CHAOS

VOLUME 14, NUMBER 2

JUNE 2004

Estimating the Lyapunov exponents of discrete systems

Changpin Li
Department of Mathematics, Shanghai University, Shanghai 200436, China and Department of Electrical, Electronic and Computer Engineering, University of Pretoria, Pretoria 0002, South Africa

Guanrong Chen
Department of Electronic Engineering, City University of Hong Kong, Hong Kong, China

Received 17 February 2004; accepted 25 March 2004; published online 21 May 2004 In the present paper, our aim is to determine both upper and lower bounds for all the Lyapunov exponents of a given nite-dimensional discrete map. To show the efciency of the proposed non map and a coupled estimation method, two examples are given, including the well-known He map lattice. 2004 American Institute of Physics. DOI: 10.1063/1.1741751

Chaos is well known to us. But different communities have different denitions of chaos. For example, mathematicians, especially topologists, use positive topological entropy, but applied scientists and engineers prefer positivity of the leading or largest Lyapunov exponent. All these denitions are not equivalent but share the same nature, i.e., the sensitive dependence on initial conditions. This paper rst briey reviews several denitions of chaos and then is focused on the estimate of Lyapunov exponents for discrete systems. Two examples show that this estimation method is efcient.
I. INTRODUCTION

Chaos in one-dimensional discrete dynamical systems dened by continuous maps is generally characterized by bounded orbits with either positive topological entropy,1 or in the sense of LiYorke2 and of Devaney.3 For higherdimensional discrete systems, it is usually dened by the positivity of the leading i.e., largest Lyapunov exponent.4 Topological entropy, introduced by Adler et al.,5 provides a numerical measure for the complexity of an endomorphism in a compact topological space. Using this denition, Misiurewicz derived a theorem, saying that a continuous map f : I I ( I , a closed interval is chaotic if and only if its topological entropy is positive.1 The positivity of topological entropy is equivalent to that f n has a horseshoe for some iterate number n 1.1,5,6 Since then, the positivity of topological entropy becomes a denition of chaos. Strictly speaking, this denition is not analytic and therefore is not universally accepted. The rst precise mathematical denition of discrete chaos was given by Li and Yorke in their celebrated article Period three implies chaos. 2 This denition is stated as follows. A one-dimensional continuous map, f : I I ( I , an interval, is chaotic, if i for every k 1,2,..., there is a k -periodic point in I , ii there is an uncountable set S I , containing no periodic points, which satises the following conditions: a for every p s , q s S , and lim infn f n ( p s ) lim supn f n ( p s ) f n ( q s ) 0 n f ( q s ) 0, b for every p s S and for every periodic
1054-1500/2004/14(2)/343/4/$22.00 343

point q per I , with p s q per , lim supn f n ( p s ) f n ( q per) 0. Another denition of chaos was lately introduced by Devaney:3 Let V be a set. A map f : V V is said to be chaotic on V if i f has sensitive dependence on initial conditions, ii f is topologically transitive called transitivity, and iii periodic points are dense in V . Here, V may be a topological space. If V is an interval, then a simplied denition is Transitivity Chaos in the sense of Devaney. 7 The aforementioned three denitions are not equivalent. However, there are some relations among them. For onedimensional maps, chaos in terms of positive topological entropy implies chaos in the sense of LiYorke, but the converse is not true.8 This conclusion holds also for maps on general topological spaces.9 Here, it should be noted that chaos in the sense of LiYorke was generalized from onedimensional to higher-dimensional spaces by Marotto,10 and the Marotto theorem was recently improved by Li and Chen.11 Banks and Dragan have ever constructed a horseshoe map H R 2 i.e., chaos in terms of positive topological entropy, and proved it to satisfy the denition of Devaney.12 Furthermore, Devaney chaos can imply LiYorke chaos.13 On one hand, the Sharkovsky ordering theorem14 implies that if f is chaotic in the sense of LiYorke, then f has orbits of every period; on the other hand, for a one-dimensional continuous map, the transitivity, i.e., chaos in the sense of Devaney, implies the existence of period-six orbits.15 Although these three denitions are not equivalent, they do share some common features, particularly the sensitive dependence on initial conditions. This sensitivity is very suitable for qualitative analysis, however it is unt for quantitative computation. For applied scientists and engineers, a system is not considered chaotic unless it has what is called a strange attractor. To visualize the complicated behavior, numerical calculations and computer graphics often turn out to be necessary. The best way to describe the sensitivity on initial conditions is through the positive Lyapunov exponents, which were introduced by Oseledec.16 These Lyapunov exponents are convenient for both analysis and computation. Today, there are many numerical algorithms for computing the LEs.4,1720 In general, a bounded dynamical
2004 American Institute of Physics

