Lecture Notes for Nonlinear Systems

Mason Porter
November 26, 2011
1 Lecture 2
1.1 Relaxation Oscillations
instead of just existence of periodic solutions, we really want to know what they look
like; generally, we need to be approximate
consider (Van der Pol oscillator) x+(x
2
1) x+x = 0, 1 (strongly nonlinear
limit)
As well see, the limit cycle consists of an extremely slow build-up followed by a
sudden discharge (rinse, wash, repeat); such oscillations are called relaxation os-
cillations ( the stress accumulated during build-up is relaxed during discharge)
relaxation oscillations occur, e.g., in periodic ring of nerve cells driven by constant
current
lets do a phase plane analysis:
observe x + x(x
2
1) =
d
dt
_
x +
_
F(x)
..
1
3
x
3
x
__
let w = x +F(x) w = x + x(x
2
1) = x

_
x = w F(x)
w = x
(9)
letting y =
w

then gives
_
_
_
x = [y F(x)]
y =
1

x
(10)
now consider a typical trajectory in the (x, y)-plane
use nullclines
_
x = 0 gives one set; vertical motion
y = 0 gives the other; horizontal
to understand motion, which I claim is as follows:
1
starting from anywhere except (0, 0), the trajectory goes horizontally onto the cubic
nullcline
y = F(x) {from x = 0} at A or C
then it goes slowly along the nullcline until reaching a knee (B and D); and then it
jumps horizontally to the other branch (C or A)
to see this, suppose that the intial condition is not too close to cubic nullcline; i.e.,
y F(x) O(1)
then (9)
_
| x| O() 1
| y| O(
1
) 1
2 time scales
enormous horizontal velocity, tiny vertical velocity
trajectory is almost horizontal
if initial condition above cubic nullcline, then y F(x) > 0 x > 0
jump to right (jump to left if below)
once trajectory gets close enough such that yF(x) O(
2
), then x y O(
1
),
so the trajectory crosses the nullcline vertically and moves slowly along its backside
with a velocity of size O(
1
) until it reaches a knee and jumps sideways again
observe that the trajectory crosses the cubic nullcline when transitioning from fast
to slow dynamics (check this with Matlab!)
we can see the time timescale in the solution x(t)
2
1.2 Period of the Oscillations
now lets estimate the period of the oscillations:
the period T is essentially the time required to travel along the 2 slow branches
(because time spent doing jumps is negligible for large )
by symmetry, the time on each branch is the same, so T 2
_
t
B
t
A
dt
on slow branches, y F(x)
dy
dt
= F

(x)
dx
dt
= (x
2
1)
dx
dt
using
dy
dt
=
x

, we get
dx
dt
=
x

(x
2
1)
dt =
(x
2
1)
x
dx on a slow branch
the positive branch begins at x
A
= 2 and ends at x
B
= 1 (check this!)
T = 2
_
1
2

x
(x
2
1)dx = 2
_
x
2
2
ln x
_
2
1
= (3 2 ln 2)
which is O() as expected (check this with Matlab!)
with more work, one can show that
T = [3 2 ln 2] + 2

1
3
where 2.338 is the smallest root of Ai() = 0 [Ai(x) = Airy function, a type
of special function]: this correction term comes from an estimate of how long it takes
to turn around corners
in this problem, the 2 time scales operate sequentially; were about to see stu where
they operate concurrently
3
1.3 Weakly Nonlinear Oscillators
they have the form x +x +h(x, x) = 0 (11) 0 1, h is a smooth function
e.g., appropriate h(x, x) give weakly nonlinear versions of Dung (h(x, x) = x
3
) and
VdP (h(x, x) = (x
2
1) x) oscillators
well use weakly nonlinear oscillators to look at situations with 2 time scales simul-
taneously (which occurs typically in such situations)
Two time scale perturbation theory (much more on this in Maths C6.3a)
let
_
= t denote O(1) time
T = t denote slow time
(recall: || small)
function of T will be treated as constant on the fast timescale
expand the solution of (11) in a series
X(t, ) = x
0
(, T) +x
1
(, T) + O(
2
) (12)
use the chain rule to transform time derivatives:
x =
dx
dt
=
x

t
+
x
T
T
t
=
x

+
x
T
using expansion (12), we get:
x =
x
0

+
_
x
0
T
+
x
1

_
+ O(
2
) (13)
similarly, x =

2
x
0

2
+
_

2
x
1

2
+ 2
x
0
T
_
+ O(
2
) (14)
1.4 Example
Well use this to show that VdP oscillator (with weak nonlinearity) has a nearly-
circular limit cycle with radius = 2 + O() and frequency = 1 + O(
2
)
x +x +(x
2
1) x = 0 (small )
use (13, 14) and collect small powers of , which well solve one at a time:
O(1):

