FACULTY OF SCIENCE

SCHOOL OF MATHEMATICS AND STATISTICS

MATH3041
Mathematical Modelling for Real World Systems
Dr. Anna Cai
Dynamical Systems Modelling component

SESSION 1, 2015
CRICOS Provider No: 00098G
c
2015
School of Mathematics and Statistics, UNSW
These notes were prepared by the current and previous lecturers of MATH3041

Contents
1 Introduction to Modelling

2 From Real World Problems to Mathematical Models

2.1 Real World Data . . . . . . . . . . . . . . . . . . .
2.2 Scatterplots . . . . . . . . . . . . . . . . . . . . . .
2.3 Linearity . . . . . . . . . . . . . . . . . . . . . . . .
2.4 Ubiquitous Power Laws . . . . . . . . . . . . . . .
2.4.1 Self Similarity . . . . . . . . . . . . . . . . .
2.4.2 Allometry . . . . . . . . . . . . . . . . . . .
2.4.3 Self-Organized Criticality . . . . . . . . . .
2.5 Linear Correlation . . . . . . . . . . . . . . . . . .
2.6 Least Squares Linear Regression . . . . . . . . . .
2.7 Introductory Example Walking in the Rain . . . .
2.8 Example Dating Agency Matching . . . . . . . .
2.9 Example 2-faced coin . . . . . . . . . . . . . . .
2.10 References . . . . . . . . . . . . . . . . . . . . . .

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5 Dynamical Modelling with Two or More Species

5.1 Stability Analysis Continuous Dynamical Systems . . . . . . . . . . . . .
5.2 Stability Analysis Discrete Dynamical Systems . . . . . . . . . . . . . . .
5.3 Stability Analysis and Qualitative Dynamics . . . . . . . . . . . . . . . . . .

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6 Modelling Example Spread of Infectious Diseases

6.1 SIR Model Assumptions . . . . . . . . . . . . . . .
6.2 SIR Model Equations . . . . . . . . . . . . . . . . .
6.3 Analyzing an Epidemic . . . . . . . . . . . . . . . .
6.4 Estimating Model Parameters . . . . . . . . . . . .

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3 Introduction to Dynamical Modelling

3.1 Continuous dynamical system: - t R . . . . . . . . .
3.1.1 Linear system: . . . . . . . . . . . . . . . . . .
3.1.2 Phase space: . . . . . . . . . . . . . . . . . . .
3.1.3 Further Examples: . . . . . . . . . . . . . . . .
3.1.4 Special Solutions . . . . . . . . . . . . . . . . .
3.1.5 Infinite Dimensional Continuous Time Systems:
3.2 Discrete Dynamical System: - t = n : n Z or n N .
3.2.1 Orbits: . . . . . . . . . . . . . . . . . . . . . . .
3.2.2 Examples: . . . . . . . . . . . . . . . . . . . . .
3.2.3 Special Solutions . . . . . . . . . . . . . . . . .
4 Single Variable Modelling Examples
4.1 Home Loan Interest Rates . . . . . . . . . . . .
4.2 Resource Management . . . . . . . . . . . . .
4.2.1 Population dynamics without harvesting
4.2.2 Logistic Growth Model . . . . . . . . . .
4.2.3 Fitting Real World Population Data . . .
4.2.4 Population dynamics with harvesting . .

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6.5 SIR Model with Vaccination . . . . . . . . . . . . . . . . . . . . . . . . . . .

6.6 References: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

76
77

1 Introduction to Modelling
2 From Real World Problems to Mathematical Models
1. Clarify the question, set up the problem in mathematical terms
identify parameters, variables, constants
identify units of measurement
identify simplifying approximations, assumptions
identify the mathematical objective
2. Select the modelling strategy, solution procedure
optimization, single variable or multivariable, constrained or
unconstrained
dynamical system, differential equations, difference equations
stochastic system, probabilistic calculus, random variables
3. Formulate the model in standard mathematical form
simplify further if necessary
check that equations are dimensionally sensible
4. Solve the mathematical problem
algebraic solution
numerical solution
stability analysis, are the results stable against small disturbances
sensitivity analysis, how do the results vary with parameters
5. Answer the original problem in non-technical terms
interpretation
model critique

See the collection of modelling examples provided. Courtesy of Professor Bruce Henry.

2.1 Real World Data

Suppose that we have N paired sets of real world data

(xi, yi)

i = 1, 2 . . . N

Can we deduce a functional relationship between the y variables and

the x variables?

2.2 Scatterplots

y = axn

y = ax + b

linear

power

y = axn

ax bx2 + . . .

power

polynomial

y = aebx

y=

exponential

a
1+becx

logistic

We will discuss how to fit curves to data to extract the parameter

values in the labs. This will include how to obtain parameters of
5

differential equations.
2.3 Linearity

The simplest relationship between cause, x, and effect, y, is a linear

relationship:
y = ax + b
In many situations the relationship between variables is not linear but
it can be transformed into a linear relationship through a change of
variables so that
Y = aX + b
where Y = Y (y) and X = X(x).
Example Exponential Decay

y = Cex
Then
log y = log C x

Put Y = log y and X = x then Y = aX + b with a = and b = log C.

Newtons Law of Cooling is used by forensic scientists to estimate
the time of death.
dT
= K(T (t) Troom )
dt
T (t) Troom = (T (0) Troom )eKt
T (t) = T (0)eKt
log (T (t)) = log T (0) Kt
This is of the form
Y = aX + b
with
Y = log (T (t))
X = t
6

Example Power Laws

y = Cx
Then
log y = log C + log x
Put Y = log y and X = log x then Y = aX+b with a = and b = log C.
Power laws are common in nature and complex systems. Where do
they come from?
2.4 Ubiquitous Power Laws
2.4.1

Self Similarity

Many complex systems evolve and interact on scales spanning many

orders of magnitude in space and time and features on one scale are
often replicated on other scales. Consider a function y(x) on one
scale x that is made up of copies of itself on another scale x then
y(x) = y(x).
The above equation is a functional equation. Try a solution of the
form
y = axb
Then
axb = a (x)b
1
b =

log
.
b=
log
Hence the power law axb satisfies the functional equation for any a
provided that b is given by the above equation. The exponent b is
called the similarity dimension (it is an example of a fractal dimension and it may have a non-integer value).

