_ent (where ent stands for entropy . In other words, for such systems, we verify that , thus legitimating the use of the classical thermodynamical relations. Standard systems, for which S_BG is extensive, obviously correspond to q _ent = 1 . Quite complex systems exist in the sense that, for them, no value of q exists such that S_q is extensive. Such systems are out of the present scope: they might need forms of entropy different from S_q, or perhaps --more plainly-- they are just not susceptible at all for some sort of thermostatistical approach. Consistently with the results associated with S_q, the q -generalizations of the Central Limit Theorem and of its extended Lévy-Gnedenko form have been achieved. These recent theorems could of course be the cause of the ubiquity of q -exponentials, q -Gaussians and related mathematical forms in natural, artificial and social systems. All of the above, as well as presently available experimental, observational and computational confirmations --in high-energy physics and elsewhere-- are briefly reviewed. Finally, we address a confusion which is quite common in the literature, namely referring to distinct physical mechanisms versus distinct regimes of a single physical mechanism. This paper is part of the Topical Issue Statistical Power Law Tails in High-Energy Phenomena.     

Load-dependent random walks on complex networks

Load-dependent random walks are used to investigate the evolution of load distribution in transportation network systems. The walkers hop to a node according to node load of the last time step. The preference of walks leads to a change in the load distribution. It changes from degree-dependent distribution in the case of non-preference walks to eigenvector-centrality-dependent distribution. By numerical simulations, it is shown that the network heterogeneity has a influence on the effect of walk preference. In the cascading failure phenomenon, an appropriate degree correlation can guarantee a low risk of cascading failures.     

Centrality measure of complex networks using biased random walks

We propose a novel centrality measure based on the dynamical properties of a biased random walk to provide a general framework for the centrality of vertex and edge in scale-free networks (SFNs). The suggested centrality unifies various centralities such as betweenness centrality (BC), load centrality (LC) and random walk centrality (RWC) when the degree, k, is relatively large. The relation between our centrality and other centralities in SFNs is clearly shown by both analytic and numerical methods. Regarding to the edge centrality, there have been few established studies in complex networks. Thus, we also provide a systematic analysis for the edge BC (LC) in SFNs and show that the distribution of edge BC satisfies a power-law. Furthermore we also show that the suggested centrality measures on real networks work very well as on the SFNs.     

Total entropy production fluctuation theorems in a nonequilibrium time-periodic steady state

We investigate the total entropy production of a Brownian particle in a driven bistable system. This system exhibits the phenomenon of stochastic resonance. We show that in the time-periodic steady state, the probability density function for the total entropy production satisfies Seifert’s integral and detailed fluctuation theorems over finite time trajectories.     

Unsupervised and semi-supervised clustering by message passing: soft-constraint affinity propagation

Soft-constraint affinity propagation (SCAP) is a new statistical-physics based clustering technique [M. Leone, Sumedha, M. Weigt, Bioinformatics 23, 2708 (2007)]. First we give the derivation of a simplified version of the algorithm and discuss possibilities of time- and memory-efficient implementations. Later we give a detailed analysis of the performance of SCAP on artificial data, showing that the algorithm efficiently unveils clustered and hierarchical data structures. We generalize the algorithm to the problem of semi-supervised clustering, where data are already partially labeled, and clustering assigns labels to previously unlabeled points. SCAP uses both the geometrical organization of the data and the available labels assigned to few points in a computationally efficient way, as is shown on artificial and biological benchmark data.     

