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1 Introduction compared to attached flows such as that shown by the black line
(continuous), so the latter will be manifested.
What distinguishes a nonlinear system from a linear one? For a
Second, nonlinear systems can display finite-time singularities,
stability theorist, a gut reaction on being confronted with a nonlin-
which change the qualitative behavior of the solutions. The worst (or
ear system is to first linearize it about some equilibrium point if
best) thing about nonlinear systems is that the solutions do not add-
he/she can find one, and then study the linear system in detail [1].
up. The dependent variable in a linear partial differential equation
This is an excellent approach for many purposes. When a system
can be Fourier transformed in one of the variables, and you can then
goes from laminar to turbulent or from periodic to chaotic as a
solve for each Fourier mode in isolation. The terms in a nonlinear
control parameter is increased, the first step in this process is often
equation can be Fourier transformed, but every mode will depend on
linear. However, to understand the entire process, we need to
every other. This makes nonlinear systems harder to solve but also
understand how nonlinearities change the answers. Most systems
far richer than linear systems. For example, a cascade or inverse cas-
are nonlinear, and even if a given system is not chaotic, nonlinear-
cade of turbulent kinetic energy, creating small or large scales, is
ity can, and often will, play a big role in the dynamics. We begin
only possible due to different modes exchanging energy.
by discussing how nonlinear systems are completely and qualita-
The most interesting difference between linear and nonlinear
tively different from linear systems. First, nonlinear systems do
systems is that the latter can display chaotic dynamics. We shall
not need to obey the same rules about existence and uniqueness of
distinguish in the section on chaotic dynamics the fundamental
solutions that linear systems do. Let us discuss a counter intuitive
difference between a chaotic system that is deterministic and sim-
example, in a boundary value problem. The FalknerSkan
ply a noisy system.
equation,
We shall discuss several ways to treat a nonlinear system. It is
instructive to first look for equilibrium points, also known as fixed
f 000 ff 00 b1 f 02 0 (1)
points, or steady solutions. These are solutions of the system that
do not change with time.
describing the nondimensional streamfunction f g in the incom-
pressible boundary layer over a solid wedge placed at angle bp to
a flow, is a third-order differential equation in a nondimensional 2 Fixed Points and the Behavior of the System
normal distance g from the solid wall. There are three boundary
conditions, f 0 f 0 0 0, and f 0 1 1. In a linear third- in Their Vicinity
order system with three boundary conditions, we would get either We have already mentioned linearizing the system about a fixed
a unique solution or no solution. The FalknerSkan equation, point and studying the linear stability of the fixed point solution.
however, displays at least two solutions for each b < 0; an exam- A first-order nonlinear system may be written in the form
ple is shown in Fig. 1. Such multiple solutions are not too unusual
in nonlinear boundary value problems such as this one. In con- x_ f x (2)
trast, dynamical systems are most often posed as initial value
problems. In an initial value problem, we have only now way to where x is an n-component vector, and the overdot indicates a
march forward and will obtain a unique solution. However, the time derivative. It is sufficient to study a vector first-order differ-
fact that multiple solutions exist in boundary value problems is ential equation of this kind since, without loss of generality, an
relevant to us. To understand which of these solutions is mani- nth order differential equation can be turned into n first-order
fested in a real flow, we must linearize the NavierStokes equa- equations and written in vector form, as above. A dynamical sys-
tions about each of these solutions and solve the resulting tem is usually presented in the form of an initial value problem,
dynamical system. Usually separated flows (where the flow next with the initial conditions
to the wall is in the direction opposite to the average flow) such as
the profile shown by the red line (dashed) are very unstable x0 x (3)
Second, a system such as that given by Eq. (2), where time t does
Manuscript received July 8, 2013; final manuscript received December 6, 2013; not appear explicitly, is called an autonomous system. An
published online March 24, 2014. Assoc. Editor: Ardeshir Hanifi. n 1th order nonautonomous system, where time appears
f x0 0 (4)
so the system, if initially placed at the fixed point, stays there for
all time. In its immediate neighborhood, we may write
x x0 dxt, where the magnitude of the perturbation is small,
neglect terms containing powers of dx greater than 1 and obtain a
linear system in dx. We drop the d for convenience in future dis- Fig. 3 A cylindrical blob of fluid displaced slightly from its
cussions of linear systems. From the eigenvalues of the linear sys- original location in a stratified fluid will display simple har-
tem, the fixed point may be classified, for example, as a stable or monic motion in the absence of diffusion. The z-axis is upwards
unstable spiral point, a stable or unstable node, a saddle point or a and density increases as z decreases.
