Titelei Schuster·Just 09.12.

2004 16:17 Uhr Seite 1

H. G. Schuster and W. Just

Deterministic Chaos

An Introduction

Deterministic Chaos. An Introduction. Fourth, Revised and Enlarged Edition.

Heinz Georg Schuster, Wolfram Just.
Copyright © 2005 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim
ISBN: 3527-40415-5
Titelei Schuster·Just 09.12.2004 16:17 Uhr Seite 3

Heinz Georg Schuster and Wolfram Just

Deterministic Chaos
An Introduction

Fourth, Revised and Enlarged Edition

WILEY-VCH Verlag GmbH & Co. KGaA

Titelei Schuster·Just 09.12.2004 16:17 Uhr Seite 4

Authors All books published by Wiley-VCH are carefully

produced. Nevertheless, authors, editors, and publisher
Prof. Dr. H. G. Schuster do not warrant the information contained in these
Christian Albrecht University Kiel, Germany books, including this book, to be free of errors.
Department of Theoretical Physics Readers are advised to keep in mind that statements,
data, illustrations, procedural details or other items
Lecturer Wolfram Just may inadvertently be inaccurate.
Queen Mary / University of London, United Kingdom
School of Mathematical Sciences Library of Congress Card No.: applied for
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Contents

Table of Contents v

Preface ix

Color Plates xiii

1 Introduction 1

2 Experiments and Simple Models 7

2.1 Experimental Detection of Deterministic Chaos . . . . . . . . . . . . . . . 7
2.1.1 Driven Pendulum . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.1.2 Rayleigh–Bénard System in a Box . . . . . . . . . . . . . . . . . . . 9
2.1.3 Stirred Chemical Reactions . . . . . . . . . . . . . . . . . . . . . . . 11
2.1.4 Hénon–Heiles System . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.2 The Periodically Kicked Rotator . . . . . . . . . . . . . . . . . . . . . . . 16
2.2.1 Logistic Map . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.2.2 Hénon Map . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.2.3 Chirikov Map . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

3 Piecewise Linear Maps and Deterministic Chaos 19

3.1 The Bernoulli Shift . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.2 Characterization of Chaotic Motion . . . . . . . . . . . . . . . . . . . . . . 21
3.2.1 Liapunov Exponent . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
3.2.2 Invariant Measure . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
3.2.3 Correlation Function . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.3 Deterministic Diffusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29

4 Universal Behavior of Quadratic Maps 33

4.1 Parameter Dependence of the Iterates . . . . . . . . . . . . . . . . . . . . . 35
4.2 Pitchfork Bifurcation and the Doubling Transformation . . . . . . . . . . . 37
4.2.1 Pitchfork Bifurcations . . . . . . . . . . . . . . . . . . . . . . . . . 37
4.2.2 Supercycles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
4.2.3 Doubling Transformation and α . . . . . . . . . . . . . . . . . . . . 41
4.2.4 Linearized Doubling Transformation and δ . . . . . . . . . . . . . . 43
vi Contents