Example Asteroid Impact Statistics

The number of asteroid impacts with Earth scales as a power law in
the size of the asteroid. Explicitly
n(R) aRb
gives the number of asteroid impacts per year with asteroid size
greater than R. For R measured in metres the numbers a and b
have been found by empirical observation to be
a = 3.89 1014
7
b =
3
Number of Impacts
1
1
1
20

mb /yr

Asteroid Size Exceeding

500m
50m
5m
1m

Over Time
100,000 yrs
464 yrs
2.2 yrs
1 yr

Example Tsunami Risk Statistics

Sydney has a 19% chance of one or more 2 metre tsunami events
triggered by asteroids every 1000 years. The relation between tsunami
size and probablity of event follows a power law.
Size
2m
5m 10m 15m 25m 50m
% Probability 19.44 4.68 1.50 0.66 0.28 0.08
There is a power law n(R) = CR relating the number of events per
unit time with size greater than or equal to R to the size R.
Example Network Connections
Many complex networks have power laws scaling in their numbers of
connections. For example if we regard each document in the WWW
8

as a vertex then the probability that a vertex is connected to k other

vertices is given by
P (k) k
2.45
The WWW has about a billion documents. P (k) is the fraction of
nodes having k connections to other nodes.
A Simple Model for Network Connections
1. Start with m0 vertices randomly connected.
2. At each time step add a new vertex with m m0 edges (connections to other vertices) randomly selected according to the
following weighting
ki
p(ki) = P .
ki
In the above ki is the number of connections that the ith vertex
has.
Power law result
P (k) k
2.9 0.1
This result holds independent of m.
2.4.2

Allometry

For warm blooded animals the following power law relations have
been observed
1

heartrate (body mass) 4

3

metabolic rate (body mass) 4

1

lifespan (body mass) 4

mass (kg)
mouse
.015
human
63
elephant 3000
whale
50000

heartrate (bpm)
624
72
37
17

Note that (heartratelifespan) is independent of (body mass) the

total number of heart beats is approximately a constant 1.5109 . The
power laws for warm blooded animals can be obtained from simple
allometric scaling arguments.
Suppose that the animal has a characteristic size or length scale L.
Then
V L3
S L2

volume
surface area

Assume all warm blooded animals have essentially the same density
= M/V . Then
M L3 mass.
The metabolic rate P is the rate at which a warm blooded animal
generates heat. We might suppose that this is balanced by the rate
at which animals lose heat, but they lose heat through their surface
2
so we suppose that P L2 or in terms of mass P M 3 . This is not
quite right but it is close. The empirical result is
3

P M4

The heart is a pump that delivers the energy (oxygen in the blood)
that is used in the metabolic process. If we assume that the energy
that can be delivered in the metabolic process by the heart in a single
beat is proportional to the size of the heart then
 
3
1
M M4
P
T
which gives the heart beat scaling
1
1
M4
T
Were dinsosuars warm blooded or cold blooded? It has been estimated that the lifetime of dinosaurs ranged from 75300 years.
10

2.4.3

Self-Organized Criticality

In 1993 two physicists, Per Bak and Kim Sneppen, introduced a simple mathematical model to simulate Darwinian evolution. Their model
starts with N random numbers (0, 1) associated with cells that are
spaced around a circle. Each random number represents the fitness
of a cell. Evolution then occurs by eliminating the least fit as follows:
Pick out the cell with the smallest fitness.
Replace the least fit cell and its two adjacent neighbours with
new cells with randomly chosen fitness.
Repeat.
Not surprisingly perhaps, the fitness of the least fit cell evolves over
time to be more fit. Note that at any step the least fit cell may have
fitness close to zero but if we plot the fitness of the least fit cell as
a function of time then there is an overall increase in fitness. One
way to see this is to plot the envelope of the data showing the least
fit versus time.
There are many interesting features in this model. The envelope saturates at a critical value f 0.667. The envelope function increases
in a stepwise manner and the density of the horizontal step widths is
given by a power law
n(t) t

with the exponent 1. The horizontal steps represent mass extinction events where there is an avalanche event. Just after a vertical
step in the envelope we will replace the cell at this threshold and its
causally linked neighbours and then the avalanche will continue until
all cells again have their fitness levels above that threshold level. The
power law behaviour indicates that small extinction events and large
extinction events are all triggered by this same sort of mechanism.
Note that the Bak-Sneppen model simulates elimination of the least
fit rather than survival of the most fit. The major advance of their
model was that it demonstrated that mass extinction events (avalanches)
are not inconsistent with Darwinian evolution but are a natural conseqeunce of it. There is no need to seek an explanation for the extinction of dinosaurs in terms of a meteor impact or some other external
event. To quote Bak, catastrophes can occur for no reason whatso11

0.8

0.6

0.4

0.2

0
0

50

100

150

200

Figure 1: Fitness level of the least fit species versus time in the Bak-Sneppen model

ever.
2.5 Linear Correlation

Given data points (xi, yi)

i = 1, 2, . . . N how can we determine if
they can be well approximated by a straight line? Well plot them of
course, but then if it looks close to linear how close is it?
Definition Mean
x =

N
X
yi
y =
N
i=1

N
X
xi
i=1

Definition Correlation Coefficient

P
(xi x)(yi y)
pP
r = pP i
2
(x

)
)2
i
i
i (yi y

Note that r = 1 is a perfect positive correlation, r = 1 is a perfect

negative correlation and r = 0 is no correlation. Check.
12

If yi = axi + b i then
1 X
1 X
1 X
yi = a
xi + b
N i
N i
N i

y = a
x+b
(
y yi ) = a(
x xi )
P
)2
i a(xi x
pP
r = pP
2
2
(x

)
)2
i
i
i a (xi x
= 1

2.6 Least Squares Linear Regression

Given data points (xi, yi) i = 1, 2, . . . N , how can we find the parameters a and b so that the straight line defined by Yi = axi + b is as
close as possible to yi ?

yi
Yi

1
0
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1
0
1

xi

The strategy is to introduce an error function that measures the separation between yi and Yi as a function of parameters a and b and
then find the optimal values of a and b to minimize the error function.
Definition Error Function
N
X
E =
(yi Yi)2

i=1
X
=
(yi axi b)2

Least Squares Best Fit Minimize Total Error

To find a, b that minimize E we require Ea E
a = 0 and Eb
13

E
b

= 0.

Thus we require
Ea =

2xi(yi axi b) = 0

Eb =

X
i

(yi axi b) = 0

b = y a
x
xy
xy
a = 2
x (
x)2
How good is the straight line fit?
Definition Standard Error
rP

Yi ) 2
rP N 2
2
i (yi axi b)
=
N 2

i (yi

(Only N 2 points are independent of the fitting procedure.)

