Measuring nonstationarity by analyzing the loss of recurrence in dynamical systems

We propose a measure for nonstationarity which is based on the analysis of distributions of temporal distances of neighboring vectors in state space. As an extension of previous techniques our method does not require a partitioning of the time series. Moreover, the deviation of mean recurrence times from frequency distributions that would be expected under stationary conditions allows us to estimate the statistical significance of the method.     

Stationary Waves for the Discrete Boltzmann Equation in the Half Space with Reflective Boundaries

The present paper is concerned with stationary solutions for discrete velocity models of the Boltzmann equation with reflective boundary condition in the first half space. We obtain a sufficient condition that guarantees the existence and the uniqueness of stationary solutions satisfying the reflective boundary condition as well as the spatially asymptotic condition given by a Maxwellian state. First, the sufficient condition is obtained for the linearized system. Then, this result is applied to prove the existence theorem for the nonlinear equation through the contraction mapping principle. Also, it is shown that the stationary solution approaches the asymptotic Maxwellian state exponentially as the spatial variable tends to infinity. Moreover, we show the time asymptotic stability of the stationary solutions. In the proof, we employ the standard energy method to obtain a priori estimates for nonstationary solutions. The exponential convergence at the spatial asymptotic state of the stationary solutions gives essential information to handle some error terms. Then we discuss some concrete models of the Boltzmann type as an application of our general theory. Received: 7 July 1999 / Accepted: 3 November 1999     

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.     

Generic entanglement can be generated efficiently

We find that generic entanglement is physical, in the sense that it can be generated in polynomial time from two-qubit gates picked at random. We prove as the main result that such a process generates the average entanglement of the uniform (unitarily invariant) measure in at most O(N3) steps for N qubits. This is despite an exponentially growing number of such gates being necessary for generating that measure fully on the state space. Numerics furthermore show a variation cutoff allowing one to associate a specific time with the achievement of the uniform measure entanglement distribution. Various extensions of this work are discussed. The results are relevant to entanglement theory and to protocols that assume generic entanglement can be achieved efficiently.     

Diffusion,peer pressure,and tailed distributions

We present a general, physically motivated nonlinear and nonlocal advection equation in which the diffusion of interacting random walkers competes with a local drift arising from a kind of peer pressure. We show, using a mapping to an integrable dynamical system, that on varying a parameter the steady-state behavior undergoes a transition from the standard diffusive behavior to a localized stationary state characterized by a tailed distribution. Finally, we show that recent empirical laws on economic growth can be explained as a collective phenomenon due to peer pressure interaction.     

One-Dimensional Steady Transport by Molecular Dynamics Simulation：Non-Boltzmann Position Distribution and Non-Arrhenius Dynamical Behavior

A non-equilibrium steady state can be characterized by a nonzero but stationary flux driven by a static external force. Under a weak external force, the drift velocity is difficult to detect because the drift motion is feeble and submerged in the intense thermal diffusion. In this article, we employ an accurate method in molecular dynamics simulation to determine the drift velocity of a particle driven by a weak external force in a one-dimensional periodic potential. With the calculated drift velocity, we found that the mobility and diffusion of the particle obey the Einstein relation, whereas their temperature dependences deviate from the Arrhenius law. A microscopic hopping mechanism was proposed to explain the non-Arrhenius behavior. Moreover, the position distribution of the particle in the potential well was found to deviate from the Boltzmann equation in a non-equilibrium steady state. The non-Boltzmann behavior may be attributed to the thermostat which introduces an effective "viscous" drag opposite to the drift direction of the particle.     

On the Continuity of the SRB Entropy for Endomorphisms

We consider classes of dynamical systems admitting Markov induced maps. Under general assumptions, which in particular guarantee the existence of SRB measures, we prove that the entropy of the SRB measure varies continuously with the dynamics. We apply our result to a vast class of non-uniformly expanding maps of a compact manifold and prove the continuity of the entropy of the SRB measure. In particular, we show that the SRB entropy of Viana maps varies continuously with the map.     

Sinai-Ruelle-Bowen Measures for Lattice Dynamical Systems

For weakly coupled expanding maps on the unit circle, Bricmont and Kupiainen showed that the Sinai-Ruelle-Bowen (SRB) measure exists as a Gibbs state. Via thermodynamic formalism, we prove that this SRB measure is indeed the unique equilibrium state for a Hölder continuous potential function on the infinite dimensional phase space. For a more general class of lattice systems that are small perturbations of the uncoupled map lattice, we present the variational principle, the entropy formula, and the formula for the potential function for the SRB measures. For coupled map lattices with nearest neighbor interactions, we give an explicit formula of the potential function for the SRB measure and consequently, obtain the entropy in terms of coupling parameters.     

