Chaotic Dynamics

Lecturer: Dr. Gaogao Dong

Faculty of Science
Jiangsu University

First Semester, 2015

1
You should know about…

 Calculus
 Linear algebra
 Differential equations (ODE)
 MATLAB Programming
 Paper reading

2
Introduction to this course
 1. Examples
 2. origin of chaos
 3. some famous models
 4. recent advancement
 5. journal on chaos

3
Examples

1. Weather forecast
 Sandstorm
 Smog
 Typhoon

Can we forecast the

weather for a long term?
For Next month? Next
year?
4
Exampes

2. Price of stocks
When facing a huge set of data, can we make a
prediction on how it goes based on its historical data?

Buy OR SALE?
This is a problem!

5
First discovery of Chaos- Lorenz
System
 In 1963, E. Lorenz developed a Mathematical model for
atmospheric convection.
 Extreme sensitivity on initial condition “Chaos”

sigma=10,ro=28,beta=8/3

6
Lorenz Center @ MIT

E. Lorenz, MIT
(1917-2008)

7
Butterfly effect

Butterfly effect
Firstly proposed by Edward
Lorenz, “a butterfly in Brazil flaps
its wings and a few weeks later, it
causes a hurricane in Texas”.

By selecting slightly different value

of initial conditions, the deviation
between their solutions diverges
exponentially rapidly.

8
Implication of Chaos

 Extreme sensitivity on
initial conditions

Note: One false step will make a great

difference.
Reconsider before move! ^_^

9
On weather forecasting
 In weather forecast, long-term predictions are
impossible.
 Uncertainties in weather modeling
 Slender errors in weather data collecting
 Errors in computer computing

However, based on powerful computer and subtle

mathematical model, we do predict the weather for a few
days.

Then, how about predicting the stock market? Good question!

10
Man-made chaos

 Chua’s chaotic circuit

Leon O. Chua (BC Berkeley) invented an el
ectric circuit which may exhibits chaos, one
of the first and most influential chaotic mode
l used today.

11
Chua’s chaotic system
 Simplified differential model

OR

Oscilloscope
or Matlab

12
Rapid Advancement

 Chaos controlling is achieved.

 OGY method for controlling chaos to an unstable
orbits. (University of Maryland)

 Chaos synchronization is made possible

 Drive-response formulation for synchronizing two
chaotic systems

13
Late 1990s
(Ron Chen, CityU HK)
 Another chaotic system
 Chen’s system via
chaotification method

a=5,b=3,c=28

14
What can we do by using
chaos?
 Chaos-based encryption
Encrypt the data with designed chaos-based algorithms.
One can only read it with correct key.

15
Chaotic Electrocardiogram
(ECG) for individual
identification
 Chaotic ECG signal can be used for

individual identification. (like finger prints.)

C. K. Chen et al, National Chung Hsing University, Taiwan

16
Currently…
 Interacting systems,
esp. networked chaotic
systems

 How the dynamics evolves

with time?
 Network structure affects
the dynamics?
 Chaos synchronization
exists or not?

17
Models are expected

 Mathematical Models are required for

depicting the movement and evolution of an
object, such as an oscillator, a car, a robot,
human’s brain…

 When nonlinear systems are concerned,

chaos will inevitably occur.

 For chaos, GOOD OR BAD (harm)?

18
Decent journals on chaos

 Nonlinear dynamics and Chaos (recommend book)

 PNAS, Nature, Sciences…

 Chaos, Physical Review E, Physical Review Letters…
(American Physics Society)
 Physica A, Physica D,… (Elsevier)
 Nonlinearity… IOP
 Journals by IEEE…
 Hope you can publish one on one of them. ^_^

19
Chapter 1
Nonlinearity

Lecturer: Dr. Gaogao Dong

20
Nonlinear system

1. Linear example:
Y=k*X+b
where k is the slope of
the line, and b is the
intercept on y axis.

Properties:
f(x+y)=f(x)+f(y)
f(a*x)=a*f(x)

21
2. A linear ODE: d 2x
2
 x
dt

x1  sin( t ), x2   cos(t )
Its solutions are

Lettingx  x1 (t )  x2 (t )  sin( t )  cos(t )

It yields that
d 2x d 2 x1 d 2 x2
2
 2  2
dt dt dt
 ( x1 (t )  x2 (t ))
  x(t )

22
 3. A nonlinear case
y  x2
cannot satisfy the above properties for linear case.