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C. Li and G. Chen

system is considered chaotic if its leading Lyapunov exponent is positive. If more than two Lyapunov exponents are positive, then the system is regarded as hyper-chaotic or super-chaotic. To briey introduce the concept of Lyapunov exponents for a discrete map, consider the general case of a nonlinear discrete system, x k1 f x k , x 0 given, x k R n , k 0,1,..., 1

one has ( A ) 1.1. But, if N 1 is chosen to be nearer ( A ), say N 1 1.2, then

T N2 1 I A A 0.1

8 9

9 1.9

is neither positive denite nor positive semi-denite, since it has one negative eigenvalue and one positive eigenvalue:
0.61 0.16.1 6.1 96.2 4 /2, ( 0.61 0.16.1 6.1 96.2 4)/2.

where f is continuously differentiable, at least in a region of interest. The i th Lyapunov exponent at x 0 is given by17,18 i x 0 lim 1 T ln i m m , i 1,..., n , m2 m 2

where f ( x ) denotes the Jacobian of f at x , T denotes the matrix transpose, and i ( ) is the i th eigenvalue of a matrix, m f ( x m 1 ) f ( x 1 ) f ( x 0 ).
II. ESTIMATING THE LYAPUNOV EXPONENTS

Similar to Lemma 1, one has the following result. Lemma 2: For a given matrix sequences A i i Z , suppose that i is the smallest eigenvalue of A T i A i . Then, for T T any m Z , A T 1 A 2 A m A m A 2 A 1 1 2 m I is positive semi-denite. A proof of Lemma 2 is also given in the Appendix. In Lemma 2, set

A min j : j is the eigenvalue of

j

A , j 1,..., n and suppose that ( A i ) has a uniformly nonzero lower bound, M , i.e., ( A i ) M ( 0) for i Z . Then, for some T T 2m I may not be positive m Z , A T 1 A 2 A mA m A 2A 1 M semi-denite, let alone the positive deniteness. This may seem counterintuitive, but the following example veries the claim. Example 2: For the matrix A given in Example 1, ( A ) 1.1. Now, let M 1.1. Then it follows that A T A M 2 I 0.9

Throughout the paper, the matrix spectral norm is used. For real symmetric matrices A and B , A B indicates that A B is a positive denite matrix, i.e., all its eigenvalues are positive; A B indicates that A B is a positive semi-denite matrix, whose eigenvalues are non-negative. For an arbitrary real square matrix A , A T A is at least a positive semi-denite matrix; if the determinant of A is nonzero, then A T A is a positive denite matrix. Lemma 1: Suppose that the real square matrix sequences A i are uniformly bounded, namely, there exists a positive constant N such that A i N for all i Z . Then, for any T T m Z , N 2mI A T 1 A 2 A m A m A 2 A 1 is positive semidenite, where I is the identity matrix. A proof of this result is given in the Appendix. In Lemma 1, even if the matrices A i ( i 1,..., m ) are T T invertible, N 2 m I A T 1 A 2 A m A m A 2 A 1 may not be positive denite, but only positive semi-denite, in general. T T However, for any 0, ( N ) 2 m I A T 1 A 2 A mA m A 2A 1 is always positive denite, no matter if A i ( i 1,..., m ) are invertible or not. Recall that the spectral radius of A i of order n is dened by

1 1

1 0.1

is not positive semi-denite since it has one negative eigenvalue, (0.81 0.95.21)/2. In fact, for a real square matrix A , assume that is an arbitrary eigenvalue of A and that 1 , n are the smallest and largest eigenvalues, respectively, of A T A . Then, the following relation holds:
0 12 n .