center. There are also some other unusual fixed points that we
shall not discuss here. Simple equations that support fixed points
of each type, and phase portraits in the vicinity of the fixed-points, x_1 x2 (5)
are shown in Fig. 2. Such fixed points may be obtained for simple s
systems on a plane, for example, by the MATLAB software available g dq
x_2 N 2 x1 ; where N (6)
on the Rice University website,1 as done here. Arrows may be q0 dz
drawn on the trajectories shown in the phase portraits to show the
direction of time. Trajectories approach a stable (attracting) fixed
is the BruntVaisala frequency, g the magnitude of acceleration
point, while they emerge out of an unstable or repelling point. The
due to gravity and the z-coordinate increases upwards. If the fluid
reader may wish to attempt the following exercise.
is bottom heavy, the density stratification is negative, and we have
Exercise (i) Work out the connection between the eigenvalues
a real N. This will result in oscillatory motion. On the other hand,
of a system and the nature of the fixed point.
a top-heavy system, with dq=dz > 0, will result in imaginary val-
A simple example of a linear system is that of Fig. 3. The den-
ues of N, one positive and one negative. It is easy to see that in
sity q of the fluid shown is stratified so as to be heavier at the bot-
this case, the perturbation will grow unboundedly.
tom. A small blob of fluid of density q0 is displaced along the
Exercise (ii) It is left to the reader to solve this simple system,
vertical direction z by a small distance dz to a location where the
and to then include a viscous damping term proportional to x_1 in
density of the blob is different from that of the surrounding fluid
Eq. (6), to get a center and a stable spiral, respectively. The direc-
by dq dq=dzdz. Putting dz x1 , the dynamics may be given
tion of density stratification can then be reversed to get an unsta-
by
ble system.
Fixed points whose associated linear systems display eigenval-
1
http://math.rice.edu/dfield/:dfield8.m and pplane8.m. ues with nonzero real part are known as hyperbolic and those with
a_ ra a3 ; h_ 1 a2 (9)
Fig. 12 Phase plane of van der Pol oscillator with 5 0.1. The
Fig. 11 A schematic of the Craik mode of secondary instabil- dash-dot trajectory emerges out of the origin and approaches
ity: an example of spatial period doubling. The lines show max- the limit cycle, while the pink line begins from infinity and
ima in the disturbance amplitude, which move downstream as moves inwards towards the limit cycle. The limit cycle is where
well as in the spanwise direction in a sinusoidal manner. the pink and blue trajectories meet.
_
We choose x0 0, and we can do this without loss of generality, 4.2 Stability of the Limit Cycle via Method of Multiple
as the van der Pol oscillator is autonomous. In other words, we can Scales. Now, we apply another singular perturbation method
choose the origin for time to correspond to a location anywhere on called the method of the multiple scales to the van der Pol oscilla-
the limit cycle, since the oscillator is autonomous. Assuming A to tor. The objective is to get an estimate of the size and shape of the
be of O1; we write down ICs for x0 t; x1 t; as limit cycle in the phase plane and to know whether the limit cycle
x0 0 A; x1 0 0; x2 0 0; is stable or not, meaning, do the nearby trajectories get attracted
toward the limit cycle or do they go away from the limit cycle?
and Note that we need not assume here that we are looking for a peri-
odic solution, as we needed to in the LindstedtPoincare method.
x_0 0 0; x_ 1 0 0; x_ 2 0 0; We begin with the assumption that the solution x(t) we are
looking for depends on various time scales [13]
With above mentioned ICs, solving the O0 equation above, we
get T0 t; T1 t; T2 2 t;
Further the solution X is expanded as a power series in , As t ! 1; Rt ! 2; hence, the limit cycle is stable.
2 It is suggested to the reader that they may consult Ref. [13] to
XT0 ; T1 ; X0 T0 ; T1 ; X1 T0 ; T1 ; O (15) study the method of multiple scales further. To know more about
the van der Pol oscillator and limit cycles, refer to Ref. [14].
The derivatives with respect to t become Let us now consider another canonical nonlinear system, the
Duffing oscillator, and apply the methods we have discussed
d @ @ above to understand it. The Duffing oscillator is a simplified ver-
O2 (16)
dt @T0 @T1 sion of a simple pendulum, and we will see that under certain con-
d2 @ 2 @ 2 ditions it can display chaotic behavior.