Nonlinear mean field Fokker-Planck equations. Application to the chemotaxis of biological populations

We study a general class of nonlinear mean field Fokker-Planck equations in relation with an effective generalized thermodynamical (E.G.T.) formalism. We show that these equations describe several physical systems such as: chemotaxis of bacterial populations, Bose-Einstein condensation in the canonical ensemble, porous media, generalized Cahn-Hilliard equations, Kuramoto model, BMF model, Burgers equation, Smoluchowski-Poisson system for self-gravitating Brownian particles, Debye-Hückel theory of electrolytes, two-dimensional turbulence... In particular, we show that nonlinear mean field Fokker-Planck equations can provide generalized Keller-Segel models for the chemotaxis of biological populations. As an example, we introduce a new model of chemotaxis incorporating both effects of anomalous diffusion and exclusion principle (volume filling). Therefore, the notion of generalized thermodynamics can have applications for concrete physical systems. We also consider nonlinear mean field Fokker-Planck equations in phase space and show the passage from the generalized Kramers equation to the generalized Smoluchowski equation in a strong friction limit. Our formalism is simple and illustrated by several explicit examples corresponding to Boltzmann, Tsallis, Fermi-Dirac and Bose-Einstein entropies among others.     

Generalized Fokker-Planck equation: Derivation and exact solutions

We derive the generalized Fokker-Planck equation associated with the Langevin equation (in the Ito sense) for an overdamped particle in an external potential driven by multiplicative noise with an arbitrary distribution of the increments of the noise generating process. We explicitly consider this equation for various specific types of noises, including Poisson white noise and Lévy stable noise, and show that it reproduces all Fokker-Planck equations that are known for these noises. Exact analytical, time-dependent and stationary solutions of the generalized Fokker-Planck equation are derived and analyzed in detail for the cases of a linear, a quadratic, and a tailored potential.     

Broad distribution effects in sums of lognormal random variables

The lognormal distribution describing, e.g., exponentials of Gaussian random variables is one of the most common statistical distributions in physics. It can exhibit features of broad distributions that imply qualitative departure from the usual statistical scaling associated to narrow distributions. Approximate formulae are derived for the typical sums of lognormal random variables. The validity of these formulae is numerically checked and the physical consequences, e.g., for the current flowing through small tunnel junctions, are pointed out. Received 8 November 2002 / Received in final form 17 March 2003 Published online 7 May 2003     

Verhulst model with Lévy white noise excitation

The transient dynamics of the Verhulst model perturbed by arbitrary non-Gaussian white noise is investigated. Based on the infinitely divisible distribution of the Lévy process we study the nonlinear relaxation of the population density for three cases of white non-Gaussian noise: (i) shot noise; (ii) noise with a probability density of increments expressed in terms of Gamma function; and (iii) Cauchy stable noise. We obtain exact results for the probability distribution of the population density in all cases, and for Cauchy stable noise the exact expression of the nonlinear relaxation time is derived. Moreover starting from an initial delta function distribution, we find a transition induced by the multiplicative Lévy noise, from a trimodal probability distribution to a bimodal probability distribution in asymptotics. Finally we find a nonmonotonic behavior of the nonlinear relaxation time as a function of the Cauchy stable noise intensity.     

Non trivial overlap distributions at zero temperature

We explore the consequences of Replica Symmetry Breaking at zero temperature. We introduce a repulsive coupling between a system and its unperturbed ground state. In the Replica Symmetry Breaking scenario a finite coupling induces a non trivial overlap probability distribution among the unperturbed ground state and the one in presence of the coupling. We find a closed formula for this probability for arbitrary ultrametric trees, in terms of the parameters defining the tree. The same probability is computed in numerical simulations of a simple model with many ground states, but no ultrametricity: polymers in random media in 1+1 dimension. This gives us an idea of what violation of our formula can be expected in cases when ultrametricity does not hold. Received 16 June 2000     

Asymptotic solutions of a nonlinear diffusive equation in the framework of κ-generalized statistical mechanics

The asymptotic behavior of a nonlinear diffusive equation obtained in the framework of the κ-generalized statistical mechanics is studied. The analysis based on the classical Lie symmetry shows that the κ-Gaussian function is not a scale invariant solution of the generalized diffusive equation. Notwithstanding, several numerical simulations, with different initial conditions, show that the solutions asymptotically approach to the κ-Gaussian function. Simple argument based on a time-dependent transformation performed on the related κ-generalized Fokker-Planck equation, supports this conclusion.