MODELING OF COMPLEX

SYSTEMS INSTABILITY UNDER

RISKS AND UNCERTAINTY

KONSTANTIN ATOIEV PAVEL KNOPOV

DEPARTMENT OF MATHEMATICAL METHODS OF
OPERATION RESEARCH V.M. GLUSHKOV INSTITUTE OF
CYBERNETICS OF NATIONAL ACADEMY OF SCIENCES OF
UKRAINE
KYIV, UKRAINE
KONSTANTIN_ATOYEV@YAHOO.COM
DEPARTMENT OF MATHEMATICAL METHODS OF
OPERATION RESEARCH V.M. GLUSHKOV INSTITUTE OF
CYBERNETICS OF NATIONAL ACADEMY OF SCIENCES OF
UKRAINE
KYIV, UKRAINE
KNOPOV1@YAHOO.COM

2022 IEEE Third International Conference on System Analysis & Intelligent Computing (SAIC)
04-07 October, 2022 Kyiv, Ukraine
ABSTRACT — An approach is proposed to study the relationship between water, food
and energy resources, supply chains, social and medico-epidemiological spheres based
on the multi-sectoral Lorenz model. The model combines in a one framework similarly
described sectors of the economy, which are considered in terms of the level of
productivity, the number of jobs and the level of structural disruptions. As a result of
modeling the conditions of occurrence of deterministic chaos has been defined, and
trajectories of change of social and economic factors which allow to reduce number of
structural disturbances has been calculated. This is achieved by changing the ratio of
supply and demand for jobs and products. Numerical study of the model has been
allowed us to analyze how changes in the balance of supply and demand in
interconnected systems lead to a chaotic stable attractor. It has been considered how the
sequential transition of interconnected sectors to the mode of deterministic chaos is
reflected in the integrated mode of operation when there is a kind of phase
synchronization of self-oscillations of six connected generators.

Keywords—system analysis, stochastic processes, optimal control, risk estimation, complex systems
 I INTRODUCTION
The creation of a complex network of the global economy significantly enhances the fields of man-made,
natural, economic, epidemic and social risks. The nodes of this network are acupuncture points of society's
vulnerability due to density of links among the nodes and the speed at which the energy, goods and
information are circulated along these links. A disturbance in one node leads to catastrophic consequences
along the whole network. So, complexity and interdependence create increased possibilities for some
fluctuation or minor and routine disturbances to cascade into disaster with unpredictable ecological,
economic and epidemic consequences.
The cumulative effect of different sources of risk is becoming an important generator of uncertainty and
instability in modern society. In the case of cumulative stressors, there is a nonlinear increase in system
vulnerability and reduced ability to adapt. Nonlinearities lead to areas of value of system parameters, which
are characterized by unpredictable behavior, when small influences cause unstable system behavior. The set
of interrelated food, energy, water, climate and epidemic crises exacerbate each other. Therefore, an
integrated policy is needed to minimize their consequences. All this requires the creation of new methods for
integrated modeling and risk management, which allow the study of synergistic interaction of risks of
different origins. The development of new methods of risk assessment will expand the horizon of forecasting
in conditions of uncertainty, assess the risks of irreversible changes in the security space and develop
strategies to minimize their devastating effects.
It has been observed that the oscillation dynamics of a number of key indicators of the world economy
(Dow Jones, gold price, crude oil and wheat prices, etc.) in certain periods resembles the chaotic dynamics
typical for strange attractors. The annual changes of food production index, energy use, removed water
from natural water bodies (FEW) also has been oscillating as demonstrate The World Bank Data (fig. 1- 4)