2.7 Introductory Example Walking in the Rain

Problem
You are caught out in a steady downpour of rain as you go from one
lecture class to another and you dont have an umbrella. You want to
remain as dry as possible. Should you run as fast as you can or walk
as slow as you can or go at some intermediate pace?
Solution
1. Setup the problem in mathematical terms
Draw a relevant preliminary picture if possible - in this case a
stick figure starting at a point labelled A on a line extending to a
point labelled B and some rain drops above the line
Identify (possibly) relevant parameters and label them
velocity of a person vP [ms1 ] horizontal direction
14

d
h

vD

vP

Figure 2: Schematic sketch for setting up the walking in the rain problem

the velocity of a rain drop vD [ms1] vertical direction

the distance from A to B s [m]
how heavy is the rain? n [m3] drops per cubic metre
the surface area of a person AP [m2 ]
the number of drops a person encounters from A to B N

Identify simplifying assumptions and approximations

person maintains uniform speed from A to B
all drops of rain are falling in a vertical direction at the same
speed
approximate a persons shape by a rectangular prism - height
h [m] , width w [m] , depth (front to back) d [m]
Identify the mathematical problem
Calculate the number of drops that the person will encounter
from A to B as a function of the persons speed and find the
speed that will result in the smallest number of drops that the
person will encounter
15

2. Select the modelling strategy

This is a single variable optimization problem.
Minimize the total number of drops that will hit a person with respect to the speed of a person. The other parameters identified
should be treated as constants
3. Formulate the model in standard mathematical form
To calculate the number of drops that a person will encounter
from A to B, we first identify the catchment area

d tan

d
h

vP

vD

Figure 3: Schematic two-dimensional illustration showing relevant parameters for solving

the walking in the rain problem

Obviously any drop that is not above the line between A and B
is outside the catchment area in steady vertical rain. A more
refined figure helps for this problem. The figure shows a twodimensional cross-section in a plane parallel to the direction of
travel.
The two shaded parallelograms in this figure show the zones
from which rain drops starting at the time a person leaves A will
intercept a person on their way to B.
The larger parallelogram, with area A1, is the zone of origin for
16

drops that will hit a person on the front.

The smaller parallelogram, with area A2 , is the zone of origin for
drops that will hit a person on the head.
The new figure motivates the definition of another parameter
D|
defined by tan() = |v
|vP |
The total number of drops that will hit a person is the sum of the
number that will strike a person on the front and the number that
will strike them on the head
N = nwA1 + nwA2
= nw(sh) + nw(ds tan ())
|vD |
= nwsh + nwds
.
|vP |
4. Solve the mathematical problem
We could use calculus to find the minimum N as a function of
the single variable vP but in this case the answer is obvious, N
is clearly a minimum when vP is a maximum.
5. Answer the original problem
The person should walk (run) as quickly as possible in order to
remain as dry as possible. This is the simple answer but we can
say more. First note that if a person is wearing a broad brimmed
rain hat then the second term on the right is irrelevant and the
total number of drops to hit a person no longer depends on the
speed of a person. There were a number of assumptions and
approximations made in reaching the above conclusions. Comments should be made about all of them and where possible real
world numbers should be used as examples and to assist in sensitivity calculations. Example issues to follow up include: What
if the rain was non-vertical due to wind? What if we were to include the effects of splashing? What if a person started from
rest at A and stopped at rest at B? What if we approximated the
shape of a person by a sphere (head) on top of a cylinder (neck)
on top of a prism (torso)? etc? How reliable or important is our
assumption that all drops have the same speed?
17

Real world data and sensitivity

So far we have provided a qualitative answer but we can gain more
insight into our answer by considering real world numbers. This enables us to quantify the effect that our strategy, running versus walking has. Typical numbers are as follows:
s = 100
vP = 4
vP = 1.5
vD = 5
h = 1.8
w = .5
d = .25

metres
metres per second running
metres per second walking
metres per second
metres
metres
metres

Since we are only interested in the difference between walking and

running we can hold all other variables fixed and compute
vD
N
= h+d
nws
vP
= 2.63 walking
= 2.11 running

The difference between walking and running is about 20%.

The walking in the rain problem was tested by the television series
Mythbusters. In Episode 1 they found that you end up wetter runing
in the rain than walking. However they revisited this in Epsiode 38
and found when retrying the test in actual rain it was conclusively
proven that the running test subject got less wet than the walking
test subject. The use of artificial rain in the original test led to a false
negative.
2.8 Example Dating Agency Matching

Following on the subject of false negatives (hence also false positives) consider that Dating Agency Matching services could use least
18

squares fits to match up clients. The way this could work is that
clients would be asked to fill in questionaires and then assigned
scores for their responses. For example the scores might be numbers from 1 to 5 where 1 is to indicate strongly disagree and 5 is to
indicate strongly agree. To find the best match for a particular client
the scores for this client are compared with the scores of all other
clients in the pool. This comparison is made quantitative by computing the sum of the squares of the differences between scores. That
other client with the smallest sum of the squares of the differences to
the particular client is the best possible match.
Mathematical models have been applied to understand dynamics
of Marriage for divorce prediction. Nonlinear systems of difference
equations model the couples interaction in laboratory conditions, analyzing positive and negative turns in speech. You may want to have
a search on what the four horsemen of divorce are.
2.9 Example 2-faced coin

The smelting company Tinm is commissioned to produce a four seasons collection of 1 dollar coins. A total of 2 million dollar coins are
to be produced.
1. Collectors value coins according to their rarity. How many of
each season should the company produce to make each spring
faced coin (the rarest type) worth around 50k to collectors?
2. Some collectors obtained inside information to the companys
production and are set to buy the spring coins. Aware that production information is never completely secure, the artist-designer
made the faces of the rarest and the commonest coin appear
very similar. The rate of release of each coin is the same, though
each season would have different halting times. Coin values fluctuate according to how people bid for them over time in the collectors online auction. Would the design of the coins be effective
in making collectors with information bid to the true value of the
coins, or counterproductive, or has no effect?

19

2.10 References

Bak, P., and Sneppen, K., Punctuated equilibrium and criticality in a

simple model of evolution, Physical Review Letters, 24 (1993) 4083.
Burroughs, S.M., and Tebbers, S.F., Power-law scaling and probabilistic forecasts of Tsunami run-up heights. Pure & Appl. Geophys.
162 (2005) 331-342.
Enns, R.H., and McGuire, G., Computer Algebra Recipes: A gourmets
guide to the mathematical models of science (Springer, New York,
2001) Chapter 1.
Gottman, J.M., Murray, J.D., Swanson, C.C., Tyson, R., and Swanson, K.R., The mathematics of marriage (MIT, 2002)
Holden, J.J., Belcher, S.E., Horvath, A. and Pytharoulis, I., Raindrops
keep falling on my head Weather, 50 (1995) 367370.
Peterson, T.C., and Wallis, T.W.R., Running in the rain Weather, 52
(1997) 9396.

