MAT 386 Dynamical Systems

Lecture 9: LCE & Lorenz System

BY
L M Saha
Department of Mathematics
E-mail: lalmohan.saha@snu.edu.in
Lyapunov Exponents (LCEs):
The Lyapunov exponents, (also known as Lyapunov
Characteristic Exponents or LCEs), actually provide a measure
of regular and chaotic motion.
The positivity of LCE implies the motion is chaotic means two
orbits originating nearby show divergence of behavior.
Predictability fails if LCE > 0.
But, negative value of LCE implies the motion is regular or
periodic. In such a case one can predict the evolution.
Thus for regular motion LCE < 0
Mathematical Calculation of LCE for the Discrete Logistic Map:
𝒙𝒏+𝟏 = 𝒇 𝒙𝒏 (1)
Let us consider two nearby orbits starting at 𝒙𝟎 and at 𝒙𝟎 + 𝜹𝟎 ,
where 𝜹𝟎 ≪ 𝟏.
The initial separation of these two orbits is obtained as
𝜹𝟏 = 𝒇 𝒙𝟎 + 𝜹𝟎 − 𝒇 𝒙𝟎
= 𝒇 𝒙𝟎 + 𝜹𝟎 𝒇 ′ 𝒙𝟎 + 𝜹𝟎 𝟐 𝒇 ′ ′ 𝒙𝟎 +⋯ − 𝒇 𝒙𝟎
≈ 𝜹𝟎 𝒇 ′ 𝒙𝟎
Thus, the initial separation of these orbits at first step (iteration)
is, approximately,
𝜹𝟏 = 𝜹𝟎 𝒇 ′ 𝒙𝟎 = 𝑴𝟎 𝜹𝟎 (2)
Here, 𝐌𝟎 = 𝒇 ′ 𝒙𝟎 is called the magnification factor for first
step.
In similar way, the separation of these orbits at second step is
obtained as
𝜹𝟐 = 𝒇 𝒙𝟏 + 𝜹𝟏 − 𝒇 𝒙𝟏 = 𝜹𝟏 𝒇 ′ 𝒙𝟏 = 𝜹𝟏 𝑴𝟏 (3)
Here, 𝐌𝟏 = 𝒇 ′ 𝒙𝟏 is the magnification factor for 2nd step.
Using (2), we obtain from (3),

𝜹𝟐 = 𝑴𝟎 𝑴𝟏 𝜹𝟎 (4)

Continuing in this manner, orbit separation at kth step be given

by
𝜹𝒌 = 𝑴𝟎 𝑴𝟏 𝑴𝟑 ⋯ 𝑴𝒌−𝟏 𝜹𝟎 (5)

where, 𝑴𝒊 = 𝒇′ 𝒙𝒊 , 𝒊 = 𝟎, 𝟏, 𝟐, ⋯ , 𝒌 − 𝟏 is the magnification

factor for 𝒌th step.
The total magnification factor over 𝒌 steps is the product

𝑴𝟎 𝑴𝟏 𝑴𝟐 . . . 𝑴𝒌−𝟏 (6)
Since this product is an accumulation of magnification factors, it
makes sense to consider some average of it. The most
convenient is the geometric average
𝟏
𝑴𝟎 𝑴𝟏 𝑴𝟐 . . . 𝑴𝒌−𝟏 𝒌