4.3 Self-Similarity, Universal Power Spectrum, and the Influence of External Noise 46
4.3.1 Self-Similarity in the Positions of the Cycle Elements . . . . . . . . . 46
4.3.2 Hausdorff Dimension . . . . . . . . . . . . . . . . . . . . . . . . . . 48
4.3.3 Power Spectrum . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
4.3.4 Influence of External Noise . . . . . . . . . . . . . . . . . . . . . . 52
4.4 Behavior of the Logistic Map for r∞ ≤ r . . . . . . . . . . . . . . . . . . . 55
4.4.1 Sensitive Dependence on Parameters . . . . . . . . . . . . . . . . . . 55
4.4.2 Structural Universality . . . . . . . . . . . . . . . . . . . . . . . . . 57
4.4.3 Chaotic Bands and Scaling . . . . . . . . . . . . . . . . . . . . . . . 59
4.5 Parallels between Period Doubling and Phase Transitions . . . . . . . . . . 61
4.6 Experimental Support for the Bifurcation Route . . . . . . . . . . . . . . . 64
5 The Intermittency Route to Chaos 69
5.1 Mechanisms for Intermittency . . . . . . . . . . . . . . . . . . . . . . . . . 69
5.1.1 Type-I Intermittency . . . . . . . . . . . . . . . . . . . . . . . . . . 70
5.1.2 Length of the Laminar Region . . . . . . . . . . . . . . . . . . . . . 73
5.2 Renormalization-Group Treatment of Intermittency . . . . . . . . . . . . . 75
5.3 Intermittency and 1/f-Noise . . . . . . . . . . . . . . . . . . . . . . . . . . 79
5.4 Experimental Observation of the Intermittency Route . . . . . . . . . . . . 84
5.4.1 Distribution of Laminar Lengths . . . . . . . . . . . . . . . . . . . . 84
5.4.2 Type-I Intermittency . . . . . . . . . . . . . . . . . . . . . . . . . . 86
5.4.3 Type-III Intermittency . . . . . . . . . . . . . . . . . . . . . . . . . 86
6 Strange Attractors in Dissipative Dynamical Systems 89
6.1 Introduction and Definition of Strange Attractors . . . . . . . . . . . . . . . 89
6.1.1 Baker’s Transformation . . . . . . . . . . . . . . . . . . . . . . . . . 92
6.1.2 Dissipative Hénon Map . . . . . . . . . . . . . . . . . . . . . . . . . 94
6.2 The Kolmogorov Entropy . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
6.2.1 Definition of K . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
6.2.2 Connection of K to the Liapunov Exponents . . . . . . . . . . . . . . 97
6.2.3 Average Time over which the State of a Chaotic System can be Predicted100
6.3 Characterization of the Attractor by a Measured Signal . . . . . . . . . . . 102
6.3.1 Reconstruction of the Attractor from a Time Series . . . . . . . . . . 103
6.3.2 Generalized Dimensions and Distribution of Singularities in the In-
variant Density . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
6.3.3 Generalized Entropies and Fluctuations around the K-Entropy . . . . 115
6.3.4 Kaplan–Yorke Conjecture . . . . . . . . . . . . . . . . . . . . . . . 120
6.4 Pictures of Strange Attractors and Fractal Boundaries . . . . . . . . . . . . 122
7 The Transition from Quasiperiodicity to Chaos 127
7.1 Strange Attractors and the Onset of Turbulence . . . . . . . . . . . . . . . . 127
7.1.1 Hopf Bifurcation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127
7.1.2 Landau’s Route to Turbulence . . . . . . . . . . . . . . . . . . . . . 128
7.1.3 Ruelle–Takens–Newhouse Route to Chaos . . . . . . . . . . . . . . 129
7.1.4 Possibility of Three-Frequency Quasiperiodic Orbits . . . . . . . . . 131
7.1.5 Break-up of a Two-Torus . . . . . . . . . . . . . . . . . . . . . . . . 133
 Contents vii

7.2 Universal Properties of the Transition from Quasiperiodicity to Chaos . . . . 136

7.2.1 Mode Locking and the Farey Tree . . . . . . . . . . . . . . . . . . . 139
7.2.2 Local Universality . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
7.2.3 Global Universality . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
7.3 Experiments and Circle Maps . . . . . . . . . . . . . . . . . . . . . . . . . 150
7.3.1 Driven Pendulum . . . . . . . . . . . . . . . . . . . . . . . . . . . . 151
7.3.2 Electrical Conductivity in Barium Sodium Niobate . . . . . . . . . . 153
7.3.3 Dynamics of Cardiac Cells . . . . . . . . . . . . . . . . . . . . . . . 154
7.3.4 Forced Rayleigh–Bénard Experiment . . . . . . . . . . . . . . . . . 156
7.4 Routes to Chaos . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
7.4.1 Crises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158

