Physica16D (1985)285-317

North-Holland,
Amsterdam

DETERMINING LYAPUNOV EXPONENTS FROM A TIME SERIES

Alan WOLF~-,Jack B. SWIFT, HarryL. SWINNEY andJohn A. VASTANO

Department of Physics, University of Texas, Austin, Texas 78712, USA

Received18 October1984

We presentthefirstalgorithms thatallowtheestimationof non-negativeLyapunovexponents from an experimental time

series.Lyapunovexponents, whichprovidea qualitative
andquantitative characterization
of dynamicalbehavior, arerelatedto
theexponentially fastdivergenceor convergenceof nearbyorbitsin phasespace.A systemwithoneor morepositiveLyapunov
exponents is definedto be chaotic.
Our methodis rootedconceptually in a previously
developedtechniquethatcouldonly be
appliedto analyticallydefinedmodelsystems: we monitorthelong-term growthrateof small volumeelements in an attractor.
The methodis testedon modelsystems with knownLyapunovspectra,and appliedto datafor the Belousov-Zhabotinskii
reactionand Couette-Taylor flow.

Contents convergence of nearbyorbitsin phasespace.Since

1. Introduction
nearbyorbitscorrespond to nearlyidenticalstates,
2. The Lyapunovspectrum defined
3. Calculationof Lyapunovspectrafromdifferential
equations exponential orbitaldivergence meansthatsystems
4. An approach to spectral
estimationfor experimental
data whoseinitial differences we may not be able to
5. Spectralalgorithmimplementation* resolvewill soonbehavequitedifferently-predic-
6. Implementation details*
7. Datarequirements andnoise* tive abilityis rapidlylost.Any systemcontaining
8. Results at leastonepositiveLyapunovexponent is defined
9. Conclusions to be chaotic,with themagnitude of theexponent
Appendices* reflecting thetimescaleon whichsystem dynamics
A. Lyapunovspectrumprogramfor systemsof differential become unpredictable [10].
equations
B. Fixed evolutiontimeprogramfor ~'1 For systems whoseequations of motionare ex-
plicitlyknownthereis a straightforward technique
[8, 9] for computinga completeLyapunovspec-
1. Introduction trum. This methodcannotbe applieddirectlyto
experimental data for reasonsthat will be dis-
Convincingevidence for deterministic chaoshas cussed later. We will describea technique which
comefrom a varietyof recentexperiments [1-6] for thefirst timeyieldsestimates of thenon-nega-
on dissipativenonlinearsystems;therefore,the tive Lyapunovexponents from finite amountsof
questionof detectingand quantifyingchaoshas experimental data.
becomean importantone. Here we considerthe A less general procedure [6, 11-14]for estimat-
spectrumof Lyapunovexponents[7-10], which ing only the dominant Lyapunov exponent in ex-
has provento be the mostusefuldynamicaldi- perimental systems has beenusedfor sometime.
agnosticfor chaoticsystems. Lyapunovexponents This technique is limitedto systems wherea well-
are the average exponential ratesof divergence or definedone-dimensional (l-D) map can be re-
covered.The techniqueis numericallyunstable
tPresentaddress: The CooperUnion,Schoolof Engineering, and the literature containsseveralexamples of its
N.Y., NY 10003,USA.
*The readermaywish to skip thestarredsectionsat a first
improper application to experimental data. A dis-
reading. cussionof the 1-D mapcalculation maybe found

0167-2789/85/$03.30
ElsevierSciencePublishers
(North-H01!and
PhysicsPublishingDivision)
286 A. Wolf et al./ Determining Lyapunov exponentsfrom a time series

in ref. 13. In ref. 2 we presented an unusually tion 7 concernssourcesof errorin thecalculations

robust1-D map exponentcalculationfor experi- and the qualityand quantityof datarequiredfor
mentaldataobtainedfroma chemicalreaction. accurateexponentestimation. Our methodis ap-
Experimental data inevitablycontainexternal plied to modelsystemsand experimental datain
noisedueto environmental fluctuations andlimited section 8, and the conclusionsare given in
experimental resolution. In thelimit of an infinite section9.
amountof noise-freedata our approachwould
yieldLyapunovexponents by definition.Our abil-
ity to obtaingoodspectralestimates from experi- 2. The Lyapunov spectrum defined
mentaldatadependson the quantityand quality
of the data as well as on the complexity of the We now define[8, 9] thespectrum of Lyapunov
dynamical system.We havetestedour methodon exponents in themannermostrelevantto spectral
modeldynamical systems with knownspectraand calculations. Given a continuousdynamicalsys-
appliedit to experimental datafor chemical [2, 13] temin an n-dimensional phasespace,we monitor
and hydrodynamic [3] strangeattractors. thelong-term evolutionof an infinitesimal n-sphere
Althoughtheworkof characterizing chaoticdata of initial conditions;the spherewill becomean
is still in its infancy,therehavebeenmanyap- n-ellipsoiddue to the locallydeforming natureof
proachesto quantifying chaos,e.g.,fractalpower theflow.The ith one-dimensional Lyapunovexpo-
spectra[15],entropy[16-18,3], andfractaldimen- nentis thendefinedin termsof the lengthof the
sion [proposed in ref. 19, usedin ref. 3-5, 20, 21]. ellipsoidalprincipalaxis p i ( t ) :
We havetestedmanyof thesealgorithms on both
model and experimental data, and despitethe h~= lim 1 log2 p c ( t ) (1)
claims of their proponents we have found that t--,oo t pc(O)'
theseapproaches oftenfail to characterize chaotic
data. In particular,parameter independence, the wherethe )h areorderedfromlargestto smallestt.
amountof datarequired,and the stabilityof re- Thus the Lyapunovexponents are relatedto the
suits with respectto externalnoise have rarely expanding or contracting
natureof differentdirec-
beenexamined thoroughly. tions in phasespace.Sincethe orientation of the
The spectrumof Lyapunovexponents will be ellipsoidchangescontinuously as it evolves,the
definedand discussedin section2. This section directionsassociatedwitha givenexponent varyin
includestableI whichsummarizes the modelsys- a complicated way throughtheattractor.One can-
tems that are usedin this paper.Section3 is a not, therefore,speakof a well-defined direction
reviewof thecalculation of thecomplete spectrum associatedwith a givenexponent.
of exponentsfor systemsin which the defining Notice that the linear extentof the ellipsoid
differential equations areknown.AppendixA con- grows as 2htt, the area definedby the first two
tains Fortrancode for this calculation, which to principalaxesgrowsas 2(x~*x2)t, the volumede-
our knowledge has not beenpublishedelsewhere. fined by the first threeprincipalaxes grows as
In section4, an outlineof our approach to estimat- 2(x'+x2+x~)t, and so on. This propertyyields
ing the non-negative portion of the Lyapunov anotherdefinitionof the spectrumof exponents:
exponentspectrumis presented. In section5 we
describethe algorithmsfor estimatingthe two tWhiletheexistence of thislimithasbeen questioned [8,9,
largestexponents.A Fortran programfor de- 22],thefactis thattheorbitaldivergenceof any datasetmay
bequantified.
Evenif thelimitdoesnotexistfortheunderlying
terminingthe largestexponentis containedin system,or cannotbe approacheddue to having finite amounts
appendixB. Our algorithm requiresinputparame- of noisydata,Lyapunov exponent estimates couldstillprovide
terswhoseselection is discussed in section6. Sec- a usefulcharacterization
of a givendataset.(Seesection 7.1.)
 A. Wolf et aL / Determining Lyapunov exponents from a time series 287

thesumof thefirst j exponents is definedby the thatwe will discussaredefinedin tableI.) Since
long termexponential growthrateof a j-volume Lyapunovexponents involvelong-timeaveraged
element. This alternate definition will providethe behavior,the short segments of the trajectories
basisof our spectraltechnique for experimental shownin the figurecannotbe expected to accu-
data. ratelycharacterize thepositive,zero,andnegative
Any continuous time-dependent dynamical sys- exponents; nevertheless, thethreedistincttypesof
tem withouta fixed pointwill haveat leastone behaviorare clear.In a continuous four-dimen-
zero exponent[22],corresponding to the slowly sionaldissipative systemthereare threepossible
changing magnitude of a principalaxistangent to typesof strange attractors: theirLyapunov spectra
the flow. Axes thatareon theaverage expanding are ( + , + , 0 , - ) , ( + , 0 , 0 , - ) ,and ( + , 0 , - , - ) .
(contracting) correspond to positive(negative) ex- An exampleof the first typeis Rossler'shyper-
ponents.The sumof the Lyapunovexponents is chaos attractor[24] (see table I). For a given
the time-averaged divergence of the phasespace systema changein parameters will generally
velocity;henceany dissipative dynamical system changethe Lyapunovspectrumand may also
will haveat leastonenegative exponent, thesum changeboth the typeof spectrum and type of
of all of the exponents is negative, and thepost- attractor.
transientmotionof trajectories will occuron a The magnitudes of the Lyapunovexponents
zerovolumelimitset,an attractor. quantify a n attractor's dynamicsin information
The exponential expansion indicated by a posi- theoretic terms.The exponents measure therateat
tive Lyapunovexponent is incompatible withmo- whichsystem processes createor destroy informa-
tion on a boundedattractor unlesssomesort of tion [10];thustheexponents areexpressed in bits
folding processmergeswidelyseparated trajecto- of information/s or bits/orbitfor a continuous
ries. Eachpositiveexponent reflectsa "direction" systemand bits/iteration for a discretesystem.
in which the systemexperiencesthe repeated For example, in theLorenzattractor thepositive
stretchingand folding that decorrelates nearby exponent has a magnitude of 2.16bits/s(for the
stateson the attractor. Therefore,the long-term parameter valuesshownin tableI). Henceif an
behaviorof an initial conditionthatis specified initialpointwerespecified withan accuracy of one
with any uncertainty cannotbe predicted; thisis part per million (20 bits), the futurebehavior
chaos.An attractor for a dissipatiVe systemwith couldnotbepredicted afterabout9 s [20bits/(2.16
one or morepositiveLyapunov exponents is said bits/s)],corresponding to about20 orbits.After
to be "strange" or "chaotic". this timethe smallinitialuncertainty will essen-
The signsof theLyapunov exponents providea tiallycovertheentireattractor, reflecting 20bitsof
qualitative pictureof a system's dynamics. One- new information thatcan be gainedfrom an ad:
dimensional mapsare characterized by a single ditionalmeasurement of the system.This new
Lyapunovexponent whichis positivefor chaos, information arisesfrom scalessmallerthan our
zerofor a marginally stableorbit,andnegative for initial uncertainty and resultsin an inabilityto
a periodicorbit.In a three-dimensional continuous specifythestateof thesystem exceptto saythatit
dissipativedynamicalsystemthe only possible is somewhere on the attractor.This processis
spectra,and the attractors theydescribe,are as sometimes calledan information gain-reflecting
follows:( + , 0 , - ) , a strange attractor; ( 0 , 0 , - ) ,a new information from the heatbath,and some-
two-toms; (0, - , - ) , a limitcycle;and( - , - , - ) , timesis calledan information loss-bitsshifted
a fixed point. Fig. 1 illustratesthe expanding, out of a phasespacevariable"register" whenbits
"slowerthanexponential," and contracting char- fromtheheatbathareshiftedin.
acterof the flow for a three,dimensional system, The averagerate at which information con-
the Lorenzmodel[23].(All of themodelsystems tainedin transients is lostcanbe determined from
288 A. Wolf et al. / Determining Lyapunov exponents from a time series

o .

". . t "." : . . . . ".

. . ..-. .... .. ".. .... , :.~ "'.'. ...
. ...,--.:-:.::-:.........

. .,:'..~..--..:~::.-.:..:'..:..:..
-.....
" " ":'" : " : : " ' "
~'"""""
".':':"'( (,~'."~,m
.. ..

~" "
start
N~

":'"'"'""
,~ .,.:..
~"
" .'~"."
:'.."
.- ""
i
time-~
IIIIIl[l l
. - - '...:,....": /"~% V 4 " ;.' : '" : " .'. -. . " "..'. .. . . . ".. .. . .. .~ . . . . . " .

. . . .

