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MATH3041
Mathematical Modelling for Real World Systems
Dr. Anna Cai
Dynamical Systems Modelling component
SESSION 1, 2015
CRICOS Provider No: 00098G
c
2015
School of Mathematics and Statistics, UNSW
These notes were prepared by the current and previous lecturers of MATH3041
Contents
1 Introduction to Modelling
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76
77
1 Introduction to Modelling
2 From Real World Problems to Mathematical Models
1. Clarify the question, set up the problem in mathematical terms
identify parameters, variables, constants
identify units of measurement
identify simplifying approximations, assumptions
identify the mathematical objective
2. Select the modelling strategy, solution procedure
optimization, single variable or multivariable, constrained or
unconstrained
dynamical system, differential equations, difference equations
stochastic system, probabilistic calculus, random variables
3. Formulate the model in standard mathematical form
simplify further if necessary
check that equations are dimensionally sensible
4. Solve the mathematical problem
algebraic solution
numerical solution
stability analysis, are the results stable against small disturbances
sensitivity analysis, how do the results vary with parameters
5. Answer the original problem in non-technical terms
interpretation
model critique
See the collection of modelling examples provided. Courtesy of Professor Bruce Henry.
i = 1, 2 . . . N
2.2 Scatterplots
y = axn
y = ax + b
linear
power
y = axn
ax bx2 + . . .
power
polynomial
y = aebx
y=
exponential
a
1+becx
logistic
differential equations.
2.3 Linearity
y = Cex
Then
log y = log C x
y = Cx
Then
log y = log C + log x
Put Y = log y and X = log x then Y = aX+b with a = and b = log C.
Power laws are common in nature and complex systems. Where do
they come from?
2.4 Ubiquitous Power Laws
2.4.1
Self Similarity
log
.
b=
log
Hence the power law axb satisfies the functional equation for any a
provided that b is given by the above equation. The exponent b is
called the similarity dimension (it is an example of a fractal dimension and it may have a non-integer value).
mb /yr
Over Time
100,000 yrs
464 yrs
2.2 yrs
1 yr
Allometry
For warm blooded animals the following power law relations have
been observed
1
mass (kg)
mouse
.015
human
63
elephant 3000
whale
50000
heartrate (bpm)
624
72
37
17
volume
surface area
Assume all warm blooded animals have essentially the same density
= M/V . Then
M L3 mass.
The metabolic rate P is the rate at which a warm blooded animal
generates heat. We might suppose that this is balanced by the rate
at which animals lose heat, but they lose heat through their surface
2
so we suppose that P L2 or in terms of mass P M 3 . This is not
quite right but it is close. The empirical result is
3
P M4
The heart is a pump that delivers the energy (oxygen in the blood)
that is used in the metabolic process. If we assume that the energy
that can be delivered in the metabolic process by the heart in a single
beat is proportional to the size of the heart then
3
1
M M4
P
T
which gives the heart beat scaling
1
1
M4
T
Were dinsosuars warm blooded or cold blooded? It has been estimated that the lifetime of dinosaurs ranged from 75300 years.
10
2.4.3
Self-Organized Criticality
In 1993 two physicists, Per Bak and Kim Sneppen, introduced a simple mathematical model to simulate Darwinian evolution. Their model
starts with N random numbers (0, 1) associated with cells that are
spaced around a circle. Each random number represents the fitness
of a cell. Evolution then occurs by eliminating the least fit as follows:
Pick out the cell with the smallest fitness.
Replace the least fit cell and its two adjacent neighbours with
new cells with randomly chosen fitness.
Repeat.
Not surprisingly perhaps, the fitness of the least fit cell evolves over
time to be more fit. Note that at any step the least fit cell may have
fitness close to zero but if we plot the fitness of the least fit cell as
a function of time then there is an overall increase in fitness. One
way to see this is to plot the envelope of the data showing the least
fit versus time.
There are many interesting features in this model. The envelope saturates at a critical value f 0.667. The envelope function increases
in a stepwise manner and the density of the horizontal step widths is
given by a power law
n(t) t
with the exponent 1. The horizontal steps represent mass extinction events where there is an avalanche event. Just after a vertical
step in the envelope we will replace the cell at this threshold and its
causally linked neighbours and then the avalanche will continue until
all cells again have their fitness levels above that threshold level. The
power law behaviour indicates that small extinction events and large
extinction events are all triggered by this same sort of mechanism.