8 Regular and Irregular Motion in Conservative Systems 161

8.1 Coexistence of Regular and Irregular Motion . . . . . . . . . . . . . . . . . 163
8.1.1 Integrable Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
8.1.2 Perturbation Theory and Vanishing Denominators . . . . . . . . . . . 165
8.1.3 Stable Tori and KAM Theorem . . . . . . . . . . . . . . . . . . . . 166
8.1.4 Unstable Tori and Poincaré–Birkhoff Theorem . . . . . . . . . . . . 167
8.1.5 Homoclinic Points and Chaos . . . . . . . . . . . . . . . . . . . . . 170
8.1.6 Arnold Diffusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171
8.1.7 Examples of Classical Chaos . . . . . . . . . . . . . . . . . . . . . . 172
8.2 Strongly Irregular Motion and Ergodicity . . . . . . . . . . . . . . . . . . . 174
8.2.1 Cat Map . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174
8.2.2 Hierarchy of Classical Chaos . . . . . . . . . . . . . . . . . . . . . . 176
8.2.3 Three Classical K-Systems . . . . . . . . . . . . . . . . . . . . . . . 180

9 Chaos in Quantum Systems? 183

9.1 The Quantum Cat Map . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184
9.2 A Quantum Particle in a Stadium . . . . . . . . . . . . . . . . . . . . . . . 186
9.3 The Kicked Quantum Rotator . . . . . . . . . . . . . . . . . . . . . . . . . 187

10 Controlling Chaos 193

10.1 Stabilization of Unstable Orbits . . . . . . . . . . . . . . . . . . . . . . . . 194
10.2 The OGY Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197
10.3 Time-Delayed Feedback Control . . . . . . . . . . . . . . . . . . . . . . . 199
10.3.1 Rhythmic Control . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200
10.3.2 Extended Time-Delayed Feedback Control . . . . . . . . . . . . . . 201
10.3.3 Experimental Realization of Time-Delayed Feedback Control . . . . 202
10.4 Parametric Resonance from Unstable Periodic Orbits . . . . . . . . . . . . 203

11 Synchronization of Chaotic Systems 207

11.1 Identical Systems with Symmetric Coupling . . . . . . . . . . . . . . . . . 207
11.1.1 On–Off Intermittency . . . . . . . . . . . . . . . . . . . . . . . . . . 208
11.1.2 Strong vs. Weak Synchronization . . . . . . . . . . . . . . . . . . . 209
11.2 Master–Slave Configurations . . . . . . . . . . . . . . . . . . . . . . . . . 210
viii Contents

11.3 Generalized Synchronization . . . . . . . . . . . . . . . . . . . . . . . . . 212

11.3.1 Strange Nonchaotic Attractors . . . . . . . . . . . . . . . . . . . . . 212
11.4 Phase Synchronization of Chaotic Systems . . . . . . . . . . . . . . . . . . 213

12 Spatiotemporal Chaos 217

12.1 Models for Space–Time Chaos . . . . . . . . . . . . . . . . . . . . . . . . 217
12.1.1 Coupled Map Lattices . . . . . . . . . . . . . . . . . . . . . . . . . 217
12.1.2 Coupled Oscillator Models . . . . . . . . . . . . . . . . . . . . . . . 218
12.1.3 Complex Ginzburg–Landau Equation . . . . . . . . . . . . . . . . . 220
12.1.4 Kuramoto–Sivashinsky Equation . . . . . . . . . . . . . . . . . . . . 220
12.2 Characterization of Space–Time Chaos . . . . . . . . . . . . . . . . . . . . 221
12.2.1 Liapunov Spectrum . . . . . . . . . . . . . . . . . . . . . . . . . . . 222
12.2.2 Co-moving Liapunov Exponent . . . . . . . . . . . . . . . . . . . . 223
12.2.3 Chronotopic Liapunov Analysis . . . . . . . . . . . . . . . . . . . . 224
12.3 Nonlinear Nonequilibrium Space–Time Dynamics . . . . . . . . . . . . . . 225
12.3.1 Fully Developed Turbulence . . . . . . . . . . . . . . . . . . . . . . 225
12.3.2 Spatiotemporal Intermittency . . . . . . . . . . . . . . . . . . . . . . 227
12.3.3 Molecular Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . 227