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. ,-:... ".. -..
.

(b) . ..',.<'."~::.:.':.. "... "-.. ,...~.'~:'-:,~:..~ "r.. :-:

" " ~ , ~. ' .~
: ~.'.~. ."., .:'~.?'-,',;~
-~,~'~xxx "~
x .~
-~' -i l ~ I.'.- .:" . . .

" :::,.!...":"""-...- "

[l,,m,,,,l,,,,,llli,,lllli,,dll
". " : : : , . f , ~ , _ , , , ~ . ~ -,.-, ,.,. -...: ...... time --~
$:L~. .... ~-"~.'...__'.~.. ..:-.:..." . . . . : : . : . . ; :
.-'.~...~.;.;.,.... .... ... ............
, " ".:,v':.:~ .:" "~.'. "'"... . . " " :

~start

... ;;.~.....~.::........... s,,,,

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~.~,.~;,..':..::.~:"~-:.v :;..- ---~..-: ..

.........
time

:'" ",',...:~.'.-2~'W~'".~-... ".".'.. "'::...':"'.: - - " ". "- : "

., , " ~ , ' . "

Fig. 1. The shorttermevolutionof the separation

vectorbetweenthreecarefullychosenpairsof nearbypointsis shownfor the
Lorenzattractor,a) An expandingdirection(~1> 0); b) a "slowerthanexponential"
direction(~'2= 0); C) a contracting
direction
(X3 < 0).

thenegativeexponentsThe asymptoticdecayof a For theLorenzattractor

thenegative exponentis
perturbationto the attractor
is governedby the so largethata perturbed
orbit typicallybecomes
leastnegativeexponent,whichshouldthereforebe indistinguishable
fromtheattractor,by "eye",in
theeasiestof thenegativeexponentsto estimatet. lessthanonemeanorbitalperiod(seefig. 1).

t W e have beenquite successfulwith an algorithmfor de- of greatestimportanceis that post-transient data may not
termiuingthe dominant(smallestmagnitude) negativeexpo- containresolvablenegativeexponentinformationand per-
nent from pseudo-experimental data(a singletime seriesex- turbed datamustrefl~tproperties of theunperturbed system,
tractedfrom the solutionof a modelsystemand treatedas an thatis, perturbationsmustonly changethestateof thesystem
experimental observable)for systemsthat are nearlyinteger- (currentvaluesof the dynamical variables).
The response of a
dimensional.Unfortunately,our approach,whichinvolvesmea- physicalsystemto a non-delta functionperturbation is difficult
suringthe meandecayrateof manyinducedperturbations of to interpret,as an orbit separating from the attractormay
thedynamicalsystem,is unlikelyto work on manyexperimen- reflect either a locally repellingregion of the attractor(a
tal systems.Thereare severalfundamental problemswith the positivecontribution to thenegativeexponent) or thefiniterise
calculationof negativeexponentsfrom experimental data,but timeof theperturbation.
 A. Wolf et al. / Determining Lyapunov exponents from a time series 289

TableI
The modelsystems
considered
in thispaperandtheirLyapunov
spectra
anddimensions
ascomputed
fromtheequations
of motion

Lyapunov Lyapunov
System Parameter spectrum dimension*
values (bits/s)t

H~non: [25]
~1= 0.603
X. +1= 1 - aX;. + Yn { b = 1.4 h 2 = - 2.34 1.26
Y. + 1 = bX. = 0.3 (bits/iter.)

Rossler-chaos: [26]
)( = - (Y + Z) [ a = 0.15 )k 1 = 0.13
2.01
)'= X+ aY I b = 0.20 ~2=0.00
= b + Z(X- c) c = 10.0 h 3 = - 14.1

Lorenz: [23]
)(= o(Y- X) [ o = 16.0 h 1 = 2.16
2.07
~'= X ( R - Z ) - Y I R=45.92 X2 =0.00
= X Y - bZ b = 4.0 ;k3 = - 32.4

Rossler-hyperchaos: [24]
Jr'= - ( Y + Z ) ( a = 0.25 At = 0.16
)'= X+ aY+ W [ b = 3.0 X2 =0.03 3.005
= b + XZ | c = 0.05 h 3 = 0.00
if" = c W - d Z k d = 0.5 h4 = - 39.0

Mackey-Glass: [27]
( a = 0.2 ht = 6.30E-3
j( = aX(t + s ) - bX(t) / b = 0.1 )~2= 2.62E-3 3.64
1 + [ X(t + s)]c ) c = 10.0 IX31<8.0E-6
s = 31.8 )'4 = - 1.39E-2

t A meanorbitalperiodis well definedfor Rosslerchaos(6.07seconds)

andfor hyperchaos (5.16seconds)for theparameter
values
usedhere.For the Lorenzattractor a characteristic
time(seefootnote-
section3) is about0.5 seconds.
Spectrawerecomputedfor
eachsystemwith thecodein appendix A.
~As definedin eq. (2).

The Lyapunov spectrum is closely related to the equation

fractional dimension of the associated strange at- E i - - 1~i
tractor. There are a number [19] of different frac- df=J+ I?~j+il' (2)
tional-dimension-like quantities, including the wherej is definedby theconditionthat
fractal dimension, information dimension, and the j j+l
correlation exponent; the difference between them E)~i> 0 and EX,<O. (3)
is often small. It has been conjectured by Kaplan i--1 i--1
and Yorke [28, 29] that the information dimension The conjecturedrelationbetweendr (a static
d r is related to the Lyapunov spectrum by the propertyof an attractingset) and the Lyapunov
290 ,4. 14/olfet aL / Determining Lyapunov exponents from a time series

exponentsappears to be satisfiedfor somemodel fiducial trajectory. By definition,principal axes

systems[30].The calculation of dimension from defined by the linear system are always infinitesimal
this equationrequiresknowledge of all but the relative to the attractor. Evenin thelinearsystem,
mostnegative Lyapunov exponents. principalaxis vectorsdivergein magnitude, but
this is a problemonly because computers havea
limiteddynamicrangefor storingnumbers. This
3. Calculation of Lyapunov spectra from differential divergence is easily circumvented. What has been
equations avoidedis the seriousproblemof principalaxes
findingtheglobal"fold"whenwereallyonlywant
Our algorithms for computing a non-negative themto probethelocal"stretch."
Lyapunovspectrumfrom experimental dataare To implement thisprocedure thefiducialtrajec-
inspiredby the techniquedevelopedindepen- toryis created by integrating thenonlinear equa-
dentlyby Bennetin et al. [8] andby Shimada and tions of motionfor somepost-transient initial
Nagashima [9] for determining a complete spec- condition.Simultaneously, the linearizedequa-
trum from a set of differential equations.There- tionsof motionareintegrated for n differentini-
fore,we describe theircalculation (for brevity,the tial conditionsdefiningan arbitrarilyoriented
ODE approach) in somedetail. frameof n orthonormal vectors.We havealready
We recallthatLyapunov exponents aredefined pointedoutthateachvectorwill divergein magni-
by thelong-term evolution of theaxesof aninfini- tude,but thereis an additional singularity-in a
tesimalsphereof states.This procedure couldbe chaoticsystem, eachvectortendsto fall alongthe
implemented by definingthe principalaxeswith local directionof mostrapidgrowth.Due to the
initialconditions whoseseparations areassmallas finiteprecisionof computer calculations,thecol-
computer limitations allowandevolvingthesewith lapsetowarda commondirectioncausesthetan-
the nonlinearequations of motion.One problem gentspaceorientation of all axisvectorsto become
with this approach is thatin a chaoticsystemwe indistinguishable. These two problemscan be
cannotguaranteethe conditionof small sep- overcomeby the repeateduse of the Gram-
arationsfor timeson the orderof hundredsof Schmidt reorthonormalization (GSR)procedure on
orbitalperiodst,neededfor convergence of the thevectorframe:
spectrum. Let the linearizedequations of motionact on
This problemmaybe avoidedwith theuseof a theinitialframeof orthonormal vectorsto givea
phasespaceplustangent spaceapproach. A "fidu- set of v e c t o r s { v 1. . . . . Vn). (The desireof each
cial" trajectory(thecenterof thesphere)is defined vectorto align itselfalongthe ~1direction,and
by theactionof thenonlinear equationsof motion theorientation-preserving properties of GSR mean
on someinitialcondition. Trajectories.ofpointson thattheinitiallabelingof thevectors maybe done
thesurfaceof thespherearedefined by theaction arbitrarily.) ThenGSR providesthefollowingor-
of the linearizedequations of motionon points thonormal set {~ . . . . . v,'}:
infinitesimally separated from the fiducialtrajec- 1D1
tory.In particular, theprincipalaxesare defined v~ = IIv, ll '
by theevolution via thelinearized equations of an v2-<v2,~>~
v~=
initiallyorthonormal vectorframeanchored to the tlv~ - <v~, ~ > ~ l l '

t S h o u l d the mean orbital period not be well-defined,a v. - <~., ~ . _ , > ~ . _ , . . . . . <v.,~>~

characteristic timecan be eitherthe meantimebetween inter-
sectionsof a Poincar6sectionor the timecorresponding to a
d o m i n a npower
t spectralfeature. (4)
 A. Wolf et al./ Determining Lyapunoo exponents from a time series 291

where ( , ) signifies the inner product. The turn,providingestimates of thek largestLyapunov

frequencyof reorthonormalization is not critical, exponents. Thus G S R allowstheintegration of the
so long as neitherthe magnitude nor the orienta- vectorframefor as long as is requiredfor spectral
tion divergences have exceededcomputerlimita- convergence.
tions. As a rule of thumb,G S R is performedon Fortrancodefor the O D E procedure appears in
the orderof onceper orbitalperiod. appendixA. We illustratetheuseof this procedure
We see that G S R neveraffectsthe directionof for the Rosslerattractor [26].The spectralcalcula-
the first vectorin a system,so this vectortendsto tion requiresthe integration of the 3 equationsof
seek out the directionin tangentspacewhich is motionand 9 linearizedequations for on theorder
most rapidly growing (components along other of 100 orbitsof modeltime(a few cpu minuteson
directionsare eithergrowingless rapidly or are a V A X 11/780)to obtaineachexponent to within
shrinking).The secondvectorhas its component a few percentof its asymptotic value.In practice
alongthedirectionof thefirstvectorremoved, and we considerthe asymptotic value to be attained
is then normalized.Becausewe are changingits when the m a n d a t o r yzero exponent(s) are a few
direction,vectorv2 is not freeto seekout themost orders of magnitudesmaller than the smallest
rapidlygrowingdirection.Becauseof the manner positiveexponent.The convergence rate of zero
in which we are changingit, it also is not free to and positiveexponents is aboutthe same,and is
seek out the secondmost rapidly growingdirec- m u c hslowerthantheconvergence rateof negative
tiont. N o t e howeverthat the vectors~ and if2 exponents.Negative exponentsarise from the
span the same two-dimensional subspaceas the nearlyuniformattractiveness of theattractorwhich
vectors vx and v2. In spite of repeated vector can often be well estimatedfrom a few passes
replacements, the space these vectors define continu- aroundan attractor,non-negative exponents arise
ally seeks out the two-dimensional subspace that is f r o m a once-per-orbit stretchand fold processthat
most rapidly growing. The area definedby these must be sampledon the order of hundredsof
vectorsis proportional to 2(x~+x2)t[8]. The length times(or more)for reasonable convergence.
of vectorvt is proportional to 2x~tso thatmonitor- The method we have describedfor finding
ing lengthand areagrowthallowsus to determine L y a p u n o vexponents is perhapsmoreeasilyunder-
b o t h exponents.In practice,as ~ and if2 are stood for a discretedynamicalsystem.Here we
orthogonal,we may determineh 2 directlyfrom considerthe H6non map [25] (see table I). The
the m e a nrateof growthof theprojectionof vector linearization of this map is
v2 on vector4 . In general,the subspace spanned
b y the first k vectorsis unaffected by G S R so that [,sx.
the long-termevolutionof the k-volumedefined =L/By. , (5)
b y thesevectorsis proportionalto 2~ where# =
~.ki_ 1~ i t. Projectionof theevolvedvectorsontothe
where
new orthonormal framecorrectlyupdatestherates
of growthof eachof the first k-principalaxesin

