Chapter 4: Chaos and chaotic systems

I. Chaotic systems

Continuous system – ODE: Lorenz system, Rossler system…

Discrete time system – Logistic map, Henon map …

II. Method for studying ODE systems

1.Theoretical analysis
2. Computer-based simulation

III. Numerical Methods

MATLAB Programming
Phase portrait; Bifurcation diagram; Lyapunov exponent
Lorenz system
In 1963, Edward Lorenz, an U.S. meteorologist, proposed a simplified model
for description of atmospheric convection.

 x  a ( x  y )

 y  rx  y  xz
 z  xy  bz

where x, y , z indicates the system states, and a>0, b>0, r >0 are the parameters.

When a=10,b=8/3,r=28, the system

exhibits chaotic behaviors.
How the system reach chaos?

 1. Stability of equilibrium points

 Find the equilibrium point
Letting x  0, y  0, z  0, it follows that

x  y r  1  X e  O (0,0,0)

 x( r  1  z )  0   X e1  O (0,0,0),
 
 x   bz r  1   X e 2  P1 ( b( r  1) , b( r  1) , r  1),

 X e 3  P2 (  b( r  1) , b( r  1) , r  1)

 Analyze the stability of these equilibrium points

Stability of the equilibrium points

 The Origin O(0,0,0)

  a a 0
 
  r  1 0   J  I  0  (  b)(   (a  1)  a(1  r ))  0
2
J XeO
 y 
 0 b 
Its roots, i.e., the eigenvalues of the Jacobian matrix are

1  b

 1

2   (a  1)  (a  1)  4a ( r  1)
2
 
r  1, 1,2,3  0  O(0,0,0) stable
 2 r  1, 1, 2  0, 3  0  O(0,0,0) unstable 

3 
1
2

 ( a  1)  ( a  1) 2
 4a ( r  1)  The system bifurcates
and Two new equilibrium
points appear.
Two non-zero equilibrium points
 Stability analysis (Only Xe2 is considered)
 a a 0 
 
J  1 1 b( r  1)   3  (a  b  1)2  b(a  r )  2ab( r  1)  0
 b( r  1) b( r  1)  b 

Routh-Hurwitz criterion: For any n-th order polynomial equation,

a0n  a1n 1  a2n 2    an 1  an  0,

a1 a0 0 0
a1 a0 0
a1 a0 a a2 a1 a0
Define 1  a1 ,  2  ,  3  a3 a2 a1 ,  3  3 ,
a3 a2 a5 a4 a3 a2
a5 a4 a3
a7 a6 a5 a4

Then, i  0, i  1,2,3...  all i have negative real parts.

Stability analysis
By using the Routh Hurwitz criterion, one obtains that

a  b 1 1
1  a  b  1  0,  2 
2ab( r  1) b( r  a )
 b( r  a )( a  b  1)  2ab( r  1),

a  b 1 1 0
 3  2ab( r  1) b( r  a ) a (b  1)  2ab( r  1) 2 .
0 0 2ab( r  1)

a (a  b  3)
By letting 2  0  r   rH  a  (b  1) .
a  b 1 r 0
Stability analysis

 Take an often studied case a  10, b  8 / 3.

rH  470 / 19  24.74
r  rH ,  2  0,  3  0  X e 2 and X e 3 are both stable;
r  rH ,  2  0,  3  0  X e 2 and X e 3 are both unstable.

 By using the given parameters, one can get

When r  1.3456,
1, 2,3are all negative; X e 2 and X e 3 are stable nodes.
When 1.3456  r  rH ,
1, 2,3are one negative real number, and two conjugate
complex numbers with negative real parts, implying X e 2 and X e 3 are stable foci.
Bifurcation and orbits
r 1
r  1, O(0,0,0) stable

r  1, O(0,0,0) unstable, and two stable equilibria appear.
r=1 is pitchfork bifurcation point.

r  rH
r  rH  1  0, RE (2,3 )  0

r  rH  1  a  b  1  0, 2,3   b( rH  a )i
r  r    0, RE ( )  0.
 H 1 2, 3

r=rH is Hopf bifurcation point.

Global dynamics
 Linearization method only works for stability of equilibrium points,
and fails to judge the whole system’s stability.
 Utilizing Lyapunov function method to deal with the global stability
V ( x, y, z )  13x 2  5 y 2  5( z  56)2  0
Letting V ( x, y, z )  K which is a ellipsoid in 3  D space.
Determine the derivative of the Lorenz system within the chaotic region
(a=10,b=8/3,r=30)
 0, ( x, y, z ) outside of C
dV dx dy
 26 x  10 y  10( z  56)
dz dV 
dt dt dt dt  0, ( x, y, z ) on C
dt 
 8
 10 26 x 2  y 2  ( z  28)2 
6272 
  0, ( x, y, z ) inside of C
 3 3 
V ( x, y , z )  K
Another ellipsoid (called C) is called trapping region, and
8 6272 the chaotic attractor is included
26 x 2  y 2  ( z  28) 2 
3 3 therein.
Attractor with different values of r
Rossler system
 Rossler examined the Lorenz system, and obtained another new
system with three parameters, which can still generate chaos.

 dx
 dt  ( y  z )

 dy
  x  ay
 dt
 dz
 dt  b  ( x  c) y

When a=0.2,b=0.2, c=5.7, chaos occurs.