20

3 Introduction to Dynamical Modelling

The theory of dynamical systems began in 1642 2 with Galileo
(15641642) and Newton (1642-1727). The great advance of dynamics is that it provided a reliable means to predict the future, for
heavenly bodies, cannon balls and simple mechanical systems. The
most famous early prediction was for the return of Halleys Comet in
1758. Halley had noticed patterns in comet trail data for sightings
in 1456, 1531, 1607 and 1682 and he asked his colleague Newton
about it. He encouraged Newton to publish the Principia which set
out his ideas on gravity and motion. Halley then used Newtons formalism to investigate the effects of Jupiter and Saturn on a comet
orbiting the sun. These calculations convinced him that the comet
sightings of 1456, 1531 etc were the of the same comet and he made
predictions for the next return of the comet after 1682. It was to be a
test of the powers of Newtons method of scientific prediction which
was vindicated by the comets first return sighting on Newtons birthday in 1758. The return in 1986 was not spectacular. The next return
is expected in 2061.
Although dynamics was originally concerned with the motion of single
particles or assemblies of particles such as flight paths of projectiles,
periods of pendulums and orbits of heavenly bodies it is now concerned with all systems that change in the course of time. Modern
examples include weather patterns, stock market fluctuations, heart
fibrillations and the spread of epidemics.
Dynamical System: - A dynamical system is a mathematical model
for any system whose state changes in time t.
Deterministic Dynamical System: - A deterministic dynamical system is a dynamical system whose state for all times is uniquely prescribed by its state at a single time. In such a system both the past
and the future are determined by the present.
Chaotic Dynamical System: - A chaotic dynamical system is an unpredictable deterministic system.

21

The mathematical statement of determinism is through existenceuniqeness theorems for differential equations or difference equations
but in such systems the fact that future behaviours are determined by
present behaviours does not mean that the systems are predictable.
In order to be predictable the unique solution must exist as an algebraic formula. In many dynamical systems the solution does not
exist in such a form but it always exists as a unique trajectory in an
abstract mathematical space called phase space. Without a formula
we cannot trace out the path in phase space for arbitrary times. Instead we have to relie on computations. However in those systems
where the phase space trajectory does not have a compact algebraic
form the trajectory is highly sensitive on its initial state, so much so
that there is no reliable short cut to the future. This is what chaos is
all about.
Stochastic Dynamical System: - A stochastic dynamical system is
a dynamical system that is not deterministic. The evolution is driven
in part by an external noise. In some cases it is possible to model
these systems using a deterministic model for the the probability density function for the stochastic system to be in a particular state at a
particular time.
In this component of the course we consider deterministic models. In
general whenever we wish to model a real world system that changes
in time then dynamical modelling is a good place to start.
3.1 Continuous dynamical system: - t R

A continuous time dynamical system is a system of first order ordinary autonomous differential equations
dx
= f (x, )
dt

(x, t) Rn R1

x = (x1, x2, . . . xn )T
f = (f1, f2, . . . fn)T
= (1 , 2, . . . k )T
22

(1)
(2)
(3)
(4)

In the above; x represents the dependent variables, f represents a

dynamical rule and represents the control parameters. The system
is called autonomous because the functions f do not depend explicitly on time.
Notes:
1. There is no loss of generality in restricting our definition to
autonomous systems since any nonautonomous system in
Rn can be made autonomous in Rn+1 by setting xn+1 = t and
fn+1 x n+1 = 1.
2. The parameters can also be included as dynamical variables
by setting xn+j = j and fn+j x n+j = 0.
3. There is no loss of generality in restricting our definition to
first-order ordinary differential equations (ODEs) since any
ODE which is first degree in its highest order derivative can
be written as a first order system. Note however that not every first order system of ODEs can be written as a higher
order ODE.
Consider


dy d2 y
dn1y
dn y
= g y, , 2 , . . . n1 ,
dtn
dt dt
dt

y R1

(5)

Define
x1 = y
dy
x2 =
dt
d2 y
x3 =
dt2
..
.
dn1y
xn =
dtn1

23

(6)
(7)
(8)
(9)
(10)

Then

dt

x1
x2
..
.
xn

dy
dt
d2 y
dt2

= ..
.

dn y
dtn

x2
x3
..
.
g(x1, x2, . . . xn)

f1
f2

..
.
fn

(11)

(12)

(13)

Newtonian dynamical system

The position x(t) and velocity x(t)

of a single particle of mass m are

determined from the balance between the acceleration of the particle
x
(t) and the sum of the external net forces F;
m
x(t) = F.

(14)

Newtonian dynamical systems can equivalently be written in standard form, viz;

dx
= x
dt
dx
= F
dt
3.1.1

Linear system:

The dynamical system

dx
= f (x, )
dt
is linear if for any solutions x(1) (t) and x(2) (t))
f (x(1) (t) + x(2)(t)) = f (x(1) (t)) + f (x(2) (t))
24

(15)
(16)

for any , and all t. Note that the right hand side can be written as
d
(x(1) (t) + x(2) (t))
dt
so that if x(1) (t) and x(2) (t)) is a solution then so is
(x(1) (t) + x(2) (t)).
This is the principle of linear superposition which makes it possible
to construct general solutions. A linear dynamical system can equivalently be written in the form
dx
= Ax
dt
It is generally not possible to construct additional solutions from known
solutions in nonlinear systems.
3.1.2

Phase space:

Equation (1.1) describes the motion of a point in an abstract n-dimensional

space whose co-ordinate axes are the n dynamical variables. This
space which is also the set of all possible states of a dynamical system is called phase space or state space.
Example - Linear Pendulum
Newtons equation of motion is
x = x
dx
= x
dt
dx
= x
dt

(17)
(18)
(19)

Euclidean space: - The phase space is Euclidean E n if the distance

between any two points x(1) and x(2) is given by
" n
# 21
X (1)
(2)
(20)
d(x(1) , x(2) ) =
(xi xi )2
i=1

25

Vector field: - The function f in dx

dt = f (x, ) can be viewed as defining a vector f (x) at every point x in the phase space Rn .
Direction field: - The vector field at each point specifies the direction
that a solution to the equation must have at that point.
Solution curve, phase space trajectory: - This is an individual solution starting at an initial point x0 at time t0 . Geometrically the solution curve is a phase space trajectory in Rn whose velocity vector (or
tangent vector) at each point is given by f (x) evaluated at that point.
The solution is written x(t) with x(0) = x0 .
Phase Plane: In the special case where the phase space is twodimensional it is called the phase plane. The solution curve is then a
solution to the single ODE
f2(x1, x2)
dx2
=
.
dx1
f1(x1, x2)
A systematic way to construct a solution curve is to plot the direction
field and the isoclines.
Isoclines are lines through which trajectories have the same slope.
In the phase plane two isoclines that are straightfoward to plot are
the zero-isocline defined by
dx2
= 0 f2(x1, x2) = 0
dx1
and the infinity isocline defined by
dx2
f1(x1, x2) = 0.
dx1
Example Romeo and Juliet:
S.H. Strogatz, Love affairs and differential equations, Math. Magazine, 61 35. Consider two lovers Romeo and Juliet. Let R(t) denote
the love that Romeo feels for Juliet and J(t) the love that Juliet feels
for Romeo. Suppose that Romeo is a hopeless romantic and the
more Juliet loves him the more he loves her. Then we might model
26

this with

dR
= aJ
dt
where a is a positive constant.
Suppose that Juliet is a fickle lover so that the more Romeo loves her
the more she backs off but if Romeo backs off she comes on strong.
Then
dJ
= bR
dt
where b is a positive constant.
Let