Note that the Bak-Sneppen model simulates elimination of the least
fit rather than survival of the most fit. The major advance of their
model was that it demonstrated that mass extinction events (avalanches)
are not inconsistent with Darwinian evolution but are a natural conseqeunce of it. There is no need to seek an explanation for the extinction of dinosaurs in terms of a meteor impact or some other external
event. To quote Bak, catastrophes can occur for no reason whatso11
0.8
0.6
0.4
0.2
0
0
50
100
150
200
Figure 1: Fitness level of the least fit species versus time in the Bak-Sneppen model
ever.
2.5 Linear Correlation
N
X
yi
y =
N
i=1
N
X
xi
i=1
)
)2
i
i
i (yi y
If yi = axi + b i then
1 X
1 X
1 X
yi = a
xi + b
N i
N i
N i
y = a
x+b
(
y yi ) = a(
x xi )
P
)2
i a(xi x
pP
r = pP
2
2
(x
)
)2
i
i
i a (xi x
= 1
Given data points (xi, yi) i = 1, 2, . . . N , how can we find the parameters a and b so that the straight line defined by Yi = axi + b is as
close as possible to yi ?
yi
Yi
1
0
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
xi
The strategy is to introduce an error function that measures the separation between yi and Yi as a function of parameters a and b and
then find the optimal values of a and b to minimize the error function.
Definition Error Function
N
X
E =
(yi Yi)2
i=1
X
=
(yi axi b)2
E
b
= 0.
Thus we require
Ea =
2xi(yi axi b) = 0
Eb =
X
i
(yi axi b) = 0
b = y a
x
xy
xy
a = 2
x (
x)2
How good is the straight line fit?
Definition Standard Error
rP
Yi ) 2
rP N 2
2
i (yi axi b)
=
N 2
i (yi
Problem
You are caught out in a steady downpour of rain as you go from one
lecture class to another and you dont have an umbrella. You want to
remain as dry as possible. Should you run as fast as you can or walk
as slow as you can or go at some intermediate pace?
Solution
1. Setup the problem in mathematical terms
Draw a relevant preliminary picture if possible - in this case a
stick figure starting at a point labelled A on a line extending to a
point labelled B and some rain drops above the line
Identify (possibly) relevant parameters and label them
velocity of a person vP [ms1 ] horizontal direction
14
d
h
vD
vP
Figure 2: Schematic sketch for setting up the walking in the rain problem
d tan
d
h
vP
vD
Obviously any drop that is not above the line between A and B
is outside the catchment area in steady vertical rain. A more
refined figure helps for this problem. The figure shows a twodimensional cross-section in a plane parallel to the direction of
travel.
The two shaded parallelograms in this figure show the zones
from which rain drops starting at the time a person leaves A will
intercept a person on their way to B.
The larger parallelogram, with area A1, is the zone of origin for
16
metres
metres per second running
metres per second walking
metres per second
metres
metres
metres
Following on the subject of false negatives (hence also false positives) consider that Dating Agency Matching services could use least
18
squares fits to match up clients. The way this could work is that
clients would be asked to fill in questionaires and then assigned
scores for their responses. For example the scores might be numbers from 1 to 5 where 1 is to indicate strongly disagree and 5 is to
indicate strongly agree. To find the best match for a particular client
the scores for this client are compared with the scores of all other
clients in the pool. This comparison is made quantitative by computing the sum of the squares of the differences between scores. That
other client with the smallest sum of the squares of the differences to
the particular client is the best possible match.
Mathematical models have been applied to understand dynamics
of Marriage for divorce prediction. Nonlinear systems of difference
equations model the couples interaction in laboratory conditions, analyzing positive and negative turns in speech. You may want to have
a search on what the four horsemen of divorce are.
2.9 Example 2-faced coin
The smelting company Tinm is commissioned to produce a four seasons collection of 1 dollar coins. A total of 2 million dollar coins are
to be produced.
1. Collectors value coins according to their rarity. How many of
each season should the company produce to make each spring
faced coin (the rarest type) worth around 50k to collectors?
2. Some collectors obtained inside information to the companys
production and are set to buy the spring coins. Aware that production information is never completely secure, the artist-designer
made the faces of the rarest and the commonest coin appear
very similar. The rate of release of each coin is the same, though
each season would have different halting times. Coin values fluctuate according to how people bid for them over time in the collectors online auction. Would the design of the coins be effective
in making collectors with information bid to the true value of the
coins, or counterproductive, or has no effect?
