# Fractal dimension of space-time chaos

## Abstract

A class of simplified measures is constructed to capture the key features of generic spatio-temporally chaotic systems. A combined analytical and numerical investigation allows us to establish the scaling behaviour of the fractal dimension in open systems. Our results improve a previous conjecture and, what is more important, furnish a clear framework for both numerical and analytical checks of the underlying assumptions.

The structure of the invariant measure in generic spatio-temporal chaotic systems is still far from being understood. The only basic conclusion that is undoubtedly accepted within the physicist community is the extensivity of the fractal dimension, i.e. that the number of active degrees of freedom is proportional to the system size . The number of degrees of freedom per unit volume is the so-called dimension density, a quantity that can be derived from the Lyapunov spectrum, through the well known Kaplan-Yorke formula.

However, as soon as finite subsets of (in principle) infinite systems are considered (i.e., an open-system point of view is adopted), it is immediately far from obvious how to characterize the probability distribution of generic observables. The common belief is that by looking at the system with a sufficiently coarse-grained resolution, one is not able to distinguish between a closed and an open system . The stochastic-like action of the external world (i.e. the rest of the chain) which activates otherwise stable degrees can be resolved only if we look at the dynamical system with a sufficiently high resolution. This was first suggested by Pomeau , who postulated that the effect of distant (in real space) degrees of freedom on the dynamics in a specific site decreases exponentially fast with the distance. However, even though this statement looks rather plausible, no convincing argument has yet been presented, which justifies this hypothesis in terms of the actual behaviour of perturbations.

The same problem has been considered in the spirit of time-series analysis . In particular, Tsimring  formulated a conjecture about the amount of information contained in finite samples of temporal signals generated by spatio-temporal chaotic regimes. In fact, this problem logically descends from the understanding of the structure of the invariant measure in open systems, since the behavior of a local observable over a finite time can be obtained by applying the evolution operator to stationary spatial configurations in a finite region (the so-called light cone). For this reason, we shall restrict our discussion to this latter context in which Korzinov and Rabinovich  have proposed a conjecture similar to those in in Refs. . Specifically, they claim that the effective (i.e. finite scale) dimension $`D_e`$ in subsystems of length $`L`$ (for the sake of simplicity, we consider one-dimensional systems) depends on $`L`$ and on the observational scale $`\epsilon `$ as

$$D_e=dL\frac{vd^2}{\eta }\mathrm{ln}\epsilon A,$$
(1)   
where $`d`$ is the dimension density, $`\eta `$ is the Kolmogorov-Sinai entropy density , $`v`$ is the propagation velocity of disturbances, while $`A`$ is a non-better-specified parameter. Unfortunately, the derivation of the above formula is based on several assumptions that cannot be directly checked. Moreover, it is rather unlikely that more accurate numerical simulations will ever provide data clean enough to draw definite conclusions. It is therefore compelling to make some progress on the theoretical side even at the expense of introducing strong simplifications. This is the route already undertaken in Ref. , where the limit case of weakly coupled maps has been considered. Here, rather than attempting to prove that the invariant measure of some dynamical system has a given structure, we have preferred to construct a class of measures fulfilling the basic requirements for a space-time chaotic regime and yet are simple enough to be handled and controlled. The key approximation consists in assuming that the support of the probability distribution is a linear subspace, so that we can use a global approach such as singular-value decomposition to get at once information on the structure of the invariant measure on all possible length scales. Singular-value decomposition as a tool for analysing space-time chaos has been already profitably applied to experimental  as well as to numerical  data, allowing to identify the relevant modes. However, the validity of these results is limited by the unavoidable presence of nonlinearities which definitely induce a bending of the support as well as local nonuniformities in phase-space. Here, by referring to suitable linear subspaces, we automatically get rid of these effects and can use a global methodology to extract local information.

