Moment instabilities in multidimensional systems with noise

We present a systematic study of moment evolution in multidimensional stochastic difference systems, focusing on characterizing systems whose low-order moments diverge in the neighborhood of a stable fixed point. We consider systems with a simple, dominant eigenvalue and stationary, white noise. When the noise is small, we obtain general expressions for the approximate asymptotic distribution and moment Lyapunov exponents. In the case of larger noise, the second moment is calculated using a different approach, which gives an exact result for some types of noise. We analyze the dependence of the moments on the system's dimension, relevant system properties, the form of the noise, and the magnitude of the noise. We determine a critical value for noise strength, as a function of the unperturbed system's convergence rate, above which the second moment diverges and large fluctuations are likely. Analytical results are validated by numerical simulations. We show that our results cannot be extended to the continuous time limit except in certain special cases.Comment: 21 pages, 15 figure

Asymptotic forecast uncertainty and the unstable subspace in the presence of additive model error

It is well understood that dynamic instability is among the primary drivers of forecast uncertainty in chaotic, physical systems. Data assimilation techniques have been designed to exploit this phenomenon, reducing the effective dimension of the data assimilation problem to the directions of rapidly growing errors. Recent mathematical work has, moreover, provided formal proofs of the central hypothesis of the assimilation in the unstable subspace methodology of Anna Trevisan and her collaborators: for filters and smoothers in perfect, linear, Gaussian models, the distribution of forecast errors asymptotically conforms to the unstable-neutral subspace. Specifically, the column span of the forecast and posterior error covariances asymptotically align with the span of backward Lyapunov vectors with nonnegative exponents. Earlier mathematical studies have focused on perfect models, and this current work now explores the relationship between dynamical instability, the precision of observations, and the evolution of forecast error in linear models with additive model error. We prove bounds for the asymptotic uncertainty, explicitly relating the rate of dynamical expansion, model precision, and observational accuracy. Formalizing this relationship, we provide a novel, necessary criterion for the boundedness of forecast errors. Furthermore, we numerically explore the relationship between observational design, dynamical instability, and filter boundedness. Additionally, we include a detailed introduction to the multiplicative ergodic theorem and to the theory and construction of Lyapunov vectors. While forecast error in the stable subspace may not generically vanish, we show that even without filtering, uncertainty remains uniformly bounded due its dynamical dissipation. However, the continuous reinjection of uncertainty from model errors may be excited by transient instabilities in the stable modes of high variance, rendering forecast uncertainty impractically large. In the context of ensemble data assimilation, this requires rectifying the rank of the ensemble-based gain to account for the growth of uncertainty beyond the unstable and neutral subspace, additionally correcting stable modes with frequent occurrences of positive local Lyapunov exponents that excite model errors

Rank deficiency of Kalman error covariance matrices in linear time-varying system with deterministic evolution

We prove that for-linear, discrete, time-varying, deterministic system (perfect-model) with noisy outputs, the Riccati transformation in the Kalman filter asymptotically bounds the rank of the forecast and the analysis error covariance matrices to be less than or equal to the number of nonnegative Lyapunov exponents of the system. Further, the support of these error covariance matrices is shown to be confined to the space spanned by the unstable-neutral backward Lyapunov vectors, providing the theoretical justification for the methodology of the algorithms that perform assimilation only in the unstable-neutral subspace. The equivalent property of the autonomous system is investigated as a special case

Nonlinear Lattice Waves in Random Potentials

Localization of waves by disorder is a fundamental physical problem encompassing a diverse spectrum of theoretical, experimental and numerical studies in the context of metal-insulator transition, quantum Hall effect, light propagation in photonic crystals, and dynamics of ultra-cold atoms in optical arrays. Large intensity light can induce nonlinear response, ultracold atomic gases can be tuned into an interacting regime, which leads again to nonlinear wave equations on a mean field level. The interplay between disorder and nonlinearity, their localizing and delocalizing effects is currently an intriguing and challenging issue in the field. We will discuss recent advances in the dynamics of nonlinear lattice waves in random potentials. In the absence of nonlinear terms in the wave equations, Anderson localization is leading to a halt of wave packet spreading. Nonlinearity couples localized eigenstates and, potentially, enables spreading and destruction of Anderson localization due to nonintegrability, chaos and decoherence. The spreading process is characterized by universal subdiffusive laws due to nonlinear diffusion. We review extensive computational studies for one- and two-dimensional systems with tunable nonlinearity power. We also briefly discuss extensions to other cases where the linear wave equation features localization: Aubry-Andre localization with quasiperiodic potentials, Wannier-Stark localization with dc fields, and dynamical localization in momentum space with kicked rotors.Comment: 45 pages, 19 figure

Homoclinic orbits, and self-excited and hidden attractors in a Lorenz-like system describing convective fluid motion

In this tutorial, we discuss self-excited and hidden attractors for systems of differential equations. We considered the example of a Lorenz-like system derived from the well-known Glukhovsky--Dolghansky and Rabinovich systems, to demonstrate the analysis of self-excited and hidden attractors and their characteristics. We applied the fishing principle to demonstrate the existence of a homoclinic orbit, proved the dissipativity and completeness of the system, and found absorbing and positively invariant sets. We have shown that this system has a self-excited attractor and a hidden attractor for certain parameters. The upper estimates of the Lyapunov dimension of self-excited and hidden attractors were obtained analytically.Comment: submitted to EP

Sliding Objects with Random Friction

We study the motion of elastic networks driven over a random substrate. Our model which includes local friction forces leads to complex dynamical behavior. We find a transition to a sliding state which belongs to a new universality class. The phase diagram comprises of a pinned state, a stick-slip motion phase, and a free motion phase.Comment: proceedings of Conference "Percolation and Disordered Systems: *Theory and Applications*", Giessen (Germany) 1998, see http://ory.ph.biu.ac.il/PERCOLATION98/ , 12 pages, 5 figures, in press, will be published in Physica

Complex Dynamics and Synchronization of Delayed-Feedback Nonlinear Oscillators

We describe a flexible and modular delayed-feedback nonlinear oscillator that is capable of generating a wide range of dynamical behaviours, from periodic oscillations to high-dimensional chaos. The oscillator uses electrooptic modulation and fibre-optic transmission, with feedback and filtering implemented through real-time digital-signal processing. We consider two such oscillators that are coupled to one another, and we identify the conditions under which they will synchronize. By examining the rates of divergence or convergence between two coupled oscillators, we quantify the maximum Lyapunov exponents or transverse Lyapunov exponents of the system, and we present an experimental method to determine these rates that does not require a mathematical model of the system. Finally, we demonstrate a new adaptive control method that keeps two oscillators synchronized even when the coupling between them is changing unpredictably.Comment: 24 pages, 13 figures. To appear in Phil. Trans. R. Soc. A (special theme issue to accompany 2009 International Workshop on Delayed Complex Systems