19
2.10 References
20
21
The mathematical statement of determinism is through existenceuniqeness theorems for differential equations or difference equations
but in such systems the fact that future behaviours are determined by
present behaviours does not mean that the systems are predictable.
In order to be predictable the unique solution must exist as an algebraic formula. In many dynamical systems the solution does not
exist in such a form but it always exists as a unique trajectory in an
abstract mathematical space called phase space. Without a formula
we cannot trace out the path in phase space for arbitrary times. Instead we have to relie on computations. However in those systems
where the phase space trajectory does not have a compact algebraic
form the trajectory is highly sensitive on its initial state, so much so
that there is no reliable short cut to the future. This is what chaos is
all about.
Stochastic Dynamical System: - A stochastic dynamical system is
a dynamical system that is not deterministic. The evolution is driven
in part by an external noise. In some cases it is possible to model
these systems using a deterministic model for the the probability density function for the stochastic system to be in a particular state at a
particular time.
In this component of the course we consider deterministic models. In
general whenever we wish to model a real world system that changes
in time then dynamical modelling is a good place to start.
3.1 Continuous dynamical system: - t R
A continuous time dynamical system is a system of first order ordinary autonomous differential equations
dx
= f (x, )
dt
(x, t) Rn R1
x = (x1, x2, . . . xn )T
f = (f1, f2, . . . fn)T
= (1 , 2, . . . k )T
22
(1)
(2)
(3)
(4)
y R1
(5)
Define
x1 = y
dy
x2 =
dt
d2 y
x3 =
dt2
..
.
dn1y
xn =
dtn1
23
(6)
(7)
(8)
(9)
(10)
Then
dt
x1
x2
..
.
xn
dy
dt
d2 y
dt2
= ..
.
dn y
dtn
x2
x3
..
.
g(x1, x2, . . . xn)
f1
f2
..
.
fn
(11)
(12)
(13)
(14)
Linear system:
(15)
(16)
for any , and all t. Note that the right hand side can be written as
d
(x(1) (t) + x(2) (t))
dt
so that if x(1) (t) and x(2) (t)) is a solution then so is
(x(1) (t) + x(2) (t)).
This is the principle of linear superposition which makes it possible
to construct general solutions. A linear dynamical system can equivalently be written in the form
dx
= Ax
dt
It is generally not possible to construct additional solutions from known
solutions in nonlinear systems.
3.1.2
Phase space:
(17)
(18)
(19)
25
this with
dR
= aJ
dt
where a is a positive constant.
Suppose that Juliet is a fickle lover so that the more Romeo loves her
the more she backs off but if Romeo backs off she comes on strong.
Then
dJ
= bR
dt
where b is a positive constant.
Let
R(t)
aJ
x=
and f (x) =
J(t)
bR
3.1.3
Further Examples:
(21)
(22)
(23)
20
1.0
-20
0.5
Juliet JHtL
40
0.0
20
-0.5
0
-10
-1.0
-1.0
-0.5
0.0
0.5
1.0
10
Romeo RHtL
20
Figure 4: (a) Phase Space plot for Romeo and Juliet. (b) A trajectory of the Lorentz
equation
= 10;
= 28;
= 8 3;
tend = 50;
lorentz = NDSolve@8x '@tD Hy@tD - x@tDL, y '@tD x@tD H - z@tDL - y@tD,
z '@tD x@tD y@tD - z@tD , x@0D 0.01, y@0D 1, z@0D 0.01<,
8x, y, z<, 8t, 0, tend<, MaxSteps InfinityD
ParametricPlot3D@Evaluate@8x@tD, y@tD, z@tD< . lorentzD,
8t, 0, tend<, PlotPoints 10 000D
(24)
(25)
(26)
x = (x, y, )T
dependent variables
= (, , f, ) system parameters
3. Logistic Equation:
x = x x2
4. Predator-Prey System
Direction field plots are straightforward but tedious to construct.