A i max ( j ) : ( j ) is an eigenvalue of
j

A i , j 1,..., n . It is known that ( A i ) is not bigger than any norm of A i . 21 In Lemma 1, the assumption that the sequence A i are uniformly bounded, i.e., A i N for i Z , cannot be replaced by the assumption that the spectral radii are uniformly bounded, i.e., ( A i ) N 1 for i Z ; otherwise, the result therein does not hold if N is replaced by N 1 . The following is a counterexample. Example 1: For the matrix A

More information is given by Theorem 2 for a real matrix and Theorem 3 for a complex one,22 which explain why the matrix A T A M 2 I in Example 2 is neither positive semi-denite nor negative semi-denite. Based on the above two lemmas, we can now establish the following main theorem. Theorem 1: Consider system 1. Suppose that f ( x ) N and that the smallest eigenvalue of f ( x ) T f ( x ) satises min( f (x)T f (x))0, where N 2 and x . Then, for any x 0 , all the Lyapunov exponents at x 0 are located inside 0.5 ln,ln N, that is, 0.5 ln i x 0 ln N , i 1, 2,..., n .

1 1

0.1 1

A proof is presented in the Appendix. In Theorem 1, if N 1, then system 1 is not chaotic; however, if 1, then system 1 is hyper-chaotic.

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Chaos, Vol. 14, No. 2, 2004

Exponents of discrete systems

345

III. TWO APPLICATION EXAMPLES

non map, Consider the well-known two-dimensional He x k 1 y k 1 ax 2 k, y k 1 bx k , k 0,1,2, . 3

where the rst Lyapunov exponent 1 of system 5 is also one of system 6, where 2 ,..., L are called transversal Lyapunov exponents. Note that 1 is positive for system 6 is chaotic. It was pointed out that30 1 if 0 1 ln(1), then the synchronous chaotic system is stable since all the transversal Lyapunov exponents are negative; 2 if 1 ln(1), then all the transversal Lyapunov exponents become positive, and system 5 undergoes a blowout bifurcation, through which an asynchronous state is born. It is interesting to nd out what the coupling strength is related to. It was believed that the coupling strength is related to 1 . And, the critical coupling strength c is dened to be30

It is known that 3 has a strange attractor which is bounded by x 1.5 and y 0.4 when letting a 1.4 and b 0.3. The Jacobian of 3 is given by J

2 ax b

1 0

It is easy to nd that23
J max J T J

4 a 2 x 2 b 2 1 4 a 2 x 2 b 2 1 2 4 b 2 2

c 1 e 1.

4.3273 N , in which a 1.4, b 0.3 and x 1.5 are used. On the other hand, the smallest eigenvalue of J T J is given by 4 a 2 x 2 b 2 1 4 a 2 x 2 b 2 1 2 4 b 2 2 b2
4 a 2 x 2 b 2 1 4 a 2 x 2 b 2 1 2 4 b 2 /2

0.09 0.0104 . N2

There are many reports on the Lyapunov exponents of 3. Here we take the values from Ref. 24, i.e., 1 ( x 0 ) 1.622, 2 ( x 0 ) 0.418. It immediately follows that 2.2830 0.5ln 1 x 0 2 x 0 ln N 1.4649, 4

which coincides well with Theorem 1. In the following, a somewhat more complicated example is considered. Recently, coupled lattices are extensively studied in many elds, such as chemical reactions,25 pattern recognition,26 28 biology,29 and so on. The following L -dimensional globally coupled map was considered:30 x k 1 i 1 f x k i