R(t)
aJ
x=
and f (x) =
J(t)
bR

Consider phase space with co-ordinate axes R(t) (horizontal axis)

and J(t) (vertical axis). The vector field has a horizontal component
aJ and a vertical component bR. Consider a test point in the first
quadrant with R > 0 and J > 0. The vector field has a positive component in the horizontal direction aJ > 0 and a negative component
in the vertical direction bR < 0. By considering other test points we
arrive at the phase space plot shown in the case a = b:
Note that the horizontal axis defined by J = 0 is an infinity isocline
and the vertical axis defined by R = 0 is a zero isocline. The simple
vector field plot reveals that that Romeo and Juliet will be both in love
about one quarter of the time.
Conditions for Chaos:
Chaos is not a rare phenomenon in continuous time dynamical systems but it cannot occur in a linear continuous system or in a nonlinear continuous system with just one or two dynamical variables.

3.1.3

Further Examples:

1. Lorenz System: - autonomous continuous dynamical system.

x = (y x)
y = x y xz
z = z + xy
27

(21)
(22)
(23)

20

1.0
-20

0.5

Juliet JHtL

40

0.0
20

-0.5
0

-10

-1.0

-1.0

-0.5

0.0

0.5

1.0

10

Romeo RHtL

20

Figure 4: (a) Phase Space plot for Romeo and Juliet. (b) A trajectory of the Lorentz
equation

x = (x, y, z)T dependent variables

= (, , ) system parameters
This system is chaotic for some parameter values. It was introduced to model simple convective transport typical in weather
systems but it could also model a love triangle with three lovers.
I will leave it to you as an exercise to think about what the attributes of the three lovers would be in this case.
In[25]:=

= 10;
= 28;
= 8 3;
tend = 50;
lorentz = NDSolve@8x '@tD Hy@tD - x@tDL, y '@tD x@tD H - z@tDL - y@tD,
z '@tD x@tD y@tD - z@tD , x@0D 0.01, y@0D 1, z@0D 0.01<,
8x, y, z<, 8t, 0, tend<, MaxSteps InfinityD
ParametricPlot3D@Evaluate@8x@tD, y@tD, z@tD< . lorentzD,
8t, 0, tend<, PlotPoints 10 000D

Figure 5: Mathematica commands for the Lorentz system

2. Duffing Oscillator: - non-autonomous continuous dynamical system.

x + x + x + x3 = f cos t
28

Define x = (x, y, )T = (x, x,

t)T then:
x = y
y = (x + x3 + y) + f cos
=

(24)
(25)
(26)

x = (x, y, )T
dependent variables
= (, , f, ) system parameters
3. Logistic Equation:
x = x x2

4. Predator-Prey System
Direction field plots are straightforward but tedious to construct.
However there are many computer packages available for making such plots. The Mathematica function StreamPlot can be
used to plot direction fields. Here we consider the predator-prey
equations
dx
= x xy
dt
dy
= y + xy,
dt
where the parameters , , , are all 0.

tend = 200;
= 1;
= 1;
= 0.5;
= 1;
pp = NDSolve@8x '@tD x@tD - x@tD y@tD, y '@tD - y@tD + x@tD y@tD,
x@0D 0.5, y@0D 0.5<, 8x, y<, 8t, 0, tend<, MaxSteps InfinityD
ParametricPlot@Evaluate@8x@tD, y@tD< . ppD, 8t, 0, tend<D
Plot@Evaluate@8x@tD, y@tD< . ppD, 8t, 0, tend 5<, AxesOrigin 80, 0<,
AxesLabel 8"time HtL", "predator HredL, prey HblueL"<,
LabelStyle 8Directive@12D, Directive@12D<D
StreamPlot@8 x - x y, - y + x y<, 8x, 0, 1.5<,
8y, 0, 2<, StreamPoints 88880.5, 0.5<, Red<, Automatic<<,
FrameLabel 88"predator yHtL", ""<, 8"prey xHtL", ""<<,
LabelStyle 8Directive@12D, Directive@12D<D

Figure 6: Mathematica commands for the Predator-Prey system

3.1.4

Special Solutions

Fixed point, equilibrium point

29

2.0

predator yHtL

1.5

predator HredL, prey HblueL

1.0

1.5
0.5
1.0

0.5
0.0
10

20

30

40

0.0

time HtL

0.5

1.0

1.5

prey xHtL

Figure 7: Direction field plot and phase space trajectory for Predator-Prey system

A point x in the phase space that satisfies

dx
= 0
dt
f (x ) = 0

invariance under the flow

vanishing vector field

Periodic Solution:
A periodic solution satisfies
x (t) = x (t + T )

T >0

Qualitative Dynamics:
If an algebraic solution can be found for a dynamical system it can
then be used to accurately predict future behaviours. Often algebraic
solutions cannot be found. However a qualitative understanding of
the long term behaviour in the system can be inferred in many cases
by studying the behaviour of the system in the vicinity of its fixed
points and periodic orbits. We will return to this in later lectures when
we investigate the stability of fixed points and periodic solutions.
3.1.5

Infinite Dimensional Continuous Time Systems:

Systems of partial differential equations. A classic example is the

diffusion equation
2u
u
= D 2.
t
x
30

This an infinite dimensional dynamical system because at each instant in time we need to specify u(x, t) at all points in space (and
there are infinitely many on any interval of the real number line). We
could approximate u(x, t) by specifying it at a finite number of points
in space. Here we discretize space into segments of length x and
write u(x, t) = u(nx, t) = un(t). We can now write
u (x)2 2u
un+1(t) = u(nx + x, t) = un (t) + x
+
+ ...
x
2 x2
and
un1(t) = u(nx x, t) = u(nx, t) x

u (x)2 2u
+
+ ...
x
2 x2

so that after re-arranging

2
2u
=
(un+1(t) + un1(t) 2un(t)).
x2
(x)2
The diffusion equation is now approximated by the coupled system
of first order ODEs
2D
dun
=
(un+1(t) + un1(t) 2un(t))
dt
(x)2

n = 1, 2, . . . N.

