Cycle stability - Chaos: Classical and Quantum

Chapter 5**Cycle** **stability**TOPOLOGICAL FEATURES of a dynamical system –singularities, periodic orbits,**and** the ways in which the orbits intertwine– are invariant under a generalcontinuous change of coordinates. Surprisingly, there also exist quantitiesthat depend on the notion of metric distance between points, but nevertheless donot change value under a smooth change of coordinates. Local quantities suchas the eigenvalues of equilibria **and** periodic orbits, **and** global quantities suchas Lyapunov exponents, metric entropy, **and** fractal dimensions are examples ofproperties of dynamical systems independent of coordinate choice.We now turn to the first, local class of such invariants, linear **stability** of periodicorbits of flows **and** maps. This will give us metric information about localdynamics. If you already know that the eigenvalues of periodic orbits are invariantsof a flow, skip this chapter.fast track:chapter 7, p. 1215.1 Stability of periodic orbitsAs noted on page 40, a trajectory can be stationary, periodic or aperiodic. Forchaotic systems almost all trajectories are aperiodic–nevertheless, equilibria **and**periodic orbits turn out to be the key to unraveling chaotic dynamics. Here wenote a few of the properties that make them so precious to a theorist.An obvious virtue of periodic orbits is that they are topological invariants: afixed point remains a fixed point for any choice of coordinates, **and** similarly aperiodic orbit remains periodic in any representation of the dynamics. Any reparametrizationof a dynamical system that preserves its topology has to preservetopological relations between periodic orbits, such as their relative inter-windings94

**and** knots. So the mere existence of periodic orbits suffices to partially organizethe spatial layout of a non–w**and**ering set. No less important, as we shall nowshow, is the fact that cycle eigenvalues are metric invariants: they determine therelative sizes of neighborhoods in a non–w**and**ering set.We start by noting that due to the multiplicative structure (4.44) of Jacobianmatrices, the Jacobian matrix for the rth repeat of a prime cycle p of period T p isJ rT p(x) = J T p( f (r−1)T p(x)) · · · J T p( f T p(x))J T p(x) = J p (x) r , (5.1)where J p (x) = J T p(x) is the Jacobian matrix for a single traversal of the primecycle p, x ∈ M p is any point on the cycle, **and** f rT p(x) = x as f t (x) returns to xevery multiple of the period T p . Hence, it suffices to restrict our considerations tothe **stability** of prime cycles.fast track:sect. 5.2, p. 995.1.1 Floquet vectorsWhen dealing with periodic orbits, some of the quantities already introduced inheritnames from the Floquet theory of differential equations with time-periodiccoefficients. Consider the equation of variations (4.2) evaluated on a periodic orbitp,˙ δx = A(t) δx , A(t) = A(x(t)) = A(t + T p ) . (5.2)The T p periodicity of the **stability** matrix implies that if δx(t) is a solution of (5.2)then also δx(t + T p ) satisfies the same equation: moreover the two solutions arerelated by (4.6)δx(t + T p ) = J p (x) δx(t) . (5.3)Even though the Jacobian matrix J p (x) depends upon x (the ‘starting’ point ofthe periodic orbit), we shall show in sect. 5.2 that its eigenvalues do not, so wemay write for its eigenvectors e ( j) (sometimes referred to as ‘covariant Lyapunovvectors,’ or, for periodic orbits, as ‘Floquet vectors’)J p (x) e ( j) (x) = Λ p, j e ( j) (x) , Λ p, j = σ ( p j) j)λ(ep T p. (5.4)where λ ( p j) = µ ( p j) ± iω ( p j) **and** σ ( pj) are independent of x. When Λ p, j is real, we docare about σ ( pj) = Λ p, j /|Λ p, j | ∈ {+1, −1}, the sign of the jth Floquet multiplier.invariants - 2dec2009 **Chaos**Book.org version13, Dec 31 2009

Figure 5.1: For a prime cycle p, Floquet matrixJ p returns an infinitesimal spherical neighborhood ofx 0 ∈ M p stretched into an ellipsoid, with overlap ratioalong the eigdirection e (i) of J p (x) given by the Floquetmultiplier |Λ p,i |. These ratios are invariant undersmooth nonlinear reparametrizations of state space coordinates,**and** are intrinsic property of cycle p.x + Jpδxx 00+ x δIf σ ( j)p = −1 **and** λ ( j)p 0, the corresponding eigen-direction is said to be inverse section 7.2hyperbolic. Keeping track of this by case-by-case enumeration is an unnecessarynuisance, so most of our formulas will be stated in terms of the Floquet multipliersΛ j rather than in the terms of the multiplier signs σ ( j) , exponents µ ( j) **and** phasesω ( j) .Exp**and** δx in the (5.4) eigenbasis, δx(t) = ∑ δx j (t) e ( j) , e ( j) = e ( j) (x(0)) .Taking into account (5.3), we get that δx j (t) is multiplied by Λ p, j per each period∑∑δx(t + T p ) = δx j (t + T p ) e ( j) = Λ p, j δx j (t) e ( j) .jjWe can absorb this exponential growth / contraction by rewriting the coefficientsδx j (t) asj)λ(δx j (t) = ep t u j (t) , u j (0) = δx j (0) ,with u j (t) periodic with period T p . Thus each solution of the equation of variations(4.2) may be expressed in the Floquet form∑δx(t) =jj)λ(ep t u j (t) e ( j) , u j (t + T p ) = u j (t) . (5.5)The continuous time t appearing in (5.5) does not imply that eigenvalues of theJacobian matrix enjoy any multiplicative property for t rT p : λ ( p j) = µ ( p j) ± iω ( pj)refer to a full traversal of the periodic orbit. Indeed, while u j (t) describes thevariation of δx(t) with respect to the stationary eigen-frame fixed by eigenvectorsat the point x(0), the object of real interest is the co-moving eigen-frame definedbelow in (5.13).5.1.2 Floquet matrix eigenvalues **and** exponentsThe time-dependent T-periodic vector fields, such as the flow linearized aroundthe periodic orbit, are described by Floquet theory. Hence from now on we shallinvariants - 2dec2009 **Chaos**Book.org version13, Dec 31 2009

x’x=x(T)Figure 5.2: An unstable periodic orbit repels everyneighboring trajectory x ′ (t), except those on its center**and** unstable manifolds.x’(T)refer to a Jacobian matrix evaluated on a periodic orbit as a Floquet matrix, to itseigenvalues Λ p, j as Floquet multipliers (5.4), **and** to λ ( p j) = µ ( p j) + iω ( pj) as Floquetor characteristic exponents. We sort the Floquet multipliers {Λ p,1 , Λ p,2 , . . ., Λ p,d }of the [d×d] Floquet matrix J p evaluated on the p-cycle into sets {e, m, c}exp**and**ing: {Λ} e = {Λ p, j : ∣ ∣ ∣Λp, j∣ ∣∣ > 1}marginal: {Λ} m = {Λ p, j : ∣ ∣ ∣Λp, j∣ ∣∣ = 1} (5.6)contracting: {Λ} c = {Λ p, j : ∣ ∣ ∣Λp, j∣ ∣∣ < 1} .**and** denote by Λ p (no jth eigenvalue index) the product of exp**and**ing Floquetmultipliers∏Λ p = Λ p,e . (5.7)eAs J p is a real matrix, complex eigenvalues always come in complex conjugatepairs, Λ p,i+1 = Λ ∗ p,i, so the product (5.7) is always real.The stretching/contraction rates per unit time are given by the real parts ofFloquet exponentsµ (i)p = 1T pln ∣ ∣ ∣Λp,i∣ ∣∣ . (5.8)The factor 1/T p in the definition of the Floquet exponents is motivated by itsform for the linear dynamical systems, for example (4.16), as well as the fact thatexponents so defined can be interpreted as Lyapunov exponents (17.33) evaluatedon the prime cycle p. As in the three cases of (5.6), we sort the Floquet exponentsλ = µ ± iω into three sets section 17.3exp**and**ing: {λ} e = {λ (i)pmarginal: {λ} m = {λ (i)pcontracting: {λ} c = {λ (i)p: µ (i)p > 0}: µ (i)p = 0}: µ (i)p < 0} . (5.9)invariants - 2dec2009 **Chaos**Book.org version13, Dec 31 2009