tThisis clearwhenweconsider thatwemayobtaindifferent 10] ,6,

directions
of vector02atsomespecified timeif weexercise our
freedomto choosethe intermediate timesat whichGSR is
performed. Thatis, beginning witha specified v1 and 02 at and X~ is the ( n - 1)st iterateof an arbitrary
timeti, wemayperformreplacements at timest~+ x andti+2, initial conditionX 1.
obtainingthe vectors~, t~ and thenv~',v~'or we may An orthonormal frameof principalaxis vectors
propagate directlyto timeti+2, obtaining vl*,v~.t~'andv~
are not parallel;therefore, the detailsof propagation and such as ((0,1), (1,0)) is evolvedby applyingthe
replacement determine theorientation
of 02. productJacobianto eachvector.For eithervector
292 A. Wolf et al./ Determining Lyapunov exponents from u tuneseries

the operation may be written in two different
ways. For example, for the vector (0,l) we have
or, by regrouping the terms,
In eq. (7) the latest Jacobi matrix multiplies
each current axis vector, which is the initial vector
multiplied by all previous Jacobi matrices. The
magnitude of each current axis vector diverges,
and the angular separation between the two vec-
tors goes to zero. Fig. 2 shows that divergent
behavior is visible within a few iterations. .GSR
corresponds to the replacement of each current
axis vector. Lyapunov exponents are computed
from the growth rate of the length of the first
vector and the growth rate of the area defined by
both vectors.
In eq. (8) the product Jacobian acts on each of
the initial axis vectors. The columns of the product
matrix converge to large multiples of the eigenvec-
tor of the biggest eigenvalue, so that elements of
the matrix diverge and the matrix becomes singu-
lar. Here GSR corresponds to factoring out a large
scalar multiplier of the matrix to prevent the mag-
nitude divergence, and doing row reduction with
pivoting to retain the linear independence of the
columns. Lyapunov exponents are computed from
the eigenvalues of the long-time product matrix?.
We emphasize that Lyapunov exponents are not
local quantities in either the spatial or temporal
sense. Each exponent arises from the average, with
respect to the dynamical motion, of the local de-
formation of various phase space directions. Each
is determined by the long-time evolution of a
singZe volume element. Attempts to estimate expo-
nents by averaging local contraction and expan-
sion rates of phase space are likely to fail at the
point where these contributions to the exponents
are combined. In fig. 3a we show vector vi at each
renormalization step for the Lorenz attractor over
the course of several hundred orbits [32]. The
apparent multivaluedness of the most rapidly
growing direction (in some regions of the attrac-
tor) shows that this direction is not simply a
function of position on the attractor. While this
direction is often nearly parallel to the flow on the
Lorenz attractor (see fig. 3b) it is usually nearly
transverse to the flow for the Rossler attractor. We
conclude that exponent calculation by averaging
local divergence estimates is a dangerous proce-
dure.

+We are aware of an attempt to estimate Lyapunov spectra

Fig. 2. The action of the product Jacobian on an initially from experimental data through direct estimation of local
orthonormal vector frame is illustrated for the H&non map: (1) Jacobian matrices and formation of the long time product
initial frame; (2) first iterate; and (3) second iterate. By the matrix [31]. This calculation is essentially the same as ours (we
second iteration the divergence in vector magnitude and the avoid matrix notation by diagonalizing the system at each step)
angular collapse of the frame are quite apparent. Initial condi- and has the same problems of sensitivity to external noise, and
tions were chosen so that the angular collapse of the vectors to the amount and resolution of data required for accurate
was uncommonly slow. estimates.
 ,4. Wolf et al. / Determining Lyapunoo exponents from a time series 293

(b)
_ - .__ ,,,, .--_- -

J leo #1

Fig. 3. A modification
to theODE spectral code(seeappendix A) allowsus to plot therunningdirectionof greatest
growth(vector
v~) in theLorenzattractor.
In (a),infrequent
renormalizations
confirmthatthisdirectionis not single-valuedon theattractor.
In (b),
frequentrenormalizationsshowus thatthisdirectionis usuallynearlyparallelto theflow. In theRosslerattractor,
thisdirectionis
usuallynearlyorthogonal to theflow.

4. An approach to spectral estimation for temptsto apply this definitionnumericallyto

experimental data equations of motionfail since computer limita-
tions do not allow the initial sphereto be con-
Experimental datatypicallyconsistof discrete structedsufficientlysmall.In the ODE approach
measurements of a singleobservable.The well- oneavoidsthisproblemby workingin thetangent
known technique of phasespacereconstruction space of a fiducialtrajectory so asto obtainalways
withdelaycoordinates [2, 33,34]makesit possible infinitesimal
principalaxisvectors.The remaining
to obtainfrom such a time seriesan attractor divergences are easily eliminatedwith Gram-
whoseLyapunovspectrum is identicalto thatof Schmidtreorthonormalization.
theoriginalattractor.
We havedesigned a method, The ODE approach is notdirectlyapplicable to
conceptuallysimilarto theODE approach, which experimentaldataasthelinearsystem is notavail-
can be usedto estimate non-negativeLyapunov able.All is not lost providedthatthe linearap-
exponents from a reconstructed attractor.To un- proximation holds on the smallestlengthscales
derstandour methodit is usefulto summarize definedby our data. Our approachinvolves
whatwe havediscussed thusfar aboutexponent workingin a reconstructed attractor, examining
calculation. orbitaldivergenceon lengthscalesthatarealways
Lyapunovexponents may be definedby the as smallas possible,usingan approximate GSR
phase space evolutionof a sphereof states.At- procedurein the reconstructed phase space as
294 A. Wolfet al./ Determining Lyapunov exponentsfrom a time series

necessary. To simplifythe ensuingdiscussionwe evolvedin the reconstructed attractor.Beforethe

will assumethat the systemsunderconsideration area elementdefinedby the triplebecomescom-
possessat leastone positiveexponent. parableto the extentof the attractorwe mimic
To estimate X1we in effectmonitorthelong-term G S R by keepingthe fiducialpoint,replacingthe
evolutionof a singlepair of nearbyorbits. Our remainderof the triple with pointsthat definea
reconstructed attractor, thoughdefinedby a single smallerarea elementand that best preservethe
trajectory, can providepointsthatmaybe consid- element'sphase spaceorientation.Renormaliza-
ered to lie on differenttrajectories. We choose tionsarenecessary solelybecause vectorsgrowtoo
pointswhosetemporalseparation in the original large, not becausevectorswill collapseto indis-
time seriesis at least one mean orbital period, tinguishable directionsin phasespace(this is un-
becausea pair of points with a much smaller likely with the limited amountsof data usually
temporalseparationis characterized by a zero availablein experiments). The exponential growth
Lyapunovexponent. Two datapointsmaybe con- rate of area elements providesan estimateof X1
sideredto definethe earlystateof the first prin- + X 2. (Seefig. 4b.)
cipal axis so long as their spatialseparationis Our approachcan be extended to as manynon-
small. When their separationbecomeslarge we negativeexponents as we careto estimate:k + 1
would like to performGSR on the vectorthey points in the reconstructed attractordefinea k-
define(simplynormalization for thissinglevector), volumeelementwhoselong-term evolutionis pos-
which would involve replacingthe non-fiducial sible througha data replacement procedurethat
datapointwith a pointcloserto thefiducialpoint, attemptsto preservephasespaceorientation and
in the samedirectionas the originalvector.With probeonly the smallscalestructure of the attrac-
finite amountsof data,we cannothopeto find a tor. The growthrate of a k-volumeelementpro-
replacement point which falls exactlyalong a vides an estimateof the sum of the first k
specifiedline segmentin the reconstructed phase Lyapunovexponents.
space,but we can look for a point that comes In principlewe mightattempttheestimation of
close.In effect, through a simple replacement pro- negative exponents by goingto higher-dimensional
cedure that attempts to preserve orientation and volumeelements, but information aboutcontract-
minimize the size of replacement vectors, we have ing phasespacedirectionsis oftenimpossibleto
monitored the long-term behavior of a single prin- resolve.In a systemwherefractalstructure can be
cipal axis vector. Each replacement vectormaybe resolved,there is the difficultythat the volume
evolveduntil a problemarises,and so on. This elementsinvolvingnegativeexponentdirections
leadsus to an estimate of X1. (Seefig. 4a.) collapse exponentiallyfast, and are therefore
The useof a finiteamountof experimental data numericallyunstablefor experimental data (see
doesnot allowus to probethedesiredinfinitesimal section7.1).
lengthscalesof an attractor. Thesescalesare also
inaccessible due to the presence of noiseon finite
length scalesand sometimes becausethe chaos- 5. Spectnd algorithm implementation
producingstructure of theattractor is of negligible
spatialextent.A discussionof thesepointsis de- We have implemented severalversionsof our
ferreduntil section7.1. algorithms
includingsimple"fixedevolutiontime"
An estimate of the sumof thetwo largestexpo- programsfor ~'1and X1 hE, "variableevolution
nents X1 + X 2 is similarlyobtained.In the ODE time" programsfor X I + ~ : , and "interactive"
procedure this involvesthe long-term evolutionof programsthatareusedon a graphicsmachinet.
a fiducialtrajectoryand a pair of tangentspace tThe interactive
program avoidsthe profusionof input
vectors.In our procedurea triple of points is parameters
requiredfor our increasingly
sophisticated
expo-
 A. Wolf et al./ Determining Lyapunov exponents from a time series 295

In appendixB we includeFortrancode and may see L' shrink as the two trajectories which
documentation for the h 1 fixed evolutiontime define it pass througha folding region of the
program.This programis not sophisticated, but it attractor.This would lead to an underestimation
is concise,easilyunderstood, and usefulfor learn- of hi- We now look for a new datapoint that
ing aboutour technique. We do not includethe satisfiestwo criteria reasonablywell: its sep-
fixedevolutiontimecodefor )~x+ )~2(thoughit is aration,L(tl), from the evolvedfiducialpoint is
brieflydiscussed at theendof appendixB) or our small, and the angularseparationbetweenthe
otherprograms, but we will supplythemto inter- evolvedand replacement elementsis small(seefig.
estedparties.We can also providea highlyeffi- 4a). If an adequate replacementpoint cannotbe
cientdatabasemanagement algorithmthatcanbe found,we retainthe pointsthatwerebeingused.
used in any of our programsto eliminatethe This procedure is repeated
untilthefiducialtrajec-
expensive processof exhaustive searchfor nearest tory has traversedthe entiredata file, at which
neighbors.We now discussthe fixed evolution pointwe estimate
time programfor At and the variableevolution
timeprogramfor ~x+ h2 in somedetail. M L,(tk)
Y'~ log2 , (9)
)k I = tM_ to k=l L(tt,_x)
5.1. F i x e d evolution time program for )~1 whereM is thetotalnumberof replacement steps.
Given the time seriesx(t), an m-dimensional In the fixedevolutiontimeprogramthe timestep
phaseportraitis reconstructed with delaycoordi- A = tk+ 1 - - t k (EVOLV in the Fortranprogram)
nates[2, 33, 34], i.e., a point on the attractoris between replacements is heldconstant. In thelimit
given by { x ( t ) , x ( t + ~'). . . . . x ( t + [m - 1]~')} of an infiniteamount of noise-free data our proce-
where z is the almost arbitrarily chosen durealwaysprovidesreplacement vectorsof infini-
delay time. We locatethe nearestneighbor(in tesimalmagnitude with no orientation error,and
the Euclidean sense) to the initial point )k 1 is obtained by definition.In sections 6 and7 we
{ x ( t o) . . . . . X(to + [ m - 1]~)}and denotethe dis- discuss the severityof errors of orientation and
tancebetweenthesetwo pointsL(to). At a later finitevectorsizefor finiteamounts of noisyexperi-
time tt, the initial lengthwill have evolvedto mentaldata.
length L'(tx). The lengthelementis propagated
throughthe attractorfor a time shortenoughso
5.2. Variable evolution time program for )~1 + )~2
thatonly smallscaleattractor structure is likelyto
be examined. If theevolutiontimeis too largewe The algorithmfor estimating h x+ 1~2is similar
in spirit to the preceeding algorithm, but is more
complicatedin implementation. A trio of data
nent programs.This programallowsthe operatorto observe: pointsis chosen,consistingof the initial fiducial
the attractor,a lengthor areaelementevolvingovera rangeof point and its two nearestneighbors.The area
times,the best replacement pointsavailableover a rangeof
A ( t o ) definedby thesepoints is monitoredun-
times,and so forth. Each of theseis seenin a two or three-
dimensionalprojection(dependingon the graphicaloutput til a replacement stepis both desirable and possi-
device)with terminaloutputprovidingsupplementary informa- b l e - the evolutiontimeis variable.This mandates
tion aboutvectormagnitudes and anglesin the dimensionof
the use of severaladditionalinput parameters: a
the attractorreconstruction. Using this informationthe oper-
ator choosesappropriateevolutiontimes and replacement minimum number of evolution steps between re-
points.The p r o g r a mis currentlywrittenfor a Vector General placements (JUMPMN), the numberof stepsto
3405 but m a y easily be modifiedfor use on other graphics evolvebackwards (HOPBAK) whena replacement
machines.A 1 6 m m movie summarizing our algorithmand
showingthe operationof the programon the Lorenzattractor site provesinadequate, and a maximum lengthor
has beenmadeby one of the authors(A.W.). areabeforereplacement is attempted.
296 A. Wolf et aL/ DeterminingLyapunov exponentsfrom a time series

(a) /~
tLI m i

s %/
L l t ~ t! t2 tiqtulol t

(b, .