2
2 O2 (17)
dt2 @T0 @T0 @T1
5 Duffing Oscillator, Unforced, and Forced
Substituting Eqs. (15) through (17) in Eq. (10) and expanding and The motion of a simple pendulum is governed by
collecting terms, we obtain at O1 and at O
g
h sin h 0
@ 2 X0 l
X0 0 (18)
@T02
where g is the acceleration due to gravity and l is the length of the
3 5
@ 2 X1 @ 2 X0 @X0 pendulum. Expanding sin h h hp Oh , changing the
=6
X1 2 X02 1 (19) dependent variable from h to x h= , stretching the independ-
@T02 @T1 @T0 @T0
ent variable from t to s g=l1=2 t, and ignoring O2 terms, we
get
respectively. Remembering that X0 is a function of more than one
variable, Eq. (18) can be solved for X0 as
x00 x ax3 0
X0 AT1 ; cos T0 BT1 ; sin T0
where a 1=6 and prime denotes differentiation with respect to
Substituting for X0 from the above into Eq. (19), we get s. This is the equation for the Duffing oscillator, one of the sim-
plest nonlinear oscillators. The LindstedtPoincare method gives
the time period T (correct up to O2 ) as
@ 2 X1 @A A 2 2
X 1 2 A A B sin T0
@T02 @T1 4 3
T 2p 1 aA2
@B B 2 2 8
2 B A B cos T0
@T1 4
A 2 B indicating again an amplitude dependence of the period. This am-
A 3B2 sin 3T0 B2 3A2 cos 3T0 plitude dependence is an essential feature of nonlinear oscillators
4 4
and differentiates nonlinear systems from linear ones.
Removing the secular terms, i.e., equating coefficients of the reso- We now consider the damped, externally forced Duffing
nant terms to zero, we get the slow flow oscillator
x A sinxt B cosxt
3 3
Ax2 dxB bA aA3 aAB2 c 0 (21)
4 4
and
3 3
Bx2 dxA bB aB3 aA2 B 0 (22)
4 4
We can solve Eqs. (21) and (22) simultaneously for A and B for
some fixed values of other parameters. Using a numerical tech-
nique called arclength-based continuation (also called pseudo
arclength continuation
p method) [16, 17], we find the approximate Fig. 15 Nonlinear harmonic response of the Duffing equation
amplitude A2 B2 as a function of x, i.e., the nonlinear har- for different damping coefficients d
monic response of the system. Putting d 0 and c 0 in Eqs. 21
and 22, we obtain B 0 from Eq. (22) and then substituting so in
Eq. (21), we get
r
2 x2 1
A6 (23)
3 a
It follows that if X(t) is a FSM to Eq. (24), then so is X(t T). where u(t) is the imposed displacement of the pivot. Differentiat-
Therefore, these two must be related to each other via some con- ing with respect to time, we have
stant nonsingular matrix C. We then have
_
x_ l cos hh; y_ u_ l sin hh_
Xt T XtC
The Lagrangian [20] of the system is given by
~ we denote a special
Setting t 0, we get XT X0C. By Xt
~ I , where I denotes the n n
FSM to Eq. (24) such that X0 1
~ L T V m x_2 y_ 2 mgl cos h ut
identity matrix. Then we have C XT [9] and, therefore, 2
~
Xt T XtXT (25) and the EulerLagrange equation governing the angular displace-
ment h(t) is given by [20]
We now consider another FSM Z(t) to Eq. (24) such that
d @L @L
0 (27)
Zt XtR dt @ h_ @h
where R is arbitrary. Substituting for X(t) from the above equation which in the present case gives
in Eq. (25), we get
u g
h sin h 0
Zt T Zt R1 XTR
~ l l
~
We now choose R such that R1 XTR is diagonal.2 Then we Linearizing the trigonometric term for small h, we get
write n decoupled equations as
u g
zi t T ki zi t; i 1; ; n (26) h h 0
l l
~
ki is ith eigenvalue of XT. Each zi t is a linear combination of Assuming the pivot displacement to be harmonic, i.e.,
x1 t; x2 t; ; xn t. Equation (26) is a functional equation. We u cost, the above equation becomes
assume its solution to be of the form
g cost
zi t kkt
i pi t
h h0
l l
where pi t is some function periodic with period T, the same as
that of A(t). k is an unknown to be determined. Substituting the
assumed form of zi(t) into Eq. (26), we get k 1=T. Therefore,
t=T
zi t ki pi t
At the end of each time period, zi attains the values shown below:
t 0; zi 0 pi 0
t T; zi T ki pi 0 ki zi 0
..
.
t mT; zi mT km m
i pi 0 ki zi 0
~
Eigenvalues of XT, i.e., ki s, determine the long-term behavior
of solutions to Eq. (24). If jki j > 1 for some i, then the corre-
sponding solution grows unboundedly and the system is unstable.
If jki j < 1 for all i 1; ; n, then all solutions remain bounded
as t ! 1 and the system is stable. The matrix T is called the
Floquet matrix and its eigenvalues ki s are called Floquet
multipliers.
2 ~ is diagonalizable.