Equilibrium points

By solving
dx dy dz
 0,  0,  0,
dt dt dt
the following two equilibrium points can be obtained.
When a  0
When a  0, c  0
 c  c 2  4ab  c  c 2  4ab
 x1   x1  
 2  2  x1  0
 c  c 2  4ab  c  c 2  4ab 
P1 :  y1   ; P2 :  y1    b
P1 :  y1  
 2 a  2a c

 c  c 2  4ab  c  c 2  4ab  b
 z1   z1  z 
 1 c
 2a  2a

Their stability may be studied by using the Jocobian matrix.

Local Stability

The dynamics on z=0

 dx
 dt   y  0  1 a  a2  4
J      
  O (0,0) Equilibriu m 1 a  4
 dy  x  ay
 dt

a
a  0  Re(  )   0  The origin is stable focus.
4
1
a  0     i  Bifurcation happens, and limit cycle appears
2
a
a  0  Re(  )   0  The origin is unstable focus.
4
Phase Portraits

a<0

a>0
How chaos occurs?

 Look at state z (assume 0<a<2,b>0,c>0).

 For small z, the equilibrium P2 is an unstable focus. The state

x and y will increase. When x>c, the coefficient of z in Eq. (3)
is positive, and z keep increasing.
 when z is big enough, ,from Eq. (1), x will decrease, and
cannot converge due to the instability of P2. It will increase
from certain time.
 The above process repeats and leads to a bounded attractor.
 A typical process called period-doubling bifurcation can be
observed from simulations.
How chaos occurs? ( when b=0.2,c=5.7)

a=0.05, period-1 a=0.12, period-2

a=0.2, period-8

a=0.15, period-4 a=0.152, period-8

Different chaotic attractors (b=2,c=4)

a=0.39, chaos a=0.504, period-1 suddenly appears

a=0.51, chaos a=0.55, chaos

Rossler hyper-chaotic system (1979)
The first 4-D ODE chaotic system
is proposed by O. Rossler in
1979. It reads that
 dx
 dt   y  z

 dy  x  ay  w
 dt

 dz  b  zx
 dt
 dw
   cz  dw
 dt

When a=0.25,b=3,c=0.5,d=0.05,
a hyper-chaotic attractor appears
when the initial condition is taken
as (-10, -6, 0, 10).
Hyper-chaotic map
O. Rossler’s 3-D discrete-time map (1979)

 xn 1  axn (1  xn )  0.05( yn  0.35)(1  2 zn )


 yn 1  0.1( yn  0.35)(1  2 zn )  1(1  1.9 xn )
 z  3.78z (1  z )  by
 n 1 n n n

in which the parameters a=3.8, b=0.2.

Baker and Klein introduced the generalized

Henon map (1985)
 xn 1  a  yn2  bzn

 yn 1  xn
z  y
 n 1 n

in which the parameters a=1.9, b=0.03.

MATLAB code for the generalized Henon
map
clear
clc
N=10000;
a=1.9;b=0.03;
x=zeros(N,1);y=zeros(N,1);z=zeros(N,1);
x(1)=.1;y(1)=.1;z(1)=.1;
for i=1:N
x(i+1)=a-y(i)^2-b*z(i);
y(i+1)=x(i);
z(i+1)=y(i);
end
plot3(x(end-5000:end),y(end-5000:end),z(end-5000:end),'.');
xlabel('Xn');ylabel('Yn'); zlabel('Zn');
First Man-made chaotic system

 Chua’s chaotic circuit

Leon O. Chua (BC Berkeley) invented an
electric circuit which may exhibits chaos,
one of the first and most influential chaotic
model used today.
Chua’s chaotic system
 Simplified differential model
Chen’s system
In 1998, Chen Guanrong proposed the
following 3-D chaotic system governed by

When a=35,b=3,c=28, it exhibits chaos.

Note: anti-control of chaos was therein

proposed and received much attentions.
MATLAB code for Chen’s system
function chenattractor
clc;clear
global a b c
a=35;b=3;c=28;
[~,Y] = ode45(@chen,[0:0.01:100],[-1 -1 1] );
plot3( Y(end-5000:end,1), Y(end-5000:end,2),Y(end-5000:end,3) );grid on
xlabel('x');ylabel('y');zlabel('z')

function dy=chen(~,y)
global a b c
dy = zeros(3,1); % a column vector
dy(1) = a*(y(2)-y(1));
dy(2) = (c-a)*y(1)-y(1)*y(3)+c*y(2);
dy(3) = y(1)*y(2)-b*y(3);
Summarization:
 Chaos is ubiquitous and widely exist in nonlinear system.

 Many chaotic system have been discovered in various fields,

including economics, electrical circuits, game theory, physics et
al.

 How to analyze systems you get from your own studies and the
mathematical model you required.

 Not to obtain chaos in purpose, but you need to pay more

attention if your system has chaos under some parameters.