"t iI

M t o ) ~ r tI ' -- ~ I t2 ~itluci*l
f ..~'tect'

'o
Fig. 4. A schematic representation of the evolutionand replacement procedure usedto estimateLyapunovexponents from
experimentaldata.a) ThelargestLyapunov exponent is computed fromthegrowthof lengthelements.
Whenthelengthof thevector
between twopointsbecomes large,a newpointis chosen nearthereferencetrajectory,
minimizing
boththereplacementlengthL and
theorientationchange~.b) A similarprocedure is followedto calculatethesumof thetwolargestLyapunovexponents fromthe
growthof areaelements. Whenan areaelement becomes toolargeor too skewed, twonewpointsarechosennearthereference
trajectory,minimizingthereplacement areaA andthechange in phasespace orientation
between
theoriginalandreplacementarea
elements.

Evolutioncontinuesuntil a " p r o b l e m "arises.In replacedwith two new points to obtaina smaller

o u r i m p l e m e n t a t i othe
n problemlist includes:a
principalaxis vectorgrowstoo largeor too rapidly,
the area grows too rapidly, and the skewnessof
the area element exceeds a threshold value.
W h e n e v e ra n y o f thesecriteriaare met, the triple
is evolvedb a c k w a r d sH O P B A K steps and a re-
placementis attempted.If replacement fails, we
will pull the triple back anotherH O P B A K steps,
a n d try again. This processis repeated,if neces-
sary,until the triple is gettingu n c o m f o r t a b lclose
y "
area A ( t t ) whose orientationin phase space is
m o s t nearly the sameas that of the evolvedarea
A ' ( t l ) . D e t e r m i n i n gthe set of replacement points
that best preservesarea orientationpresentsno
f u n d a m e n t adifficulties.
l
Propagation and replacement stepsare repeated
(see fig. 4b) until the fiducial trajectoryhas
traversedthe entire data file at which point we
estimate

to the previousreplacement site. At this point we 1__ E l o g 2 - (10)

~1 + ~ 2 = t M -- to k = l A(tk,x ) ,
take the best availablereplacementpoint, and
j u m p f o r w a r dat leastJ U M P M N stepsto startthe where tk is the time of the k th replacement step.
next evolution.A t the first replacement time, tl, It is often possibleto verify our resultsfor X~
the two points not on the fiducial trajectoryare t h r o u g hthe use of the h 1 + h 2 calculation.F o r
 A. Wolf et aL/ Determining Lyapunov exponents from a time series 297

attractorsthat are very nearlytwo dimensional on separate lobesof the Lorenzattractor maybe
thereis no needto worryaboutpreserving orienta- coincident in a two-dimensional reconstruction of
tion whenwe replacetriplesof points.Theseele- the attractor.When this occurs,replacement ele-
mentsmayrotateand deformwithinthe planeof mentsmaycontainpointswhoseseparation in the
the attractor,but replacement triplesalwayslie originalattractoris verylarge;suchelements are
withinthis sameplane.SinceX 2 for theseattrac- liable to grow at a dramaticrate in our recon-
tors is zero, areaevolutionprovidesa directesti- structedattractor in the shortterm,providingan
matefor h 1. With experimental datathatappear enormous contribution to theestimated exponent.
to definean approximately two-dimensional at- As theseelementstend to blow up almostim-
tractor,an independent calculationof df fromits mediately, theyare also quitetroublesome to re-
definition(feasiblefor attractors
of dimension less place,.
thanthree[35]) mayjustifythis approachto esti- If m is chosentoo largewe can expect,among
matinghx. otherproblems,thatnoisein thedatawill tendto
decrease the densityof pointsdefiningthe attrac-
tor, makingit harderto find replacement points.
6. Implementation details Noise is an infinitedimensional processthat,un-
like the deterministic component of the data,flUs
6.1. Selection of embedding dimension and delay each available phase space dimension in a re-
time constructed attractor (see section 7.2). Increasing
m pastwhatis minimallyrequired hastheeffectof
In principle,when using delaycoordinates to unnecessarily increasing thelevelof contamination
reconstruct an attractor,
an embedding [34]of the of the data.
originalattractoris obtainedfor any sufficiently Anotherproblemis seenin a three-dimensional
largem andalmostanychoiceof timedelay~-,but reconstruction of the Htnon attractor. The recon-
in practiceaccurateexponentestimation requires structedattractorlooks much like the original
somecarein choosingthesetwo parameters. We attractorsittingon a two-dimensional sheet,with
shouldobtainan embedding if m is chosento be this sheetshowinga simpletwist in three-space.
greaterthantwicethedimension of theunderlying We expectthatthisbehavioris typical;whenm is
attractor[34]. However,we find that attractors increased, surfacecurvature increases ~.Increasing
reconstructed using smallervalues of m often m therefore makesit increasingly difficultto satisfy
yield reliableLyapunovexponents. For example, orientation constraints at replacement time,as the
in reconstructing the Lorenz attractorfrom its attractoris not sufficientlyflat on the smallest
x-coordinate timeseriesan embedding dimension
lengthscalesfilled out by the fixed quantityof
of 3 is adequate for accurate exponent estimation, data. It is advisableto checkthe stationarity of
well belowthe sufficientdimension of 7 givenby
ref. [3411".When attractorreconstruction is per- *If two pointslie at oppositeendsof an attractor,it is
formedin a spacewhosedimensionis too low, possiblethattheirseparation vectorlies entirelyoutsideof the
attractorso thatno orientation preserving replacement canbe
"catastrophes" thatinterleave distinctpartsof the found. If this goesundetected, the currentpair of pointsis
attractorare likely to restflt.For example,points likelyto be retainedfor an orbitalperiodor longer,untilthese
pointsareaccidentally thrownclosetogether.
fWe havefound thatit is oftenpossibleto ignoreseveral *A simplestudy for the Htnon systemshowedthat for
components of evolvingvectorsin computingtheir average reconstructionsof increasing
dimension themeandistance be-
exponentialrateof growth:keepingtwo or morecomponents tweenthepointsdefiningtheattractor rapidlyconvergedto an
of thevectoroftensufficesfor thispurpose.As our discussion attractor independentvalue.The fold put in eachnew phase
of "catastrophes"
will soonmakeclear,thesearchfor replace- spacedirectionby the reconstructionprocesstendedto make
mentpointsmostoftenrequiresthatall of the delaycoordi- the conceptof "nearbypointin phasespace"meaningless for
natesbe used. thisfinitedataset.
298 A. Wolf et al./ Determining Lyapunov exponents from a time series

Fig. 5. The strangeattractor

in theBelousov-Zhabotinskiireaction
is reconstructed
by theuseof delaycoordinates
fromthebromide
ion concentrationtimeseries[2].Thedelaysshownarea) ~ ; b) ;andc) ~of a meanorbitalperiod.Noticehowthefoldingregionof
theattractor evolvesfroma featureless
"pencil"to a largescaletwist.

resultswith m to ensurerobust exponentesti- attractor in figs.6a-6d.)Accurateexponent calcu-

mates. lation thereforerequiresthe consideration of the
Choice of delay time is also governedby the following interrelated points: the desirabilityof
necessity of avoidingcatastrophes. In our data[2]
maximizingevolutiontimes,the tradeoffbetween
for the Belousov-Zhabotinskii chemicalreaction
minimizingreplacement vectorsize and minimiz-
(see fig. 5) we see a dramaticdifferencein the ing the concomitantorientationerror, and the
reconstructed attractors for the choicesT = 1/12,
mannerin which orientationerrors can be ex-
~"-- 1 / 2 and I" = 3 / 4 of the meanorbitalperiod. pectedto accumulate. We now discussthesepoints
In the first casewe obtaina "pencil-like"region in turn.
whichobscuresthe foldingregionof theattractor. Maximizingthepropagation timeof volumeele-
This structureopensup and grows larger relative mentsis highly desirableas it both reducesthe
to the total extentof the attractorfor the larger frequency with whichorientation errorsare made
values of ~', which is clearlydesirablefor our and reducesthecost of the calculationconsider-
algorithms. We choose neitherso smallthatthe ably (elementpropagationinvolves much less
attractorstretches out alongthe hne x = y - - z =computationthan elementreplacement). In our
. . . , nor so largethat mz is muchlargerthanthe variableevolutiontimeprogramthis is not much
orbitalperiod.A checkof thestationarity of expo-
of a problem,as replacements areperformed only
nentestimates with t- is againrecommended. when deemednecessary (thoughthe programhas
beenmadeconservative in suchjudgments). In the
interactive algorithmthisis evenlessof a problem,
6.2. Evolution times between replacements as an experienced operatorcan often processa
large file with a very small numberof replace-
Decisionsaboutpropagation timesand replace- ments.The problemis severe,however,in our
ment stepsin thesecalculationsdependon ad- fixed evolutiontime program,which is otherwise
ditionalinput parameters, or in the caseo f the desirablefor its extremesimplicity.In this pro-
interactiveprogram,on the operator's judgement. gram replacements are attempted at fixed time
(The stationarity of )~l valuesover rangesof all steps,independent of the behaviorof the volume
algorithmparameters is illustratedfor the Rossler element.
 A. Wolf et a l l Determining Lyapunov exponents from a time series 299

o-21

I (a)
. /~^ ^

~0.t

)..
.._i
l I l I l * l l I I I I I I I I I I I
o. 8 o: 4 ' ' 'o: 8 ' ' ' 1: 2 ' I.B 1 2 3
TAU (ORBITS) EVOLUTION TINE (ORglT~

0,2
(c) '2f(d)
e
~ - ~ ~"k

J
>- J
~q~ '"~ .... tb" . . . .15
... ~ ' " ' 25 ~S ' ' ' ' 5' . . . . ,b . . . . 15
WAXINUN LEN&~ CUTOFF N I N I B LENGTH
(% OF HORIZONThL EXTENT) (% OF HORIZONTALBCI'ENT)

Fig. 6. Stationarity
of ~t forRosslerattractor
data(8192pointsspanning
135orbits)forthefixedevolution
timeprogram is shown
for theinputparameters:a)Tau(delay time);b)evolution
timebetweenreplacement
steps; c) maximumlength ofreplacement vector
lengthallowed;andd)minimum length
of replacement
vectorallowed.
Thecorrect
valueof thepositive
exponent is 0.13bits/sandis
shownby thehorizontal linein these
figures.