which by taking logarithms leads to the form

𝟏
 = log 𝑴𝟎 𝑴𝟏 𝑴𝟐 . . . 𝑴𝒌−𝟏 𝒌

𝟏
= 𝒍𝒐𝒈|𝑴𝟎 | + 𝒍𝒐𝒈|𝑴𝟏 | + 𝒍𝒐𝒈|𝑴𝟐 | + ⋯ + 𝒍𝒐𝒈|𝑴𝒌−𝟏 |
𝒌

𝟏
= 𝒍𝒐𝒈 𝒇′(𝒙𝟎 ) + 𝒍𝒐𝒈 𝒇′(𝒙𝟏 ) + ⋯ + 𝒍𝒐𝒈 𝒇′(𝒙𝒌−𝟏 )
𝒌
This  , which measures the exponential divergence of orbits
initiated closely, (or sensitivity of orbit 𝒇 𝒙𝟎 ), is called
Lyapunov exponents and properly defined as:
DEFINITION (Lyapunov exponent).
Let f be a smooth map on R and let 𝒙𝟎 be a given initial point.
Lyapunov exponent λ(𝒙𝟎 ) of a map f is given by
𝟏
𝝀 𝒙𝟎 = 𝒍𝒊𝒎 ሾ𝒍𝒐𝒈 𝒇′(𝒙𝟎 ) + 𝒍𝒐𝒈 𝒇′(𝒙𝟏 ) + ⋯ +
𝒌→∞ 𝒌
Example 1: Consider the logistic map f(x) = r x (1 – x), for 1  r  4, the plot of
Lyapunov exponents be given by
 Lorenz system:

The Lorenz system is a system of ordinary differential

equations (the Lorenz equations) first studied by Edward
Lorenz. Using Navier-Stoke’s equations of Fluid Dynamics and
Heat Conduction equation of Thermodynamics Lorenz obtained
a set of three equations to study weather phenomena and were
named as weather equations.
It is notable for having chaotic solutions for certain parameter
values and initial conditions. In particular, called the Lorenz
attractor is a set of chaotic solutions of the Lorenz system
which, when plotted, resemble a butterfly.

𝒅𝒙 𝒅𝒚 𝒅𝒛
=  (y – x ), = r x – x z – y, = x y – b z (1)
𝒅𝒕 𝒅𝒕 𝒅𝒕
Lorenz system:
This system evolve chaotically for  = 10, r = 28, b = 8/3
and one obtains a chaotic attractor called Lorenz Attractor
which has the shape of a butterfly. Due to this one terms
chaotic phenomena, also, as butterfly effect.

However, if we assume parameter values as  = 10, r = 18, b = 1.5,

then the scenario would be very different; one obtains plots
shown below corresponding to plots shown above.
BUTTERFLY EFFECT: Lorenz (1963)

Lorenz Equations

Dimension :2.06
Properties of the Lorenz equations:
Lorenz equations have following important properties:
 Symmetry
The Lorenz equation has the following symmetries w. r. t. x and y axes
i.e. (x, y, z)  (- x, - y, z). This symmetry is present for all parameters of
the Lorenz equation (see natural symmetry of the Lorenz equation).

 Invariance
The z-axis is invariant, that is a solution that starts on the z-axis
(i.e. x=y=0) will remain on the z-axis. In addition the solution will tend
toward the origin if the initial conditions are on the z-axis.

 Lorenz System is Dissipative

If we re-write Lorenz equations (1) as
𝒅𝒙
= 𝒇(x, y, z) =  (y – x ),
𝒅𝒕
𝒅𝒚
= 𝒈(x, y, z) = r x – x z – y,
𝒅𝒕
𝒅𝒛
= 𝒉{x, y, z) = x y – b z
𝒅𝒕
Then, we can observe
𝝏𝒇 𝝏𝒈 𝝏𝒉
𝒅𝒊𝒗𝑭 = + + = −𝝈 − 𝟏 − 𝒃
𝝏𝒙 𝝏𝒚 𝝏𝒛
=− 𝝈+𝟏+𝒃 <𝟎
This shows the volume space is contracting and
therefore Lorenz system is dissipative.

Equilibrium points
Equilibrium points (fixed Points) of Lorenz equations
are real steady state solutions of the system. To obtain
equilibrium points, we put time derivatives in Lorenz
equations equal to zero and solve the resulting
equations as follows:
For equilibrium points of Lorenz system
𝒅𝒙 𝒅𝒚 𝒅𝒛
=  (y – x ), = r x – x z – y, =xy–bz,
𝒅𝒕 𝒅𝒕 𝒅𝒕
𝒅𝒙
put = 0   (y – x ) = 0 (1)
𝒅𝒕
𝒅𝒚
=0  rx–xz–y=0 (2)
𝒅𝒕
𝒅𝒛
=0 xy–bz =0 (3)
𝒅𝒕
As  ≠ 0 , (1)  y = x (4)
Then, (2)  x (r – z – 1) = 0  x = 0 = y or z = r – 1 (5)
Again, (1) and (3)  x = y = 𝒃 𝒛 = ± 𝒃(𝒓 − 𝟏)
Also. (1), (3) and (5)  x = y = z = 0
or x = y = ± 𝒃(𝒓 − 𝟏) , z = r – 1
Thus, we get three equilibrium points: 𝒙𝟎∗ = (0, 0, 0),
and with r > 1, other two given by
𝒙𝟏∗ = 𝒃 (𝒓 − 𝟏 ) , 𝒃 (𝒓 − 𝟏 ) , 𝒓 − 𝟏
𝒙𝟐∗ = − 𝒃 (𝒓 − 𝟏 ) , − 𝒃 (𝒓 − 𝟏 ) , 𝒓 − 𝟏

