PH36010: Numerical Methods Evaluating the Lorenz Attractor using Runge-Kutta methods

Mr. Benjamen P. Reed (110108461)

bpr@aber.ac.uk
IMPACS, Aberystwyth University
January 31, 2014

Abstract
A set of three coupled ordinary differential equations known as the Lorenz equations were
evaluated using the Fourth-Order Runge-Kutta method to produce a solution known as the
Lorenz Attractor. The parameters of the Lorenz attractor were systematically altered using a
FORTRAN program to ascertain their effect on the behaviour of the chaotic system and the
possible physical consequences of these changes was discussed. The functionality of the RungeKutta method is also considered.

Benjamen Reed (110108461)

bpr@aber.ac.uk

Table of Contents

1.

Introduction

2.

Background Theory and Procedure

2.1
2.2
2.3
3.

Lorenz Equations 4
Fourth-Order Runge-Kutta. 4
Evaluating the Lorenz Equations 5

Results

3.1
3.2
3.3
3.4

6
7
9
11

Typical Lorenz Attractor

Dependence on sigma .
Dependence on beta
Dependence on rho .

4.

Discussion

13

5.

Conclusion

14

Acknowledgements

14

References

14

Appendixes

15

A.

Runge-Kutta Code to Evaluate Lorenz Equations

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Benjamen Reed (110108461)

1.

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Introduction

Of all the dynamic systems that physics, and the physical sciences describe and model, none are
more subtle yet potent than chaotic systems; these are systems whose behaviour is highly
sensitive to the initial conditions of that system. One example of a chaotic system is the double
rod pendulum, which has a full rotation hinge in the middle of the system, allowing the bottom
half of the pendulum to swing quasi-independently of the main pendulum. The high initial
condition dependence in these systems has been poetically named the Butterfly effect, after
Edward Norton Lorenzs (an American mathematician and meteorologist) work on the Lorenz
attractor and his 1972 talk, Predictability: Does the Flap of a Butterfly's Wings in Brazil set off
a Tornado in Texas?
As a meteorologist, Lorenz investigated the functionality and possibility of performing accurate
long-term weather forecasts, and his research demonstrated that even the smallest change in a
weather system could have significant effects on the system as it evolved in time. He concluded
that any model of any weather system would have to take into account the smallest variations in
the weather conditions in order to have a high accuracy; todays weather modelling computers
are designed to compute thousands of variables in order to predict the short-term forecast.
However, despite all the known variables, there are still just as many unknown variables that
have non-periodic or chaotic behaviour, and as such they are intrinsically unpredictable in the
long-term. Even smaller systems with considerably less variables, still exhibit this long-term
unpredictability (Palmer, 1993).
One simple system to exhibit chaotic behaviour is the Lorentz equations, a system of three
coupled ordinary differential equations that are a simple and idealistic set of twelve
hydrodynamical equations that describe turbulent flow in the atmosphere. When the 3dimensional coordinates of this system are plotted with time as the independent variable, an
interesting graph is observed. For a
single point moving around in phase
space (i.e. x(t), y(t) and z(t) where t is
time), it traces out a curve , or an orbit
which always converges and then
remains on a surface comprised of two
wings. For any initial conditions, the
point always and eventually links up
with this two-winged surface, and
hence it is known generally as an
attractor. The attractor created with
the Lorenz equations, shown in figure
1, is appropriately named the Butterfly
attractor for its appearance and also Figure 1 - A visualisation of the Lorenz attractor in phase space; solution
to the Lorenz equations as an orbit in phase space. (Source:
because it visualises solutions that http://www.mizuno.org/c/la/img/lorenz_web.jpg)
exhibit the butterfly effect (Taylor,
2011).
As previously mentioned, the Lorenz attractor can be constructed using three coupled ordinary
differential equations, and as such can be modelled with a relatively simple program and a robust
graphing client. In this report, the Lorenz attractor for an arbitrary chaotic system is evaluated
using a program written in the script-based programming language FORTRAN. The program
employs the use of the Fourth-Order Runge-Kutta method in order to solve the Lorenz equation
and thus produce useable data. The parameters and variables of the system were changed
systematically in order to ascertain their effect on the shape and profile of the butterfly attractor
in phase space. This report will also discuss the effectiveness of using the Fourth-Order RungeKutta method with coupled ordinary differential equations.
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2.