Our numericalresultson noise-free modelsys- times. For such systemsit is perhapswise to

temshaveproducedthe expected results:too fre-
quentreplacements causea dramaticloss of phase
spaceorientation,
andtoo infrequent replacements
allow volumeelementsto grow overlylarge and
exhibitfolding.For the Rossler,Lorenz,and the
Belousov-Zhabotinskii attractors,
each of which
has a once-per-orbitchaosgeneratingmechanism,
we find that varyingthe evolutiontime in the
rangeto 1orbitsalmostalwaysprovidesstable
exponentestimates. In systemswherethe mecha-
nism for chaosis unknown,one must cheekfor
exponentstabilityovera wide rangeof evolution
employonly the variableevolutiontimeprogram
or the interactiveprogram.
Thereare othercriteriathatmay affectreplace-
ment timesfor variableevolutiontime programs
suchas avoidingregionsof highphasespaceveloc-
ity, where the densityof replacement points is
likely to be small. Such featuresare easily in-
tegrated into our programs.
In the Lorenzattractor,the separatrixbetween
the two lobesof the attractoris not a goodplace
to find a replacementdement.An element chosen
here is likely to containpoints that will almost
300 A. Wolf et aL / Determining Lyapunov exponents from a time series

immediately fly to oppositelobes,providingan thesecalculations, wecannotbeconfident thatour

enormous contribution to an exponent estimate. resultsareof general validity.
This effectis certainlyrelatedto thechaoticnature The problemof considering the magnitude of
of the attractor, but is not directlyrelatedto the evolvedor replacement vectorsis complicated by
valuesof the Lyapunovexponents. This has the the fact thatat a givenpointin an attractor, the
sameeffectas thecatastrophes thatcanarisefrom orientation of a vectorcan determine whetheror
too low a valueof embedding dimension as dis- not it is too large.If we consider a system withan
cussedin section6.1.While we are not awareof underlying 1-D mapsuchas theRosslerattractor,
any foolproofapproach to detecting troublesome it is the magnitude of the vector'scomponent
regionsof attractors it may be possiblefor an transverse to theattractor thatis relevant.In this
exponent programto avoidcatastrophic replace- caseour algorithm is closelyrelatedto obtaining
ments.For example, we maymonitorthefuture the Lyapunovexponentof the map througha
behaviorof potential replacement pointsand re- determination of its local slopeprofile[13].The
ject those whose separationfrom the fiducial transverse vectorcomponent playstheroleof the
trajectoryis atypicalof theirneighbors. chord whoseimageunderthe map providesa
slopeestimate. This chordshouldobviously be no
longerthanthesmallest resolvable structurein the
6.3. Shorter lengths versus orientation errors
1-D map, a highly system-dependent quantity.
With a givensetof potential replacement points Sincethe underlying mapsof commonly studied
somecompromise will be necessary betweenthe modeland physicalsystems havenot had much
goals of minimizingthe lengthof replacement detailedstructure on smalllengthscales(consider
vectorsand minimizingchangesin phasespace the logistic equation, cusp maps,and the Be-
orientation. On theonehand,shortvectors mayin lousov-Zhabotinskii map[2])we havesomewhat
general be propagated furtherin time,resulting in arbitrarily decided to consider 5-10%of thetrans-
lessfrequent orientationerrors.On theotherhand, verseattractor extentas themaximum acceptable
we may wish to minimizeorientation errorsdi- magnitude of a vector's transverse component.
rectly.We mustalso considerthat shortvectors
are likely t o containrelativelylargeamountsof
6.4. The accumulation of orientation errors
noise.
In thefixedevolutiontimeprogramthesearch The problemof theaccumulation of orientation
for replacements involveslookingat successively errorsis reasonably well understood. Considerfor
larger length scales for a minimalorientation simplicitya very nearlytwo-dimensional system
change.In the variableevolutiontimeprogram, with a ( + , 0 , - ) spectrum, such as the Lorenz
pointssatisfying minimum lengthandorientation attractor. Post-transient datatraverse thesubspace
standards are assignedscoresbasedon a linear characterized by thepositiveandzeroexponents.
weighting (withheuristically chosen weighting fac- Lengthpropagation with replacement on the at-
tors)of theirlengthsandorientation changes. We tractoris clearlysusceptible to orientation error
havealsoperformed numerical studiesby search- thatwill mix contributions fromthepositiveand
ing successively largerangular displacements while zero exponents in somecomplex,systemdepen-
attempting to satisfya minimum lengthcriterion. dentmanner.Now considerthe nth replacement
Fortunately,we find that these differentap- step(seefig. 4a)withan orientation change within
proaches performaboutequallywell.Attempts to the planeof the attractor of 0~.Further,let the
solvethe tradeoffproblemanalytically havesug- anglethereplacement vectormakeswithrespect to
gested"optimal"choicesof initialvectormagni- the vector t
1 be ~n- We make the crucialassump-
tude,but due to thesystemdependent natureof tion thatvectorsarepropagated for a timet that
 A. Wolfet aL/ DeterminingLyapunov exponentsfrom a time series 301

is longenoughthatgrowthalongdirections d1 and to be
d2 are reasonablywell characterized
by the expo-
nents h 1 and h 2 respectively.
Then for the new a~.l -#2 [ bE(I-bEN')]
replacement vector hi 2(ln2)NtAltr Nt 1 bE '
(18)
L(t.) = L ( ~ cos#. + t2sin #.) (11)
whereN t is thetotalnumberof replacement steps.
If thereis no degeneracy, i.e., bE<<1, eqs. (17)
and at the nextreplacement
and (18) showthatorientation errorsdo not accu-
mulate,i.e, thereis no N t dependence, and our
L'(tn+l)= L(tCx(cos~.)2xa,+ ~(sin~n)2X=tr),
fractionalerrorin hI is
(12)
a>,l -#2
where t r is the time betweensuccessive
replace- ~'1 = 2(ln2)~.ltr" (19)
mentsteps(tn+1- t.). The contributionto eq. (9)
For the Lorenzattractor,b2 has a valueof about
from this evolutionis then
0.33 for an evolutiontime of one orbit, so an
orientation errorof about19 degreesresultsin a
+ sinE7~.22a2',]
log2 [COS27~n22h'tr (13) 10% errorin X1. If we can manageto evolvethe
vectorfor two orbits,thepermissible initial orien-
and the anglethenextreplacement
vectorL (t. +1) tationerroris about27 degrees, and so on. We see
makeswith ~ is
that a givenorientation errorat replacement time
shrinksto a valuenegligiblecompared to the next
~n+l= arctan(b" tan#.) + 19.+1, (14) orientation error,providedthatpropagation times
are long enough.Orientationerrorsdo not accu-
where
mulatebecausethereis no memoryof previous
errors.
b = 2(a2-a*)tr. (15)
This calculationmay be generalized to an at-
tractorwith an arbitraryLyapunovspectrum and
If we assumeall anglesare small comparedto
a similarresultis obtained. The easeof estimating
unityand set #0= ~90,eq. (14)impliesthat
the i th exponent dependson how smallthequan-
tity 2(x'*~-x,)tr is. Problemsarisewhensuccessive
~n = ~ ~n-m bm~ (16) exponents are verycloseor identical.Hyperchaos,
m=O with a spectrum of [0.16,0.03,0.00, = - 40]bits/s
and an orbitalperiodof about5.16s, hasan easily
If the orientation
changes
havezeromeanand are determinable first exponent, but distinguishing ~2
uncorrelated fromreplacement
to replacement
then from A 3 is moredifficult.
an average overthechangesgives

( ~ff)= O~(1- bE"+z) 7. Data requirements and noise

1 - b2 ' (17)

7.1. Probing small length scales

where0 M is an angularchangeon replacement on
the orderof theA N G L M X parameter in thefixed
evolutiontimeprogramof appendixB. From eqs.
(9), (13),and (17)we find thefractional
errorin 2k1
As we havealreadypointedout, the infinitesi-
mal length scales on which the definitionof
Lyapunovexponents rely are inaccessible
in ex-
302 A. Wolf et al./ Determining Lyapunov exponents from a time series

(a)
,,at,.~;...'.~

"2," :'..." ' " , :J.

I. j. - . ,

, , ,

f "
:.. ...., ..i~. : ~~Y --~ " -

,.#"

start
I
cb~ .~- .~... ~ ..~...
.---'-'.':....2-. "' " "" ".'%.'...
.~':'.:_,,2-'.. ' .. ." : ..'~
..~f.'". ::':': ~ - - " ' " " ." " ' .'.. ' . " '-~'h.~
"'7':" "" "I"" ,'" "" ' " / " " '-'~
.'.::": . ~ .... i. .. ':. ~,/~ . .t
~.:-::~..-/,..-~;-~~'.:~.:~i.
..".: ~ /
.,:...\"v,!:,"."'.::..." ) j /-.
" - "~- _ _ ~ ! " "
.% , , y."

~. ~....
'% '%,. :.o,'

Fig. 7. Experimental data for two different Belousov-Zhabotinskii systems shows chaos on large and small length scales respectively.
In the Texas attractor [2] a), the separation between a single pair of points is shown for one orbital period. In the French attractor
[36]; b), the separation between a pair of points is shown for two periods. Estimation of Lyapunov exponents is quite difficult for the
latter system.

perimental data. There are three somewhat related c o m p a r e d to the extent of the attractor; and (3)
reasons why this is so: (1) a finite amount of noise defines a length scale below which sep-
attractor data can only define finite length scales; arations are meaningless. We discuss each of these
(2) the stretching and folding that is the chaotic problems in turn and then consider whether expo-
element of a flow m a y occur on a scale small nent estimation is possible in spite of them.
 A. Wolf et al./ Determining Lyapunov exponents from a time series 303

The finitenessof a datasetmeansthatthefixed tion in the lattercaseis quitedifficult.The pres-

evolutiontime programundoubtedly allowsprin- enceof externalnoiseon lengthscalesas smallas
cipal axisvectorsto growfar too largeon occasion the chaos generationmechanism will of course
and alsoto completely losetheproperphasespace furthercomplicate exponentcalculations.
orientation, yet we almostinvariablyobtainaccu- Even thoughinfinitesimal lengthscalesare not
rate exponentestimates for noise-free modelsys- accessible,
Lyapunovexponent estimation maystill
temsdefinedby smalldatasets.This is because on be quite feasiblefor manyexperimental systems.
the time scale of several orbital periods, orbital The same problemarisesin calculationsof the
divergences may be moderately well characterized fractal dimensionof strangeattractors.Fractal
by Lyapunovexponents in sufficientlychaoticsys- structuredoes not exist in nature,where it is
tems.Averagingmanysuch segments togetherin truncated on atomicscales,nor doesit existin any
our algorithmsis thereforelikely to mask infre- computerrepresentation of a dynamicalsystem,
quent largeerrors. where finite precisiontruncatesscaling.In these
The problemof "chaoson a smalllengthscale" calculations we hopethatas thesmallestaccessible
is a systemdependent one.Considera systemsuch lengthscalesare approached, scalingconverges to
as the Rosslerattractor in whichchaosgeneration thezerolengthscalelimit. Similarly,providedthat
occurson a relativelylargelengthscale.Hereit is chaosproductionis nearlythe sameon infinitesi-
quiteeasyto distinguish betweentrueexponential mal and the smallestaccessible lengthscales,our
divergence of nearbyorbitsanda temporary diver- calculations on the smallscalesmayprovideaccu-
gencedue to localchanges in theattractor's shape. rate results.A successfulcalculationrequiresthat
If, however,the Rosslerattractorwere"crossed" one has enoughdatato approachthe appropriate
with a periodicmotionof sufficiently largeampli- lengthscales,ignoresanythingon the lengthscale
tude,we wouldlosetheabilityto detectthemech- of the noise,and has an attractorwith a macro-
anismfor chaosas it wouldmanifest itselfonly on scopicstretching/folding mechanism.
lengthscalesthat we mustregardas suspiciously
small. For sucha systemit is difficultto conceive
7.2. Noise
of any meansof recovering exponents fromexperi-
mentaldata. The effectsof noisein our algorithmsfall into
We haveobserved this problemto somedegree two categories whichwe havenamedthe "statisti-
for the Couette-Taylor system,which makesa cal" and the "catastrophic". The formercategory
transitionfrom motionon a 2-torusto chaos.In dealswith such problemsas point-to-point jitter
sucha systemchaoscan arisefromsmallstretches that causeus to estimatevolumesinaccurately;
and folds on the torus.When we use the interac- this was themotivation for avoidinghighlyskewed
tiveprogramto monitortheevolution of lengthsin replacement elements.Catastrophes can ariseeven
the Couette-Taylor attractors, we seemto observe in the absenceof noise eitherfrom too low an
this effect;that is, the separation vectorsdo not embeddingdimension(section6.1), or from too
exhibit dramaticgrowthbut insteadoscillatein little data compounded with high attractorcom-
magnitude.Such an oscillationcould indicatea plexity (section6.2), In the presenceof noise,
stretchingand folding so that we might wish to catastrophes occurbecause noisedrivesa faraway
attempta replacement, or it couldsimplyindicate datapoint into the replacement "arena."Noisein
a variationof the attractor's shape,which should physicalsystemscan he broken into two cate-
be ignored.In figs.7a and 7b we showexperimen- gories: measurement noise, i.e., simple lack of
tal data for attractorsof the large scale[2] and resolution,and dynamicalnoise,i.e., fluctuations
small scale [36] varieties,both arising from the in the stateof the systemor its parameters which
Belousov-Zhabotinskii system.Exponentestima- enterinto the dynamics.In the formercaseit is
304 A. Wolf et al./ Determining Lyapunov exponents from a time series