Stability of Fixed Points of Lorenz System:

Jacobian Matrix of Lorenz System (1) is derived as
𝝏𝒇 𝝏𝒇 𝝏𝒇
𝝏𝒙 𝝏𝒚 𝝏𝒛
−  𝟎
𝝏𝒈 𝝏𝒈 𝝏𝒈
J = 𝝏𝒙 𝝏𝒚 𝝏𝒛
= 𝒓 − 𝒛 −𝟏 −𝒙
𝝏𝒉 𝝏𝒉 𝝏𝒉 𝒚 𝒙 −𝒃
𝝏𝒙 𝝏𝒚 𝝏𝒛
If r < 1 then there is only one equilibrium point, which is the
origin itself (0, 0, 0). This point corresponds to no-convection.
 −  𝟎
Also at (0, 0, 0), J = 𝒓 −𝟏 𝟎 and the characteristic
𝟎 𝟎 −𝒃
equation is
−𝝈 − 𝝀 𝝈 𝟎
𝒓 −𝟏 − 𝝀 𝟎 =0
𝟎 𝟎 −𝒃 − 𝝀
- ( +  ) (1 +  ) (b +  ) +  r (b + ) = 0
 ( b + ) { r - ( +  ) (1 +  )} = 0
 ( b + ) { 2 + ( + 1)  - (r - 1) } = 0
Then, the eigenvalues are 1 = − b and
𝟏
2 = −( + 1) + +1 𝟐 + 𝟒 (𝒓 − 𝟏 )
𝟐
𝟏
= −( + 1) + +1 𝟐 − 𝟒 (𝟏 − 𝒓 ) < 0 as r < 1
𝟐
𝟏
and 3 = −( + 1) −  + 1 𝟐 + 𝟒 (𝒓 − 𝟏 ) < 0
𝟐
Thus, for r < 1, the equilibrium point x0 = (0, 0, 0) is stable.
One can observe a bifurcation, called Pitchfork Bifurcation, at r = 1, and
for r > 1 two additional equilibrium points appear as
 𝒃 (𝒓 − 𝟏 ) ,  𝒃 (𝒓 − 𝟏 ) , 𝒓 − 𝟏
Stability of Equilibrium when r > 1 :
The characteristic equation at any fixed point (x*, y*, z*) be given by
equation
−𝜎 − λ 𝜎 0
𝑟 − 𝑧 ∗ −1 − λ −𝑥 ∗ = 0 (6)
𝑦∗ 𝑥∗ −𝑏 − λ
This implies the cubic equation in  given by
 3 + a1  2 + a2  + a3 = 0 (7)
where, we have
a1 = 1 +  + b
a2 = (1 + b - r + z*) + b + x*2
a3 =  ( b - r b + x*2 + x* y* + b z*) (8)
The roots of equation (6) are eigenvalues corresponding to fixed point (x*, y*, z*).
Routh – Hurwitz’s criteria for stability of fixed points:
If the characteristic equation for 𝒏 × 𝒏 matrix be
λ𝒏 + 𝒂𝟏 λ𝒏−𝟏 + 𝒂𝟐 λ𝒏−𝟐 + ⋯ + 𝒂𝒏 = 𝟎
Then,
𝒊 For a second order system, the condition of the stability is
given by
𝒂𝟏 > 𝟎 , 𝒂𝟐 > 𝟎
𝒊𝒊 For a third order system, the condition of the stability is
given by
𝒂𝟏 > 𝟎 , 𝒂𝟐 > 𝟎 , 𝒂𝟑 > 𝟎 and 𝒂𝟏 𝒂𝟐 − 𝒂𝟑 > 𝟎
𝒊𝒊𝒊 For a 4th order system, the condition of the stability is
given by
𝒂𝟏 > 𝟎 , 𝒂𝟐 > 𝟎 , 𝒂𝟑 > 𝟎, 𝒂𝟑 > 𝟎 , 𝒂𝟏 𝒂𝟐 − 𝒂𝟑 > 𝟎 and
𝒂𝟏 𝒂𝟐 𝒂𝟑 − 𝒂𝟏 𝟐 𝒂𝟒 − 𝒂𝟑 𝟐 > 𝟎
For stability of this fixed point, all eigenvalues 1, 2, 3 must have
negative real parts. Using Routh – Hurwitz’s criteria for stability, to have
negative real parts of eigenvalues 1, 2, 3, we must have conditions
a1 > 0, a2 > 0, a3 > 0, and a1 a2 – a3 > 0 (9)
 For fixed point (0, 0, 0), we get from (8)
a1 = 1 +  + b > 0, a2 = (1 + b - r ) + b, a3 = b(1 − r)

