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| In [[mathematic]]s the '''Lyapunov exponent''' or '''Lyapunov characteristic exponent''' of a [[dynamical system]] is a quantity that characterizes the rate of separation of infinitesimally close [[trajectory|trajectories]]. Quantitatively, two trajectories in [[phase space]] with initial separation <math>\delta \mathbf{Z}_0</math> diverge (provided that the divergence can be treated within the linearized approximation) at a rate given by
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| :<math> | \delta\mathbf{Z}(t) | \approx e^{\lambda t} | \delta \mathbf{Z}_0 | \, </math>
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| where <math>\lambda</math> is the Lyapunov exponent.
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| The rate of separation can be different for different orientations of initial separation vector. Thus, there is a '''spectrum of Lyapunov exponents'''— equal in number to the dimensionality of the phase space. It is common to refer to the largest one as the '''Maximal Lyapunov exponent''' (MLE), because it determines a notion of [[predictability]] for a dynamical system. A positive MLE is usually taken as an indication that the system is [[chaos theory|chaotic]] (provided some other conditions are met, e.g., phase space compactness). Note that an arbitrary initial separation vector will typically contain some component in the direction associated with the MLE, and because of the exponential growth rate, the effect of the other exponents will be obliterated over time.
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| The exponent is named after [[Aleksandr Lyapunov]].
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| ==Definition of the maximal Lyapunov exponent==
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| The maximal Lyapunov exponent can be defined as follows:
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| :<math> \lambda = \lim_{t \to \infty} \lim_{\delta \mathbf{Z}_0 \to 0}
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| \frac{1}{t} \ln\frac{| \delta\mathbf{Z}(t)|}{|\delta \mathbf{Z}_0|}.</math>
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| The limit <math>\delta \mathbf{Z}_0 \to 0</math> ensures the validity of the linear approximation
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| at any time.<ref name=cencini>{{Cite journal |first=M. |last=Cencini et al. |title=Chaos From Simple models to complex systems |editor=World Scientific|year=2010
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| |isbn=981-4277-65-7 |id= }}</ref>
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| For discrete time system (maps or fixed point iterations) <math> x_{n+1} = f(x_n) </math> ,
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| for an orbit starting with <math>x_0</math> this translates into:
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| :<math>
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| \lambda (x_0) = \lim_{n \to \infty} \frac{1}{n} \sum_{i=0}^{n-1} \ln | f'(x_i)|
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| </math>
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| ==Definition of the Lyapunov spectrum==
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| For a dynamical system with evolution equation <math>f ^ t</math> in an ''n''–dimensional phase space, the spectrum of Lyapunov exponents
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| : <math> \{ \lambda_1, \lambda_2, \ldots , \lambda_n \} \,, </math>
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| in general, depends on the starting point <math>x_0</math>. (However, we will usually be interested in the [[attractor]] (or attractors) of a dynamical system, and there will normally be one set of exponents associated with each attractor. The choice of starting point may determine which attractor the system ends up on, if there is more than one. Note: Hamiltonian systems do not have attractors, so this particular discussion does not apply to them.) The Lyapunov exponents describe the behavior of vectors in the tangent space of the phase space and are defined from the [[Jacobian matrix]]
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| : <math> J^t(x_0) = \left. \frac{ d f^t(x) }{dx} \right|_{x_0}. </math>
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| The <math>J^t</math> matrix describes how a small change at the point <math>x_0</math> propagates to the final point <math>f^t(x_0)</math>. The limit
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| : <math> \lim_{t \rightarrow \infty} (J^t \cdot \mathrm{Transpose}(J^t) )^{1/2t} </math>
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| defines a matrix <math>L(x_0)</math> (the conditions for the existence of the limit are given by the [[Oseledec theorem]]). If <math> \Lambda_i(x_0) </math> are the eigenvalues of <math>L(x_0)</math>, then the Lyapunov exponents <math>\lambda_i</math> are defined by
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| : <math> \lambda_i(x_0) = \log \Lambda_i(x_0).\,</math>
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| The set of Lyapunov exponents will be the same for almost all starting points of an [[Dynamical system#Ergodic systems|ergodic]] component of the dynamical system.
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| ==Lyapunov exponent for time-varying linearization==
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| To introduce Lyapunov exponent let us consider a fundamental matrix
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| <math> X(t)</math>
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| (e.g., for linearization along stationary solution <math>x_0</math> in continuous system the fundamental matrix is
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| <math> \exp\left( \left. \frac{ d f^t(x) }{dx} \right|_{x_0} t\right) </math>),
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| consisting of the linear-independent solutions of the first approximation system.
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| The singular values
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| <math>\{\alpha_j\big(X(t)\big)\}_{1}^{n}</math>
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| of the matrix <math>X(t)</math> are the square roots of the eigenvalues of the matrix <math>X(t)^*X(t)</math>.