clearthatthesystem possesses well definedexpo- lengthscalelimit. In fig. 6d we confirmthat a

nents that are potentiallyrecoverable.Strictly straightforwardsmalldistancg cutoffworksin the
speaking, in the lattercaseLyapunovexponents caseof theRosslerattractor by showingstationar-
are not well defined,but somework [37] has ity of theestimatedexponent overa broadrange
suggested thata systemmaybe characterized by of cutoffvalues.
numbers thataretheLyapunov exponents for the
noise-freesystemaveragedover the range of
noise-induced states.
7.3. Low pass filtering
Our first studyof the effectsof noiseon our
algorithms involvedaddingdynamical noiseto the Anotherapproachto reducingthe effectsof
Hrnonattractor, thatis, a smalluniformly distrib- noise,closelyrelatedto theuseof a smalldistance
utedrandomnumberwas addedto eachcoordi- cutoff,involveslow passfilteringof the databe-
nateas the map was beingiterated. Thesedata forebeginning exponent estimation. Rathersevere
werethenprocessed with thefixedevolution time filteringmaybe possiblefor systems with a once-
program. For noiseof sufficiently largeamplitude, per-orbitchaosproducingmechanism-the filter
hi could not be accurately determined. Specifi- cutoffapproaching (orbitalperiod)-x.Filteringcan
cally, the averageinitial separation betweenre- be expected to distortshapes,eliminate smallscale
placement pointsgrewwith thenoiselevel(noise structure,and scramblephase,but we do not
causingdiffusionof the1.26-dimensional attractor expectthedivergent natureof theattractor to be
into the two-dimensional phasespace)and the lost.
largefinal separations werenot muchaffected by A demonstration of theuseof filteringfor the
thenoise.The resultwasan underestimate of the Belousov-Zhabotinskii attractor is shownin fig.8.
positiveexponent. A nearlyidenticalresultwas Filteringdramatically alteredthe shapeof the
obtainedfor the additionof measurement noise reconstructed attractor, buttheestimated valuesof
(addition of a randomtermto eachelement of the hi differedby at mosta fewpercent for reasonable
timeseries,aftertheentireserieshasbeengener- cutofffrequencies. A similarcalculation for the
ated)to theHrnonattractor. Rosslerattractor indicated thatthelow-frequency
It is ironic that measurement noiseis not a cutoffcould be movedall the way down to the
problemunlesslargeamounts of dataareavailable attractor's sole largespectralfeaturebeforethe
to definethe attractor. Noise is only detectable exponentestimate showedany noticeable effect.
whenthepointdensityis highenoughto provide Resultsfor the Lorenzattractor, with its much
replacements nearthenoiselengthscale.This sug- morecomplicated spectral profile,arenotquiteas
gestsa simpleapproachto the noiseproblem, impressive. An analytical proof of the low pass
simplyavoidingprincipalaxisvectorswhosemag- filteringinvariance of Lyapunovexponents (with
nitudeis smallerthan somethresholdvaluewe conditions on thecutofffrequency relativeto the
select.If thisvalueis chosen to be somewhat larger orbitalperiodandthereplacement frequency) has
than the noiselevel, the fractionalerror in de- provedelusive.Of course,lowpassfilteringfailsto
termininginitial vectormagnitudes may be re- help with exponent estimation if thereis substan-
ducedto an acceptable level.Avoidingnoisylength tial contamination of thedataat frequencies lower
scalesis not a trivialmatter, as noisemaynot be thanthefiltercutoff.In a simplestudyof multi-
of constant amplitudethroughout an attractor and periodicdatawith addedwhitenoise[3] theesti-
the noise lengthscale may be difficultto de- matedexponent returned (verynearly)to zerofor
termine.Again, this approachcan only work if a sufficientamountof filtering.It thus appears
scaleslargerthanthenoisecontainaccurate infor- that in some casesexternalnoise can be dis-
mationaboutorbitaldivergence ratesin thezero tinguished fromchaosby thisprocedure.
 A. Wolf et al, / Determining Lyapunoo exponents from a time series 305

Fig. 8. a) Unfiltered
experimentaldatafor theBelousov-Zhabotinskii reaction[2];b) thesamedata,low-passfilteredwith a filter
cutoffof 0.046Hz, comparedto themeanorbitalfrequency of 0.009Hz. Our estimateof X1 for these
datawasonly5%lowerthanthe
estimate fromtheunfiltered
data.Replacement frequenciesin theregionof stationarity
for theseresultswereapproximately
0.005Hz.
c) thedataareover-filtered
at 0.023H_z. h1 differsby only20%fromtheexponent estimate for unfiltered
data.

7.4. Data requirements factors:thenumberof pointsnecessary to provide

an adequate numberof replacement points,the
We now address theimportant questions of the numberof orbits of data necessaryto probe
qualityandquantity of experimental datarequired stretching (but not folding)within the attractor,
for accurateexponentcalculation.The former andthenumberof datapointsperorbitthatallow
questionis more easily disposedof-resolution for properattractor reconstructionwith delayco-
requirements are so highlysystemdependent that ordinates.
we cannotmake any generalstatements about We first estimate how manypointsarerequired
them.In one studywith the fixedevolutiontime to "fill out" the structureof an attractorto pro-
program, thelargestexponent wasrepeatedly com- vide replacement points.A simplemindedesti-
putedfor Rosslerand Lorenzattractor data,the mate of this factor dependson the following
resolutionof which was decreased one bit at a factors:the fractaldimension of theattractor,the
time from 16 bits. In each case the estimates numberof non-negative exponents in the system,
werereasonably goodfor datawith as few as 5 the numberof exponents we are attempting to
bits resolution.In fig. 9 we show the resultsof compute (thedimension of eachvolumeelement),
bit choppingfor thesesystemsas well as for and the geometric requirements for acceptablere-
Belousov-Zhabotinskii data.As a conservativerule placement points.A moreaccurate calculationof
of thumbwe suggest a minimumof 8 meaningful thisnumberwill depend on suchdetailedinforma-
bitsof precision be usedfor exponent calculations. tion as the attractor's fractalstructureand its
We stronglysuggest thattheresolution of experi- probability density,whicharenot typicallyavail-
mentaldatabe artificiallyloweredas we did for ablefor experimental dataand theeffective noise
themodelsystems. If a plotof ht versusresolution level in the system(whichdependson both the
doesnot showan initialplateaufor at leastoneor actuallevelof contamination andthedimension of
two bits, the initial dataare suspectfor the pur- the reconstructed attractor).
We assumethatour
poseof exponent calculations. data are uniformlydistributed over a d-dimen-
The amount of data requiredto calculate sional attractorof extentL and ignorenoise-
Lyapunovexponents dependson threedistinct induceddiffusionof thedata.Thus,thedensityof
306 A. Wolf et al./ Determining Lyapunov exponentsfrom a time series

(a sionsand solvingfor N, we obtain

2.5
= (22)
2.0
A nearlyidenticalcalculationfor the numberof
t. 5 pointsrequiredfor areareplacement resultsin
o

N ( X l + }k2)cc dl---~_2 , (23)

I i I i i

IX 14 (b)

e and in general,

(,)
D

[1.10
LU
N i~=l~ki od_j

I 0.(]6 We have ignored severalprefactorsthat might

l .L L I
(el modify theseestimatesby at most an order of
magnitude.Also, the varianceof the densityof
0.005
pointsis so high thatthe datarequirement should
O. 004
probablybe substantially increased to ensurethat
replacements are almost always availablewhen
IX 003
o
needed,not just on the average.Perhapssurpris-
o
ingly,thenumberof pointsrequiredfor estimating
| [ I I I i I hl "[-~2is not significantlylargerthan N(~.I) (our
4 8 12 18 estimateactuallypredictsit to be smaller).While
BITS OF PRECISION
we mustdoublethenumberof pointsin theattrac-
Fig. 9. The resultsof bit chopping(simulatedmeasurement tor to have a good chanceof finding a pair of
noise) for the a) Lorenz; b) Rossler; and c) Belousov-
replacement pointsratherthan a singleone, the
Zhabotinskiisystems.For eachsystemat least5 bitsof preci-
sion in thedataare requiredfor accurate
exponent estimates. searchvolumef o r area replacement is actually
larger(a largersolid angleof a potentialreplace-
mentsphereis acceptable) thanthe searchvolume
points,p, is for lengthreplacement. For area evolutionthere
are pairs of points that definehighly skewedre-
N
p=~-~. (20) placement elements, but theseare sufficientlyun-
likelythatwe canignoretheireffecton N(h z + ~2).
For calculation of exponents past ~2, therequired
The meannumberof replacement pointslocated
pointdensitydoesnot changesignificantly. In our
in a regionof lengthe (SCALMX) and angular
numericalwork, in a best casescenarioL / e ~-5,
size 0 ( A N G L M X ) is givenby
and themaximumvalueof ~ is about0.6 radians.
N r = Vd(e,~ ) p (21) In a worstcasecalculationL / e is about10, and 0
is about0.3 radians.From thesevalueseq. (24)
where Va, the volumeof a d-dimensional search predictsto first order that between = 10d and
cone,is proportional
to ed~ d- t, with d the(nearest - 30d pointsare necessary to fill out a d-dimen-
integer)dimensionof theattractor.Nr maybe set sional attractor,independent of how many non-
to 1 for ~1 estimation.
Combiningtheseexpres- negativeexponents we arecalculating.
 A. lolf et al. / Determining Lyapunoo exponents from a time series
o,2 m
258 512 1024
0
J
O,l
Q_
>,-
,.J
o,o LL
Fig. 10. The temporalconvergence
samplingrateis heldconstant;
of ~'xis shownas a functionof the numberof datapointsdefiningthe Rosslerattractor.The
thelongertimeseriescontainmoreorbits.Note thatlengthening
timefor convergencebut alsoprovidesmorereplacement
the embedding delay(~) was a sixthof an orbit,and theevolutiontime-stepwas three-quarters
The next factorwe consideris the numberof
orbitsof datarequired.The analysisis simplestif
chaos arisesthrougha once per orbit stretching
and foldingmechanism, whichmaybe represented
by a discretemappingin one or moredimensions
(as, for example,in the Lorenz, Rossler,hyper-
chaos,and Belousov-Zhabotinskii attractors).
Ex-
ponentconvergence requiresthatvolumeelements
be operatedon manytimesby the mappinguntil
the d e m e n thas sampledthe slopeprofileof the
map, suitablyweightedby the map'sprobability
density.The Lorenz and Rosslerattractors have
simpleunderlying 1-D maps;on theorderof 10 to
100 map points are requiredfor adequateslope
profiles[13]. For theseattractors, we expectbe-
tween 10 and 100 orbits worth of data will be
requiredfor estimatingX1 or for confirmingthat
2 = 0. N o additionalorbitsare requiredfor area
propagation in a systemdefinedby a 1-D map.If
the systemhad an underlying 2-D map as hyper-
chaos does, we might expect,dependingon the
complexity of themap,thatroughlythe squareof
this numberof orbits would be required.This
would providethe samesamplingresolutionfor
the slopeprofileof the map (seeref. 13) in each
dimension.In general,for a systemdefinedby an
307
TINE ,'
the timeseriesnot only allowsmore
candidatesat eachreplacementstep.(Heretheembedding dimension was3,
of an orbit.)
n-D map,thenumberof orbitsof datarequiredto
estimateany non-negative exponent is givenby a
constant, C, raisedto a powerwhichis thenumber
of positiveexponents.The numberof positive
exponents is approximately the dimensionof the
attractorminusone, thus the requirednumberof
orbits is about C d-x. C is a systemdependent
quantitydepending on the amountof structure in
the map,perhapsin therange10 to 100.
The last and simplestpoint we consideris the
requirednumberof pointsper orbit, P. Thereis
no benefitto choosingP any largerthan is ab-
solutelynecessary. We might try to chooseP so
small that in an evolutionof a single step, the
average replacement vectorwouldgrowto as large
a separation as we care to allow. In the Lorenz
attractor,for example,we mightdecideto allow
the average replacement vectorto growby a factor
of 32 in a singletimestep,so thatwe wouldhave
one datapoint per 6 orbits.The problemis that
with data this sparsewe are unlikelyto obtaina
good reconstruction of our attractor.Often, the
relationshipm ~ =1 is used in reconstructions,
wherem is theembedding dimension and T is the
delayin units of orbitalperiods.We assumethat
reconstruction is performedin an approximately
308 A. Wolf et aL / Determining Lyapunov exponents from a time series