For a solution on a finite space x [0, L] the approximation becomes

better as x becomes smaller and N becomes larger. Note that in
the limit x 0 we require N .
3.2 Discrete Dynamical System: - t = n : n Z or n N

Systems of first order ordinary autonomous difference equations

x(n + 1) = f (x(n), )
x
x
f

fn

=
=
=
=

(x, n) Rn Z 1

f (x, )
(x1, x2, . . . xr )T
(f1, f2, . . . fr )T
(1, 2 , . . . k )T
f f ...f
31

(27)
(28)
(29)
(30)
(31)
(32)

In the above; f n is called the nth composite of the map f . The system
is called autonomous because the functions f do not depend explicitly
on time, n.
Note:
1.
f 0 = Id
f m f n = f m+n

(33)
(34)

2. Any difference equation which is first degree in its highest order

can be written as a first order system.
Consider
y(n + r) = G (y(n), y(n + 1), . . . , y(n + r 1))

(35)
(36)

Define
x1(n) = y(n)
x2(n) = y(n + 1)
x3(n) = y(n + 2)
..
.
xr (n) = y(n + r 1)

32

(37)
(38)
(39)
(40)
(41)

Then

x1(n + 1)
x (n + 1)
2
..
.
xr (n + 1)

3.2.1

y(n + 1)
y(n + 2)

= ..

y(n + r)

x2(n)
x (n)
3
= ..
.
G(x1(n), x2(n), . . . xr (n))

f1
f
2
= ..
.
fr

(42)

(43)

(44)

Orbits:

Orbits (trajectories) of differential equations are curves whereas orbits of maps are discrete sets of points.
+(x) = {f n (x) : n 0} forward orbit
(x) = {f n (x) : n 0} backward orbit
[

(x) = (x) + (x) full orbit

3.2.2

(45)
(46)
(47)

Examples:

1. Henon Map: - autonomous discrete dynamical system.

xn+1 = x2n + yn
yn+1 = xn

(48)
(49)

x(n + 1) = (xn+1, yn+1)T dependent variables

= (, )
system parameters
2. Standard Map: - autonomous discrete dynamical system.
xn+1 = yn
yn+1 = xn + k sin yn
33

(50)
(51)

x(n + 1) = (xn+1, yn+1)T dependent variables

=k
system parameters
3. Numerical Solution of an ODE:
As an example consider the continuous time logistic growth model
x = x x2

(52)

xn+1 = x(nh + h)
= x(nh) + hx(nh)

+ O(h2)
xn + hx n

(53)
(54)
(55)

Define xn = x(nh) then

But
x n = xn x2n
and hence
1
(xn+1 xn )
h
1
(xn+1 xn )
h

x n
xn x2n

(56)
(57)

Rearranging we have
xn+1 g(xn, h)

(58)

g(xn , h) = xn + h(xn x2n)

(59)

where
The continuous time logistic growth model has an algebraic solution that can be expressed in closed form but the discrete logistic
model can have chaotic behaviour. The chaotic behaviour only
occurs is h is sufficently large and in going from the continuous
model to the discrete model we assume h is small.
4. Competing Species:
N1(n + 1) = N1(n) + r1 N1(n) k1 N1(n)N2(n)
N2(n + 1) = N2(n) + r2 N2(n) k2 N2(n)N1(n)
34

5. Orthogonal Polynomials:

Tn+1(x) 2xTn(x) + Tn1(x) = 0,

T0(x) = 1, T1(x) = x

(60)

To write this as a first order system define

z1 (n, x) = Tn1(x)
z2 (n, x) = Tn(x)
and then
z1 (n + 1, x) = Tn (x) = z2 (n, x)
z2 (n + 1, x) = Tn+1(x) = 2xTn(x) Tn1(x) = 2xz2(n, x) z1 (n, x)

3.2.3

Special Solutions

Fixed point, equilibrium point

A point x in the phase space of a map such that (x) = x .
Notes:
1. A fixed point of a map returns to itself after one iteration and is
also called a period-one orbit.
2. Clearly in a map (n) (x) = x n.
Periodic Solution:
A periodic point x of a map satisfies
(p) (x) = x
(k) (x) 6= x

if

1k p1

The orbit is the sequence

{x, (x), . . . , p1(x)}.
This is also known as a period-p cycle or a periodic orbit of period p.
35

4 Single Variable Modelling Examples

4.1 Home Loan Interest Rates

What savings can a borrower expect to make on a typical Sydney

Home loan with interest accruing monthly if they make fortnightly repayments at half the standard monthly rate?
Again we will work through this problem using the five step approach
that we used in the walking in the rain problem.
Clarify the question, set up the problem in mathematical terms
identify parameters, variables, constants
identify units of measurement
identify simplifying approximations, assumptions
identify the mathematical objective
In this problem most of the important variables and parameters are
obvious at the outset. Examples are:
A0
r
n
R

initial amount of the loan

annual interest rate (monthly rate is r/12)
term of the loan in months
fixed monthly repayment to repay the loan at time n

It helps to have some real world numbers in mind as a test case,

for example an initial loan for $300,000 over 25 years with interest
accruing monthly, at a rate of 7% per annum corresponds to A0 =
300000, n = 25 12 and r = 0.07.
The mathematical objective is to determine the total amount of money
paid on the loan with monthly repayments R and compare this with
the total amount paid on the loan with fortnightly repayments R/2.
The total amount of money paid with monthly repayments R is obviously T = Rn. But first we need to find R.
Select the modelling strategy, solution procedure
optimization, single variable or multivariable, constrained or unconstrained
dynamical system, differential equations, difference equations
36

 stochastic system, probabilistic calculus, random variables

In this problem time is involved and the problem is deterministic. Furthermore the amount owing changes from month to month at discrete
time intervals. We will attempt to formulate the problem as a discrete
dynamical system.
Formulate the model in standard mathematical form
simplify further if necessary
check that equations are dimensionally sensible
We wish to find an equation to relate the amount owing at the end of
the nth month to the amount owing at the end of the (n + 1)th month.
This is straightforward, what we owe at the end of the (n + 1)th month
is what we owed at the end of the previous month plus the (monthly)
interest on that amount minus the repayment, i.e.,
r
A(n + 1) = A(n) + A(n) R
12
This is a first order finite difference equation but we have two unknowns A(n) and R. However we also have the information expressed in the boundary conditions
A(0) = A0 = 300, 000
A(n) = 0
We can use one of these conditions to find A(n) as a function of R
and then we can use the second condition to find R and thus T =
Rn .
Solve the mathematical problem
algebraic solution
numerical solution
stability analysis, are the results stable against small disturbances
sensitivity analysis, how do the results vary with parameters
The difference equation is a first order nonhomogeneous problem.
Here we can find an algebraic solution. We first seek a solution to
the homogeneous part
r
A(n + 1) = (1 + )A(n).
12
37