Fig. 1. The dynamic of FEW in Ukraine Fig 2. The phase trajectory of energy use and food index
changes
Fig. 3. The phase trajectory of energy use and food index changes Fig. 4. The phase trajectory of energy use and freshwater
for Ukraine, Poland and Lithuania consumption in Ukraine
The trajectories of the phase curves in certain periods can be treated as a motion towards the limit cycle, which
indicates the possible existence of stable cyclic attractors (fig. 4). During the period 2000-2003, the trajectory of
the phase curve of changes in indicators remained in the region-of-attraction for limit cycle 1; in the period
2005-2009 - in the region-of-attraction for limit cycle 2; in 2010-2018 - in the region-of-attraction for cycle 3.
So, we have reasons to involve models of deterministic chaos to study the mechanisms of instability of the FEW
nexus.
The study of such complex relationships requires the use of integrated models that combine different
contours of regulation of socio-economic system. In (Atoyev, Vovk, Shpiga, 2021) an approach was
developed to study the relationship of food, water and energy resource using a three-sector Lorenz model.

The conditions for the emergence of deterministic chaos in the minimal model of economic development,
were identified. The problem of determining effective managements in order to minimize the total
structural disruptions was considered. As a result of model experiments, trajectories of change of control
parameters were revealed, which allow to reduce the number of structural disruptions.

The aim of this work is to develop a six-sector Lorenz model to study the relationships between food,
energy and water resources, supply chains, social and epidemic situations.
 II THE DETERMINISTIC CHAOS
OCCURRENCE
The effectiveness of modeling largelyIN SIX-SECTORAL
depends LORENZ
on finding a balance MODEL
between the desire for detail and the need to simplify the
model. Therefore, we will use the approach of building a model that combines in a single structure similarly described
sectors of the economy, which are considered in terms of normalized level of productivity normalized number of jobs and
standardized level of structural disruptions, using the basic model (Atoyev, Knopov, Pepeliaev et all.,2018) ( – respectively
for food, water and energy resources, social and medico-epidemiological spheres, supply chains). We will use the following
postulates: 1) there is competition for labor between different sectors of the economy, so the growth of the production system
in one industry inhibits job creation in others; 2) variability in crop yields; fluctuations in energy prices; changes in the
balance of water resources caused by climate change; introduction of new technologies that significantly increase the
productivity of workplaces - all these provokes random disturbances that become additional factors for increasing the level of
structural disturbances; 3) processes in different sectors of the economy can proceed at different speeds, time scaling by
sectors is carried out using the parameters i. The model has the following form:

𝑑𝑥 𝑖 𝑑 𝑦𝑖 𝑑𝑧 𝑖
𝜀𝑖 =σ 𝑖 ( 𝑦𝑖 −𝑥 𝑖)+𝛿𝑖 𝑤˙ 𝑖𝑗 ,ε𝑖 =[ 𝐹𝑖 ( 𝑥1 ,𝑥2 …𝑥6 )−𝑧𝑖] 𝑥𝑖 −𝑦 𝑖+𝛿𝑖𝑤˙ 𝑖𝑗 ,ε𝑖 =𝑥 𝑖 𝑦𝑖 −𝑏𝑖 𝑧 𝑖+𝛿𝑖 𝑤˙ 𝑖𝑗 ,
(1)

𝑑𝑡 𝑑𝑡 𝑑𝑡
where – perturbation intensities; – parameters of Lorenz model; – parameters that characterize competition in
labor markets ; – independent standard Wiener processes with parameters
 A study of the canonical Lorenz model shows that the growth of the parameter r is critical for the
occurrence of both periodic and turbulent trajectories (Yorke, 1979). There are several such values of this
parameter: r = 13.926, r = 24.06, r = 24.74. Since in the six-sector model the connection between the
sectors is carried out using the function , we actually have Lorenz models with a variable parameter r.