2
x
0

2
+x
0
= 0
O():

2
x
1

2
+x
1
= 2

2
x
0
T
(x
2
0
1)
x
0

(15)
4
for weakly nonlinear oscillators, the O(1) equation is always a simple harmonic os-
cillator
can write its general solution as x
0
= r(T) cos( + (T)) (16)
(T is treated as a constant when integrating on fast timescale)
r(T), (T) are slowly-varying amplitude and phase
insert (16) into (15) to nd equations for r(T), (T):

2
x
1

2
+x
1
= 2
_
dr
dT
sin( + ) +r
d
dT
cos( + )
_
r sin(+)
_
r
2
cos
2
( + ) 1

(17)
we want a bounded solution, so we cant have resonant (aka secular) terms on RHS
(these are trig. terms with same frequency as approx x
0
) the overall coecients
of sin( + ), cos( + ) must be 0
expand RHS of (17) with trig. identity:
sin( + ) cos
2
( + ) =
1
4
[sin( + ) + sin[3( + )]]

2
x
1

2
+x
1
=
_
2
dr
dT
+r
1
4
r
3
_
sin( +)+[2r

] cos( +)
1
4
r
3
sin[3( +)]
to avoid secular terms, we then require:
slow ow equations
_

_
2
dr
dT
+r
1
4
r
3
= 0
2r
d
dT
= 0
(18)
the 1st equation of (18) can be written as r

=
1
8
r(4 r
2
) (19)
(a 1D dynamical system on half-line r 0)
can show that r = 0 is unstable equilibrium and r = 2 is stable equilibrium (here,
the Jacobian is a scalar - a 1 1 matrix of the rst partial derivatives)
r(T) 2 as T
2nd equation of (18)

= 0 (T) =
0
=constant
x
0
(, T) 2 cos( +
0
)
so
x(t) 2 cos( +
0
) + O() as t
so x(t) a stable limit cycle of radius 2 + O()
to nd the angular frequency of oscillations, let = t+(t) and the angular frequency
is
=
d
dt
= 1 +
d
dT
dT
dt
= 1 +

= 1 + O(
2
)
5
(Saddle + node). Note: when I ask about bifurcation, I expect the bifurcation point to
be considered as well (not just before and after)
to nd the O(
2
) correction, wed introduce a super slow time scale T
1
=
2
t or use
the Poincare-Lindstedt method
averaging (see exercise)
1.5 Introduction to Bifurcations
If a phase portrait changes its topological structure as one or more parameters are
varied, a bifurcation is said to have occurred (imagine controlling a parameter with
a knob in an experiment)
among other things, we can use this to start describing ways in which oscillations
can be turned on and o
co-dimension = minimal number of parameters that are varied for bifurcation to
occur
1.6 Saddle-node bifurcation
(also called folds)
basic mechanism for creation and destruction of equilibria
prototypical example:
_
x = x
2
(all interesting dynamics occur here)
y = y (exponentially damped) (20)
e.g. (model for a genetic control systems; Grith 1971)
activity of a certain gene is assumed to be directly induced by 2 copies of the protein
for which it codes (i.e., gene is stimulated by its own product, potentially leading to
an autocatalytic feedback process)
6
dimensionless equations are:
_
_
_
x = ax +y
y =
x
2
1 +x
2
by
(21)
where: x concentration of protein
y concentration of messenger RNA
a, b - parameters that govern the degradation rates of x, y
well show that there are equilibria for a < a
c
(well determine a
c
), and that there is
a saddle-node bifurcation at a = a
c
nullclines:
x = 0 y = ax
y = 0 y =
x
2
b(1 +x
2
)
(the y = 0 equation gives a sigmoidal curve: often shows up in biological problems)
lets vary a while holding b xed
small a 3 intersections ( 3 equilibria)
top 2 intersections coalesce as a increases until only (0, 0) is an equilibrium
equilibria are (0, 0) or ab(1 +x
2
) = x

=
1

1 4a
2
b
2
2ab
(2ab < 1 for 2 solutions)
coalesce at 2ab = 1 a
c
=
1
2b
(&x

= 1 at the bifurcation)
Jacobian J(x, y) =
_
_
a 1
2x
(1 +x
2
)
2
b
_
_
7
and you can compute that the smaller root x

(0, 1) is a saddle and that the larger

root x

> 1 is a stable node [(0, 0) is always a stable node]

the stable manifold of the saddle acts like a threshold; it determines whether the
gene turns on or o (depending on initial (x, y))
biological interpretation: the system can act like a biochemical switch but only if
its mRNA and protein decay slowly enough (ab <
1
2
); there are then 2 stable steady
states
1.7 Transcritical and pitchfork bifurcations
prototypical examples (by the way, these are more conventionally called normal
forms and there is a whole theory behind that stu - it is supposed to represent the
platonic ideal of the given bifurcation)