For an ODE with nonlinear terms, it is usually hard to

study its analytical solution. It is possible to analyze
it by using numerical method or via qualitative way.

23
Where to start?
A=1.1

 The discrete-map system

x ( t  1)  Ax( t )
is a special form of the general
form

x ( t  1)  f ( p, x ( t )) A=0.9

When A=1.1 (or A=0.9), it gives

two number sequences (Orbit or
trajectory)

24
A well-known map
 Logistic map

A simplified model is proposed for

the change the populations of a
species in an isolated region with
limited resources. Pierre F. Verhulst
y n  1  ry n (1  y n ) (1801-1849)

0  yn  1 is the population.

Question: starting from a random number between 0 and 1,

can the population eventually be stable?

25
The final state

 When 0<r<1,

yn  y f  0

When 1<r<3
1
yn  y f  1
r

26
When r keep increasing
period-2
 When 3<r<3.4494897, the final
state jump between two values
alternately.
(called period-2)

When r=3.55, period-4 occurs. period-4

As r increases, period-8,period-
16,… can be observed.

27
When r>3.5699456
 The orbit exhibits irregular and non-periodic
phenomenon, indicating chaos.
e.g. when r=3.8, the map shows butterfly
effect.

X1=0.1 (blue)

X1=0.10001 (red)

r=3.8

28
When r changes, a dynamic
process can be observed

29
Two-dimensional discrete
map
Two species coexist and affect mutually. Their
evolution may be depicted by using 2-d map.
 x n1  f ( x n , yn )

 y n 1  g( x n , y n )

For its fixed point ( x f , y f ), one has

 x n1  x n

 y n1  y n

30
Stability Analysis
Letting  n  ( x n , y n )  ( x f , y f )

It follows that
 n1  ( x n1 , y n1 )  ( x f , y f )

 J ( x f , y f ) ( xn , yn )  ( x f , y f ) 
 J ( x f , y f ) n

 f x f fy 
With J ( x f , y f )    is the Jocobian
matrix.   g  x  g y 

31
Stability condition

If the below condition holds

 n1   n ,

The fixed point ( x f , y f ) is guaranteed to be stable.

It follows that
1  1, 2  1,

1 , 2 are the eigen-values of the Jacobian matrix J.

32
Different cases for fixed
points
 1. unstable node: 1  1, 2  1,

 2. saddle: 1  1, 2  1,

 3. stable node: 1  1, 2  1,

 4. unstable focus: 1  2  1,

 5. stable focus: 1  2  1,

 6. center: 1  2  1,

NOTE: Cases 4 and 5 implies that the two eigen-values are a pair of
complex conjugate numbers.

33
Henon map
 Michael Henon (1931-2013) proposed a simple 2-D map

Under specified parameters a=1.4,

b=0.3, its orbit forms the right figure.

Henon attractor

34
Fixed Point
By setting  xn  1  axn2  yn

 yn  bxn
one obtains the following fixed points
 b  1  (b  1) 2  4a
x f 
 2a
 y  bx
 f f
 xxnn1 xn 1
   2axn 1
And the Jacobian matrix is J   yn 1 yn
 
 x yn 1   b 0
 n yn 
The eigenvalues at the fixed points are

  ax f  a 2 x 2f  b .

35
Fixed Points and their stbility
(b  1)2 3(b  1)2
Letting a0   , a1 
4 4

When b=0.3, a0  0.1225, a1  0.3675.

When a  a0 , the two fixed points are real.

(1) For fixed point X2, its eigenvalues satisfies 1  1, 2  1.

X2 is always unstable saddle.

1  1.
, 2  1.
a itsa1eigenvalues
(2) For fixed point X1, one of
the other one satisfies
a  a1 , 2  1.
X1 is stabe when a  a1 , and becomes unstable when a  a1 .