The parameters and were estimated using the data given in (The Global Risks Report 2021). Infectious
diseases are the most dangerous in terms of impact among the threats that are relevant in the next two years.
Anti-epidemic measures by governments are leading to a supply chain crisis, so we will assume that it also
refers to short-term risks. Socio-economic crises belong to the category of medium-term risks that will be
relevant for 3-5 years. The crisis of water, food and energy resources is one of the most influential long-term
risks, which are relevant for 5-10 years. The following values ​of were chosen: for long-term processes ; for
medium-term – 2.5; for and short-term – = . The ranking of these factors on the basis of data (The Global
Risks Report 2021) is presented in Table 1. Sectors of the economy differed due to the parameters . The
weights were chosen depending on the influence of the corresponding threat factors.
 TABLE 1. RANKING OF THREAT FACTORS

Threat Rank of influence Value of parameters

Crisis of food, water and energy resources 43.9

Disruption of food supply chains 38.3

 
Spread of infectious diseases 58
 
Socio-economic risks 43.4
   

The modeling results made it possible to investigate how the successive transition of interconnected
sectors to the deterministic chaos regime with changes in r is reflected in the mode of operation of the
system (1) as a whole. Fig. 5 - 7 show the results for the food, energy, water resources and medico-
epidemiological sector (indices f, e, w and m, respectively).
 FIG. 5. Dynamics of the level of structural disturbances under conditions of growth of the parameter r.

When in one or two sectors the values of r correspond to the regime of deterministic chaos, it is suppressed by the rest of the sectors
 FIG. 6. Sequential intersection of bifurcation boundaries of the parameter r.
But when one more sector is added to the "chaotic" one, the solution of system (1) transforms first into an
oscillatory, and then into a chaotic regime. A stable strange attractor appears in the system. There is a kind of
phase synchronization of self-oscillations of six connected generators.
Fig. 7. Projections of phase curves of system variables under changes.
 III OPTIMAL CONTROL IN ORDER TO MINIMIZE THE STRUCTURAL
DISTURBANCES
Consider the task of determining effective management in order to minimize the total structural disturbances for the
selected time interval. The task of control is formulated as follows: given are mathematical model (1) and system of
constraints, which determines the allowable range of values of model variables and controls; it is required to find
the controls , that minimize the following functional:
𝑇 6
𝐹(𝜎 𝑖 ,𝑟 𝑖 ,𝑏𝑖 ,𝑡)=∫ ∑ 𝑧𝑖 𝑑𝑡 .
0 𝑖=1
Fig. 8 shows the results of modeling in order to determine the controls that minimize the level of structural
disturbances of the one-sector Lorenz model. Variables and controls with opt and fix indexes refer to operating
modes with and without control. The result of the control is a decrease in the total number of structural disturbances
S by 16.54% relative to the level that was at fixed values of the parameters σ, r, b. To numerically solve the
problem of finding optimal control, a modified method of random search was used - the stochastic gradient method.
 Fig. 8. The results of solving the optimal control problem.

According to the results obtained in (Atoyev, Vovk, Shpiga, 2021), the parameters are related to the
characteristics that determine the functioning of economic sectors as follows.
, r, b.

where and are parameters that characterize adaptive capabilities; - demand for the activity of the
production system, normalized per unit of measurement of the material production system, which is
considered to be a job in the corresponding industry Y; - supply level normalized per unit of function of the
production system X, - demand for more jobs, normalized per unit X; - the share of jobs Y involved in
providing X; - the specific rate of elimination of disturbances.

According to the simulation results, the minimization of the number of structural disruptions is achieved by
reducing the parameters σ and r, while the parameter b first decreases and then increases. Assuming that the
adaptive capabilities of the system (parameters and ) change rather slowly, the decrease in σ can be
achieved by reducing the specific supply of production system (parameter ), or by increasing the specific
supply of jobs involved in external functions production system (parameter ). The reduction of parameter r
is achieved by reducing the specific demand for products of the production system and the number of jobs
employed in it (parameters and ), or by increasing their specific supply (parameters and ).
Fig. 9 shows the dynamics of changes in the sheaf of random trajectories around a stable limit cycle of the six-
sector Lorenz system under noise intensity increasing from 0 to 0.3 at r = 334 and variation of parameters . The
influence of noise leads to stochastic deformation of deterministic attractors of the Lorenz model. In the case of
random perturbations, the trajectories of the stochastic system leave the deterministic attractor and form a sheaf
around it with a corresponding probability distribution. The variance of random states near the deterministic
attractor depends on the noise intensity and stability of the local parts of the attractor.