However there are many computer packages available for making such plots. The Mathematica function StreamPlot can be
used to plot direction fields. Here we consider the predator-prey
equations
dx
= x xy
dt
dy
= y + xy,
dt
where the parameters , , , are all 0.
tend = 200;
= 1;
= 1;
= 0.5;
= 1;
pp = NDSolve@8x '@tD x@tD - x@tD y@tD, y '@tD - y@tD + x@tD y@tD,
x@0D 0.5, y@0D 0.5<, 8x, y<, 8t, 0, tend<, MaxSteps InfinityD
ParametricPlot@Evaluate@8x@tD, y@tD< . ppD, 8t, 0, tend<D
Plot@Evaluate@8x@tD, y@tD< . ppD, 8t, 0, tend 5<, AxesOrigin 80, 0<,
AxesLabel 8"time HtL", "predator HredL, prey HblueL"<,
LabelStyle 8Directive@12D, Directive@12D<D
StreamPlot@8 x - x y, - y + x y<, 8x, 0, 1.5<,
8y, 0, 2<, StreamPoints 88880.5, 0.5<, Red<, Automatic<<,
FrameLabel 88"predator yHtL", ""<, 8"prey xHtL", ""<<,
LabelStyle 8Directive@12D, Directive@12D<D
3.1.4
Special Solutions
2.0
predator yHtL
1.5
1.0
1.5
0.5
1.0
0.5
0.0
10
20
30
40
0.0
time HtL
0.5
1.0
1.5
prey xHtL
Figure 7: Direction field plot and phase space trajectory for Predator-Prey system
Periodic Solution:
A periodic solution satisfies
x (t) = x (t + T )
T >0
Qualitative Dynamics:
If an algebraic solution can be found for a dynamical system it can
then be used to accurately predict future behaviours. Often algebraic
solutions cannot be found. However a qualitative understanding of
the long term behaviour in the system can be inferred in many cases
by studying the behaviour of the system in the vicinity of its fixed
points and periodic orbits. We will return to this in later lectures when
we investigate the stability of fixed points and periodic solutions.
3.1.5
This an infinite dimensional dynamical system because at each instant in time we need to specify u(x, t) at all points in space (and
there are infinitely many on any interval of the real number line). We
could approximate u(x, t) by specifying it at a finite number of points
in space. Here we discretize space into segments of length x and
write u(x, t) = u(nx, t) = un(t). We can now write
u (x)2 2u
un+1(t) = u(nx + x, t) = un (t) + x
+
+ ...
x
2 x2
and
un1(t) = u(nx x, t) = u(nx, t) x
u (x)2 2u
+
+ ...
x
2 x2
n = 1, 2, . . . N.
fn
=
=
=
=
(x, n) Rn Z 1
f (x, )
(x1, x2, . . . xr )T
(f1, f2, . . . fr )T
(1, 2 , . . . k )T
f f ...f
31
(27)
(28)
(29)
(30)
(31)
(32)
In the above; f n is called the nth composite of the map f . The system
is called autonomous because the functions f do not depend explicitly
on time, n.
Note:
1.
f 0 = Id
f m f n = f m+n
(33)
(34)
(35)
(36)
Define
x1(n) = y(n)
x2(n) = y(n + 1)
x3(n) = y(n + 2)
..
.
xr (n) = y(n + r 1)
32
(37)
(38)
(39)
(40)
(41)
Then
x1(n + 1)
x (n + 1)
2
..
.
xr (n + 1)
3.2.1
y(n + 1)
y(n + 2)
= ..
y(n + r)
x2(n)
x (n)
3
= ..
.
G(x1(n), x2(n), . . . xr (n))
f1
f
2
= ..
.
fr
(42)
(43)
(44)
Orbits:
Orbits (trajectories) of differential equations are curves whereas orbits of maps are discrete sets of points.
+(x) = {f n (x) : n 0} forward orbit
(x) = {f n (x) : n 0} backward orbit
[
(45)
(46)
(47)
Examples:
(48)
(49)
(50)
(51)
(52)
xn+1 = x(nh + h)
= x(nh) + hx(nh)
+ O(h2)
xn + hx n
(53)
(54)
(55)
But
x n = xn x2n
and hence
1
(xn+1 xn )
h
1
(xn+1 xn )
h
x n
xn x2n
(56)
(57)
Rearranging we have
xn+1 g(xn, h)
(58)
(59)
where
The continuous time logistic growth model has an algebraic solution that can be expressed in closed form but the discrete logistic
model can have chaotic behaviour. The chaotic behaviour only
occurs is h is sufficently large and in going from the continuous
model to the discrete model we assume h is small.