Comments on the canonical measure in cosmology

In the mini-superspace approximation to cosmology, the canonical measure can be used to compute probabilities when a cutoff is introduced in the phase space to regularize the divergent measure. However, the region initially constrained by a simple cutoff evolves non-trivially under the Hamiltonian flow. We determine the deformation of the regularized phase space along the orbits when a cutoff is introduced for the scale factor of the universe or for the Hubble parameter. In the former case, we find that the cutoff for the scale factor varies in the phase space and effectively decreases as one evolves backwards in time. In the later case, we calculate the probability of slow-roll inflation in a chaotic model with a massive scalar, which turns out to be cutoff dependent but not exponentially suppressed.     

Equivalence conditions for classes of linear and non-linear distributed parameter systems

Equivalence of certain classes of second-order non-linear distributed parameter systems and corresponding linear third-order systems is established through a differential transformation technique. As linear systems are amenable to analysis through existing techniques, this study is expected to offer a method of tackling certain classes of non-linear problems which may otherwise prove to be formidable in nature.     

Measurements of the Drift Current Oscillations in Thrusters with Closed Electron Drift

An induction method used to measure the drift current in thrusters with anode layer (TAL) has been applied for measuring the integral distortion of the magnetic field in the channel of a low-power stationary plasma thruster (SPT). Experiments are described in which the integral level of magnetic field oscillations in the narrow channel of a thruster with closed electron drift was determined. Experimental data show that when a discharge is ignited in an SPT, the drift current completely demagnetizes the discharge gap (the ratio between the self-magnetic and external fields reaches 90%). The same effect has been observed in TALs. In thrusters of both types, the total discharge current is one and a half order of magnitude higher than that typical of the stationary discharge and the plasma glow is observed not only inside but also outside the discharge channel. Drift current oscillations have been measured under steady-state conditions. It has been shown, in particular, that when the oscillations are intense (in weak magnetic fields on the order of 100 G), the drift-current-induced distortion of the magnetic field may reach 33%. Under rated operating conditions (200 G), the distortion does not exceed 8%. Beyond optimal operating conditions, the type of oscillation in SPTs and TALs and their performances differ. For example, in SPTs, a critical magnetic field at which the “turbulent” regime sets in is absent. In general, the discharge current is weakly dependent on the magnetic field.     

Noise suppression by noise

We have analyzed the interplay between an externally added noise and the intrinsic noise of systems that relax fast towards a stationary state, and found that increasing the intensity of the external noise can reduce the total noise of the system. We have established a general criterion for the appearance of this phenomenon and discussed two examples in detail.     

On YM2 measures and area-preserving diffeomorphisms

For a given gauge group and compact Riemannian two-manifold, it is known that the associated Yang-Mills measure can be defined directly as a finitely additive measure on the space of connections, and this finitely additive measure is invariant with respect to SDiff, the group of all area-preserving diffeomorphisms of the surface. The first question we address is whether this symmetry essentially characterizes the projection of the Yang-Mills measure to the space of gauge equivalence classes. The proper formulation of this question entails the construction of an SDiff-equivariant equivariant completion of the space of continuous connections, such that the projection of the Yang-Mills measure to the space of gauge equivalence classes has a countably additive extension. We also consider the coupling of the Yang-Mills measure to determinants of Dirac operators. The basic problems are to prove that the coupled measure is absolutely continuous with respect to the background Yang-Mills measure, to find a reasonable formula for the Radon-Nikodym derivative, and to analyze the action of SDiff.     

Value-at-risk prediction using context modeling

In financial market risk measurement, Value-at-Risk (VaR) techniques have proven to be a very useful and popular tool. Unfortunately, most VaR estimation models suffer from major drawbacks: the lognormal (Gaussian) modeling of the returns does not take into account the observed fat tail distribution and the non-stationarity of the financial instruments severely limits the efficiency of the VaR predictions. In this paper, we present a new approach to VaR estimation which is based on ideas from the field of information theory and lossless data compression. More specifically, the technique of context modeling is applied to estimate the VaR by conditioning the probability density function on the present context. Tree-structured vector quantization is applied to partition the multi-dimensional state space of both macroeconomic and microeconomic priors into an increasing but limited number of context classes. Each class can be interpreted as a state of aggregation with its own statistical and dynamic behavior, or as a random walk with its own drift and step size. Results on the US S&P500 index, obtained using several evaluation methods, show the strong potential of this approach and prove that it can be applied successfully for, amongst other useful applications, VaR and volatility prediction. The October 1997 crash is indicated in time. Received 2 September 2000 and Received in final form 12 October 2000     