Background Theory and Procedure

2.1

The Lorenz Equations

The Lorenz equations, as written by Edward Lorenz himself are

dx
= (y x)
dt

(1)

dy
= x( z) y
dt

(2)

dz
= xy z
dt

(3)

where x, y, and z are variables in phase space and , . And are the constant parameters of
the system. It is easy to see in this system, that as one variable of phase space changes, the other
two variables in phase space change in response. The parameters in these equations each have
physical meanings are not just some mathematical quirk. Sigma is called the Prandtl number
and is a description of the systems physical characteristics such as viscosity and thermal
conductivity in the case of convection flow. Rho represents a control parameter, which is the
difference between the extrema driving forces in the system. For the example where the Lorenz
attractor is characterising convection in a fluid filled tank, would represent the temperature
difference between the top and bottom of the tank. Finally beta is a value that describes the
shape of the box that the Lorenz attractor is contained within. For the convection example,
would be the width-to-height ratio of the convection layer (Stockie & Wong, 2009).
2.2

The Fourth Order Runge-Kutta

The Runge-Kutta method is an iterative numerical method for solving systems of coupled
ordinary differential equations (CODEs), and is highly considered to be the most accurate
numerical method for this purpose for the amount of effort required to code it. It is similar to
Eulers method of solving ODEs however whereas Eulers method only evaluates each iterative
step at one point, Runge-Kutta evaluates each step at four separate locations as shown by
equations 4 to 7. Two evaluations are made at the end points of each interval, and two are made
in the middle.

F1 = tf (yi , ti )

(4)

!
1
1 $
F2 = tf # yi + F1, ti + t &
"
2
2 %

(5)

!
1
1 $
F3 = tf # yi + F2 , ti + t &
"
2
2 %

(6)

F4 = dtf ( yi + F3, ti + t )

(7)

It then combines these solutions into one highly accurate approximation of the function at that
point. In essence, this means that any number of time-dependant CODEs can be evaluated by one
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program and hence data can be formulated for data analysis. The final recombination step is
characterised by equation 8, which gives the phase space coordinate at that time step (Sli, 2013).

yi+1 = yi +

1
( F1 + 2F2 + 2F3 + F4 )
6

(8)

(N.B. y in equations 4 8 can represent any value in any axis, i.e. y can be x or z. Cartesian
coordinates are evaluated separately for each axis, so Runge-Kutta is executed three times for
each point in phase space).
2.3

Evaluating the Lorenz Equations

To solve the Lorenz equations and thus produce the Lorenz attractor plot, a program was written
in FORTRAN, which used the aforementioned Fourth-Order Runge-Kutta method to evaluate
the CODEs hence produce useable data in the form of a comma separating variable file. This
data was then sent to gnuplot to produce 3-dimensional phase space plots and 2-dimension time
dependent graphs of the variables (Press et al., 2007). The full FORTRAN can be viewed in the
appendix.
To ascertain the effect of parameters on the Lorenz attractor, a default attractor was plotted and
then each parameter was adjusted systematically. The attractor was then re-plotted and compared
with the original to ascertain what had changed.

Benjamen Reed (110108461)

3.

Results

3.1

Typical Lorenz Attractor

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Figure 2 - A 3D plot of a typical Lorenz attractor in phase space, where = 10, = 8/3, = 28.

Figure 3 - A 2D plot of Lorenz attractor phase space coordinates against time, where = 10, = 8/3, = 28.

Benjamen Reed (110108461)

3.2

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Dependence on sigma

Figure 4 - A 3D plot of a typical Lorenz attractor in phase space, where = 5, = 8/3, = 28.

Figure 5 - A 2D plot of Lorenz attractor phase space coordinates against time, where = 5, = 8/3, = 28.