As a trial solution we substitute A(n) = Cn into the equation. Then

r
) and hence the homogeneous solution is
= (1 + 12
r
A(n) = C(1 + )n
12
We now seek a particular solution. Consider a fixed point solution
A(n) = A
for the nonhomogeneous problem. This yields
12R
A =
r
and we have the general solution
12R
r
.
A(n) = C(1 + )n +
12
r
There are still two unknowns, C and R, but we can use the boundary
conditions to find them.
Consider the boundary condition
A(n) = 0
r 12R
C(1 + )n +
= 0
12
r
C =

12R
r n
r(1 + 12
)

We now have


r n
(1 + 12
)
12R
A(n) =
1
r n
r
(1 + 12
)
The final parameter R is found using the other boundary condition
A(0) = A0


1
12R
1
A0 =
r n
r
(1 + 12
)
A0 r
i
h
R =
1
12 1 (1+ r )n
12

This is a very useful formula relating the monthly repayment R required to repay an amount A0 over n months with annual interest
rate r. Let us display it nicely in a box
38

R=

A0 r
i
h
1
12 1 (1+ r )n
12

Using the test case real world numbers A0 = 300000, n = 25 12,

r = 0.07 we compute
R = 2120.34
and the total amount that we need to pay is
T = Rn = $636, 102
Now we consider fortnightly repayments. In a careful treatment we
should redo our calculations with the discrete time interval of one
day, with repayments every 14 days, and with interest paid every 30
days. But a reasonable approximation is to use our above monthly
formulation and replace R with a new effective monthly repayment

amount R.
If we make R/2 payments per fortnight then we make 26(R/2) such
payments in a year and so we are effectively repaying 26(R/2)/12
per month, i.e., our effective monthly repayment rate is
= 13R .
R
12
For the real world scenario this equates to an effective monthly re = 2297.03.
payment of R
The equation in the box that we derived above is valid for any R, A0, r, n
and hence we can write
=
R

A0 r
i
h
1
12 1 (1+ r )n
12

where n
is the new term of the loan. With a little bit of algebra we
= 13R , we have
can solve this equation for n
. Explicitly, after using R
12
A0 r
|
log |1 13R
n
=
r .
|
log |1 + 12

39

Using the test case real world numbers as a guide we find that n

246.7 months (more than four years less) and the total amount repaid
under this fortnightly repaying arrangement is
n = $566, 662
T = R
The difference between the two totals is the savings
n = $636, 102 $566, 662 = $69, 440
S = Rn R
In our test case we found of savings of almost 70, 000 but how sensitive is our answer to our test case numbers?
The plots below show the sensitivity of the results to variations in
interest rates r the term of the loan n, and the initial amount A0 .
Answer the original problem in non-technical terms
interpretation
model critique
There are different answers to this problem. First we can say that
on a typical Sydney Home Loan of $300,000 at 7% over 25 years
a borrower could save $69,440 by making fortnightly repayments at
half the monthly rate. We can also say that the savings to be made by
following this strategy increase linearly with the amount of the loan
but they increase faster than linearly with increasing interest rates
and with an increasing term of the loan.
In providing a real world answer we should also point out that the fortnightly repayment scheme is more expensive on a month to month
basis and for highly geared borrowers it simply may not be affordable
(theres an interesting paradox to ponder here poorer people pay
more for a given house than wealthier people).
Are you really $70,000 better off by paying more each month? What
if you invested the extra repayments elsewhere, rather than against
the mortgage?
Here are two more problems to ponder: (i) What savings could be
made in fortnightly versus monthly repayments on the home loan if
interest accrued fortnightly rather than monthly? (ii) You have the
option to pay your HECS fees up front or to defer payment until the
end of you program and then repay more. Suppose you could afford
40

60000
50000
40000
30000

A(0)=$200,000

20000
10000

0.02

0.04

0.06

0.08

0.1

70000
60000
50000
40000

r=7%
30000
20000
100000 200000 300000 400000 500000

A(0)

60000
50000
40000

A(0)=$200,000

30000
20000
10000
150

200

250

300

350

Figure 8: (a) Savings as a function of interest rates over 20 years. (b) Savings as a function
of initial loan amount over 20 years. (c) Savings as a function of loan term with 7% interest
per annum.

41

to pay up front. Should you do it or should you invest that money and
then pay the loading at the end of your program?

42

4.2 Resource Management

Government bodies responsible for managing renewable resources

such as fishing, forestry etc often seek compromises between biologically optimal solutions and economically optimal solutions. What
are biologically optimal populations and economically optimal populations for the fishing industry?
In the following we consider this problem in two parts: 1). Population
dynamics without harvesting. 2). Population dynamics with harvesting.

4.2.1

Population dynamics without harvesting

Let N (t) denote the population at time t then we define:

dN
= g(N )
the growth rate
dt
1
1 dN
=
g(N )
per capita growth rate
N dt
N
Definition Carrying Capacity
It is reasonable to assume that the population will be limited due to
finite resources and so we define N > 0 as the maximum possible
population. This is called the carrying capacity for the population.
We note the following
g(N ) > 0
g(N ) = 0
g(0) = 0

birth rate exceeds death rate

birth rate equals death rate
no births or deaths

Definition Biologically Optimal Population

The biological optimal population is Nb [0, N ] such that g(Nb) is a
maximum.
Note
growth rate is highest species is flourishing
population is highest species is undernourished.
How can we find the functional form of g(N )?

43

4.2.2

Logistic Growth Model

Suppose that in a given time interval a fixed percentage of the population is born and a fixed percentage dies then
N (t + t) = N (t) + bN (t)t cN (t)t
b percentage that is born per unit time
c percentage that dies per unit time
Rearranging gives
N (t + t) N (t)
= (b c)N (t)
t
dN
= kN

dt
We can readily solve this equation to find
N (t) = N (0)ekt
but this leads to unbounded growth and so g(N ) = kN is not a realistic model.
Linear Per Capita Growth
In the above equation k is the per capita growth rate (represented as
a % growth per unit time). If b and c are constants then k is constant.
Now consider a linear per capita growth rate
k = r(1

N
)
N

This equation represents the per capita growth rate for a population
whose growth rate declines linearly as N approaches the threshold
population level N . Note that k and r have the same units hence r
is the percentage growth per unit time
The resulting model equation for the population dynamics with linear
per capita growth is the Verhulst Equation (also called the logistic
equation)
N
1 dN
= r(1 )
N dt
N
44

Biologically Optimal Population

The optimal biological population in this model is the population at
which the growth rate is a maximum. The growth rate is given by
N2
dN
= r(N ) = g(N )
dt
N
The maximum is found using simple calculus,
dg
N
= r 2r
dN
N
and hence the maximum occurs at
g (N ) = 0
N = Nb =