Fig.9. Impact of random perturbations on the dynamics of model variables

The method for risk estimation of sudden transformation from one steady state to
another on the basis of theory of smooth mappings allowing the calculation of
bifurcation values, curves and surfaces of control parameters was proposed in
(Sergienko, Yanenko, Atoyev, 1997). The risk was estimated as an extent of a control
parameter approaching these bifurcation values characterizing system transformation.
The main advantage of this approach is a determination a risk as a function of
dynamic variables of the investigated system. Using this approach, one can estimate
the risk of transition from one unstable limit cycle of system (1) to another. The value
of the variance can examine as a measure of the risk of systemic changes.

Model (1) can be written in complex form, as shown in (Magnitskii, Sidorov, 2006). In the complex form of Lorenz
equations, the scenario of transition to chaos through the subharmonic cascade of bifurcations of two-dimensional tori is
realized. The study of i sectors of the economy and their interrelation, is reduced in this case to the problem of
investigation of i connected oscillators that generate oscillations with frequencies , accordingly. Collective
synchronization of these oscillators can be studied using the Kuramoto model (Kuramoto, 1984):

, where – phase variables, – natural frequencies,

– coupling constant.
 Thus, the problem of managing socio-economic development under the conditions of the emergence of
chaotic regimes is reduced to controlling the frequency of a field with a non-zero mean, which is generated
by coupled oscillators.

IV
CONCLUSIONS
The study of deterministic chaos in physics, biology, economics has led to a significant rethinking of its
role in the self-organization of complex dynamic systems. It turned out that due to chaotic regimes with
their increased sensitivity to small perturbations of the parameters, it becomes possible to transfer the
system from the neighborhood of one unstable limit cycle to the neighborhood of another. In other words, it
becomes possible to qualitatively change the behavior of the socio-economic system due to small changes
in control parameters, which means significant savings in resources. Based on this understanding, the task
of controlling chaos is being transformed: from the choice of actions aimed at stopping chaos, to the choice
of controls that allow the stabilization of certain unstable periodic trajectories.
The reduction of the resource base due to climate change limits the opportunities for sustainable development.
In the case of Ukraine, the existing resources allow only a slight change in the parameters of economic
management. Therefore, the problem arises of searching for development trajectories that allow, due to small
changes in parameters, to carry out a “jump” from one development trajectory to another. Models of strange
attractors can be used to study the conditions under which such phase transition from one limit cycle to
another is possible.
 Such management, as evidenced by the results of this study, can be carried out through a change in the ratios
between supply and demand for jobs and products in various sectors of economy. When the critical values of these
ratios are exceeded, the solution of system (1) does not converge to the equilibrium point, but first passes into an
oscillatory and then into a chaotic mode. Different values of this ratios correspond to different scenarios of
economic development. Based on the analysis of macroeconomic indicators of different regions, their classification
in the space of model parameters can be carried out and critical values of the parameters are determined, upon
reaching which there will be abrupt transitions from one trajectory of economic development to another.
A distinctive feature of the proposed approach
is that deterministic chaos is considered in the
space of variables that characterize not only
economic but also social factors. The
parameters of model (1) are determined using
more detailed models (Atoyev, Ermoliev,
Knopov et all.,2020) developed in 2017-2021
within the joint project of the National
Academy of Sciences of Ukraine and the
International Institute for Applied Systems
Analysis (Austria) "Integrated modeling of
food, water and energy resources for the
purpose of sustainable social, economic and
environmental development".
 The introduction of a variable characterizing the level of structural disturbances makes it possible to
explain the growing vulnerability of the world economy to small changes in governance parameters. The
higher the level of the production function is, the lower the level of structural disturbances, under which it is
possible to transform the functioning of the system.

ACKNOWLEDGMENT
This work was supported in part by the National Research Foundation of Ukraine. Grant No. 2020.02/0121.

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