Benjamen Reed (110108461)

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Figure 6 - A 3D plot of a typical Lorenz attractor in phase space, where = 20, = 8/3, = 28.

Figure 7 - A 2D plot of Lorenz attractor phase space coordinates against time, where = 20, = 8/3, = 28.

Benjamen Reed (110108461)

3.3

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Dependence on beta

Figure 8 - A 3D plot of a typical Lorenz attractor in phase space, where = 10, =4/3, = 28.

Figure 9 - A 2D plot of Lorenz attractor phase space coordinates against time, where = 10, =4/3, = 28.

Benjamen Reed (110108461)

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Figure 10 - A 3D plot of a typical Lorenz attractor in phase space, where = 10, =16/3, = 28.

Figure 11 - A 2D plot of Lorenz attractor phase space coordinates against time, where = 10, =16/3, = 28.

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3.4

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Dependence on rho

Figure 12 - A 3D plot of a typical Lorenz attractor in phase space, where = 10, =8/3, = 14.

Figure 13 - A 2D plot of Lorenz attractor phase space coordinates against time, where = 10, =8/3, = 14.

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Figure 14 - A 3D plot of a typical Lorenz attractor in phase space, where = 10, =8/3, = 56.

Figure 15 - A 2D plot of Lorenz attractor phase space coordinates against time, where = 10, =8/3, = 56.

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Discussion

Figure 2 shows a typical Lorenz attractor with the parameters = 10, = 8/3, = 28. This 3dimensional plot, along with its 2-dimensional temporal dependence graph in figure 3 was
treated as the control, a reference that could be used to determine the changes in the Lorenz
attractor shape as the parameters were altered. The 3d representation in figure 2 was typical of
the butterfly wings found in the literature and resource material. Hence, it was assumed that these
figures were correct and an accurate demonstration of chaotic flow in atmospheric systems. To
infer some physical meaning to the results detailed in section 3, it has been assumed that the
Lorenz equations in this situation are characterising the convectional flow of a viscous fluid in a
heated tank.
The first parameter that was altered was sigma , which as mentioned in section 2.1, is the
Prandtl number and is a description of the systems physical characteristics of flow. It tells
information about the fluids viscosity and thermal conductivity. Figures 4 and 5 show the
situation where the parameter sigma has been halved from it original value. Physically, this
means that the viscosity of the fluid is higher, so the fluid takes longer to converge on the
attractor surface. Furthermore, once on the surface the flow begins to spiral inwards on only one
wing. Figure 5 shows that the movement of one unit of fluid decreases over time, which implies
that the flow is so viscous that it actually dampens any movement within it. Conversely, in
figures 6 and 7 the viscosity is lower and hence the flow quickly converges on the attractor
surface, and onto two wings. Once there, it is able to sweep out large arcs of movement in the
decreased viscosity hence why there appears to be no inner orbits within the wings.
The second parameter to be altered was beta , which characterises the width-to-height ratio of
the convection layer. Intuition infers that a smaller width in the convection zone means that flow
will frequently switch between one wing of the attractor surface and the other. Whereas a larger
width in the convection zone will mean that flow will switch attractor wings frequently, if at all.
The figures in section 3.3 seem to agree with this intuition, with the 2D temporal dependence
graphs demonstrating this much more clearly. Figure 9 shows the temporal dependence of the
flow when the width-to-height ratio is low; the x(t) and y(t) frequently change phase which
implies that the flow is moving through the convection zone frequently and changing which
wing it orbits. On the other hand, figure 10 where is double the control parameter, shows that
once the flow is orbiting one wing, it never switches over to other wing, implying that the width
of the convection zone is so large, that flow cannot or rarely passes into it.
Finally, the last parameter rho details the temperature difference between the top and the
bottom of the tank. It is expected that a large difference in temperature between the top and the
bottom of the tank will give rise to a large flow rate with frequent changes in attractor orbit. The
system would also take an extended period of time to reach equilibrium and so the flow rate
would continue to be rapid for a long time. With a small temperature difference, the thermal
driving forces would be reduced and the system would reach equilibrium relatively faster. This is
certainly what seems to be happening in figures 12 and 13. The low thermodynamic driving
force means that the flow hardly changes orbit, or in this case, doesnt at all. Furthermore, once
equilibrium is reached, all macroscopic movement stops as shown by figure 13 and the system
tends toward equilibrium, a dampening effect is observed much like in figure 5.
From this discussion, it is apparent that small changes in the Lorentz attractor system give rise to
large macroscopic effects. The Runge-Kutta method has illustrated these changes well and is a
very suitable method to use in the modelling of chaotic systems. It does not appear to show signs
of divergence, a common issue in the simpler Eulers method, and so confidence is high that
there is minimal error in the Lorentz modelling.

