Chaos theory

                    Chaos theory is a field of study in mathematics, with applications in several disciplines including physics, engineering, economics and biology. Chaos theory studies the behavior of dynamical systems that are highly sensitive to initial conditions, an effect which is popularly referred to as the butterfly effect. Small differences in initial conditions (such as those due to rounding errors in numerical computation) yield widely diverging outcomes for such dynamical systems, rendering long-term prediction impossible in general.  This happens even though these systems are deterministic, meaning that their future behavior is fully determined by their initial conditions, with no random elements involved.  In other words, the deterministic nature of these systems does not make them predictable.  This behavior is known as deterministic chaos, or simply chaos. This was summarised by Edward Lorenz as follows: 

Chaos: When the present determines the future, but the approximate present does not approximately determine the future.

Chaotic behavior can be observed in many natural systems, such as weather.  Explanation of such behavior may be sought through analysis of a chaotic mathematical model, or through analytical techniques such as recurrence plots and Poincaré maps.  

Chaotic dynamics

In common usage, "chaos" means "a state of disorder".  However, in chaos theory, the term is defined more precisely. Although there is no universally accepted mathematical definition of chaos, a commonly used definition says that, for a dynamical system to be classified as chaotic, it must have the following properties: 

1. it must be sensitive to initial conditions;
2. it must be topologically mixing; and
3. its periodic orbits must be dense.

The requirement for sensitive dependence on initial conditions implies that there is a set of initial conditions of positive measure which do not converge to a cycle of any length.

Sensitivity to initial conditions

Sensitivity to initial conditions means that each point in such a system is arbitrarily closely approximated by other points with significantly different future trajectories. Thus, an arbitrarily small perturbation of the current trajectory may lead to significantly different future behaviour. However, it has been shown that the last two properties in the list above actually imply sensitivity to initial conditions   and if attention is restricted to intervals, the second property implies the other two  (an alternative, and in general weaker, definition of chaos uses only the first two properties in the above list).  It is interesting that the most practically significant condition, that of sensitivity to initial conditions, is actually redundant in the definition, being implied by two (or for intervals, one) purely topological conditions, which are therefore of greater interest to mathematicians.

Sensitivity to initial conditions is popularly known as the "butterfly effect", so called because of the title of a paper given by Edward Lorenz in 1972 to the American Association for the Advancement of Science in Washington, D.C. entitled Predictability: Does the Flap of a Butterfly’s Wings in Brazil set off a Tornado in Texas? The flapping wing represents a small change in the initial condition of the system, which causes a chain of events leading to large-scale phenomena. Had the butterfly not flapped its wings, the trajectory of the system might have been vastly different.

A consequence of sensitivity to initial conditions is that if we start with only a finite amount of information about the system (as is usually the case in practice), then beyond a certain time the system will no longer be predictable. This is most familiar in the case of weather, which is generally predictable only about a week ahead. 

The Lyapunov exponent characterises the extent of the sensitivity to initial conditions. Quantitatively, two trajectories in phase space with initial separation  diverge

where λ is the Lyapunov exponent. The rate of separation can be different for different orientations of the initial separation vector. Thus, there is a whole spectrum of Lyapunov exponents — the number of them is equal to the number of dimensions of the phase space. It is common to just refer to the largest one, i.e. to the Maximal Lyapunov exponent (MLE), because it determines the overall predictability of the system. A positive MLE is usually taken as an indication that the system is chaotic.

There are also measure-theoretic mathematical conditions (discussed in ergodic theory) such as mixing or being a K-system which relate to sensitivity of initial conditions and chaos.

Topological mixing

Topological mixing (or topological transitivity) means that the system will evolve over time so that any given region or open set of its phase space will eventually overlap with any other given region. This mathematical concept of "mixing" corresponds to the standard intuition, and the mixing of colored dyes or fluids is an example of a chaotic system.