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| The largest Lyapunov exponent <math>\lambda_{max}</math> is as follows
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| <ref>{{cite book|last=Temam|first=R.|title=Infinite Dimensional Dynamical Systems in Mechanics and Physics|publisher=Cambridge: Springer-Verlag|year=1988}}</ref>
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| :<math>
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| \lambda_{max}= \max\limits_{j}\limsup _{t \rightarrow \infty}\frac{1}{t}\ln\alpha_j\big(X(t)\big).
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| </math>
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| [[Aleksandr Lyapunov|A.M. Lyapunov]] proved that if the system of the first approximation is regular (e.g., all systems with constant and periodic coefficients are regular) and its largest Lyapunov exponent is negative, then the solution of the original system is [[Lyapunov stability|asymptotically Lyapunov stable]].
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| Later, it was stated by O. Perron that the requirement of regularity of the first approximation is substantial.
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| ===Perron effects of largest Lyapunov exponent sign inversion===
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| In 1930 O. Perron constructed an example of the second-order system, the first approximation of which has negative Lyapunov exponents along a zero solution of the original system but, at the same time, this zero solution of original nonlinear system is Lyapunov unstable. Furthermore, in a certain neighborhood of this zero solution almost all solutions of original system have positive Lyapunov exponents. Also it is possible to construct reverse example when first approximation has positive Lyapunov exponents along a zero solution of the original system but, at the same time, this zero solution of original nonlinear system
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| is Lyapunov stable.<ref name = 2005-IEEE-Discrete-system-stability-Lyapunov-exponent>{{cite journal
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| | author = N.V. Kuznetsov, G.A. Leonov
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| | year = 2005
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| | title = On stability by the first approximation for discrete systems
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| | journal = 2005 International Conference on Physics and Control, PhysCon 2005
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| | volume = Proceedings Volume 2005
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| | pages = 596–599
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| | url = http://www.math.spbu.ru/user/nk/PDF/2005-IEEE-Discrete-system-stability-Lyapunov-exponent.pdf
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| | doi = 10.1109/PHYCON.2005.1514053
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| }}
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| </ref><ref name = 2007-IJBC-Lyapunov-exponent>{{cite journal
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| | author = G.A. Leonov, N.V. Kuznetsov
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| | year = 2007
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| | title = Time-Varying Linearization and the Perron effects
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| | journal = International Journal of Bifurcation and Chaos
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| | volume = 17
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| | issue = 4
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| | pages = 1079–1107
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| | url = http://www.math.spbu.ru/user/nk/PDF/2007_IJBC_Lyapunov_exponent_Linearization_Chaos_Perron_effects.pdf
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| | doi = 10.1142/S0218127407017732
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| | bibcode= 2007IJBC...17.1079L}}
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| </ref>
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| The effect of sign inversion of Lyapunov exponents of solutions of the original system and the system of first approximation with the same initial data was subsequently
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| called the Perron effect.<ref name = 2005-IEEE-Discrete-system-stability-Lyapunov-exponent /><ref name = 2007-IJBC-Lyapunov-exponent />
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| Perron's counterexample shows that negative largest Lyapunov exponent does not, in general, indicate stability, and that
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| positive largest Lyapunov exponent does not, in general, indicate chaos.
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| Therefore, time-varying linearization requires additional justification.<ref name = 2007-IJBC-Lyapunov-exponent />
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| ==Basic properties==
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| If the system is conservative (i.e. there is no [[dissipation]]), a volume element of the phase space will stay the same along a trajectory. Thus the sum of all Lyapunov exponents must be zero. If the system is dissipative, the sum of Lyapunov exponents is negative.
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| If the system is a flow and the trajectory does not converge to a single point, one exponent is always zero—the Lyapunov exponent corresponding to the eigenvalue of <math>L</math> with an eigenvector in the direction of the flow.