4. Competing Species:
N1(n + 1) = N1(n) + r1 N1(n) k1 N1(n)N2(n)
N2(n + 1) = N2(n) + r2 N2(n) k2 N2(n)N1(n)
34
5. Orthogonal Polynomials:
T0(x) = 1, T1(x) = x
(60)
3.2.3
Special Solutions
if
1k p1
12R
r n
r(1 + 12
)
We now have
r n
(1 + 12
)
12R
A(n) =
1
r n
r
(1 + 12
)
The final parameter R is found using the other boundary condition
A(0) = A0
1
12R
1
A0 =
r n
r
(1 + 12
)
A0 r
i
h
R =
1
12 1 (1+ r )n
12
This is a very useful formula relating the monthly repayment R required to repay an amount A0 over n months with annual interest
rate r. Let us display it nicely in a box
38
R=
A0 r
i
h
1
12 1 (1+ r )n
12
amount R.
If we make R/2 payments per fortnight then we make 26(R/2) such
payments in a year and so we are effectively repaying 26(R/2)/12
per month, i.e., our effective monthly repayment rate is
= 13R .
R
12
For the real world scenario this equates to an effective monthly re = 2297.03.
payment of R
The equation in the box that we derived above is valid for any R, A0, r, n
and hence we can write
=
R
A0 r
i
h
1
12 1 (1+ r )n
12
where n
is the new term of the loan. With a little bit of algebra we
= 13R , we have
can solve this equation for n
. Explicitly, after using R
12
A0 r
|
log |1 13R
n
=
r .
|
log |1 + 12
39
Using the test case real world numbers as a guide we find that n
246.7 months (more than four years less) and the total amount repaid
under this fortnightly repaying arrangement is
n = $566, 662
T = R
The difference between the two totals is the savings
n = $636, 102 $566, 662 = $69, 440
S = Rn R
In our test case we found of savings of almost 70, 000 but how sensitive is our answer to our test case numbers?
The plots below show the sensitivity of the results to variations in
interest rates r the term of the loan n, and the initial amount A0 .
Answer the original problem in non-technical terms
interpretation
model critique
There are different answers to this problem. First we can say that
on a typical Sydney Home Loan of $300,000 at 7% over 25 years
a borrower could save $69,440 by making fortnightly repayments at
half the monthly rate. We can also say that the savings to be made by
following this strategy increase linearly with the amount of the loan
but they increase faster than linearly with increasing interest rates
and with an increasing term of the loan.
In providing a real world answer we should also point out that the fortnightly repayment scheme is more expensive on a month to month
basis and for highly geared borrowers it simply may not be affordable
(theres an interesting paradox to ponder here poorer people pay
more for a given house than wealthier people).
Are you really $70,000 better off by paying more each month? What
if you invested the extra repayments elsewhere, rather than against
the mortgage?
Here are two more problems to ponder: (i) What savings could be
made in fortnightly versus monthly repayments on the home loan if
interest accrued fortnightly rather than monthly? (ii) You have the
option to pay your HECS fees up front or to defer payment until the
end of you program and then repay more. Suppose you could afford
40
60000
50000
40000
30000
A(0)=$200,000
20000
10000
0.02
0.04
0.06
0.08
0.1
70000
60000
50000
40000
r=7%
30000
20000
100000 200000 300000 400000 500000
A(0)
60000
50000
40000
A(0)=$200,000
30000
20000
10000
150
200
250
300
350
Figure 8: (a) Savings as a function of interest rates over 20 years. (b) Savings as a function
of initial loan amount over 20 years. (c) Savings as a function of loan term with 7% interest
per annum.
41
to pay up front. Should you do it or should you invest that money and
then pay the loading at the end of your program?
42
4.2.1
43
4.2.2
Suppose that in a given time interval a fixed percentage of the population is born and a fixed percentage dies then
N (t + t) = N (t) + bN (t)t cN (t)t
b percentage that is born per unit time
c percentage that dies per unit time
Rearranging gives
N (t + t) N (t)
= (b c)N (t)
t
dN
= kN
dt
We can readily solve this equation to find
N (t) = N (0)ekt
but this leads to unbounded growth and so g(N ) = kN is not a realistic model.
Linear Per Capita Growth
In the above equation k is the per capita growth rate (represented as
a % growth per unit time). If b and c are constants then k is constant.