From this formula, it is clear that the stronger the chaos in system 6, the larger the value of c . This is intuitively reasonable. For slightly less than c , the synchronous chaotic state is not stable any more. However, from the assumption that the synchronous manifold is the only attractor for the system under condition c , one knows that the system orbits are still attracted to those points far away from the synchronous manifold after becomes smaller than c . 30 Condition 7 gives a threshold value or critical value of c associated with the Lyapunov exponent 1 of system 6, where 1 depends upon the iteration function f ( x ). So, we want to further determine the interval of the coupling strength for ensuring the stability of the synchronous chaotic system. This is further discussed below. Since f ( x ) is assumed to be chaotic, f ( x ) cannot satisfy f ( x ) 1, that is, f ( x ) is not a contraction map; otherwise, system 6 has one and only one xed point so that the iteration process eventually will converge to this xed point for any initial value x 0 . 31 If f ( x ) 1, i.e., f ( x ) is a nonexpansive map, the case is difcult to discuss.31 Therefore, we restrict our discussion to the case of f ( x ) 1. To make it clear, we assume that there exist , such that 1 f x , and assume also that f ( x ) is bounded which is possible, for example, if f ( x ) is a circle map, or a piecewise line map. By using Theorem 1, one has ln 1 ln . Hence, when (0,1 1/ ), 1 ln ln(1)0, the coupled system 5 undergoes a blowout bifurcation, through which an asynchronous state is born. And, when (1 1/ ,1), 1 ln ln(1), the synchronous chaotic system is stable. For the case of 1 1/ ,1 1/ , ln ln 1ln(1)lnln, it does not directly lead to any conclusion.

f x k j , L j 1

where x is one-dimensional, k denotes the time step, i , j are labels of lattice sites, is the coupling strength lying in 0,1, and L is the total number of coupled sites. In this lattice, each one-dimensional map x k1 f x k , x k R , k 0,1,..., 6

is assumed to be chaotic. System 5 has L Lyapunov exponents: 1 , 2 L 1 ln 1 ,

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346

Chaos, Vol. 14, No. 2, 2004

C. Li and G. Chen

ACKNOWLEDGMENTS

The authors wish to thank the anonymous reviewers for their careful reading and giving constructive suggestions. The rst author also thanks University of Pretoria and Professor X. Xia for the kind invitation and hospitality. This research was supported by the National Natural Science Foundation of China Grant No. 19971057, Tianyuan Foundation of China Grant No. A0324651 and the Hong Kong Research Grants Council Grants CityU 1115/03E.
APPENDIX

Proof of Theorem 1: By using Lemma 1, one can easily verify that the largest eigenvalue of the product matrix f ( x 0) T f ( x 1) T f ( x m1) T f ( x m1) f ( x 1) f ( x 0) is not bigger than N 2 m . So, i x 0 lim 1 ln N 2 m ln N . 2 n m

In general, the above product matrix is positive denite. By using Lemma 2, the smallest eigenvalue of this product matrix is larger than m , so that i x 0 lim 1 1 ln m ln . 2 m 2 m

Proof of Lemma 1: Set B A m A 2 A 1 . Then B T B T T T A m A 2 A 1 is positive semi-denite. By the A1A2Am denition of the spectral norm, one has
B T B max B T B T B T B

The proof is hence completed.

max B T B 2 max B T B B 2 A m 2 A 2 A 1 N 2m. It then follows that the largest eigenvalue of B T B is not bigger than N 2 m , so the symmetric matrix N 2 m I T AT 1 A m A m A 1 is positive semi-denite. T A m m I is a positive Proof of Lemma 2: Obviously, A m semi-denite matrix, namely,
T Am A m mI . T T Also, A m 1 ( A m A m m I ) A m 1 is positive semi-denite, i.e., T T T Am 1A mA mA m1 mA m1A m1 . T Since A m 1 A m 1 is positive semi-denite, there exists an orthogonal matrix, P m 1 , such that T T Pm 1 A m1A m1 P m1 (1) (2) (n) diag m 1 , m 1 ,..., m 1 , (1) (2) (n) where ( m 1 ) m 1 m 1 m 1 are eigenvalues T of A m 1 A m 1 , in which diag indicates a diagonal matrix. It is clear that (1) (2) (n) diag m 1 , m 1 ,..., m 1

diag m 1 , m 1 ,..., m 1 by assumption. Therefore,

T T T Pm 1A m1A mA mA m1 P m1 m m1I ,

namely,
T T Am 1A mA mA m1 m m1I .

Repeating the above procedure yields

T T AT 1 A 2 A mA m A 2A 1 1 2 mI .

The proof is thus completed.

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1 2

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