36
Period-doubling to chaos
 When a  a1 , a period-double process occurs and leads to chaos.

37
Chapter 2. Nonlinear system
and stability theory
 Autonomous system

Let x  y  x
  y Let z  ( x  , y  )
x  f ( x , x )    z  g ( z )
 y  f ( x , y )

 Non-autonomous system
 f ( x , z ) Let y  ( x  , z )
Let z  t  x

x  f ( x , t )    y  f ( y )
 z  1

38
General form for Nonlinear
system
Consider the following general form

x  f ( x )

 x1   f 1 ( x1 , x 2 ,  , x n ) 
   
 x2   f 2 ( x1 , x 2 ,  , x n ) 
where x   , f   .
 
   
x   f ( x , x , , x ) 
 n  n 1 2 n 

The space spanned by the the state variable xi is called Phase space OR
State space. The equation is called State equation.

39
Equilibrium points or steady states

40
For most nonlinear systems, it is hard to solve them by
using analytical method. In this situation, one has to find
its numerical solution by using computer.

Usually, the solutions will be classified as the below:

• The trajectory approaches a fixed points
(Convergence).
• The trajectory diverges and approaches infinity
(Divergence).
• The state is changing in a bounded region, and
does not go to any fixed points or infinity
(Oscillation).

41
The phase portraits: 3 Cases
1. convergence

2. divergence

3. oscillation

42
History of Lyapunov stability
theory

43
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45
46
47
48
49
50
51
Some Related Concepts

Examples: V1  x12  2 x22 , V2  ( x1  x2 ) 2 ,

V3  V1 , V4  V2

52
Definition of Lyapunov
function

53
Lyapunov Direct Method

54
55
Lyapunov Direct Method

56
57
Remark:

58
How to judge unstability
 For autonomous system,
X  f ( X ), t  0
where f (0)  0 . If there exists a scalar function V ( X )
with continuous 1st-order derivative, and V (0)  0 . For
any X  0 , the following conditions hold
(1) V ( X ) is positive definite
(2) V ( X ) is positive definite
Then, the system is unstable at Xe=0.

59
Example
  1 1
 E.g. 1: For the system X    X
 1 1
Judge its stability by using the Lyapunov theorem.
Solution:  x 1  x1  x2 Its equilibrium is X e  0.

 x 2   x1  x2

Take a scalar function

V ( X )  x12  x22  0
V ( X )  2 x1 x 1  2 x2 x 2  2 x1 ( x1  x2 )  2 x2 (  x1  x2 )  2( x12  x22 )
X  0 , V (X )
For any is positive definite, implying the
system is unstable.

60
Lyapunov Indirect Method
 The main idea is to linearize the nonlinear system near the steady
state, and judge its stability based on linear system theory.

 By using the Taylor’s expansion, it follows that

X  f ( X , t )  f ( X e , t )  Xf ( X  X e )  R ( X )

Letting X  X  X e , one has X 

f
 X X  X  A  X
e

where A is the Jacobian matrix.

61
Stability of Nonlinear system

 Depending on the Jacobian matrix A

Case I: the real part of all eigenvalues of A are negative, the system is
asymptotically stable near the equilibrium point Xe.

Case II: there is at least one eigenvalue of A having positive real part, the
system is unstable near the equilibrium point Xe.

Case III: if A has at least one eigenvalue with zero real part, the system, the
stability of the system is dependent on R(x), and this method fails.

62
Examples
 x 1  x1  x1 x2
E.g.1 Nonlinear system 
 x 2   x2  x1 x2
Judge its stability near the equilibrium points.
Solution:
Step 1: find its equilibrium points
 x 1  x1  x1 x2  0  0 1
  X e1   , X e 2   
 x 2   x2  x1 x2  0  0 1
Step 2: linearization near Xe1
 xf11 f1
  1  x2  x1  1 0 
A f
  f 2 x2
      
X X  X  x f 2   1  x1  X  X  0  1
 1  X  X e 1  x2
e1
x2 e1

Hence, A’s eigenvalues is 1 and -1, implyinig that Xe1 is unstable.

63
Continue…
 Step 3: linearization near Xe2

 xf11 f1
  1  x2  x1   0  1
A f
  f 2 x2
      
X X  X  x f 2   1  x1  X  X
 1  X  X e 1  x2 1 0 
e1
x2 e1

It indicates that A’s eigenvalues are  i ,implying that the system is under
critical state, and cannot be judged by using Lyapunov indirect method.