A periodic orbit p of a d-dimensional flow or a map is stable if real partsof all of its Floquet exponents (other than the vanishing longitudinal exponent,explained in sect. 5.2.1) are strictly negative, µ (i)p < 0. The region of system parametervalues for which a periodic orbit p is stable is called the **stability** windowof p. The set M p of initial points that are asymptotically attracted to p as t → +∞(for a fixed set of system parameter values) is called the basin of attraction of p. Ifall Floquet exponents (other than the vanishing longitudinal exponent) are strictlypositive, µ (i) ≥ µ min > 0, the cycle is repelling, **and** unstable to any perturbation.If some are strictly positive, **and** rest strictly negative, −µ (i) ≥ µ min > 0, the cycleis said to be hyperbolic or a saddle, **and** unstable to perturbations outside its stablemanifold. Repelling **and** hyperbolic cycles are unstable to generic perturbations,**and** thus said to be unstable, see figure 5.2. If all µ (i) = 0, the orbit is said to beelliptic, **and** if µ (i) = 0 for a subset of exponents (other than the longitudinal one),the orbit is said to be partially hyperbolic. Such orbits proliferate in Hamiltonianflows. section 7.3If all Floquet exponents (other than the vanishing longitudinal exponent) ofall periodic orbits of a flow are strictly bounded away from zero, the flow is saidto be hyperbolic. Otherwise the flow is said to be nonhyperbolic.Example 5.1 Stability of cycles of 1-dimensional maps: The **stability** of a primecycle p of a 1-dimensional map follows from the chain rule (4.51) for **stability** of the n p thiterate of the mapΛ p =dn∏p −1f n p(x 0 ) = f ′ (x m ) , x m = f m (x 0 ) . (5.10)dx 0m=0Λ p is a property of the cycle, not the initial periodic point, as taking any periodic pointin the p cycle as the initial one yields the same Λ p .A critical point x c is a value of x for which the mapping f (x) has vanishingderivative, f ′ (x c ) = 0. A periodic orbit of a 1-dimensional map is stable if∣∣Λ p∣ ∣∣ =∣ ∣∣ f ′ (x np ) f ′ (x np −1) · · · f ′ (x 2 ) f ′ (x 1 ) ∣ ∣ ∣ < 1 ,**and** superstable if the orbit includes a critical point, so that the above product vanishes.For a stable periodic orbit of period n the slope Λ p of the nth iterate f n (x) evaluatedon a periodic point x (fixed point of the nth iterate) lies between −1 **and** 1. If ∣ ∣ ∣Λp∣ ∣∣ > 1,p-cycle is unstable.Example 5.2 Stability of cycles for maps: No matter what method we use todetermine the unstable cycles, the theory to be developed here requires that their Floquetmultipliers be evaluated as well. For maps a Floquet matrix is easily evaluatedby picking any periodic point as a starting point, running once around a prime cycle,**and** multiplying the individual periodic point Jacobian matrices according to (4.52). Forexample, the Floquet matrix M p for a Hénon map (3.19) prime cycle p of length n p isgiven by (4.53),1∏ ( )−2axk bM p (x 0 ) =1 0, x k ∈ M p ,k=n pinvariants - 2dec2009 **Chaos**Book.org version13, Dec 31 2009