We shall consider a scalar process $`x(i)`$ defined on a lattice of length $`N`$, with the label $`i`$ denoting the spatial position. A generic configuration is constructed as the linear combination of some modes

$$x(i)=\underset{k=1}{\overset{D}{}}p_ke_k(i),$$
(2)   
where the $`p_k`$’s are i.i.d. random variables and $`e_k(i)`$ denotes the $`i`$th component of the $`k`$th mode. In other words, the coefficients $`p_k`$ represent the coordinates of the process $`x(i)`$ in the basis of modes $`e_k`$. The number of modes $`D=dN`$ can be read as the “fractal” dimension of the measure, while $`d`$ is the dimension density which is assumed to be independent of the length, i.e. an intrinsic characteristic of the underlying “dynamical system”.

For the sake of simplicity, we first restrict our analysis to Fourier modes,

$$e_k(i)=\{\begin{array}{cc}1/\sqrt{N}\hfill & \text{ if}k=1\hfill \\ \sqrt{2/N}\mathrm{cos}(\alpha _ki)\hfill & \text{ if}k>1\text{ and odd}\hfill \\ \sqrt{2/N}\mathrm{sin}(\alpha _ki)\hfill & \text{ if}k\text{ even,}\hfill \end{array}$$
(3)   
where $`\alpha _k=2\pi [k/2]/N`$ and $`[]`$ denotes the integer part.

Even if very simple, such a hypothesis is not simplistic. In fact, let us recall that Fourier modes are the stable/unstable directions in a chain of Bernoulli maps $`x_{t+1}(i)=\mathrm{Mod}[a(\mu x_t(i1)+(12\mu )x_t(i)+\mu x_t(i+1)),1]`$. If one chooses the local slope $`a`$ and the coupling strength $`\mu `$ such that the Kaplan-Yorke dimension density is equal to $`d`$, the active degrees of freedom correspond precisely to the above mentioned $`D`$ Fourier modes.

The problem we want to address concerns the structure of the projection $`S^N(L,d)`$ of the global invariant measure onto the lower-dimensional space corresponding to a sub-chain of length $`LN`$. We expect that the resulting distribution extends along all $`L`$ directions. i.e. that its dimension coincides with the space dimension $`L`$. Nevertheless, we also expect $`S^N(L,d)`$ to be very thin along those directions corresponding (in the closed system) to the most contracting directions (i.e., those modes $`\stackrel{}{e}_k`$ with $`k>D`$).

As we are dealing with a linear subspace, the extension of $`S^N(L,d)`$ along the various directions can be obtained by means of the standard orthogonal decomposition of the correlation matrix

$$C_{ij}^N(L,d)x(i),x(j)=\underset{k=1}{\overset{D}{}}p_k^2e_k(i)e_k(j),$$
(4)   
where $``$ denotes an ensemble average and the last equality can be easily proved by substituting Eq. (2). It is convenient to assume that the $`p_k`$’s are uniformly distributed within the interval $`[3^{1/3},3^{1/3}]`$ so that $`p_k^2=_0^{3^{1/3}}x^2𝑑x=1`$. The eigenvalues $`\lambda _l^2`$ ($`1lL`$) of the matrix $`C^N(L,d)`$ represent the mean square extensions of $`S^N(L,d)`$ along the axes defined by the corresponding eigenvectors.

It is possible to obtain an analytic expression for the correlation matrix. By substituting Eq. (3) into Eq. (4), and assuming that $`D`$ is odd, we find, after some simple manipulations, that

$$C_{ij}^N(L,d)=\frac{1}{N}+\frac{2}{N}\underset{k=1}{\overset{(D1)/2}{}}\mathrm{cos}\left((ij)\alpha _{2k}\right).$$
(5)   
It is immediately seen that $`C_{ii}=D/N=d`$, while a general expression for the other entries can be obtained by using the relation $`_{k=1}^n\mathrm{cos}(kx)=\mathrm{cos}\left((n+1)x/2\right)\mathrm{sin}(nx/2)/\mathrm{sin}(x/2)`$ and other simple trigonometric formulas,

$$C_{ij}^N(L,d)=\frac{\mathrm{sin}\left((ij)\pi d\right)}{N\mathrm{sin}\left((ij)\pi /N\right)}.$$
(6)   
In the limit $`N\mathrm{}`$ (i.e. for an infinitely extended system) but fixed dimension density $`d`$ and observational length $`L`$, the correlation matrix converges to

$$C_{ij}(L,d)=\frac{\mathrm{sin}\left((ij)d\pi \right)}{\pi (ij)}.$$
(7)   
Similar calculations for even $`D`$ show that $`C_{ij}`$ converges to the same limit, which thus holds in full generality.

