Alef Sterk

Extreme value laws in dynamical systems under physical observables

Extreme value theory for chaotic deterministic dynamical systems is a rapidly expanding area of research. Given a system and a real function (observable) defined on its phase space, extreme value theory studies the limit probabilistic laws obeyed by large values attained by the observable along orbits of the system. Based on this theory, the so-called block maximum method is often used in applications for statistical prediction of large value occurrences. In this method, one performs statistical inference for the parameters of the Generalised Extreme Value (GEV) distribution, using maxima over blocks of regularly sampled observable values along an orbit of the system. The observables studied so far in the theory are expressed as functions of the distance with respect to a point, which is assumed to be a density point of the system’s invariant measure. However, at least with respect to the ambient (usually Euclidean) metric, this is not the structure of the observables typically encountered in physical applications, such as windspeed or vorticity in atmospheric models. In this paper we consider extreme value limit laws for observables which are not expressed as functions of the distance (in the ambient metric) from a density point of the dynamical system. In such cases, the limit laws are no longer determined by the functional form of the observable and the dimension of the invariant measure: they also depend on the specific geometry of the underlying attractor and of the observable’s level sets. We present a collection of analytical and numerical results, starting with a toral hyperbolic automorphism as a simple template to illustrate the main ideas. We then formulate our main results for a uniformly hyperbolic system, the solenoid map. We also discuss non-uniformly hyperbolic examples of maps (Henon and Lozi maps) and of flows (the Lorenz63 and Lorenz84 models). Our purpose is to outline the main ideas and to highlight several serious problems found in the numerical estimation of the limit laws.

Travelling waves and their bifurcations in the Lorenz-96 model

Abstract In this paper we study the dynamics of the monoscale Lorenz-96 model using both analytical and numerical means. The bifurcations for positive forcing parameter F are investigated. The main analytical result is the existence of Hopf or Hopf–Hopf bifurcations in any dimension n ≥ 4 . Exploiting the circulant structure of the Jacobian matrix enables us to reduce the first Lyapunov coefficient to an explicit formula from which it can be determined when the Hopf bifurcation is sub- or supercritical. The first Hopf bifurcation for F > 0 is always supercritical and the periodic orbit born at this bifurcation has the physical interpretation of a travelling wave. Furthermore, by unfolding the codimension two Hopf–Hopf bifurcation it is shown to act as an organising centre, explaining dynamics such as quasi-periodic attractors and multistability, which are observed in the original Lorenz-96 model. Finally, the region of parameter values beyond the first Hopf bifurcation value is investigated numerically and routes to chaos are described using bifurcation diagrams and Lyapunov exponents. The observed routes to chaos are various but without clear pattern as n → ∞ .

Predictability of extreme waves in the Lorenz-96 model near intermittency and quasi-periodicity

We introduce a method for quantifying the predictability of the event that the evolution of a deterministic dynamical system enters a specific subset of state space at a given lead time. The main idea is to study the distribution of finite-time growth rates of errors in initial conditions along the attractor of the system. The predictability of an event is measured by comparing error growth rates for initial conditions leading to that event with all possible growth rates. We illustrate the method by studying the predictability of extreme amplitudes of traveling waves in the Lorenz-96 model. Our numerical experiments show that the predictability of extremes is affected by several routes to chaos in a different way. In a scenario involving intermittency due to a periodic attractor disappearing through a saddle-node bifurcation we find that extremes become better predictable as the intensity of the event increases. However, in a similar intermittency scenario involving the disappearance of a 2-torus attractor we find that extremes are just as predictable as nonextremes. Finally, we study a scenario which involves a 3-torus attractor in which case the predictability of extremes depends nonmonotonically on the prediction lead time.

Quantitative recurrence statistics and convergence to an extreme value distribution for non-uniformly hyperbolic dynamical systems

For non-uniformly hyperbolic dynamical systems we consider the time series of maxima along typical orbits. Using ideas based upon quantitative recurrence time statistics we prove convergence of the maxima (under suitable normalization) to an extreme value distribution, and obtain estimates on the rate of convergence. We show that our results are applicable to a range of examples, and include new results for Lorenz maps, certain partially hyperbolic systems, and non-uniformly expanding systems with sub-exponential decay of correlations. For applications where analytic results are not readily available we show how to estimate the rate of convergence to an extreme value distribution based upon numerical information of the quantitative recurrence statistics. We envisage that such information will lead to more efficient statistical parameter estimation schemes based upon the block-maxima method.

Periodicity and Chaos Amidst Twisting and Folding in Two-Dimensional Maps

We study the dynamics of three planar, noninvertible maps which rotate and fold the plane. Two maps are inspired by real-world applications whereas the third map is constructed to serve as a toy model for the other two maps. The dynamics of the three maps are remarkably similar. A stable fixed point bifurcates through a Hopf–Neĭmark–Sacker which leads to a countably infinite set of resonance tongues in the parameter plane of the map. Within a resonance tongue a periodic point can bifurcate through a period-doubling cascade. At the end of the cascade we detect Henon-like attractors which are conjectured to be the closure of the unstable manifold of a saddle periodic point. These attractors have a folded structure which can be explained by means of the concept of critical lines. We also detect snap-back repellers which can either coexist with Henon-like attractors or which can be formed when the saddle-point of a Henon-like attractor becomes a source.