**and** the Floquet matrix M p for a 2-dimensional billiard prime cycle p of length n p1∏ (M p = (−1) n p 1 τk0 1k=n p) (1 0r k 1)follows from (8.11) of chapter 8 below. The decreasing order in the indices of theproducts in above formulas is a reminder that the successive time steps correspondto multiplication from the left, M p (x 1 ) = M(x np ) · · · M(x 1 ). We shall compute Floquetmultipliers of Hénon map cycles once we learn how to find their periodic orbits, seeexercise 13.13.5.2 Floquet multipliers are invariantThe 1-dimensional map Floquet multiplier (5.10) is a product of derivatives overall points around the cycle, **and** is therefore independent of which periodic pointis chosen as the initial one. In higher dimensions the form of the Floquet matrixJ p (x 0 ) in (5.1) does depend on the choice of coordinates **and** the initial pointx 0 ∈ M p . Nevertheless, as we shall now show, the cycle Floquet multipliersare intrinsic property of a cycle in any dimension. Consider the ith eigenvalue,eigenvector pair (Λ p,i , e (i) ) computed from J p evaluated at a periodic point x,J p (x) e (i) (x) = Λ p,i e (i) (x) , x ∈ M p . (5.11)Consider another point on the cycle at time t later, x ′ = f t (x) whose Floquetmatrix is J p (x ′ ). By the group property (4.44), J T p+t= J t+T p, **and** the Jacobianmatrix at x ′ can be written either asJ T p+t (x) = J T p(x ′ ) J t (x) = J p (x ′ ) J t (x) ,or J t (x) J p (x). Multiplying (5.11) by J t (x), we find that the Floquet matrix evaluatedat x ′ has the same Floquet multiplier,J p (x ′ ) e (i) (x ′ ) = Λ p,i e (i) (x ′ ) , e (i) (x ′ ) = J t (x) e (i) (x) , (5.12)but with the eigenvector e (i) transported along the flow x → x ′ to e (i) (x ′ ) =J t (x) e (i) (x). Hence, in the spirit of the Floquet theory (5.5) one can define timeperiodicunit eigenvectors (in a co-moving ‘Lagrangian frame’)e ( j) j)−λ((t) = ep t J t (x) e ( j) (0) , e ( j) (t) = e ( j) (x(t)) , x(t) ∈ M p . (5.13)J p evaluated anywhere along the cycle has the same set of Floquet multipliers{Λ p,1 , Λ p,2 , · · · , 1, · · · , Λ p,d−1 }. As quantities such as tr J p (x), det J p (x) dependinvariants - 2dec2009 **Chaos**Book.org version13, Dec 31 2009

only on the eigenvalues of J p (x) **and** not on the starting point x, in expressionssuch as det ( 1 − J r p (x)) we may omit reference to x,det ( 1 − J r p)= det(1 − Jrp (x) ) for any x ∈ M p . (5.14)We postpone the proof that the cycle Floquet multipliers are smooth conjugacyinvariants of the flow to sect. 6.6.5.2.1 Marginal eigenvaluesThe presence of marginal eigenvalues signals either a continuous symmetry of theflow (which one should immediately exploit to simplify the problem), or a nonhyperbolicityof a flow (a source of much pain, hard to avoid). In that case (typicalof parameter values for which bifurcations occur) one has to go beyond linear**stability**, deal with Jordan type subspaces (see example 4.4), **and** sub-exponentialgrowth rates, such as t α . chapter 24For flow-invariant solutions such as periodic orbits, the time evolution is itselfa continuous symmetry, hence a periodic orbit of a flow always has a marginalFloquet multiplier:As J t (x) transports the velocity field v(x) by (4.7), after a complete periodexercise 5.1J p (x) v(x) = v(x) , (5.15)so for a periodic orbit of a flow the local velocity field is always has an eigenvectore (‖) (x) = v(x) with the unit Floquet multiplier,Λ p,‖ = 1 ,λ (‖)p = 0 . (5.16)exercise 6.3The continuous invariance that gives rise to this marginal Floquet multiplier is theinvariance of a cycle (the set M p ) under a translation of its points along the cycle:two points on the cycle (see figure 4.3) initially distance δx apart, x ′ (0) − x(0) =δx(0), are separated by the exactly same δx after a full period T p . As we shall seein sect. 5.3, this marginal **stability** direction can be eliminated by cutting the cycleby a Poincaré section **and** eliminating the continuous flow Floquet matrix in favorof the Floquet matrix of the Poincaré return map.If the flow is governed by a time-independent Hamiltonian, the energy is conserved,**and** that leads to an additional marginal Floquet multiplier (we shall showin sect. 7.3 that due to the symplectic invariance (7.19) real eigenvalues come inpairs). Further marginal eigenvalues arise in presence of continuous symmetries,as discussed in chapter 10 below.invariants - 2dec2009 **Chaos**Book.org version13, Dec 31 2009