Outlook 231

Appendix 233
A Derivation of the Lorenz Model . . . . . . . . . . . . . . . . . . . . . . . . 233
B Stability Analysis and the Onset of Convection and Turbulence in the Lorenz
Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
C The Schwarzian Derivative . . . . . . . . . . . . . . . . . . . . . . . . . . 236
D Renormalization of the One-Dimensional Ising Model . . . . . . . . . . . . 238
E Decimation and Path Integrals for External Noise . . . . . . . . . . . . . . 240
F Shannon’s Measure of Information . . . . . . . . . . . . . . . . . . . . . . 243
F.1 Information Capacity of a Store . . . . . . . . . . . . . . . . . . . . 243
F.2 Information Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . 244
G Period Doubling for the Conservative Hénon Map . . . . . . . . . . . . . . 245
H Unstable Periodic Orbits . . . . . . . . . . . . . . . . . . . . . . . . . . . . 249

Remarks and References 257

Index 283
Preface

Since 1994 when the last edition of the present monograph was published, the field of Nonlin-
ear Science has developed tremendously. It is nowadays no longer possible to give a compre-
hensible introduction into, and a balanced overview of the different branches within this field.
Following the general practice of the previous editions it is the scope of this fourth augmented
edition to introduce aspects of Nonlinear Dynamics at a level which is accessible to a wide
audience. We have intensified and added three new topics:
– Control of chaos is one of the most popular branches of Nonlinear Science. As a partic-
ular new aspect we have included a comprehensive discussion of time-delayed feedback
control which is widely used in applications.
– Topics in synchronization became recently quite popular from a fundamental as well as
an applied point of view. We introduce basic concepts as well as novel notions like phase
synchronization or strange nonchaotic, attractors, at an elementary level.
– Spatiotemporal chaos covers a wide range of topics, from classical fields in physics such
as hydrodynamics to current research topics in theoretical biophysics, which are com-
monly related with the nonlinear dynamics of a large number of degrees of freedom. We
introduce here basic features of relevant model systems as well as selected concepts for
quantitative analysis. But our exposition is far from complete.
The fourth edition benefits from data and figures that have been provided by several col-
leagues, in particular by R. Klages, J. Kurths, A. Pikovski, H. Posch, and M. Rosenblum. It
is a pleasure to thank E. Schöll for his kind hospitality during a stay at Berlin University of
Technology, where parts of the new edition were written. We are indebted to the publisher, in
particular to Dr. M. Bär and R. Schulz, for their continual help in preparing the manuscript.
Despite the remarkable support from various people the present edition could still contain
mistakes. We apologize in advance for such inconsistencies and we invite the reader to report
to us any deficiencies.

Kiel/London, October 2004

H. G. Schuster, W. Just
x Preface

Preface to the Third Edition

Since the last edition of this book in 1989 the field of deterministic chaos has continued to
grow. Within the wealth of new results there are three major trends.
– Unstable periodic orbits have been rediscovered as building blocks of chaotic dynamics,
especially through the work of Cvitanovich et al. (1990). They developed an expansion
of physical averages in terms of primitive cycles (see also Appendix H).
– Exploiting the concept of unstable periodic orbits, Ott, Grebogi and Yorke demonstrated
in 1990 that deterministic chaos can be controlled. They found that small time-dependent
changes in the control parameter of the system can stabilize previously unstable periodic
cycles in such a way that the system becomes nonchaotic (see Chapter 10).
– There are new theoretical and experimental results in the field of quantum chaos which
are described excellently in the new books by Gutzwiller (1990), Haake (1991) and Re-
ichl (1992).
During the preparation of the new edition, J. C. Gruel helped with the pictures of the new
chapter, Mrs. H. Heimann typed the new text, M. Poulson and R. Wengenmayr from VCH
Publishers took care of the editorial work. H. J. Stockmann and H. J. Stein contributed the
fascinating pictures of simulations of quantum chaos in microwave resonators. I would like to
thank all these people for their cooperation and patience.