_
x = x x
2
y = y
(transcritical)

_
x = x x
3
y = y
(supercritical pitchfork - called forward bifurcation in other places,
like bio)

_
x = x +x
3
y = y
(subcritical pitchfork - backwards bifurcation)
8
e.g.
_
x = x +y + sin x
y = x y
(22)
solid curves are stable; dashed curves are unstable
(22) is invariant under change of variable x x; y y, so the phase portrait is
symmetric under reection through (0, 0)
(0, 0) is an equilibrium & J(0, 0) =
_
+ 1 1
1 1
_
(compute eigenvalues as
usual)
it is stable (node) for < 2 and a saddle (unstable) for > 2
9
this suggests that a pitchfork bifurcation occurs at u
c
= 2
to conrm this, we seek a symmetric pair of equilibria near the origin for
c
;
equilibria satisfy y = x and hence ( + 1)x + sin x = 0;
we have the x = 0 solution already
small x = 0; expand in Taylor series to get
( + 1)x +x
x
3
3!
+ O(x
5
) = 0 + 2
x
2
6
0
x

_
6( + 2) for slightly greater than 2
(equilibrium pair for >
c
supercritical)
(check that these equilibria are stable)
to draw phase portraits near (0, 0), its useful to nd the eigenvectors there (recall:
Part A); one can do it exactly, but we can get a good approximation (and faster
calculation!) by noting that J|
c
J|
=c=2
J
_
1 1
1 1
_
, which has eigenvectors
(1, 1) ( = 0)
(1, 1) ( = 2)
for slightly greater than
c
, we have a saddle so the = 0 eigenvalue is slightly
positive
1.8 Hopf Bifurcations
suppose a 2D dynamical system has a stable equilibrium; the ways stability can be
lost, as a parameter is varied, are governed by the eigenvalues of J
(all Re() < 0 stable; any Re() > 0 unstable; also, if / R, we get
oscillations)
10
in Hopf bifurcations, 2 complex conjugate simultaneously cross imaginary axis
supercritical Hopf : <
c
: stable equilibrium (spiral)
>
c
: unstable (spiral) equilibrium but we have a stable limit cycle that was also
created (small amplitude for
c
)
e.g.,
_
r = r r
3

= +br
2
(23)
controls stability of (0, 0) equilibrium (all other parameters vanish in linearization)
gives frequency of small oscillations
b determines dependence of frequency on amplitude for larger-amplitude oscillations
lets look at the eigenvalues
need to convert (23) to Cartesian coordinates

x = x y + cubic terms
y = x +y + cubic terms
J(0, 0) =
_


_
= i
so the eigenvalues cross the imaginary axis left to right as increases from < 0 to
> 0
rule of thumb (generic situation - but of course there are the exceptions...):
the size of the limit cycle grows continuously from zero and increases propor-
tionally to


c
for
c
(can you think of when the scaling might be
dierent?)
the frequency of the limit cycle is given approximately by = Im (evaluated
at =
c
); this is exact at birth of limit cycle and correct within O(
c
) for

c
; the period is thus
T =
_
2
Im
_
+ O(
c
)
11
note that there are also subcritical and degenerate Hopf bifurcations
1.9 Global Bifurcations of Cycles
other ways to create and destroy limit cycles (Hopf bifurcation is local in that it
arises through change at an equilibrium point)
global bifurcations, by contrast, involve regions of phase space beyond just the
neighbourhood of a single equilibrium
1.9.1 Saddle-node Bifurcations of Cycles
just like regular saddle-node but for limit cycles e.g.,
_
r = r +r
3
r
5

= +br
2
, < 0 (24)
regard the radial equation as a 1D dynamical system
check: this system undergoes a saddle-node bifurcation at
c
=
1
4
in the 2D system, such points correspond to limit cycles
an O(1)-amplitude cycle is born out of nowhere (by contrast, for a Hopf bifurcation,
it grows proportionally to O

c
)
1.9.2 Innite-Period Bifurcation
e.g.,
_
r = r(1 r
2
)

= sin
, 0 (25)
12
note: r and

are decoupled, so this is actually just two 1D systems
r equation: all trajectories (except equilibrium r

= 0) approach circle, r = 1,
monotonically as t

equation: counterclockwise everywhere motion for > 1 whereas there are two
invariant rays (dened by sin = ) if < 1
as decreases, the limit cycle r = 1 develops a bottleneck at

2
that becomes
increasingly severe as 1
+
; the oscillation period lengthens and nally becomes
innite at
c
= 1 when an equilibrium appears on the circle; for < 1 the point
splits into a saddle and a node
as the bifurcation is approached, the oscillation amplitude stays O(1) but the period
increases as (
c
)

1
2
note: we can also see this mechanism in genuinely coupled 2D examples
13