5.3 Stability of Poincaré map cycles(R. Paškauskas **and** P. Cvitanović)If a continuous flow periodic orbit p pierces the Poincaré section P once, thesection point is a fixed point of the Poincaré return map P with **stability** (4.57)(Jˆi j = δ ik − v )i U kJ k j , (5.17)(v · U)with all primes dropped, as the initial **and** the final points coincide, x ′ = f T p(x) =x. If the periodic orbit p pierces the Poincaré section n times, the same observationapplies to the nth iterate of P.We have already established in (4.58) that the velocity v(x) is a zero eigenvectorof the Poincaré section Floquet matrix, Jˆv = 0. Consider next (Λ p,α , e (α) ),the full state space αth (eigenvalue, eigenvector) pair (5.11), evaluated at a periodicpoint on a Poincaré section,J(x) e (α) (x) = Λ α e (α) (x) , x ∈ P . (5.18)Multiplying (5.17) by e (α) **and** inserting (5.18), we find that the full state spaceFloquet matrix **and** the Poincaré section Floquet matrix Jˆhave the same Floquetmultiplierˆ J(x) ê (α) (x) = Λ α ê (α) (x) , x ∈ P , (5.19)where ê (α) is a projection of the full state space eigenvector onto the Poincarésection:(ê (α) ) i =(δ ik − v )i U k(e (α) ) k . (5.20)(v · U)Hence, ˆ J p evaluated on any Poincaré section point along the cycle p has the sameset of Floquet multipliers {Λ p,1 , Λ p,2 , · · · Λ p,d } as the full state space Floquet matrixJ p , except for the marginal unit Floquet multiplier (5.16).As established in (4.58), due to the continuous symmetry (time invariance) ˆ J pis a rank d −1 matrix. We shall refer to any such rank [(d −1− N)× (d −1− N)]submatrix with N − 1 continuous symmetries quotiented out as the monodromymatrix M p (from Greek mono- = alone, single, **and** dromo = run, racecourse,meaning a single run around the stadium). Quotienting continuous symmetries isdiscussed in chapter 10 below.invariants - 2dec2009 **Chaos**Book.org version13, Dec 31 2009

5.4 There goes the neighborhoodIn what follows, our task will be to determine the size of a neighborhood of x(t),**and** that is why we care about the Floquet multipliers, **and** especially the unstable(exp**and**ing) ones. Nearby points aligned along the stable (contracting) directionsremain in the neighborhood of the trajectory x(t) = f t (x 0 ); the ones to keep aneye on are the points which leave the neighborhood along the unstable directions.The sub-volume |M i | = ∏ ei∆x i of the set of points which get no further awayfrom f t (x 0 ) than L, the typical size of the system, is fixed by the condition that∆x i Λ i = O(L) in each exp**and**ing direction i. Hence the neighborhood size scalesas ∝ 1/|Λ p | where Λ p is the product of exp**and**ing Floquet multipliers (5.7) only;contracting ones play a secondary role.So the dynamically important information is carried by the exp**and**ing subvolume,not the total volume computed so easily in (4.47). That is also the reasonwhy the dissipative **and** the Hamiltonian chaotic flows are much more alike thanone would have naively expected for ‘compressible’ vs. ‘incompressible’ flows.In hyperbolic systems what matters are the exp**and**ing directions. Whether thecontracting eigenvalues are inverses of the exp**and**ing ones or not is of secondaryimportance. As long as the number of unstable directions is finite, the same theoryapplies both to the finite-dimensional ODEs **and** infinite-dimensional PDEs.RésuméPeriodic orbits play a central role in any invariant characterization of