64
Another Example

E.g.2 For the following nonlinear ODE

y  ay  k sin y  0

Find its linearization form near the equilibrium points.
Solution:
Assume x1  y,x 2  y , it gives that

  x 1   y   y   x2 
X              f ( x1 , x2 )
 x 2   y    ay  k sin y    ax2  k sin x1 

Letting
 y  0  x1e  n , n  0,1,2,
 
 ay  k sin y  0  x2 e  0

65
Continue…
 Step 2: find the Jacobian matrix

f  0 1 
A X X  X   
e
  k cos x1e  a
therefore, one has
 0 1 
x1e  2n , A   
 k  a 
When k>0, a>0, the system is asymptotically stable near Xe.

0 1 
x1e  ( 2n  1) , A   
 k  a 
For any values of k>0 and a>0, the system is unstable near Xe.

66
Stability of 2-D Nonlinear
system  dx
 dt  P ( x, y )
 Specially, consider 2-D Nonlinear system 
 dy  Q ( x, y )
 dt
 dx
 dt  P ( x, y )  0
 Find its equilibrium points 
 dy  Q ( x, y )  0
 dt
 P P
 P ( x , y )  P ( x0 , y 0 )  ( x  x0 )  ( y  y0 )
 x y
 Linearization at E(x0,y0) 
E E

Q ( x, y )  Q ( x , y )  Q ( x  x )  Q ( y  y )
 0 0
x E
0
y E
0


 Construct the linearized system

 dX  X  x  x0
 dt  AX  BY 
 with Y  y  y0
 dY  CX  DY P P Q Q
 dt A ,B  ,C  ,D 
x y x y

67
Stability Analysis
 X   A B  X   Px P
 X 
The system may be represented by    
y
  
 Y  C D  Y    Qx Q  Y
      y  

Assume the above ODE has solutions

X  aet , Y  bet , a , b  R,  to be determined

The characteristic equation for the linearized ODE is
A B
J  E  0
C D
2  ( A  B )  ( AD  BC )  0 And its solutions are

p  p 2  4q
1, 2  , p  A  D, q  AD  BC.
2
68
Stability analysis
The solutions has the below form
 X  a1e1t  a2e2t

Y  b1e1t  b2e2t

To better study the types of the equilibrium point, it follows that

 d
 X      dt  1   0e1t
  

 2t
, 0 ,0 is the initial condition.
Y       0e
 d
 2
 dt
Hence, from the form the solutions, one can judge the stability by using
the eigenvalues 1 , 2 .

Case I: when p  4q, 1 , 2 are real, further, if they are with the same sign.
2

The equilibrium point is called Node.

Note: if 1  0, 2  0, the node is stable. Otherwise, it is unstable.

69
Types of Equilibrium point
Case I: when p  4q, 1 , 2 are real, further, if they are with the same sign.
2

The equilibrium point is called Node.

Note: if p 2
 4q, 1  0, 2  0, the node is stable. Otherwise, it is unstable.

 Case II: when p 2  4q, 1 , 2 are real,

further, if they are with different sign.

The equilibrium point is called Saddle.

Note: Since p 2  4q, 1  0, 2  0, the
saddle is unstable.

70
 Case III: when p  4q, 1 , 2 are a
2


pair of conjugate complex numbers,

and the equilibrium point is called
Focus.
Note: When their real part is
negative, the focus is stable,
otherwise, it is unstable.

Case IV: When p  4q, 1 , 2 has zero

2


real part, i.e. they are pure

imaginary numbers. The equilibrium
point is called Center, implying the
trajectory of the system keeps going
around the equilibrium point.

71
Poincare-Bendixson Theorem
 Theorem:
For a 2-D continuous system x
  f ( x ), x  R 2
where f (x ) is continuous and
differentiable. Then, if its trajectory approaches to a bounded region, it will
approaches a fixed point, or a periodic orbit (called limit cycle).

 Implication: For continuous system, chaos only occurs for 3-D or

above dimensional system.

 Note: For discrete-time system, e.g. map system, even 1-D or 2-D
system can generate chaotic phenomena.