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| ==Significance of the Lyapunov spectrum==
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| The Lyapunov spectrum can be used to give an estimate of the rate of entropy production
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| and of the [[fractal dimension]] of the considered [[dynamical system]]. In particular from the knowledge
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| of the Lyapunov spectrum it is possible to obtain the so-called Kaplan–Yorke dimension <math> D_{KY} </math>, which is defined as follows:
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| : <math> D_{KY}= k + \sum_{i=1}^k \frac{\lambda_i}{|\lambda_{k+1}|}, </math>
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| where <math> k </math> is the maximum integer such that the sum of the <math> k </math> largest exponents is still non-negative. <math> D_{KY} </math> represents an upper bound for the [[information dimension]] of the system.<ref name=ky>{{Cite book |first=J. |last=Kaplan |lastauthoramp=yes |first2=J. |last2=Yorke |chapter=Chaotic behavior of multidimensional difference equations |editor1-last=Peitgen |editor1-first=H. O. |editor2-last=Walther |editor2-first=H. O. |title=Functional Differential Equations and Approximation of Fixed Points |publisher=Springer |location=New York |year=1979 |isbn=3-540-09518-7 }}</ref> Moreover, the sum of all the positive Lyapunov exponents gives an estimate of the [[Kolmogorov–Sinai entropy]] accordingly to Pesin's theorem.<ref name=pesin>{{Cite journal |first=Y. B. |last=Pesin |title=Characteristic Lyapunov Exponents and Smooth Ergodic Theory |journal=Russian Math. Surveys |volume=32 |year=1977 |issue=4 |pages=55–114 |doi= 10.1070/RM1977v032n04ABEH001639|id= |bibcode = 1977RuMaS..32...55P }}</ref>
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| The [[multiplicative inverse]] of the largest Lyapunov exponent is sometimes referred in literature as [[Lyapunov time]], and defines the characteristic ''e''-folding time. For chaotic orbits, the Lyapunov time will be finite, whereas for regular orbits it will be infinite.
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| ==Numerical calculation==
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| Generally the calculation of Lyapunov exponents, as defined above, cannot be carried out analytically, and in most cases one must resort to numerical techniques. An early example, which also constituted the first demonstration of the exponential divergence of chaotic trajectories, was carried out by [[Richard H. Miller|R. H. Miller]] in 1964.<ref>{{Cite journal |doi=10.1086/147911 |first=R. H. |last=Miller |title=Irreversibility in Small Stellar Dynamical Systems |journal=The Astrophysical Journal |volume=140 |pages=250 |year=1964 |bibcode=1964ApJ...140..250M }}</ref> Currently, the most commonly used numerical procedure estimates the <math>L</math> matrix based on averaging several finite time approximations of the limit defining <math>L</math>.
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| One of the most used and effective numerical techniques to calculate the Lyapunov spectrum for a smooth dynamical system relies on periodic
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| [[Gram–Schmidt]] orthonormalization of the [[Lyapunov vector]]s to avoid a misalignment of all the vectors along the direction of maximal expansion.<ref name=benettin>{{cite doi|10.1007/BF02128236}}</ref><ref>{{cite doi|10.1007/BF02128237}}</ref><ref name=shimada>{{cite doi|10.1143/PTP.61.1605}}</ref>
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| For the calculation of Lyapunov exponents from limited experimental data, various methods have been proposed. However, there are many difficulties with applying these methods and such problems should be approached with care.
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| ==Local Lyapunov exponent==
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| Whereas the (global) Lyapunov exponent gives a measure for the total predictability of a system, it is sometimes interesting to estimate the local predictability around a point ''x''<sub>0</sub> in phase space. This may be done through the [[eigenvalues]] of the [[Jacobian matrix and determinant|Jacobian]] matrix ''J'' <sup>0</sup>(''x''<sub>0</sub>). These eigenvalues are also called local Lyapunov exponents. (A word of caution: unlike the global exponents, these local exponents are not invariant under a nonlinear change of coordinates.)
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| ==Conditional Lyapunov exponent==
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| This term is normally used in regards to the [[synchronization of chaos]], in which there are two systems that are coupled, usually in a unidirectional manner so that there is a drive (or master) system and a response (or slave) system. The conditional exponents are those of the response system with the drive system treated as simply the source of a (chaotic) drive signal. Synchronization occurs when all of the conditional exponents are negative.<ref>See, e.g., {{cite doi|10.1063/1.166278}}</ref>
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| ==See also==
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| *[[Aleksandr Lyapunov]]
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| *[[Oseledec theorem]]
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| *[[Liouville's theorem (Hamiltonian)]]
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| *[[Floquet theory]]
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| *[[Recurrence quantification analysis]]
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| *[[Chaotic mixing#Lyapunov exponents]] for an alternative derivation.