Topological mixing is often omitted from popular accounts of chaos, which equate chaos with sensitivity to initial conditions. However, sensitive dependence on initial conditions alone does not give chaos. For example, consider the simple dynamical system produced by repeatedly doubling an initial value. This system has sensitive dependence on initial conditions everywhere, since any pair of nearby points will eventually become widely separated. However, this example has no topological mixing, and therefore has no chaos. Indeed, it has extremely simple behaviour: all points except 0 will tend to positive or negative infinity.

Density of periodic orbits

Density of periodic orbits means that every point in the space is approached arbitrarily closely by periodic orbits.  The one-dimensional logistic map defined by x → 4 x (1 – x) is one of the simplest systems with density of periodic orbits. For example,  →  →  (or approximately 0.3454915 → 0.9045085 → 0.3454915) is an (unstable) orbit of period 2, and similar orbits exist for periods 4, 8, 16, etc. (indeed, for all the periods specified by Sharkovskii's theorem). 

Sharkovskii's theorem is the basis of the Li and Yorke  (1975) proof that any one-dimensional system which exhibits a regular cycle of period three will also display regular cycles of every other length as well as completely chaotic orbits.

Strange attractors

Some dynamical systems, like the one-dimensional logistic map defined by x→ 4 x (1 – x), are chaotic everywhere, but in many cases chaotic behaviour is found only in a subset of phase space. The cases of most interest arise when the chaotic behaviour takes place on an attractor, since then a large set of initial conditions will lead to orbits that converge to this chaotic region.

An easy way to visualize a chaotic attractor is to start with a point in the basin of attraction of the attractor, and then simply plot its subsequent orbit. Because of the topological transitivity condition, this is likely to produce a picture of the entire final attractor, and indeed both orbits shown in the figure on the right give a picture of the general shape of the Lorenz attractor. This attractor results from a simple three-dimensional model of the Lorenz weather system. The Lorenz attractor is perhaps one of the best-known chaotic system diagrams, probably because it was not only one of the first, but it is also one of the most complex and as such gives rise to a very interesting pattern which looks like the wings of a butterfly.

Unlike fixed-point attractors and limit cycles, the attractors which arise from chaotic systems, known as strange attractors, have great detail and complexity. Strange attractors occur in both continuous dynamical systems (such as the Lorenz system) and in some discrete systems (such as the Hénon map). Other discrete dynamical systems have a repelling structure called a Julia set which forms at the boundary between basins of attraction of fixed points – Julia sets can be thought of as strange repellers. Both strange attractors and Julia sets typically have a fractal structure, and a fractal dimension can be calculated for them.

Minimum complexity of a chaotic system

Discrete chaotic systems, such as the logistic map, can exhibit strange attractors whatever their dimensionality. In contrast, for continuous dynamical systems, the Poincaré–Bendixson theorem shows that a strange attractor can only arise in three or more dimensions. Finite dimensional linear systems are never chaotic; for a dynamical system to display chaotic behaviour it has to be either nonlinear, or infinite-dimensional.

The Poincaré–Bendixson theorem states that a two dimensional differential equation has very regular behavior. The Lorenz attractor discussed above is generated by a system of three differential equations with a total of seven terms on the right hand side, five of which are linear terms and two of which are quadratic (and therefore nonlinear). Another well-known chaotic attractor is generated by the Rossler equations with seven terms on the right hand side, only one of which is (quadratic) nonlinear. Sprott  found a three dimensional system with just five terms on the right hand side, and with just one quadratic nonlinearity, which exhibits chaos for certain parameter values. Zhang and Heidel  showed that, at least for dissipative and conservative quadratic systems, three dimensional quadratic systems with only three or four terms on the right hand side cannot exhibit chaotic behavior. The reason is, simply put, that solutions to such systems are asymptotic to a two dimensional surface and therefore solutions are well behaved.

While the Poincaré–Bendixson theorem means that a continuous dynamical system on the Euclidean plane cannot be chaotic, two-dimensional continuous systems with non-Euclidean geometry can exhibit chaotic behaviour.  Perhaps surprisingly, chaos may occur also in linear systems, provided they are infinite-dimensional.  A theory of linear chaos is being developed in a branch of mathematical analysis known as functional analysis.