Since the matrix entries depend only on $`|ij|`$, the values along all diagonals are constant (Toeplitz structure) and the correlation matrix is completely determined by its first row or column. Although this structure is rather simple, all attempts to diagonalise analytically the correlation matrix failed. Therefore, we have been obliged to perform numerical investigations with high precision ($`10^{32}`$).

The most convenient way to look at the results is by ordering the eigenvalues $`\lambda _i^2`$ from the largest to the smallest one. The qualitative behaviour for $`d=0.5`$ and $`L=20`$ can be seen in Fig. 1, where we have reported the linear extensions $`\lambda _i`$ of the projected measure along the orthogonal axes represented by the eigenvectors of the correlation matrix. We see that approximately 10 values are close to 1, while the others are almost negligible. This confirms that, on a coarse-grained scale, an open system looks like a closed system with the same dimension density $`d`$. Nevertheless, the eigenvalues beyond the 10th are not equal to zero: this is the result of the coupling with the pseudo-random process generated by the external chain.

From the viewpoint of “fractal”-dimension analysis, we can interpret these results by saying that the effective dimension corresponding to a fixed observational resolution $`\epsilon =lambda_i`$, is $`D_e=i`$. The expression for the effective dimension can thus be obtained by inverting the expression for the eigenvalue distribution,

$$D_e(\epsilon )=i(\lambda ).$$
(8)   
In the specific case reported in Fig. 1, the dimension seen for $`\epsilon 0.1`$ is still smaller than 13. Only for $`\epsilon `$-values as tiny as $`10^7`$, the full space dimension (20) is recovered.

This problem has a meaningful interpretation also in the context of linear time-series analysis, since we are addressing the question of how the average Fourier spectrum of a stochastic signal (observed in a window of length $`L`$) converges to the limit shape for increasing $`L`$. The difference is that here the spectrum of the signals are obtained by means of singular value decomposition rather than finite Fourier transform.

Our main goal is to extract the relevant asymptotic behaviour of $`D_e`$ on the window-length. As it can be seen in Fig. 2, where $`\mathrm{ln}\lambda _i/L`$ is plotted versus $`i/L`$ for different choices of $`L`$, there is a clear evidence of an asymptotic scaling regime such as

$$\mathrm{ln}\lambda _i=LF(i/L),$$
(9)   
where the function $`F(x)`$ is identically zero for $`x<d`$, while it increases monotonously for $`x>d`$. From a fundamental point of view, it is important to have a clear idea about the “critical” behaviour for $`xd`$. In particular, it is necessary to understand what a kind of singularity is present in that region. The numerical analysis indicates that the right derivative $`F^{}(x)`$ computed in $`x=d`$ converges to a finite value. Accordingly, for $`x>d`$, we can expand $`F(x)`$ in a power series,

$$F(x)=\underset{j=1}{\overset{\mathrm{}}{}}\beta _j(xd)^j$$
(10)   
By substituting Eq. (10) in Eq. (9) and retaining only the first two terms we find the approximate expression

$$\mathrm{ln}\epsilon \beta _1(D_edL)\frac{\beta _2}{L}(D_edL)^2,$$
(11)   
where we have identified $`\lambda `$ with $`\epsilon `$ and $`i`$ with $`D_e`$. Before commenting on the physical implications of the above relation, it is important to discuss finite-size corrections. A technical analysis exploiting the symmetry properties of $`\lambda _i^2`$ suggests that the deviation from the asymptotic value of $`F(x)`$ around $`i=dL`$ are equal to $`(\mathrm{ln}2)/2L`$.

