Lecture Notes for Nonlinear Systems

Mason Porter
Jan 12 2010
Course website: http://nonlinear2010.blogspot.com-The best introductory reference to
use to help with much of hte course is the book by Strogatz.
1 Lecture 1
Introduction
I hope to convey my excitement for the subject of nonlinear science and show you some
awesome things that can happen in nonlinear systems that simply cant occur in linear
systems. I want to give a big picture overview of the eld and motivate you to learn it
further when the course is over.
Awesome things include:
chaotic dynamics (of multiple sorts)
spontaneous emergence of order in very complicated systems (e.g. synchronisation)
propagation and interaction of complicated waves (e.g., solitons)
and much more!
In the last couple of lectures I hope to cover extra topics according to student taste, so let
me know if you have any requests! You can nd snippets of many of these in Scholarpedia
(online) and in Alwynn Scotts Encyclopedia of Nonlinear Science Nonlinear science is
a highly visual subject. Whilst the course will have lots of analytical work, most research
in nonlinear science is computational - accordingly, you will want to do computational
experimentation on your own as part of this course. This is examinable, as last years
students discovered. (For some reason, they didnt seem to believe me when I told them.)
This will help you immensely in learning the material. The software package recommended
for this course is MATLAB; make sure you have this. There is a lot of free material
available online, and useful free code, e.g. pplane for planar dynamical sytems.
1
2 Bifurcations and Nonlinear Oscillations
Books: see references in course synopsis; links to two online ones (Rand, Cvitanovic) on
course website.
Nonlinear systems - systems in which superposition doesnt hold (with some exceptions -
piecewise linear systems are eectively nonlinear in many respects even though super-
position holds).
e.g. nonlinear dynamical system

x =

f(x)
where some nonlinear function of the x
i
, [x = (x
1
, ..., x
n
)] appears somewhere on the right-
hand side.The displayed equation is a continuous dynamical system. It is also called a
ow or a vector eld.
e.g. the pendulum ODE x +
g
L
sin x = 0
gives
_
x = y
y =
g
L
sin x
in dynamical system form.
One can also have nonlinear PDEs,
e.g. the reaction diusion equation x =
2
x + x
3
,
nonlinear maps (x
n+1
= x
2
n
+ 2),
nonlinear delay equation ( x = x(t 1) (x(t))
3
), etc.
As youll see (and Matlab will help), nonlinear systems exhibit a far richer class of be-
haviour than linear ones (e.g., they can be chaotic).
2.1 Two dimensional autonomous systems
_
x
1
= f
1
(x
1
, x
2
)
x
2
= f
2
(x
1
, x
2
)
(1)
Autonomous means that there is no explicit time-dependence in RHS.
Equilibrium points satisfy x
1
= x
2
= 0
we can linearize near such points to examine stability
suppose (x

1
, x

2
) is an equilibrium f
1
(x

1
, x

2
) = f
2
(x

1
, x

2
) = 0
let
_
u
1
= x
1
x

1
u
2
= x
2
x

2
give a small disturbance (u
1
, u
2
) to the equilibrium
plug into (1) to get:
2
u
1
= x
1
= f
1
(x

1
+ u
1
, x

2
+ u
2
) (then use Taylor expansion)
= f
1
(x

1
, x

2
) + u
1
f
1
x
1
(x

1
, x

2
) + u
2
f
1
x
2
(x

1
, x

2
) +
quadratic terms and above
..
O(u
2
1
, u
2
2
, u
1
u
2
)
. .
small
= u
1
f
1
x
1
+ u
2
f
1
x
2
+ O(u
2
1
, u
2
2
, u
1
u
2
)
similarly, u
2
= u
1
f
2
x
1
+ u
2
f
2
x
2
+ O(u
2
1
, u
2
2
, u
1
u
2
)
the linearized system is
_
u
1
u
2
_
=
_
_
_
f
1
x
1
f
1
x
2
f
2
x
1
f
2
x
2
_
_
_
. .
Jacobian J
_
u
1
u
2
_
2.2 Stability
Linear stability: near any equilibrium, (x