72
Poincare-Bendixson Criterion
Consider the 2nd order autonomous system, and let M be a closed bounded
subset of the plane such that
 M contains no equilibrium points, or only one equilibrium point which is
unstable focus or unstable node.
 Every trajectory starting in M stays in M for all future time, i.e. the
trajectory is trapped in the region M.
Then, M contains periodic orbit of the system

How to judge if the trajectory is trapped in a set M? .

Consider a simple closed curve defined by equation V(x)=c, where V(x) is
Continuously differentiable.
f ( x )  V ( x )  0  f ( x ) points inward.
f ( x )  V ( x )  0  f ( x ) points outward.
f ( x )  V ( x )  0  f ( x ) is tangent to the curve (limit cycle occurs).

73
Exampe 1
 Consider the harmonic oscillator
 x 1  x2

 x 2   x1
with the region M  {c1  V ( x )  c2 }
where V ( x )  x12  x22 and c2  c1  0.
Proof:
The set M is closed, bounded, and free of equilibrium
points. The trajectories are trapped inside M since
f ( x )  V ( x )  0.

Hence, by the Poincare-Bendixson criterion, there is a

periodic orbit in M

74
Existence of Limit cycle
Prove the following system has a solution of limit cycle.
  2 3 2
x
 1  x1  x 2   x1  x2  x1
  2 

 x  x  x   x 2  1 x 2  x
 2 1 2

1 2
2 
2

x  x  x
Proof: Linearizing the system near its equilibrium point (0,0),  1 1 2
 x 2  x1  x2
Obviously, it is an unstable focus ( 1,2  1  i ).

Consider two cycles with radius r=1/2, and r=2. Take V ( x )  x1  x2

2 2

and the gradient V ( x )   2 x1 ,2 x2  . It follows that

1 4 5 2 2
L  f ( x )  V ( x )  2 x 1 x1  2 x 2 x2  x12  x22  x14 
x2  x1 x2
2 2
1  1 1 
 r 2  r 4  x22 ( x22  x12 )  r 2  r 4 1  cos 2  cos2 2 
2  4 4 
For r=2, L<0, f(x) points inward; and for r=1/2, L>0, f(x) points outward;
It implies, in region 1/2<r<2, there exists a limit cycle.

75
Example 2
 x 1  x1  x2  x1 ( x12  x22 )

 x 2  2 x1  x2  x2 ( x12  x22 )

The origin is the only equilibrium point at, and the origin is an unstable
node since the Jacobian matrix has eigenvalues 1  2i.
Let M  {V ( x )  c, c  0} with V ( x )  x1  x2 . It is clear that M is
2 2

closed, bounded, and contains only unstable node. On the surface

V(x)=c, we have
f ( x )  V ( x )  2( x12  x22 )  2( x12  x22 ) 2  2 x1 x2
 2( x12  x22 )  2( x12  x22 ) 2  ( x12  x22 )
 3c  2c 2
By choosing c=1.5, all trajectories are trapped inside M. Hence, a
periodic orbit exists in the region M.

76
Bendixson Criterion
 Consider a simply connected region D of the 2-d plane,
If
f1 f 2
 does not change its sign (not zero)
x1 x2
then, the autonomous system has no periodic orbit
located entirely in D
Example: Prove the below system with damp force has
no periodic solution.
 dx
 dt  y
 f1 f 2 
 dy g 
   sin x  y      0.
 dt l m x1 x2 m
 , m  0

77
Chapter 3 Bifurcation

 Bifurcation is of significance in
studying nonlinear systems.

•For a system with certain parameters, a varying

parameters may trigger sudden change of the dynamics of
the whole system, and has great implication and
application in quantitative theory of ODEs.

•Main problems: the location of the bifurcation points, the

stability of solutions after bifurcation, the bifurcation type
and inherent process and the caused strange attractor
etc.
78
Bifurcation examples
The dynamics of systems may depicted by using ODEs.

For the following system

dx
Continuous system  f ( x,  ) OR
dt
Discrete time system xn 1  f ( xn ,  )

X is the system state, and   R is the parameter.

Typical Examples of bifurcations includes:

•Tangent bifurcation
•Pitchfork bifurcation
•Hopf bifurcation
•Period-doubling bifurcation

79
1. Tangent bifurcation
Consider the following system

dx
  x 2   ,   0.
dt

Its equilibrium point x0 is x0    .