Now consider a linear per capita growth rate
k = r(1
N
)
N
This equation represents the per capita growth rate for a population
whose growth rate declines linearly as N approaches the threshold
population level N . Note that k and r have the same units hence r
is the percentage growth per unit time
The resulting model equation for the population dynamics with linear
per capita growth is the Verhulst Equation (also called the logistic
equation)
N
1 dN
= r(1 )
N dt
N
44
N
2
Equilibrium Population
The equilibrium population is the population at which the growth is
zero. Clearly g(N ) = 0 and so N is the equilibrium population.
The figure below shows solutions of the logistic equation for different
initial conditions. Note the biologically optimal population at half the
equilibrium population.
Solution
Z
N0
dN
=
N (N N )
t0
r
r
dt
=
(t t0)
N
N
The integral on the left hand side is simplified using partial fractions.
1
1
1
=
+
N (N N ) N N N (N N )
After integrating we now have
N (N N0)
r
1
log
=
(t t0 )
N
N0(N N ) N
which can be rearranged as
N N0
N (t) =
N0 + (N N0) exp[r(t t0 )]
45
or
N
1
N (t)
N N0 r(tt0 )
=
e
N0
N*
t
Figure 9: Population growth for different initial conditions
4.2.3
a
1
log
Nj
= log b c (tj t0 )
46
where
a = N
N N0
b =
N0
c = r.
and
a
1
Yj = log
Nj
Xj = (tj t0 ).
47
Assumptions
p(N ) constant = p
c(N ) decreases monotonically with N assumes that the larger the fish
population the less effort
and cost to catch a fish
48
c
0
0
N_L
Figure 10: Price per fish sold and cost per fish caught for sale versus fish population
49
c(N )
p c(N ) > 0
is monotonically decreasing
g(N ) > 0
for a yield
g(N)
N_B
N*
Now consider the logistic growth model (see the figure above).
The following properties are evident
50
g (N ) > 0 if N < NB
g (N ) < 0 if N > NB
Given that the economically optimal population occurs for N in the
range g (N ) < 0 it follows that
NP > NB .
Note too that the yield at NP is less than the yield at NB , i.e.,
g(NP ) < g(NB )
Conclusions
1. The economically optimal population level is greater than the biologically optimal population level.
2. The fishing company makes more money by harvesting less fish
than the maximum sustainable harvest.
3. If the fishing company follows their optimal profit making strategy
then we the consumers will lose out because we are consuming
non-biologically optimal fish.
Is there room for government intervention, e.g., could the government
introduce a tax that would make the economically optimal population
and the biologically optimal population equal?
51
Taxation Policy
Let us reconsider the total profit under a certain tax policy that imposes a tax on the catch that varies as a function of the total fish
population, i.e.,
t(N )
Can we find a function t(N ) that will yield the result T P (NB ) = 0
given that g (NB ) = 0 and g(NB ) > 0 (i.e., conditions for a maximum
in the profit when N = NB )?
The total profit with tax included is given by
T P (N ) = g(N )(p c(N ) t(N ))
Hence
T P (N ) = g (N )(p c(N ) t(N )) g(N )(c (N ) + t (N ))
Thus for T P (NB ) = 0 we require
g (NB )(p c(NB ) t(NB )) g(NB )(c (NB ) + t (NB )) = 0
and hence (since g (NB ) = 0)
c (NB ) = t (NB )
Thus we require the rate of decrease in the cost per fish with inceasing fish stock at NB to be offset by the rate of increase in the tax per
fish with increasing fish stock at NB .
52
16
12
t(N)
c(N)
N_B
N*
Figure 12: Harvesting cost per fish c(N ) and tax cost per fish t(N )
This is obvious if we think that we are trying to ensure that the total
cost per fish to the fishing industry is a minimum at NB . The total
cost is
T C(N ) = c(N ) + t(N )
For a minimum at NB we require T C (NB ) = 0 and T C (NB ) > 0
One possibility is
c(N ) = c0 + eN
t(N ) = eN 1
53
Consider
dx
x Rn
= f (x)
dt
dt
dt
= f (x ) + f (x) x +
(x2)
54
f1
x1
f2
x1
f (x ) =
..
.
fn
x1
f1
x2
f2
x2
...
...
f1
xn
f2
xn
..
.
fn
x2
...
fn
xn
|x=x
x = x0ef (x
We will re-write the final result as
x = x0et
where
= f (x)
We now have
55
)t
x(t) as t if > 0
x(t) 0 as t if < 0
x(t) = const if = 0
Since x(t) is the distance from the fixed point of a point that is
initially nearby we find that solutions are attracted towards the fixed
point if < 0 but are repelled if > 0. Thus x is unstable if = 0,
asymptotically stable if < 0 and unstable if > 0.