d-dimensional space,and thedelaycorresponds to algorithmshave beentested.We emphasize that

a single sampletime, so that z = 1 / P . We then no explicituse was madeof the differentialequa-
obtaina requirement of aboutd pointsper orbitt. tions definingthe modelsystems,exceptto pro-
When the numberof pointsper orbit is multi- duce a dynamicalobservable(the x-coordinate
plied by the numberof orbits, we obtain a re- time series)whichwas thentreatedas experimen-
quirednumberof pointsrangingfrom d x 10d-1 tal data.For theequations thatdefineeachsystem
to d 100a- 1, whichwe cancompareto thepoint seetableI. The quoteduncertainty valuesfor each
density requirementof between10d and 30d systemwere calculatedeither from the known
points.Since all threerequirements mustbe met, valuesof the exponents or from the variationof
the largerof thesetwo quantitiesdetermines the our resultswith changesin parameters.
amountof data required.In each of thesetwo
rangesof valuesthe complexity of the underlying Hbnon attractor
map (if any)determines whichend of therangeis For the H r n o n map, we obtainedthe positive
appropriate. Thereforewe may concludethat for exponent to within5% with only 128pointsdefin-
up to abouta 10-dimensional systemthe required ing the attractor.
numberof datapointsrangesfrom10d to 30d. We
computethis range for severalsystems:H6non Rossler attractor
attractor (d = 1.26),30-100points;Rosslerattrac- For the Rossler attractor,we found the first
tor (d = 2.01),100-1000points;hyperchaos (d = exponentwith a 5% errorusing 1024points.The
3.005),1000-30000 points;delaydifferential equa- secondexponent was measured as lessthan6% of
tion ( d = 3.64),4000-200000 points.We seethat the first with 2048 points definingthe attractor.
the amountof data requiredto estimatenon- Six pointsper meanorbitalperiodwereused to
negativeexponentsrises exponentially fast with definethe attractor.
the dimensionof the attractor, the identicalprob-
lem with calculations of fractaldimensionby all Lorenz attractor
algorithms of thedistancescalingvariety[35].Fig. The Lorenzsystemwas themostdifficulttestof
10 showstheconvergence of o u r ~k1 estimate as the the fixed evolutiontime programbecauseits ill-
numberof pointsusedis increased for the Rossler definedorbital periodmadeit difficultto avoid
attractor. It is important to notethatwhileit may catastrophicreplacements near the separatrix.
In
take 32000 points to define an attractor,it is usingtheinteractiveprogramtheoperators simply
generally not necessaryto evolve completely
throughthe data before the exponentestimate 0.010
converges. For example, seefig. 10. G

8. Results
~o.
0
oo5
We now presentour results for the various
ILl
model and experimental
systemson which our

t W e note that d pointsper orbit is a very small number

comparedto the samplingraterequiredfor hi estimation with
an underlying1-D map. Construction of a map requiresthat O. 0000
orbital intersections
with the Poincar6sectionbe determined EVOLUTION TIME (ORBITS)
with high accuracy,oftennecessitating100 or morepointsper
orbit. Our techniquethus allows a factor of about 10 times Fig. 11. Stationarityof ~1 with evolutiontime is shownfor
moreorbitsfor a givensizedatafile. Belousov-Zhabotinskii data[2] (compareto fig. 6b).
 A. Wolfet al./ DeterminingLyapunooexponentsfrom a time series 309

avoidedthatregionat replacement time.The inter- nent using1-D map analysis[2] as a comparison.

activeruns determined the positiveexponentto Our algorithmgivesa resultin the plateauregion
within 3%, and measured the secondexponentas of 0.0054+ 0.0005 bits/s, while the 1-D map
less than 5% of the first, using 8192points.The estimationyicldsa resultof 0.0049+ 0.0010bits/s.
fixed evolutiontimecodemeasured the first expo- Thus theestimates arein agreement.
nentto within5% and foundthe secondexponent
to be less than 10% of the first, using8192points Couette- Taylor
in bothcases. For the Couette-Taylor experiment we com-
putedthe largestLyapunovexponentas a func-
Hyperchaos tion of Reynoldsnumberfrom datasets(at each
For this systemwe obtainedthe largestexpo- Reynolds number) consistingof 32768 points
nentto within 10%using8192pointsand thesum spanningabout 200 mean orbital periods.Our
of the two positiveexponents
to within 15% using resultsaregivenin fig. 12. Earlierstudiesof power
16384points. spectraand phaseportraitshad indicatedthatthe
onsetof chaosoccurredat R / R c = 12, whereRc
Delay differential equation marks the transitionto Taylor vortexflow. This
Using 65536points,we computedthelargestof onsetof chaosis confirmedand quantified by the
the two positiveexponentsto within 10% and calculation
of ~1.
foundthesumof thefirsttwo exponentsto within
20%.
9. Conclusions
Belousov-Zhabotinskii reaction
In fig. 11 we show the resultof our algorithm The algorithmswe have presented can detect
used on a time seriesof 65536points spanning and quantifychaosin experimental databy accu-
400 orbitalperiods.The systemwas in a chaotic rately estimatingthe first few non-negative
regimeneara period-three window.The exponent Lyapunov exponents.Moreover,our numerical
calculated by the algorithmis stableovera range studieshaveshownthatdeterministic chaoscanbe
of parameter values.We also calculatedthe expo- distinguishedin somecasesfromexternal noise(as
in the Belousov-Zhabotinskii attractor)and topo-
logical complexity(as in the Lorenz attractor).
0.8 However,this requiresa reasonable quantityof
accuratedata, and the attractormust not be of
0.6 veryhigh dimension.
X1 As with other diagnostics used in chaoticdy-
(bits/orbit)
0.4 namicalsystems,the calculation of Lyapunovex-
ponentsis still in its infancy,but we believethat
0.2
the approachto exponent estimationthatwe have
described hereis workable.We encourage experi-
0.0 I e , I i I I
mentation with our algorithms.
I0 II 12 13 14
R/Re

Fig. 12. The largestLyapunov exponent for experimental

Couette-Taylor datais shown asa functionof Reynolds
num- Acknowledgements
ber.Theshapeof thiscurve(butnotits absolute magnitude,
see reference
[3])wasindependently verified
bythecalculation
of themetricentropyh~-whichis equalto X1 if thereis a We thankJ. DoyneFarmerfor helpfuldiscus-
singlepositive
exponent [38]. sions and for calculatingthe Lyapunovspectrum
310 A. Wolfet al./ Determining Lyapunov exponentsfrom a time series

of the delaydifferential
equation;Mark Hayefor Appendix A
assistancein programming the Vector General;
and ShannonSpires for programming support, Lyapunov spectrum program for systems of dif-
and for producingthe Lyapunovexponentfilm. ferential equations
This researchis supported by the Departmentof This programcomputes thecompleteLyapunov
Energy,Office of Basic EnergySciencescontract spectrum of a nonlinearsystemwhoseequations of
DE-AS05-84ER13147. H. Swinneyacknowledges motionand theirlinearizationsaresuppliedby the
the supportof a GuggenheimFellowshipand userin the routineFCN. The programis set up
J. Vastanoacknowledges thesupportof an Exxon here for the threevariableLorenz systembut is
Fellowship. easilymodifiedfor anyothersystemof equations.

P R O G R A M ODE
C
C N = # OF N O N L I N E A R EQTNS., NN = T O T A L # OF EQTNS.
C
P A R A M E T E R N=3
P A R A M E T E R NN=I2
E X T E R N A L FCN
C
DIMENSION Y(NN),ZNORM(N),GSC(N),CUM(N),C(24),W(NN,9)
C
C INITIAL CONDITIONS FOR N O N L I N E A R SYSTEM
C
Y(1) -- I0.0
Y(2) -- 1.0
Y(3) = 0.0

INITIAL CONDITIONS FOR LINEAR SYSTEM (ORTHONORMAL FRAME)

DO I0 1 = N + I , N N
Y(1) -- 0 . 0
i0 CONTINUE
DO 20 I = I,N
Y((N+I)*I) -- 1.0
CUM(I) = 0.0
20 CONTINUE

INTEGRATION TOLERANCE, # OF INTEGRATION STEPS,

TIME PER STEP, AND I/O RATE

TYPE*, "TOL, NSTEP, STPSZE, IO ?"

ACCEPT*, TOL, NSTEP pSTPSZE, I0

INITIALIZATION FOR INTEGRATOR

NEQ = NN
X=O.O
IND -- 1
 A. Wolf et al./ Determining Lyapunov exponents from a time series 311

DO I00 I = I,NSTEP
XEND = S T P S Z E * F L O A T ( 1 )

CALL ANY ODE I N T E G R A T O R - THIS IS AN LMSL ROUTINE

CALL DVERK ( N E Q , F C N , X , Y , X E N D , T O L , I N D , C , N E Q , W , I E R )
C
C C O N S T R U C T A NEW O R T H O N O R M A L BASIS BY G R A M - S C H M I D T M E T H O D
C
C. N O R M A L I Z E FIRST V E C T O R
C
ZNORM(1) = 0.0
DO 30 J = I,N
ZNORM(1) = Z N O R M ( 1 ) + Y ( N * J + I ) * * 2
30 CONTINUE
ZNORM(1) = S Q R T ( Z N O R M ( 1 ) )
DO 40 J = I,N

Y(N*J+I) = Y(N*J+I)/ZNORM(1)
40 CONTINUE

GENERATE THE NEW O R T H O N O R M A L SET OF VECTORS.

DO 80 J = 2~N

GENERATE J-1 GSR COEFFICIENTS.

DO 50 K = l,(J-l)
GSC(K) = 0.0
DO 50 L = I,N
GSC(K) = G S C ( K ) + Y ( N * L + J ) * Y ( N * L + K )
50 CONTINUE

C O N S T R U C T A NEW VECTOR.