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| ==References==
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| {{Reflist}}
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| == Further reading ==
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| * Cvitanović P., Artuso R., Mainieri R., Tanner G. and Vattay G.[http://www.chaosbook.org/ Chaos: Classical and Quantum] Niels Bohr Institute, Copenhagen 2005 – ''textbook about chaos available under [[Free Documentation License]]''
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| * {{cite journal
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| | author = Freddy Christiansen and Hans Henrik Rugh
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| | year = 1997
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| | title = Computing Lyapunov spectra with continuous Gram–Schmidt orthonormalization
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| | journal = Nonlinearity
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| | volume = 10
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| | issue = 5
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| | pages = 1063–1072
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| | url = http://www.mpipks-dresden.mpg.de/eprint/freddy/9702017/9702017.ps
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| | doi = 10.1088/0951-7715/10/5/004
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| |bibcode = 1997Nonli..10.1063C }}
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| * {{cite journal
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| | author = Salman Habib and Robert D. Ryne
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| | year = 1995
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| | title = Symplectic Calculation of Lyapunov Exponents
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| | journal = Physical Review Letters
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| | volume = 74
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| | issue = 1
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| | pages = 70–73
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| | arxiv = chao-dyn/9406010
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| | doi = 10.1103/PhysRevLett.74.70
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| | pmid=10057701
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| | bibcode=1995PhRvL..74...70H}}
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| * {{cite journal
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| | author = Govindan Rangarajan, Salman Habib, and Robert D. Ryne
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| | year = 1998
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| | title = Lyapunov Exponents without Rescaling and Reorthogonalization
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| | journal = Physical Review Letters
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| | volume = 80
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| | issue = 17
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| | pages = 3747–3750
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| | arxiv = chao-dyn/9803017
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| | doi = 10.1103/PhysRevLett.80.3747
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| | bibcode=1998PhRvL..80.3747R}}
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| * {{cite journal
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| | author = X. Zeng, R. Eykholt, and R. A. Pielke
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| | year = 1991
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| | title = Estimating the Lyapunov-exponent spectrum from short time series of low precision
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| | journal = Physical Review Letters
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| | volume = 66
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| | pages = 3229–3232
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| | url = http://link.aps.org/abstract/PRL/v66/p3229
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|
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| | doi = 10.1103/PhysRevLett.66.3229
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| | pmid = 10043734
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| | issue = 25
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| | bibcode=1991PhRvL..66.3229Z
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| }}
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| * {{cite journal
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| | author = E Aurell, G Boffetta, A Crisanti, G Paladin and A Vulpiani
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| | year = 1997
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| | title = Predictability in the large: an extension of the concept of Lyapunov exponent
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| | volume = 30
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| | issue = 1
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| | pages = 1–26
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| | url = http://www.iop.org/EJ/abstract/0305-4470/30/1/003
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| | journal = J. Phys. A: Math. Gen.
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| | doi = 10.1088/0305-4470/30/1/003
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| |bibcode = 1997JPhA...30....1A }}
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| * {{cite journal
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| | author = F Ginelli, P Poggi, A Turchi, H Chaté, R Livi, A Politi
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| | year = 2007
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| | title = Characterizing Dynamics with Covariant Lyapunov Vectors
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| | volume = 99
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| | pages = 130601
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| | url = http://www.fi.isc.cnr.it/users/antonio.politi/Reprints/145.pdf
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| | journal = Physical Review Letters
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| | doi = 10.1103/PhysRevLett.99.130601
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| | pmid = 17930570
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| | issue = 13
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| | format =
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| | bibcode=2007PhRvL..99m0601G|arxiv = 0706.0510 }} {{dead link|date=June 2010}}
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| ==Software==
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| * [http://www.mpipks-dresden.mpg.de/~tisean/Tisean_3.0.1/index.html] R. Hegger, H. Kantz, and T. Schreiber, Nonlinear Time Series Analysis, [[Tisean|TISEAN]] 3.0.1 (March 2007).
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| * [http://www.Scientio.com/Products/ChaosKit] Scientio's ChaosKit product calculates Lyapunov exponents amongst other Chaotic measures. Access is provided online via a web service and Silverlight demo .
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| * [ftp://ftp2.sco.com/pub/skunkware/src/x11/misc/mathrec-1.1c.tar.gz] Dr. Ronald Joe Record's mathematical recreations software laboratory includes an X11 graphical client, lyap, for graphically exploring the Lyapunov exponents of a forced logistic map and other maps of the unit interval. The [ftp://ftp2.sco.com/pub/skunkware/src/x11/misc/mathrec-1.1c/ReadMe.html contents and manual pages] of the mathrec software laboratory are also available.
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| * [http://inls.ucsd.edu/~pbryant/] On this web page is software called LyapOde, which includes source code written in "C" for calculation of Lyapunov exponents when the differential equations are known. It can also calculate the conditional Lyapunov exponents for coupled identical systems. The software can be compiled for running on Windows, Mac, or Linux/Unix systems. It includes the equations for several systems (Lorenz, Rossler, etc.) and documentation on how to create and compile software for additional systems of the user's choice. The software runs in a text window and has no graphics capabilities, but it is efficient and has no inherent limitations on the number of variables etc. It uses the QR decomposition method of Eckmann and Ruelle (Reviews of Modern Physics, Vol. 57, No. 3, Part1, (1985), 617).
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| ==External links==
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| *[http://www.math.spbu.ru/user/nk/PDF/Lyapunov_exponent.pdf Perron effects of Lyapunov exponent sign inversions]
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| [[Category:Dynamical systems]]
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