How does this result generalize to the n-dimensional case?
In this case we have
dx
= Ax
dt
where the linear stability matrix A = f (x) is a constant matrix. Formally the solution can be written as
x(t) = etA x(0)
where
tA
n
X
t
k=0
n!
An .
e v =
=
n
X
t
n!
An v
k=0
n
X
k=0
t
t n
v
n!
= e v.
It follows that if A has distinct eigenvalues 1 , 2, . . . n with eigenvectors v (1) , v(2) , . . . , v (n) then
x = c1 e1 t v (1) + c2 e2 t v(2) + . . . cn en t v(n)
56
x Rn , t R
i.e., f (x) = 0, and suppose that A = f (x) is the linear stability matrix
with eigenvalues 1 , 2, . . . n .
x is (asymptotically) stable if (j ) < 0 j
x is unstable if any (j ) is non-negative.
If any (j ) = 0 while all other eigenvalues have real part < 0
the stability of x is stable but not asymptotically stable.
Example Logistic Growth
dN
= r(N N N 2 ) = f (N )
dt
Fixed points are
i) N = 0
ii) N = N
Stability matrix
f (N ) = rN 2rN
f (0) = rN > 0
f (N ) = rN < 0
57
dx
= x xy
dt
prey
dy
= y + xy
dt
Define
x=
Then
predator
x
y
dx
x1 x1 x2
f1(x1, x2)
=
=
x2 + x1x2
f2(x1, x2)
dt
The fixed points are found by solving
x1 x1 x2 = 0
x2 + x1x2 = 0
There are two solutions as follows
(x1, x2) = (0, 0)
The stability matrix is given by
f1
x1
A=
f2
x1
f1
x2
f2
x2
1 x2 x1
A=
x2
0 1
1 + x1
A=
0 1
1
59
Predator-Prey Model
dx
= ax bxy = f1 (x, y) prey
dt
dy
= cy + d xy = f2 (x, y) predator
dt
a, b, c, d > 0 and x, y > 0.
Fixed Points and Stability
The fixed points are found by solving the simultaneous equations
f1(x, y) = 0, f2(x, y) = 0.
This yields
c a
(ii) (x, y ) = ( , )
d b
f1
x
A=
f2
x
f1
y
f2
y
A=
a by bx
d y
a 0
0 c
c + d x
60
0
bc/d
A=
da/b 0
x=
c
d
dx
a
dx
a
>0y<
and
<0y>
dt
b
dt
b
On the infinity-isoclines the direction is either increasing y or descreasing y. From the equation
dy
= (ca + dx)y
dt
62
we have
c
dy
c
dy
>0x>
and
<0x<
dt
d
dt
d
Qualitative Phase Space Portrait
We can now combine the fixed points, linear stability trajectories, isoclines and direction arrows on one diagram to provide a qualitative
phase space portrait.
Suppose that we have lots of predators and lots of prey. What do
we expect to happen over time? From the phase space portrait we
expect prey numbers to initially decrease (as they are consumed by
predators) and the predator number decrease (as their food supply
is diminished) but the prey number increase (as there are few predators) and then prey numbers increase (as their food supply is abundant) and so on.
y
a/b
c/d
Figure 13: Qualitative Phase Space Portrait for the Predator Prey Model
Average Populations
Given the periodic behaviour in the phase space trajectory we can
compute the average populations as follows:
Z
1 t0 +
x =
x(t) dt
t0
where is the period of the cycle. To evaluate the above integral we
63
a
= y.
b
The average populations are equal to the non-zero fixed point populations.
Harvesting in the Predator-Prey Model
If we assume that harvesting has the same relative impact on prey
as it has on predators then in the presence of harvesting the model
equations become
dx
= ax bxy ky
dt
dy
= cy + dxy ky
dt
The fixed points are now given by
(i) (x, y ) = (0, 0)
(ii) (x, y ) = (
c+k ak
,
).
d
b
c
c+k
>
d
d
and
y =
ak
a
< .
b
b
infecteds
# of individuals who have the disease
and who can transmit it
R(t) removeds
# of individuals who are no longer
susceptible or infected
may have recovered, acquired immunity, died
65
Population Densities
s(t) =
S(t)
N
susceptible fraction
i(t) =
I(t)
N
infected fraction
r(t) =
R(t)
N
removed fraction
Note
Some references work with population numbers (S, I, R) and others
work with population densities (s, i, r).