and then, a1 a2 – a3 = (1 +  + b ) ((1 + b - r ) + b ) - b(1 − r)

Clearly, a1 = 1 +  + b > 0, a2 > 0 as 1+ b > r .
Then, a3 = b(1 − r) > 0 since r < 1
Also, the characteristic equation in this case is
−𝜎 − λ 𝜎 0
𝑟 −1 − λ 0 =0
0 0 −𝑏 − λ
- ( +  ) (1 +  ) (b +  ) +  r (b + ) = 0
 ( b + ) { r - ( +  ) (1 +  )} = 0
 ( b + ) { 2 + ( + 1)  - (r - 1) } = 0
It is clear that one of the eigenvalues IS 1 = − b and other two
eigenvalues are given by
𝟏
2, 3 = −( + 1) ± +1 𝟐 + 𝟒 (𝒓 − 𝟏 )
𝟐

𝟏
i.e. 2 = −( + 1) + +1 𝟐 + 𝟒 (𝒓 − 𝟏 ) > 0 if r > 1
𝟐

𝟏
And 3 = −( + 1) − +1 𝟐 + 𝟒 (𝒓 − 𝟏 ) < 0 if r > 1
𝟐

Thus, the equilibrium point (0, 0, 0) be unstable when r > 1.

We see that equilibrium point (0, 0, 0) be stable only when r < 1.
 For equilibrium points  𝒃 (𝒓 − 𝟏 ) ,  𝒃 (𝒓 − 𝟏 ) , 𝒓 − 𝟏

These two equilibrium points exists only for r  1.

We get, after some simplification from (8),
a1 = 1 +  + b > 0 , a2 = b ( + r ) > 0, a3 = 2b( r − 1) > 0, as r > 1
Thus, for r > 1, first three conditions of (9) are satisfied.
The 4th condition, a1 a2 – a3 > 0 , of (9) will be satisfied only if
a1 a2 > a3  if (1 +  + b) b( + r ) > 2b( r − 1)
 if (1 +  + b) ( + r ) > 2( r − 1)
 if  + r +  2 +  r + b  + b r > 2 r − 2
 if 3  +  2 + b  >  r - b r - r
 if (3++b)>r(−b−1)
𝝈+𝒃+𝟑
If r<
𝝈 −𝒃 −𝟏
which can hold only for positive r i.e. r > 1 if  > b + 1 .
At the critical value, both equilibrium points lose stability through a Hopf
bifurcation.
When r = 28,  = 10, and b = 8/3, the Lorenz system has chaotic
solutions (but not all solutions are chaotic). The set of chaotic
solutions make up the Lorenz attractor, a strange attractor and
a fractal with a Hausdorff dimension which is estimated to be
2.06 ± 0.01 and the correlation dimension estimated to be
2.05 ± 0.01.
THANK YOU