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Numerical study

A possibility of a relation between the KSE of a dynamical system and the entropy rate GPER of a Gaussian process with the same spectrum as the time series, generated by the dynamical system is investigated in this study. A formal application of formula (3) to a spectral density (periodogram) estimated from analyzed time series cannot be considered as an estimate of the KSE of an underlying dynamical system, however, if there was a one-to-one relation between the KSE and the GPER, the GPER could be used for a ``relative quantification'' [11] of dynamic processes, in particular, it could distinguish and classify different states of chaotic dynamical systems.

The numerical investigation of this hypothetical relationship was performed using these dynamical systems:

The baker transformation [5]:

displaymath87

for tex2html_wrap_inline545 , or:

  equation93

for tex2html_wrap_inline547 ;
tex2html_wrap_inline549 , tex2html_wrap_inline551 , tex2html_wrap_inline553 ;

the logistic map [5]:

  equation101

and the continuous Lorenz system [21]:

  equation106

tex2html_wrap_inline555 , b=4.

Each of the three systems has one positive Lyapunov exponent, equal to the system's Kolmogorov-Sinai entropy, therefore we will use the terms LE and KSE interchangeably.

Changing a parameter of a particular system ( tex2html_wrap_inline477 , a, r in the cases of the baker, logistic and Lorenz systems, respectively), time series related to different system states were generated, GPER's were estimated and compared with LE (KSE) related to particular system states. In each system state studied, fifteen time series of length 16,384 samples (the sampling interval was 0.002 in the case of the Lorenz system) were recorded from the first component (x), linearly transformed in order to have zero mean and unit variancegif and their periodogramsgif computed using the fast Fourier transform (FFT) [22]. To prevent numerical underflow, the periodograms were shiftedgif by +1, i.e., tex2html_wrap_inline569 was used instead of tex2html_wrap_inline537 in Eq. (3). For each considered dynamical state, means and standard deviations (SD's) of the GPER estimates, obtained from the 15 realizations of 16k time series, are reported in this paper.gif

The positive Lyapunov exponents were not estimated from time series, but computed as follows. The KSE/LE of the baker map can be expressed analytically as the function of the parameter tex2html_wrap_inline477 [23, 24]:

  equation117

For the logistic map the LE was estimated according to its definition [5] as the averaged logarithm of the absolute derivative of the function (5). A recent implementation [25] of the method proposed by Wolf et al. [26] for estimation of the Lyapunov exponents from equations was used for the Lorenz system. The LE's in these two cases were estimated using 300,000 iterations in each state.


next up previous
Next: Results Up: On entropy rates of Previous: Entropy rates

Milan Palus
Mon Dec 16 09:47:50 EST 1996