Obviously, the stability of these two points are different.
x01    stable
x02     unstable

Pick a point near x0, the distance between them is   x  x0 .

d
    x0   
2

dt

Linearizing the above system gives

d
 2x0    0 e 2 x0t
dt
80
Analysis on Tangent
bifurcation
It gives that
For x0   ,  (t )  0 when t  
the solution x01 is stable node.

For x0    , (t )   when t  
the solution x02 is unstable saddle.

Summarization:
When   0 , no equilibrium points  x   , stable
When   0 , the solution bifurcates into two branches 
 x    , unstable

The kind of bifurcation is also called saddle-node bifurcation.

81
Case 2: Pitchfork Bifurcation
Consider the following system
dx
 x  x 3
dt
It has three equilibrium points
  0  x  0;
 x0  0
 0 
 x0   

When   0, the only equilibrium point is x0=0. It is stable.

When   0, the stability of its three equilibrium points are

 x0  0, unstable
 0 : Pitchfork bifurcation point
 x0    , stable

82
On Eigenvalues of Pitchfork
bifurcation
The stability of the equilibrium points can be
determined by using the Jacobian matrix.

f
J X e     3x 2 X e
x

Summarization: Super-critical Pitchfork bifurcation

  0, x  0 on horizontal axis is stable;

  0, x  0 is unstable, and new solutions x    is stable.

83
Subcritical Pitchfork
bifurcation
Consider the similar system
x  x  x 3
x  0
 0
x   
 0 x 0

J    3x 2  
Summarization: Subcritical Pitchfork bifurcation
  0, x  0 is unstable.
  0, x  0 is stable, and new solutions x    is unstable;

84
3. Hopf Bifurcation
 Hopf bifurcation may explain the occurrence of limit cycle in Van De
Pol oscillating system, and Lorenz system.
Consider the following system
 dx
 dt   y  x  x ( x  y )
2 2


 dy  x  y  y ( x 2  y 2 )
 dt
 dx d d

 dt dt cos    sin 
 x   cos  dt
By using Polar coordinates   
 y   sin   dy  d sin   d  cos 
 dt dt dt
It yields that
 d    0    0    0 is stable
 dt   (    2
) 
         0
 d  1   0      is a stable limit cycle.
 dt        0
  0: Hopf bifurcation point
85
On Eigenvalues in Hopf
bifurcation
Letting x  0, y  0 , one can obtain that

the equilibrium point is (0,0).

The Jacobian matrix is

 f1 f1 
 
x y     1    1 
J     det    0  1, 2    i
 f1 f1   1   1  
 x y 


It indicates that when  changes its sign from negative to positive,

the origin (0,0) loses its stability and becomes unstable, and the
system bifurcates to a limit cycle.

86
Example: Van de Pol Oscillator
System
Van de Pol,Dutch Physicist (proposed in 1927)

x   ( x 2  1) x  x  0, (   2)

 x  y
  Equilibrium point (0,0)
 y   x  y  x y
2

 0 1   2  4
J     1, 2 
1   2

  4   2i 
  0  1, 2   (0,0) stable focus 
2 

  4   2i 
  0  1,2   (0,0) unstable focus 
2 

 0 Hopf bifurcation point

87
Chapter 4: Chaos and chaotic
systems
I. Chaotic systems

Continuous system – ODE: Lorenz system, Rossler system…

Discrete time system – Logistic map, Henon map …

II. Method for studying ODE systems

1.Theoretical analysis
2. Computer-based simulation

III. Numerical Methods

MATLAB Programming
Phase portrait; Bifurcation diagram; Lyapunov exponent

88
Lorenz system
In 1963, Edward Lorenz, an U.S. meteorologist, proposed a simplified model
for description of atmospheric convection.

 x  a ( x  y )

 y  rx  y  xz
 z  xy  bz

where x, y , z indicates the system states, and a>0, b>0, r >0 are the parameters.

When a=10,b=8/3,r=28, the system

exhibits chaotic behaviors.