Locality in quantum and Markov dynamics on lattices and networks

We consider gapped systems governed by either quantum or Markov dynamics, with the low-lying states below the gap being approximately degenerate. For a broad class of dynamics, we prove that ground or stationary state correlation functions can be written as a piece decaying exponentially in space plus a term set by matrix elements between the low-lying states. The key to the proof is a local approximation to the negative energy, or annihilation, part of an operator in a gapped system. Applications to numerical simulation of quantum systems and to networks are discussed.     

Existence of a Stationary Wave for the Discrete Boltzmann Equation in the Half Space

We study the existence and the uniqueness of stationary solutions for discrete velocity models of the Boltzmann equation in the first half space. We obtain a sufficient condition that guarantees the existence and the uniqueness of solutions connecting the given boundary data and the Maxwellian state at a spatially asymptotic point. First, a sufficient condition is obtained for the linearized system. Then this result as well as the contraction mapping principle is applied to prove the existence theorem for the nonlinear equation. Also, we show that the stationary wave approaches the Maxwellian state exponentially at a spatially asymptotic point. We also discuss some concrete models of Boltzmann type as an application of our general theory. Here, it turns out that our sufficient condition is general enough to cover many concrete models. Received: 7 December 1998 / Accepted: 27 April 1999     

A new spiky soliton and an explosive mode of the nonlinear driftwave equation

A new type of nonlinear wave modes which occurs in the electrostatic drift waves in an inhomogeneous magnetized plasma is presented. The author predicts the existence of a new type of spiky solitary wave and an explosive mode with a negative potential as stationary solutions of this equation. These solutions are a consequence of a density gradient and not connected with a temperature gradient. These new nonlinear wave solutions appear to make a step forward in the general scheme of nonlinear normal modes for plasma waves. Using these nonlinear wave modes, the author can explain the solitary structure and the explosive event concerning nonlinear drift waves propagating in space     

Bifurcations from regular quotient networks: A first insight

We consider regular (identical-edge identical-node) networks whose cells can be grouped into classes by an equivalence relation. The identification of cells in the same class determines a new network — the quotient network. In terms of the dynamics, this corresponds to restricting the coupled cell systems associated with a network to flow-invariant subspaces given by equality of certain cell coordinates. Assuming a bifurcation occurs for a coupled cell system restricted to the quotient network, we ask how that bifurcation lifts to the overall space. Surprisingly, for certain networks, new branches of solutions occur besides the ones that occur in the quotient network. To investigate this phenomenon we develop a systematic method that enumerates all networks with a given quotient. We also prove necessary conditions for the existence of solution branches not predicted by the quotient. We then apply our method to two particular quotient networks; namely, two- and three-cell bidirectional rings. We show there are no additional bifurcating solution branches when the quotient network is a two-cell bidirectional ring. However, two of the 12 five-cell networks that have the three-cell bidirectional ring as a quotient network exhibit bifurcating solutions that do not occur in the quotient itself. Thus, network architecture sometimes forces the existence of bifurcating branches in addition to the ones determined by the quotient.     

A general framework for non-equilibrium phenomena: the master equation and its formal consequences

We consider non-equilibrium systems defined by a state space, and by a stochastic dynamics and its stationary state. The dynamics need not satisfy detailed balance. In this abstract framework we do the following: (1) define and analyze “relative entropy”, (2) study dissipation in the relaxation to the stationary state, as well as the extra dissipation to maintain the system in its stationary state against some detailed balance dynamics, (3) extend the fluctuation-dissipation theorem and the Onsager relations, and (4) give a formula for the stationary state in terms of a summation over trees.     

Condensation in the Inclusion Process and Related Models

We study condensation in several particle systems related to the inclusion process. For an asymmetric one-dimensional version with closed boundary conditions and drift to the right, we show that all but a finite number of particles condense on the right-most site. This is extended to a general result for independent random variables with different tails, where condensation occurs for the index (site) with the heaviest tail, generalizing also previous results for zero-range processes. For inclusion processes with homogeneous stationary measures we establish condensation in the limit of vanishing diffusion strength in the dynamics, and give several details about how the limit is approached for finite and infinite systems. Finally, we consider a continuous model dual to the inclusion process, the so-called Brownian energy process, and prove similar condensation results.