Kiel, August 1994

H. G. Schuster

Preface to the Second Edition

This is a revised and updated version of the first edition, to which new sections on sensitive
parameter dependence, fat fractals, characterization of attractors by scaling indices, the Farey
tree, and the notion of global universality have been added. I thank P. C. T. de Boer, J. L.
Grant, P. Grassberger, W. Greulich, F. Kaspar, K. Pawelzik, K. Schmidt, and S. Smid for
helpful hints and remarks, and Mrs. Adlfinger and Mrs. Boffo for their patient help with the
manuscript.

Kiel, August 1987

H. G. Schuster

Preface to the First Edition

Daily experience shows that, for many physical systems, small changes in the initial condi-
tions lead to small changes in the outcome. If we drive a car and turn the steering wheel only
a little, our course will differ only slightly from that which the car would have taken without
this change. But there are cases for which the opposite of this rule is true: For a coin which is
placed on its rim, a slight touch is sufficient to determine the side on which it will fall. Thus
 Preface xi

the sequence of heads and tails which we obtain when tossing a coin exhibits an irregular or
chaotic behavior in time, because extremely small changes in the initial conditions can lead
to completely different outcomes. It has become clear in recent years, partly triggered by the
studies of nonlinear systems using high-speed computers, that a sensitive dependence on the
initial conditions, which results in a chaotic time behavior, is by no means exceptional but is
a typical property of many systems. Such behavior has, for example, been found in period-
ically stimulated cardiac cells, in electronic circuits, at the onset of turbulence in fluids and
gases, in chemical reactions, in lasers, etc. Mathematically, all nonlinear dynamical systems
with more than two degrees of freedom, i. e.,, especially many biological, meteorological or
economic models, can display chaos and, therefore, become unpredictable over longer time
scales. “Deterministic chaos” is now a very active field of research with many exciting results.
Methods have been developed to classify different types of chaos, and it has been discovered
that many systems show, as a function of an external control parameter, similar transitions
from order to chaos. This universal behavior is reminiscent of ordinary second-order phase
transitions, and the introduction of renormalization and scaling methods from statistical me-
chanics has brought new perspectives into the study of deterministic chaos. It is the aim of
this book to provide a self-contained introduction to this field from a physicist’s point of view.
The book grew out of a series of lectures, which I gave during the summer terms of 1982 and
1983 at the University of Frankfurt, and it requires no knowledge which a graduate student
in physics would not have. A glance at the table of contents shows that new concepts such
as the Kolmogorov entropy, strange attractors, etc., or new techniques such as the functional
renormalization group, are introduced at an elementary level. On the other hand, I hope that
there is enough material for research workers who want to know, for example, how deter-
ministic chaos can be distinguished experimentally from white noise, or who want to learn
how to apply their knowledge about equilibrium phase transitions to the study of (nonequilib-
rium) transitions from order to chaos. During the preparation of this book the manuscripts,
preprints and discussion, the remarks of G. Eilenberger, K. Kehr, H. Leschke, W. Selke, and
M. Schmutz were of great help. P. Berge, M. Dubois, W. Lauterborn, W. Martienssen, G.
Pfister and their coworkers supplied several, partly unpublished, pictures of their experiments.
H. O. Peitgen, P. H. Richter and their group gave permission to include some of their most
fascinating computer pictures in this book (see cover and Section 6.4). All contributions are
gratefully appreciated. Furthermore, I want to thank W. Greulich, D. Hackenbracht, M. Heise,
L. L. Hirst, R. Liebmann, I. Neil, and especially I. Procaccia for carefully reading parts of the
manuscript and for useful criticism and comments. I also acknowledge illuminating discus-
sions with V. Emery, P. Grassberger, D. Grempel, S. Grossmann, S. Fishman, and H. Horner.
It is a pleasure to thank R. Hornreich for the kind hospitality extended to me during a stay
at the Weizmann Institute, where several chapters of this book were written, with the support
of the Minerva foundation. Last but not least, I thank Mrs. Boffo and Mrs. Knolle for their
excellent assistance in preparing the illustrations and the text.

Frankfurt, October 1984

H. G. Schuster