89
How the system reach chaos?

 1. Stability of equilibrium points

 Find the equilibrium point
Letting x  0, y  0, z  0, it follows that

x  y r  1  X e  O (0,0,0)
  X e1  O (0,0,0),
 x( r  1  z )  0 
 
 x   bz r  1   X e 2  P1 ( b( r  1) , b( r  1) , r  1),

 X e 3  P2 (  b( r  1) , b( r  1) , r  1)

 Analyze the stability of these equilibrium points

90
Stability of the equilibrium
points
 The Origin O(0,0,0)
  a a 0
 
  r  1 0   J  I  0  (  b)(  (a  1)  a (1  r ))  0
2
J Xe O
 y 0 b 
 
Its roots, i.e., the eigenvalues of the Jacobian matrix are

1  b

 1

2   ( a  1)  (a  1)  4a ( r  1)
2
2
 
r  1, 1, 2,3  0  O (0,0,0) stable
 r  1, 1, 2  0, 3  0  O (0,0,0) unstable 

3 
1
2

 ( a  1)  ( a  1) 2
 4a ( r  1)  The system bifurcates
and Two new equilibrium
points appear.

91
 Two non-zero equilibrium
points
Stability analysis (Only X is considered) e2

 a a 0 
 
J  1 1 b( r  1)   3  (a  b  1)2  b( a  r )  2ab( r  1)  0
 b( r  1) b( r  1)  b 


Routh-Hurwitz criterion: For any n-th order polynomial equation,

a0n  a1n 1  a2n 2    an 1  an  0,

a1 a0 0 0
a1 a0 0
a1 a0 a3 a2 a1 a0
Define 1  a1 ,  2  ,  3  a3 a2 a1 ,  3  ,
a3 a2 a5 a4 a3 a2
a5 a4 a3
a7 a6 a5 a4

Then,  i  0, i  1,2,3...  all i have negative real parts.

92
Stability analysis
By using the Routh Hurwitz criterion, one obtains that

a  b 1 1
1  a  b  1  0,  2 
2ab( r  1) b( r  a )
 b( r  a )( a  b  1)  2ab( r  1),

a  b 1 1 0
 3  2ab( r  1) b( r  a ) a (b  1)  2ab( r  1)  2 .
0 0 2ab( r  1)

a ( a  b  3)
By letting 2  0  r   rH  a  (b  1) .
a  b 1 r 0

93
Stability analysis
 Take an often studied case a  10, b  8 / 3.

rH  470 / 19  24.74
r  rH ,  2  0,  3  0  X e 2 and X e 3 are both stable;
r  rH ,  2  0,  3  0  X e 2 and X e 3 are both unstable.

 By using the given parameters, one can get

When r  1.3456,
1,2,3are all negative; X e 2 and X e 3 are stable nodes.
When 1.3456  r  rH ,
1,2,3are one negative real number, and two conjugate
complex numbers with negative real parts, implying X e 2 and X e 3 are stable foci.

94
Bifurcation and orbits
r 1
r  1, O (0,0,0) stable

r  1, O (0,0,0) unstable, and two stable equilibria appear.
r=1 is pitchfork bifurcation point.

r  rH
r  rH , 1  0, RE(2,3 )  0

r  rH , 1  a  b  1  0, 2,3   b( rH  a )i
r  1,   0, RE( )  0.
 1 2,3

r=rH is Hopf bifurcation point.

95
Global dynamics
 Linearization method only works for stability of equilibrium points,
and fails to judge the whole system’s stability.
 Utilizing Lyapunov function method to deal with the global stability
V ( x, y , z )  13x 2  5 y 2  5( z  56)2  0
Letting V ( x, y , z )  K which is a ellipsoid in 3  D space.
Determine the derivative of the Lorenz system within the chaotic region
(a=10,b=8/3,r=30)
 0, ( x, y , z ) outside of C
dV dx dy dz dV 
 26 x  10 y  10( z  56)
dt dt dt dt  0, ( x, y , z ) on C
dt 
 8
 10 26 x 2  y 2  ( z  28) 2 
6272 
  0, ( x, y , z ) inside of C
 3 3 
V ( x, y, z )  K
Another ellipsoid (called C) is called trapping region, and
8 6272 the chaotic attractor is included
26 x 2  y 2  ( z  28) 2 
3 3 therein.

96
Attractor with different
values of r

97