1
, x

2
), you compute the eigenvalue of J(x

1
, x

2
)
and examine their signs (possibly as a function of system parameters). Review the notes
from Part A to recall. Briey, Re < 0 asymptotically stable, Re > 0 unstable,
Re = 0 neutrally (or marginally) stable. Also, C/R there is some rotation.
2.3 Conservative Systems
Consider a particle of mass m that moves along the x-axis with nonlinear restoring
force F(x)
equation of motion: m x = F(x) (assuming F is independent of x, t, i.e. there is
no damping or friction of any kind, no time-dependence in the driving force) =
energy is conserved; letting F =
dV
dx
(V is potential energy), you can show that

E = 0, where E =
1
2
mV
2
+ V (x)
more generally (except in a case called non-holonomic - think of bicycles - which we
wont study), this is an example of a Hamiltonian System, H(q, p) = constant,
whose equations of motion are
_

_
q = +
H
p
p =
H
q
(2)
3
such systems cannot have attracting equilibria (show this at home)
e.g. Dung Oscillator
particle of mass m moving in a double well potential V (x) =
1
2
x
2
+
1
4
x
4
; lets
nd and classify all equilibria and then plot the phase portrait
F(x) =
dV
dx
= x x
3
, so x = x x
3

_
x = y
y = x x
3
(3)
equilibria at x = y = 0 (0, 0), (1, 0)
J =
_
0 1
1 3x
2
0
_
J(0, 0) =
_
0 1
1 0
_
det |J I| = det
_
1
1
_
= 0

2
1 = 0 the eigenvalues are = 1
saddle (unstable)
J(1, 0) =
_
0 1
2 0
_
det |J I| = det
_
1
2
_
= 0

2
+ 2 = 0 = i

2
centre
the centre could be destroyed in general by nonlinear perturbations but the conser-
vative nature of (3) prevents it here
in fact, our phase portrait is described by orbits given by
E =
1
2
y
2

1
2
x
2
+
1
4
x
4
= constant
4
The unstable and stable manifolds connect to form 2 homoclinic orbits (connects an
equilibrium to itself); heteroclinic orbits connect two dierent equilibria; homoclinic
and heteroclinic orbits are common in conservative systems but rare in other dynamical
systems.
Theorem (nonlinear centre for conservative systems):
Consider

x =

f(x), where x = (x, y) R
2
and

f is continuously dierentiable;
suppose a conserved quantity E(x) and that x

is an isolated equilibrium (i.e., no

other equilibrium in a neighbourhood surrounding x

). If x

is a local minimum or
maximum of E, then all trajectories suciently close to x

are closed.
Proof: think about this at home and see references if desired.
Remark: a similar result for reversible systems
e.g.,
_
x = f(x, y)
y = g(x, y)
such that
f(x, y) = f(x, y)
g(x, y) = g(x, y)
(4)
(this is invariant under (t, y) (t, y);
m x = F(x) is an example of something of this form).
Non-conservative oscillators
e.g. pendulum with friction, Lienard systems (e.g. Van der Pol), typical biological
oscillations, etc.
5
Def: a limit cycle is an isolated closed trajectory (the closed orbits we saw in
conservative systems were non-isolated; symmetry imposed a whole family of them).
they can be stable, unstable, or half-stable.
e.g.
_
r = r(1 r
2
)

= 1
(5)
can analyze as a 1D dynamical system in r
r = 0 r

= 0, r

= 1
. .
equilibria
(r 0 because r=radius)
e.g. Van der Pol Oscillator
x + (x
2
1) x + x = 0, 0 is a parameter (can have dierent types of dynamics
for dierent values of );
arose historically in connection with nonlinear electric circuits used in rst radios
(similar equations now show up in places like mathematical biology)
6
= 0 simple harmonic oscillator
however, we have nonlinear damping:
(x
2
1) x gives positive damping for |x| > 1 and negative damping for |x| < 1;
this balances to produce a self-sustained oscillation (a limit cycle);
2.4 Sometimes one can rule out closed orbits:
e.g. gradient systems

x = V for some potential V dont have closed orbits
(sketch of proof: suppose one; see what happens after one circuit and obtain
contradiction)
e.g. Liapunov function; consider

x =

f(x) with equilibrium at x

. If we nd a
Liapunov function V (x) (which is real-valued and C
1
continuously dierentiable)
such that
(1) V (x) > 0 x = x