By including such corrections in Eq. (11) and thereby inverting, we find that

$$D_e=dL\frac{\mathrm{ln}\epsilon }{\beta _1}\frac{\beta _2}{\beta _1^3L}(\mathrm{ln}\epsilon )^2\frac{\mathrm{ln}2}{2}.$$
(12)   
The structure of this expression reduces to that of the conjecture in Ref.  (i.e. Eq. (1) provided that the squared logarithmic term is negligible, i.e. provided that $`L\mathrm{ln}\epsilon `$. One can easily check that this inequality is not always satisfied in direct computations of the dimension, so that it would be worth re-analyzing numerical data in order to obtain reliable estimates of the various coefficients.

A further difference with Eq. (1) resides in the coefficient in front of the logarithmic term: we find $`1/\beta _1`$ that is to be confronted with $`vd^2/\eta `$. We are able to determine $`\beta _1`$ only numerically (even though rather accurately) and it turns out to be approximately equal to 0.6 independently of $`d`$ in the interval $`[0.2,0.8]`$. The natural model to compare our expectations with Eq. (1) is again the chain of Bernoulli maps in which case, one can determine analytically the Lyapunov spectrum and easily compute $`d`$, $`\eta `$, and $`v`$. Tests made for different choices of the slope $`a`$ and of the diffusive coupling $`\mu `$ show that $`vd^2/\eta `$ is always significantly larger than $`1/\beta _1`$ (by almost a factor 2). This inequality hints at a possible consistency of the two approaches. In fact, Eq. (12) can at least be viewed as a lower bound for the effective dimension, since it has been obtained by neglecting nonlinearities (which enter as discontinuities in Bernoulli maps) which can only contribute to increase the dimension on finite scales. Anyhow, it would be very important to establish whether the discrepancy is to be attributed to a failure of the conjecture in Ref. , or to ingredient neglected in our treatment. In favour of the former hypothesis, we claim that, as long as nonlinearities imply only large scale phenomena such as bendings and nonuniformities, they should not affect the asymptotic behaviour described by the scaling function $`F(x)`$. Indeed, from the point of view of an information-theoretic approach (which is implicitely that one adopted by deriving an expression for the effective dimension), there is no difference between a straight and a bended manifold, provided that the bending is not too strong : the same number of boxes is needed to cover the set.

Aside from the role of nonlinearities, the validity of our results could be challenged on the basis of the special assumptions made to construct the invariant measure. Therefore, we have decided to progressively remove some of the limitations. We have started by assuming that the average amplitude of the first (nonzero) $`D`$ Fourier modes is not constant but goes continuously to 0. In this case, one can again find an explicit expression for the correlation matrix; numerical studies performed for different choices of the Fourier amplitudes indicate a convergence towards the same function $`F(x)`$ but stronger finite-size corrections (i.e. larger $`A`$).

A further criticism could be that the Fourier basis is a rather special choice, contrasting with the observation that Lyapunov vectors are localized. We have therefore considered also bases made of exponentially localized vectors. This has been done by implicitely referring to Bernoulli maps with quenched disorder (i.e. by randomly fixing the slope of the local maps). In this case, the correlation matrix can only be constructed numerically and for lattices of finite length $`N`$; moreover, there is the additional difficulty of the dependence on the realization of the disorder. Surprisingly enough, we find again a reasonable agreement with the results obtained for the Fourier basis with the same system-size (provided that the geometric average of the eigenvalue spectra is taken). Accordingly, we are led to conjecture that the behaviour displayed by the Fourier basis is quite universal and seemingly independent even of the localization properties of the basis.

Summarizing, we have found a rather general scaling law expressing the dependence of the effective dimension on the size of an open system and on the observational resolution. As the result has been derived under the assumption of a linear structure for the invariant measure, it is now crucial to test its validity in generic models, where nonlinearities play certainly an important role.

AW thanks the Max-Planck-Society for financial support. A. Torcini is acknowledged for useful discussions, while M. Bünner, A. Pikovsky, and M. Zaks for a careful reading of the manuscript.