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Conclusion

A model of the Lorenz attractor has been constructed using the Runge-Kutta method to solve the
Lorenz equations, a set of three coupled ordinary differential equations that describe chaotic flow
in atmospheric or hydrodynamic systems. The modelling proved to be successful and the Lorenz
equation parameters were varied to ascertain their effect on the behaviour of the system. It was
found that small changes to these parameters could have huge effects on the dynamics of the
system, either making it more chaotic, or taming it such that the flow rate of the system tends to
zero. In the cases where the flow rate tended to zero, the parameters gave rise to an unstable
system where the dynamics could not be maintain for an extended period of time. Conversely, in
the situations where the flow became more chaotic, the system remained stable and the orbits of
the attractor surface were more pronounced.
In respect to the numerical method employed, the Runge-Kutta method performed well and
produced an accurate, stable model in which to observe the Lorenz attractor.

Acknowledgements
The author would like to extend their gratitude to Dr. Martin Wilding for the tuition he provided
during the course, and for taking time out of his own schedule to give students on the course the
time necessary to provide work of their best effort. The author would also like to thank Mr.
Patrick Dixon, Mr. Andrew Leonard and Mr. Tom Knight for helping to run the module and
provide lessons in effective coding. Finally, the author would like to thank Miss. Carley Martin,
Miss. Fffion Whitehouse and Miss. Rose Cooper for providing much needed discussion and
support during the module.

References
Palmer, T., 1993. Exploring Chaos: A Guide to the New Science of Disorder. London: W. W.
Norton & Co.
Press, W.H., Teukolsky, S.A., Vetterling, W.T. & Flannery, B.P. 2007. Numerical Recipes: The
Art of Scientific Computing. 3rd ed. Cambridge: Cambridge Press.
Stockie, J. & Wong, K., 2009. A Simple Model of the Unpredictability of Weather: The Lorenz
Equations. Clouds, Aerosols and Climate Feedback Publications. Available at:
<http://clouds.eos.ubc.ca/~phil/numeric/labs/lab6/lab6.pdf> [Accessed 30 January 2014]
Sli, E. 2013. Numerical Solution of Ordinary Differential Equations. [pdf] Mathematical
Institute, University of Oxford. Available at: <http://people.maths.ox.ac.uk/suli/nsodes.pdf>
[Accessed 30 January 2014]
Taylor, R.L.V., 2011. Attractors: Nonstrange to Chaotic. SIAM Undergraduate Research
Online, 4.

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Runge-Kutta Code to Evaluate Lorenz Equations