, V (x

) = 0 (i.e. V is positive denite)

(2)

V < 0 x = x

then x

is globally asymptotically stable (all trajectories approach it as t ),

so the system cant have closed orbits. All solutions move monotonically down to-
wards x

because

V always strictly negative except at x

. (see Jordan & Smith for

proof of this result)
Dulacs criterion (from Part A, though with a more correct name for it): let

x =

f(x) be C
1
and dened on a simply connected region R R
2
; if a C
1
, real-
valued g(x) such that

(g

x) has one sign throughout R, then closed orbits lying

entirely in R.
Poincare-Bendixson Theorem
(note: can be used to show that 2D dynamical systems cant be chaotic)
Suppose that:
(1) R R
2
is closed and bounded
(2)

x =

f(x) is C

on an open set containing R

(3) R does not contain equilibria
(4) a trajectory C that is conned in R (it starts in R and stays there t > 0).
Then either C is a closed orbit or it spirals towards a closed orbit as t , (for
proof, see, e.g, the book by Perko; - this is the rigorous version of the closed orbit
getting trapped in the region)
(note: t t gives us t < 0 for the unstable case). (4) is the tough condition
to satisfy; (1)-(3) are easy to check.
7
e.g.
_
r = r(1 r
2
) + r cos

= 1
(6)
= 0 a stable limit cycle at r = 1 (see earlier example), well show that theres
still a closed orbit for suciently small > 0.
we seek concentric circles of radii r
min
and r
max
such that r < 0 on r
max
and r > 0
on r
min
then the annulus 0 < r
min
r < r
max
is our desiredtrapping region R.

> 0 no equilibria in R, so P-B guarantees a stable closed orbit if we nd r
min
and r
max
to nd r
min
, we require r = r(1 r
2
) + r cos > 0
cos 1, so r
min
= 1 r
2
> 0 works as long as r
min
<

1 (in fact, closed

orbits can exist for 1, but we cant use this argument to get them; must closed
orbits exist > 0?)
(r
min
=

1 will actually work, but more careful reasoning would then be re-
quired to prove it)
similarly, we need r
max
>

1
Lienard Systems (generalization of VdP)
x + f(x) x + g(x) = 0 (7) Lienards equation
mechanical interpretation (though this isnt how the equation is used): equation of
motion for a unit mass subject to a nonlinear damping force, f(x) x, and a restoring
force, g(x),
can be written as
_
x = y
y = g(x) f(x)y
(8)
Lienards Theorem: suppose that f(x) and g(x) satisfy
(1) f(x), g(x) are C
1
(2) g(x) = g(x) x
(3) g(x) > 0 for x > 0
(4) f(x) = f(x) x
(5) the (odd) function F(x)
_
x
0
f(u)du has exactly one positive zero at x = a, is
negative for 0 < x < a, is positive and non-decreasing for x > a, and F(x) as
x .
Then (8) has a unique, stable limit cycle surrounding the origin.
(2, 3) restoring force acts like ordinary spring and reduces displacement
assumption on f negative damping for small |x| and positive damping on large |x|
8
for a proof, see Jordan & Smith or Perko
e.g. Show that VdP has a unique, stable limit cycle
x + (x
2
1) x + x = 0 has f(x) = (x
2
1), g(x) = x, so conditions (1)-(4) are
satised; to check (5), observe F(x) = (
1
3
x
3
x) =
1
3
x(x
2
3), so we satisfy (5)
with a =

3
VdP has a unique, stable limit cycle
9