We assume that Xt Fig. 18 Inverted pendulum, harmonically excited in y-direction
Substituting for time derivatives from the above four equations, %Script le FloquetMultipliers_script.m
we get %set absolute and relative tolerances
optionsodeset(AbsTol,1e-7,RelTol,1e-8);
d
det Xt 0 and therefore det Xt constant % Numerical integration of Mathieu equation
dt %for IC (1,0)
~ be the FSM which evolves from the [t,x]ode45(mathieu,[0 2*pi],[1 0],options);
As denoted earlier let Xt x1x(end,:);
identity matrix at t 0. Therefore,
~ det X0
det Xt ~ 1 det XT
~
~
k2 trXTk 10
~
where 1 det XT. So the Floquet multipliers are
q
~
trXT6 ~ 24
trXT
k1;2
2
~
Based on numerical value of trXT, we have the following cases:
~
(1) jtrXTj > 2: Both k1 and k2 are real. If k1 > 1, then
0 < k2 < 1 since k1 k2 1. The second possibility is
k1 < 1, so 0 > k2 > 1. Out of the two linearly inde- Fig. 19 Movement of Floquet multipliers with respect to
pendent solutions x1 t and x2 t, one grows exponentially parameters of f(t)
It is seen that period doubling bifurcations occur in increasingly where x physically describes the rate of convective overturning, y
quick succession for larger periods. This happens in all period is the horizontal temperature variation, and z the vertical tempera-
doubling bifurcations, and the Feigenbaum constant is the same ture variation. Real positive parameters r and r are proportional to
for a wide variety of systems! To generate Fig. 20(a), we run the the Prandtl number, Rayleigh number, while b is proportional to
script file bdlogis.m, which in turn calls function file logis.m. The physical dimensions of the system under consideration (Fig. 21).
function file just describes the logistic map in MATLAB syntax, Since the system is dissipative all trajectories eventually settle
while the script file runs the function file for parameter r values down to a bounded set of zero volume lying in phase space. This
from 2.6 to 4 in step of 0.004 and plots the solution after transients set may be an equilibrium point, a periodic orbit, or some compli-
die out. cated set of noninteger dimension. The last of these is called as a
The aim of the following exercise is to generate a bifurcation strange attractor. Figure 22 shows a trajectory of the system start-
diagram of a given map. ing with point (0.01,0,0) in the phase portrait. The trajectory is not
Exercise (x): Modifying the routines bdlogis.m and logis.m periodic. Continuing the numerical integration, the trajectory con-
given below appropriately, generate a bifurcation diagram for the tinues to wind around on one side and then switches from that
following cubic map: side to the other, and continues to wind around that side until the
next switch, without settling down to either periodic or stationary
behavior. This aspect is not a function of a particular choice of
xn1 rxn 1 x2n
We define k as
1X
n
1X
n
Fig. 24 Numerical calculation of the largest Lyapunov k lim lnjjksjj lim kk
n!1 ns n!1 n
exponent k1 k1
Figure 25 shows all the three Lyapunov exponents for the Lorenz
Consider two trajectories that start from nearby initial condi- system. The largest is greater than zero and, therefore, the system
tions. Let t be the distance between them. We write it in the lin- is chaotic. The system displays a strange attractor for the chosen
earized form values of the parameters, in accordance with the largest exponent
being positive, the second one zero and the smallest negative. The
_ Jt (31) magnitude of the largest negative exponent is greater than that of
the largest positive one, given that the Lorenz system is dissipa-
with initial condition 0 assumed to be a very small quantity. tive. To learn more about the Lorenz system and related chaos
The Jacobian for the Lorenz system is given by theory, it is suggested to the reader to study Ref. [24].
2 3
r r 0
6 7 9 Conclusions
Jt 4 r zt 1 xt 5
Nonlinear dynamics is too wide a subject to be treated fairly in
yt xt b a brief review. Our objective has only been to ignite the readers
enthusiasm for this field. Apart from the references we recom-
We solve Eq. (31) to get mend above at the end of some of the subsections, there is an
enormous amount of literature on this topic available in Wikipe-
dia, Scholarpedia, and in many other cites, journals, and books.
t eJt 0 The difference in the present treatment is that we have tried to
make connections with flow stability and transition to turbulence.
For further reading on this vast subject, we recommend for gen-
To get the Lyapunov exponent numerically, we integrate Eq. (31)
eral reading excellent books [2628] and for advanced treatment
for a large number of cycles (n), each for small but fixed time
on a few topics touched upon in this document, we recommend
interval s. We begin with the IC 0 as shown in Fig. 24. At the
Ref. [30].
end of the first cycle, we store the natural logarithm of the Euclid-
ean norm (jj jj) of the end condition s (Euclidean distance
between two given points a and b in terms of Euclidean norm is
Acknowledgment
given by jja bjj). We normalize s to unit norm (refer to
Fig. 24) to use this normalized end condition as the IC for the next Sharath Jose and Mamta Jotkar are thanked for their contribu-
cycle to integrate Eq. (31). We repeat this process n times. An tions. The anonymous referees have contributed significantly to
arithmetic average of these stored logarithms of end conditions in improving the article.
the limit of number of cycles n tending to infinity is nothing but
the largest Lyapunov exponent k [25].
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