the dynamics,because (a) their existence **and** inter-relations are a topological, coordinateindependentproperty of the dynamics, **and** (b) their Floquet multipliers form aninfinite set of metric invariants: The Floquet multipliers of a periodic orbit remain section 6.6invariant under any smooth nonlinear change of coordinates f → h ◦ f ◦ h −1 . Letus summarize the linearized flow notation used throughout the **Chaos**Book.Differential formulation, flows:ẋ = v ,˙ δx = A δxgoverns the dynamics in the tangent bundle (x, δx) ∈ TM obtained by adjoiningthe d-dimensional tangent space δx ∈ TM x to every point x ∈ M in the d-dimensionalstate space M ⊂ R d . The **stability** matrix A = ∂v/∂x describes theinstantaneous rate of shearing of the infinitesimal neighborhood of x(t) by theflow.Finite time formulation, maps: A discrete sets of trajectory points {x 0 , x 1 , · · · ,x n , · · ·} ∈ M can be generated by composing finite-time maps, either given asx n+1 = f (x n ), or obtained by integrating the dynamical equations∫ tn+1x n+1 = f (x n ) = x n + dτ v(x(τ)) , (5.21)t ninvariants - 2dec2009 **Chaos**Book.org version13, Dec 31 2009

for a discrete sequence of times {t 0 , t 1 , · · · , t n , · · ·}, specified by some criterion suchas strobing or Poincaré sections. In the discrete time formulation the dynamics inthe tangent bundle (x, δx) ∈ TM is governed byx n+1 = f (x n ) , δx n+1 = J(x n ) δx n , J(x n ) = J t n+1−t n(x n ) ,where J(x n ) = ∂x n+1 /∂x n = ∫ dτ exp (A τ) is the Jacobian matrix.Stability of invariant solutions: The linear **stability** of an equilibrium v(x E Q) =0 is described by the eigenvalues **and** eigenvectors {λ ( j) , e ( j) } of the **stability** matrixA evaluated at the equilibrium point, **and** the linear **stability** of a periodic orbitf T (x) = x, x ∈ M p ,J p (x) e ( j) (x) = Λ p, j e ( j) (x) , Λ p, j = σ ( p j) j)λ(ep T p,by its Floquet multipliers, vectors **and** exponents {Λ j , e ( j) }, where λ ( p j) = µ ( j)For every continuous symmetry there is a marginal eigen-direction, withiω ( j)pp ±Λ p, j = 1, λ ( pj) = 0. With all 1 + N continuous symmetries quotiented out (Poincarésections for time, slices for continuous symmetries of dynamics, see sect. 10.4)linear **stability** of a periodic orbit (**and**, more generally, of a partially hyperbolictorus) is described by the [(d-1-N) × (d-1-N)] monodromy matrix, all of whoseFloquet multipliers |Λ p, j | 1 are generically strictly hyperbolic,M p (x) e ( j) (x) = Λ p, j e ( j) (x) , x ∈ M p /G .We shall show in chapter 11 that extending the linearized **stability** hyperboliceigen-directions into stable **and** unstable manifolds yields important global informationabout the topological organization of state space. What matters most arethe exp**and**ing directions. The physically important information is carried by theunstable manifold, **and** the exp**and**ing sub-volume characterized by the product ofexp**and**ing Floquet multipliers of J p . As long as the number of unstable directionsis finite, the theory can be applied to flows of arbitrarily high dimension.in depth:appendix B, p. 751fast track:chapter 9, p. 142CommentaryRemark 5.1 Floquet theory. Study of time-dependent **and** T-periodic vector fields isa classical subject in the theory of differential equations [5.1, 5.2]. In physics literatureFloquet exponents often assume different names according to the context where the theoryis applied: they are called Bloch phases in the discussion of Schrödinger equationwith a periodic potential [5.3], or quasi-momenta in the quantum theory of time-periodicHamiltonians.exerInvariants - 13jun2008 **Chaos**Book.org version13, Dec 31 2009