Constant Population Assumption
N (t) = S(t) + I(t) + R(t)
ds
dt
Suppose that each infected person has contacts per day that
would transmit the disease if the contacts were with susceptible
people.
In a homogeneously mixed population the fraction of such contacts with susecptibles is s(t). This is the fraction of the contacts
that will transmit the disease.
Thus on average each infected individual creates s(t) new infected per day.
dS
= s(t)I(t)
dt
1 dS
s(t)
=
I(t)
N dt
N
ds
= s(t)i(t)
dt
Note that I is the total number of contacts being made each day
that would spread disease if the contacts were with susceptible
people.
dr
dt
dt
di
dt
Once we have the equations for s(t) and r(t) we can use our
67
dt dt dt
di
= s(t)i(t) i(t)
dt
SIR Model
ds
= s(t)i(t)
dt
dr
= i(t)
dt
di
dt
= s(t)i(t) i(t)
Note
Only two variables (s, r) or (r, i) or (s, i) are required for phase space
analysis the third variable is determined by the other two. For example consider the (s, i) phase space.
di
si i
=
.
ds
si
zero-isocline: s =
infinity-isocline: s = 0
All phase space trajectories must lie below the line i + s = 1 and
di
= 0) on the
s is always decreasing. Note that i is a maximum ( ds
zero-isocline provided it is in the region i + s < 1.
68
Disease Progression
The diseases progression is S I R .
initially the number of infecteds increases and the number of susceptible decreases
as the disease progresses the number of infecteds will grow
more slowly as some are removed (death, recovery with immunity) and the number of removeds will increase
eventually all infecteds will be removed and the numbers of susceptibles and removeds will plateau to levels representing the
numbers not infected and the numbers infected respectively, during the course of the disease.
This qualitative behaviour is shown schematically in the figure below.
Four questions emerge:
Under what conditions will an epidemic occur?
How many people will have been infected in total?
What will be the peak number infected at any given time?
How long will the disease last?
69
1
s(t)
r(t)
i(t)
20
40
60
80
100
Time in Days
s
s >
70
< 1
Contact Number
This is the total number of contacts that each individual has on average that can transmit the disease over the lifetime of the disease in
that individual. The Contact Number is also called the Reproduction
Number for the disease. It can equally be thought of as the number
of secondary infections produced by one primary infection in a wholly
susceptible population.
C > 1 is the condition of an epidemic. The larger the value of C
the more contagious the disease but not necessarily the worse the
outcome.
C
Disease
Influenza A
AIDS
Small Pox
Measles
Malaria
C
23
25
35
1618
>100
= s
dr
ds
= Cs
dr
Z r()
Z s()
ds
=
Cdr
s
r(0)
s(0)
s()
log
= C(r() r(0))
s(0)
s(0)
log s()
s0 s()
1
f(s(inf))
C=1
C=2
C=4
1
s(inf)
Figure 15: The intersection of the two lines shows s() for different C values.
1 Cs
di
=
ds
Cs
C=
log(s(inf))
-2
-4
-6
-8
-10
0
10
C
Figure 16: Logarithm of s() versus C.
We now integrate
1 Cs
di
=
ds
Cs
to find i as a function of s
Z i(t)
di =
i(0)
i(t) + s(t)
s(t)
s(0)
ds
Cs
s(t)
ds
s(0)
1
1
log s(t) = i(0) + s(0) log s(0) = const
C
C
1
C
then
1
1
1
+ log
C C
C
74
0.8
i(max)
0.6
0.4
0.2
12
16
20
C
Figure 17: The peak infection level as a function of the contact number
Estimating
We can estimate if we know the average lifetime for a particular
disease in an individual since
1
=
Estimating
We can estimate after the disease has run its course by eliminating
C in the following
C =
s() = eC eCs()
This yields
=
If s(0) 6= 1 then
Example
log s()
(s() 1)
s(0)
log s()
s(0) s()
75
m+
1
Example
In the case of measles, m = 0, = 1800, = 100. Thus we require
v = .94, i.e., 94% of the population.
The above model assumes constant vaccination. Is this the best
strategy?
6.6 References:
78