PROGRAM lorentz
IMPLICIT NONE
INTEGER :: i
INTEGER,PARAMETER :: npars=3,nvars=3,nits=50000
REAL,DIMENSION(npars) :: pars
REAL,DIMENSION(nvars) :: yO
REAL,DIMENSION(nits+1) :: tout
REAL,DIMENSION(nvars,nits+1) :: yout
REAL :: tO,tf,dt
!define parameters
! PRINT*, "Please input the parameter sigma (default: 10)"
! READ*, pars(1)
! PRINT*, "Please input the parameter beta (default: 8/3)"
! READ*, pars(2)
! PRINT*, "Please input the parameter rho (default: 28)"
! READ*, pars(3)
pars(1) = 10.0
pars(2) = 8.0/3.0
pars(3) = 56.0
!define yO
yO(1) = -10.0
yO(2) = -10.0
yO(3) = -5.0
!define tO
tO = 0.0
tf = 30.0
!Working out dt
dt = (tf-tO)/nits
!calling subroutine rungeit
CALL rungeit(nvars,yO,tO,dt,npars,pars,nits,yout,tout)
OPEN(UNIT=10,FILE='lorentz.csv',FORM='FORMATTED',ACTION='WRITE')
DO i = 1,nits+1
WRITE(UNIT=10,FMT='(F13.5,A3,F13.5,A3,F13.5,A3,F13.5)') tout(i), " ",
yout(1,i), " ", yout(2,i), " ", yout(3,i)
END DO
CLOSE(10)
END PROGRAM Lorentz
!===============================================================
!Subroutine of the function we wish to solve for
!narvs - number of eqns we're solving for.
!yin - narvs element array of solution at current time.
!t - the current time
!npars - number of parameters/constants in the equations
!pars - npars element array containing the constants
!yout - nvars element array of the solution at new time
SUBROUTINE fy(nvars,yin,t,npars,pars,yout)
IMPLICIT NONE
INTEGER, INTENT(IN) :: nvars, npars
REAL, INTENT(IN), DIMENSION(nvars) :: yin
REAL, INTENT(IN), DIMENSION(npars) :: pars
REAL, INTENT(IN) :: t
REAL, INTENT(INOUT), DIMENSION(nvars) :: yout
yout(1) = pars(1)*(yin(2)-yin(1))
yout(2) = yin(1)*(pars(3)-yin(3))-yin(2)
yout(3) = (yin(1)*yin(2))-(pars(2)*yin(3))
END SUBROUTINE fy
!==============================================================
!Subroutine to perform the Runge-Kutta steps
SUBROUTINE rungestep(nvars,yin,tO,dt,npars,pars,yout)
IMPLICIT NONE

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INTEGER, INTENT(IN) :: nvars, npars
REAL, INTENT(IN), DIMENSION(nvars) :: yin
REAL, INTENT(IN), DIMENSION(npars) :: pars
REAL, INTENT(IN) :: dt, tO
REAL, INTENT(INOUT), DIMENSION(nvars) :: yout
REAL, DIMENSION(nvars) :: f1, f2, f3, f4, ytemp
!First step
CALL fy(nvars,yin,tO,npars,pars,ytemp)
f1 = dt*ytemp
!Second step
CALL fy(nvars,yin+f1/2.0,tO+dt/2.0,npars,pars,ytemp)
f2 = dt*ytemp
!Third step
CALL fy(nvars,yin+f2/2.0,tO+dt/2.0,npars,pars,ytemp)
f3 = dt*ytemp
!Forth step
CALL fy(nvars,yin+f3,tO+dt,npars,pars,ytemp)
f4 = dt*ytemp
!Collecting steps together
yout = yin+((f1+2.0*f2+2.0*f3+f4)/6.0)
END SUBROUTINE rungestep
!============================================================
SUBROUTINE rungeit(nvars,yO,tO,dt,npars,pars,nits,yout,tout)
IMPLICIT NONE
INTEGER, INTENT(IN) :: nits,nvars,npars
REAL, INTENT(IN), DIMENSION(nvars) :: yO
REAL, INTENT(IN), DIMENSION(npars) :: pars
REAL, INTENT(IN) :: dt, tO
REAL, INTENT(INOUT), DIMENSION(nvars,nits+1) :: yout
REAL, INTENT(INOUT), DIMENSION(nits+1) :: tout
INTEGER :: i
!put the initial conditions into the output array
tout(1) = tO
yout(:,1) = yO
!iterate thro all timesteps, taking a new step from the previous
!result. Note the suroutine call to eulermodstep is different to the
!function call in the 1D case
DO i = 2, nits+1
tout(i) = tout(i-1) + dt
CALL rungestep(nvars,yout(:,i-1),tout(i-1),dt,npars,pars, &
& yout(:,i))
END DO
END SUBROUTINE rungeit
!======================================================================

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