DO 60 K = I,N
DO 60 L = l,(J-l)
Y(N*K+J) = Y ( N * K + J ) - G S C ( L ) * Y ( N * K + L )
60 CONTINUE

CALCULATE THE VECTOR'S NORM

ZNORM(J) = 0.0
DO 70 K = IjN
ZNORM(J) = Z N O R M ( J ) + Y ( N * K + J ) * * 2
70 CONTINUE
ZNORM(J) = S Q R T ( Z N O R M ( J ) )
C
C N O R M A L I Z E THE NEW VECTOR.
C
DO 8 0 K = I , N
Y(N*K+J) = Y(N*K+J)/ZNORM(J)
80 CONTINUE
312 A. Wolf et aL/ Determining Lyapunov exponentsfrom a time series

UPDATE RUNNING VECTORMAGNITUDES

DO 90 K -- I,N
CUM(K) = CUM(K)+ALOG(ZNORM(K) )/ALOG(2. )
90 CONTINUE

NORMALIZE EXPONENT AND PRINT EVERY IO ITERATIONS

IF (MOD(I,IO).EQ.0) TYPE*,X,(CUM(K)/X,K = I,N)

I00 CONTINUE

CALL EXIT
END

SUBROUTINE FCN (N,X,Y,YPRIME)

C
C USER DEFINED ROUTINE CALLED BY IMSL INTEGRATOR.
C
DIMENSION Y(12),YPRIME(12)
C
C LORENZ EQUATIONS OF MOTION
C
YPRIME(1) = 16.*(Y(2)-Y(1))
YPRIME(2) = -Y(1)*Y(3)+45.92*Y(1)-Y(2)
YPRIME(3) = Y(1)*Y(2)-4.*Y(3)
C
C 3 COPIES OF LINEARIZED EQUATIONS OF MOTION.
C
DO I0 I = 0,2
YPRIME(4+I) = 16.*(Y(7+I)-Y(4+I))
YPRIME(7+I) = (45.92-Y(3))*Y(4+I)-Y(7+I)-Y(1)*Y(IO+I)
YPRIME(10+I) = Y(2)*Y(4+I)+Y(1)*Y(7+I)-4.*Y(IO+I)
I0 CONTINUE
C
RETURN
END

See section3 and refs.8, 9 for a discussion

of the
O D E algorithm.
Appendix B
F i x e d evolution time program for )h
A time series(of lengthNPT) is read from a
data file, along with the parametersnecessary
to
reconstruct theattractor,
namely,thedimensionof
the phasespacereconstruction (DIM), the recon-
structiontimedelay(TAU), and thetimebetween
the datasamples(DT), requiredonly for normal-
izationof theexponent. Threeotherinputparame-
tersare required:lengthscalesthatwe considerto
be too large(SCALMX) andtoo small(SCALMN)
and a constantpropagation time (EVOLV) be-
tween replacement attempts.SCALMX is our
estimateof the lengthscale on which the local
structure of theattractor is no longerbeingprobed;
S C A L M N is the lengthscaleon which noise is
expectedto appear.We also supplya maximum
angularerror to be accepted at replacement time
( A N G L M X ) , but we do not considerthis a free
parameteras its selectionis not likely to have
much effecton exponentestimates. It is usually
fixedat 0.2 or 0.3 radians.
 A. Wolf et aL / Determining Lyapunov exponents from a time series 313

The calculationis initiatedby carryingout an replacement triples:the maximumallowedtriple

exhaustivesearchof the data file to locatethe "skewness",the maximumangulardeviationof
nearestneighborto the first point (the fiducial eachreplacement vectorfromtheplanedefinedby
point), omittingpoints closer than SCALMNt. the last triple,and weightingfactorsfor the rela-
The main programloop, which carriesout re- tive importance of skewness, size of replacement
peatedcyclesof propagating and replacingthe vectors,and angularerrorsin choosingreplace-
first principal axis vectoris now entered.The mentvectors.
currentpair of pointsis propagated EVOLV steps The structureof this programis verysimilarto
throughthe attractorand its final separation is the programfor hi: locatethe two nearestneigh-
computed. The log of the ratio of final to initial borsof the first delaycoordinate point,determine
separation of this pair updatesa runningaverage the initial area definedby this triple, enterthe
rate of orbitaldivergence. A replacement stepis main programloop for repeatedevolutionand
thenattempted. The distance of eachdelaycoordi- replacement.Triples are evolved EVOLV
nate point to the evolvedfiducialpoint is then steps throughthe attractorand replacement is
determined. PointscloserthanSCALMX but fur- performed.Triple replacement is a more com-
ther awaythan SCALMN are examined to seeif plicatedprocessthanpair replacement, whichin-
the changein angularorientationis less than volvedminimizinga singleangularseparation and
A N G L M X radians.If morethan one candidate a length.Our approachto triplereplacement is a
point is found, the point definingthe smallest two stepprocess;firstwe find a smallsetof points
angularchangeis used for replacement. If no which,together with thefiducialtrajectory, define
pointssatisfythesecriteria,we loosenthe larger small separation vectorsand lie closeto the re-
distancecriterionto acceptreplacement pointsas quired two-dimensional subspace.We then de-
far as twiceSCALMX away.If necessary thelarge terminewhichof all of thepossiblepairsof these
distancecriterionis relaxedseveralmoretimes,at pointswill makethebestreplacement triple.In the
which point we tightenthis constraintand relax first step,the qualifications of up to 20 potential
theangularacceptance criterion.Continuedfailure replacementpoints are saved. Separationand
will eventuallyresultin our keepingthe pair of orientation requirements of replacement pointsare
pointswe had startedout with, as thispair results variedso thata moderate numberof candidates is
in no changewhatsoever in phasespaceorienta- almostalwaysobtained.In the secoridstepevery
tion. We now go backto thetop of themainloop possiblepair of thesepointsis assigneda score
wherethenewpointsarepropagated. This process basedon how closethereplacement tripleis to the
is repeated until thefiducialtrajectoryreachesthe old two-dimensional subspaceand how numeri-
end of thedatafile, by whichtimewe hopeto see callystabletheorientation of thetripleis believed
stationarybehaviorof Ar See section6 for a to be. (It is possiblethat the individualreplace-
discussion of howto choosetheinputparameters. ment vectors lie verycloseto the old two-dimen-
The fixed evolutiontimecodefor Ax + A2 esti- sional subspacebut that the replacement area
mationis too long to presenthere(350 lines of element is nearlyorthogonal to thesamesubspace!)
Fortran)but we discussits structure briefly.This The relativeimportanceof replacement lengths,
programbeginsby readingin a dynamicalob- skewness,orientation changes, etcetera,are
servableand manyof the sameinput parameters weightedby the userchosenfactors.The highest
as thecodefor ~1estimation. A numberof param- scoringpair of pointsis usedin the replacement
etersare also requiredto evaluatethe qualityof triple.The calculations in thisprograminvolvedot
productsand the Gram-Schmidt processand so
are independent of the dimensionof the recon-
"['Suchan exhaustive
searchis veryinefficientfor largearrays;
then more efficientalgorithmsshouldbe employed.See, for structed attractor- no complicated geometry is re-
example,ref. 39. quiredin thecoding.
314 A. Wolf et al./ Determining Lyapunov exponents from a time series

PROGRAM FETI
INTEGER DIM~TAU,EVOLV
DIMENSION X(16384) ,PTI(12) ,PT2(12)
C
C **DEFINE DELAY COORDINATES WITH A STATEMENT FUNCTION**
C **Z(I,J)=JTH COMPONENT OF ITH RECONSTRUCTED ATTRACTOR POINT**
C
Z(I,J) -- X(I+(J-I)*TAU)
C
OPEN (UNIT==1 ,FILE--"INPUT." ~TYPE='OLD" )
C
TYPE*, " N P T D D I M , T A U , D T ~ S C A I ~ , S C A L M N , E V O L V ?"
ACCEPT*, NPT jDIM, TAU, DT, S CALMX ~S CALMN, EVOLV
C
C **IND POINTS TO FIDUCIAL TRAJECTORY**
C **IND2 POINTS TO SECOND TRAJECTORY**
C **SUM HOLDS RUNNING EXPONENT ESTIMATE SANS I/TIME**
C **ITS IS TOTAL NUMBER OF PROPAGATION STEPS**
C
IND = 1
SUM = 0.0
ITS = 0
C
C **READ IN TIME SERIES**
C
DO I0 I = I,NPT
READ (1,*) X(1)
I0 CONTINUE
C
C **CALCULATE USEFUL SIZE OF DATAFILE
C
NPT = NPT - DIM*TAU - EVOLV
C
C **FIND NEAREST NEIGHBOR TO FIRST DATA POINT**
C
DI r- I.E38
C
C **DONT TAKE POINT TOO CLOSE TO FIDUCIAL POINT**
C
DO 30 I = II,NPT
C
C **COMPUTE SEPARATION BETWEEN FIDUCIAL POINT AND CANDIDATE**
C
D-- 0.0
DO 20 J = I~DIM
D = D+(Z(IND,J)-Z(I,J))**2
20 CONTINUE
D ~ SQRT(D)
C
C **STORE THE BEST POINT SO FAR BUT NO CLOSER THAN NOISE SCALE**
C
IF (D.GT.DI.OR.D.LT.SCAI~N) GO TO 30
DI=D
IND2 = I
30 CONTINUE
 A. Wolf et aL/ Determining Lyapunov exponents from a time series 315

**GET COORDINATES OF EVOLVED POINTS**

40 DO 50 J = 1,DIM
FTI(J) = Z(IND+EVOLV,J)
FT2(J) = Z(IND2+EVOLV,J)
50 CONTINUE

**COMPUTE FINAL SEPARATION BETWEEN PAIR, UPDATE E X P O N E N T * *

DF = 0.0
DO 60 J = 1,DIM
DF = D F + ( P T I ( J ) - P T 2 ( J ) ) * * 2
60 CONTINUE
DF = SQRT(DF)
ITS = ITS+I
SUM = S U M + A L O G ( D F / D I) / (FLOAT (EVOLV) *DT*ALOG(2. ) )
ZLYAP = SUM/FLOAT(ITS)
TYPE*, ZLYAP, EVO LV* ITS, D I, DF

* * L O O K F O R REPLACEMENT POINT**
**ZMULT IS M U L T I P L I E R OF SCAIFaX W H E N GO TO LONGER DISTANCES**

INDOLD -- IND2
ZMULT = I. 0
ANGI/~X = 0.3
70 T H M I N = 3.14

* * S E A R C H OVER ALL POINTS**

DO i00 1 = I,NPT

**DONT TAKE POINTS TOO CLOSE IN TIME TO F I D U C I A L POINT**

III = IABS(I-(IND+EVOLV))
IF (III.LT.10) GO TO I00

**COMPUTE DISTANCE BETWEEN FIDUCIAL POINT AND CANDIDATE**

DNEW = 0.0
DO 80 J = 1,DIM
DNEW DNEW+(PTI(J)-Z(I,J))**2
=

80 CONTINUE
DNEW = SQRT(DNEW)

* * L O O K F U R T H E R AWAY THAN NOISE SCALE, C L O S E R THAN ZMULT*SCAI/~X**

IF ( D N E W . G T . Z M U L T * S C A I ~ X . O R . D N E W . L T . S C A I N N ) GO TO I00
C
C * * F I N D A N G U L A R CHANGE OLD TO NEW V E C T O R * *
C
DOT = 0 0
DO 90 J = 1,DIM
DOT = D O T ( P T I ( J ) - Z ( I , J ) ) * ( P T I ( J ) - P T 2 ( J ) )
90 CONTINUE
 316 A. Wolf et al. / Determining Lyapunov exponents from a time series

CTH = ABS(DOT/(DNEW*DF))
IF (CTH.GT.I.0) CTH = 1.0
TH = ACOS(CTH)

**SAVE POINT W I T H SMALLEST A N G U L A R CHANGE SO F A R * *

IF (TH.GT.THMIN) GO TO I00
THMIN = TH
DII= DNEW
IND2 = I
100 C O N T I N U E
IF (THMIN.LT.ANGIFuX) GO TO ii0

**CANT F I N D A R E P L A C E M E N T - L O O K AT L O N G E R D I S T A N C E S * *

ZMULT = ZMULT+I.
IF (ZMULT.LE.5.) GO TO 70

**NO R E P L A C E M E N T AT 5*SCALE, DOUBLE SEARCH ANGLE, RESET D I S T A N C E * *

ZMULT = 1.0
ANGIMX = 2.*ANGIMX
IF (ANGIMX.LT.3.14) GO TO 70
IND2 = INDOLD + E V O L V
DII = DF
110 C O N T I N U E
IND = I N D + E V O L V

**LEAVE P R O G R A M W H E N F I D U C I A L T R A J E C T O R Y HITS END OF F I L E * *

IF (IND.GE.NPT) GO TO 120
DI = DII
GO TO 40
120 C A L L EXIT
END

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