N
2

Equilibrium Population
The equilibrium population is the population at which the growth is
zero. Clearly g(N ) = 0 and so N is the equilibrium population.
The figure below shows solutions of the logistic equation for different
initial conditions. Note the biologically optimal population at half the
equilibrium population.
Solution
Z

N0

dN
=
N (N N )

t0

r
r
dt
=
(t t0)
N
N

The integral on the left hand side is simplified using partial fractions.
1
1
1
=
+
N (N N ) N N N (N N )
After integrating we now have
N (N N0)
r
1
log
=
(t t0 )
N
N0(N N ) N
which can be rearranged as
N N0
N (t) =
N0 + (N N0) exp[r(t t0 )]
45

or

N
1
N (t)

N N0 r(tt0 )
=
e
N0

N*

t
Figure 9: Population growth for different initial conditions

4.2.3

Fitting Real World Population Data

Suppose that we have real world population data (tj , Nj ), j = 1..n

for the population Nj at times tj . Can this data be fit by a logistic
growth model and if so what is the best fit linear growth model?
First take logs of the solution of the logistic equation above to write




N
N N0
log
1 = log
r(t t0 )
N (t)
N0
We can thus write


a
1
log
Nj

= log b c (tj t0 )
46

where

a = N


N N0
b =
N0
c = r.

Thus we have the straight line relationship

Yj = log b cXj
where

and

a
1
Yj = log
Nj

Xj = (tj t0 ).

Thus if we knew the appropriate parameter value for a then we could

make a scatterplot of the transformed data points (Xj , Yj ) and then
obtain the parameters b and c from the straight line of best fit.
The problem with the above approach is that we do not know a at
the outset. However we could do the straight line fit and record the
correlation coefficient over a set of trial values for a and then choose
the one in which the correlation coefficient is closest to one. Recall
that a = N so we are guessing the carrying capacity. Fits to real
world data suggest N 14.5 billion so that our current population of
7 billion is near the biological optimum 7.25 billion.
4.2.4

Population dynamics with harvesting

We now consider sustainable harvesting in the population. Clearly

if the level of harvesting (or yield) is equal to the growth rate g(N )
then the population will remain at the level N . Thus this is a sustainable option. It is a good option for practical reasons too. A constant
yield would match a constant demand and would help a business to
efficiently manage resources.

47

Definition Economically Optimal Population

The economically optimal population is that which maximizes the
profit in a sustainable way. Here we consider a fishing industry and
for simplification we assume that all fish that are caught are sold.
Total Profit
A simple model for the total profit is
T P (N ) = y(N )(p(N ) c(N ))
y(N ) yield or size of the catch
this is the growth rate and is
thus a function of the population of fish
c(N ) harvesting cost per fish caught for sale
expressed as a function of the population of fish
p(N ) price per fish sold
expressed as a function of the population of fish

Assumptions

p(N ) constant = p

assumes customers are prepared

to pay a fixed amount
independent of the numbers

c(N ) decreases monotonically with N assumes that the larger the fish
population the less effort
and cost to catch a fish

48

Definition Minimum Commercial Population

This is the population NL defined by
c(NL ) = p
If c(NL) > p then harvesting is not viable.

c
0
0

N_L

Figure 10: Price per fish sold and cost per fish caught for sale versus fish population

Economically Optimal Population

Recall the total profit
T P (N ) = g(N )(p c(N ))
Thus the economically optimal population NP is defined by
T P (NP ) = 0
g (NP )(p c(NP )) g(NP )(c(NP )) = 0
We cannot find NP explicitly without having an explicit function for
c(N ) but we can still make qualitative comments.
How does NP compare with NB ?

49

First we note the following

c (N ) < 0

c(N )

p c(N ) > 0

is monotonically decreasing

for economic viability

g(N ) > 0

for a yield

If we now solve T (NP ) = 0 for g (NP ) we find

|g(N )||c (N )|
<0
g (NP ) =
|p c(N )|

g(N)

N_B

N*

Figure 11: Logistic Growth

Now consider the logistic growth model (see the figure above).
The following properties are evident

50

g (N ) > 0 if N < NB
g (N ) < 0 if N > NB
Given that the economically optimal population occurs for N in the
range g (N ) < 0 it follows that
NP > NB .
Note too that the yield at NP is less than the yield at NB , i.e.,
g(NP ) < g(NB )
Conclusions
1. The economically optimal population level is greater than the biologically optimal population level.
2. The fishing company makes more money by harvesting less fish
than the maximum sustainable harvest.
3. If the fishing company follows their optimal profit making strategy
then we the consumers will lose out because we are consuming
non-biologically optimal fish.
Is there room for government intervention, e.g., could the government
introduce a tax that would make the economically optimal population
and the biologically optimal population equal?

51

Taxation Policy
Let us reconsider the total profit under a certain tax policy that imposes a tax on the catch that varies as a function of the total fish
population, i.e.,
t(N )

tax per fish sold expressed as a function of the fish population.

Can we find a function t(N ) that will yield the result T P (NB ) = 0
given that g (NB ) = 0 and g(NB ) > 0 (i.e., conditions for a maximum
in the profit when N = NB )?
The total profit with tax included is given by
T P (N ) = g(N )(p c(N ) t(N ))
Hence
T P (N ) = g (N )(p c(N ) t(N )) g(N )(c (N ) + t (N ))
Thus for T P (NB ) = 0 we require
g (NB )(p c(NB ) t(NB )) g(NB )(c (NB ) + t (NB )) = 0
and hence (since g (NB ) = 0)
c (NB ) = t (NB )
Thus we require the rate of decrease in the cost per fish with inceasing fish stock at NB to be offset by the rate of increase in the tax per
fish with increasing fish stock at NB .

52

16

12

t(N)

c(N)
N_B

N*

Figure 12: Harvesting cost per fish c(N ) and tax cost per fish t(N )

This is obvious if we think that we are trying to ensure that the total
cost per fish to the fishing industry is a minimum at NB . The total
cost is
T C(N ) = c(N ) + t(N )
For a minimum at NB we require T C (NB ) = 0 and T C (NB ) > 0
One possibility is
c(N ) = c0 + eN
t(N ) = eN 1

53

5 Dynamical Modelling with Two or More Species

Stability Analysis
Most nonlinear dynamical systems do not have algebraic solutions.
On the other hand solutions do exist as trajectories in phase space.
The essential features of these trajectories can sometimes be inferred from the evolution of points in phase space in the vicinity of
easily computable fixed point solutions. The evolution of the points
near fixed points is the key concern of fixed point stability analysis. Stability of periodic solutions is also of interest but is beyond
the scope of this course.
Definition Stability
In general terms a fixed point is said to be stable if nearby points in
phase space remain nearby as the system evolves.

5.1 Stability Analysis Continuous Dynamical Systems

Consider

dx
x Rn
= f (x)
dt

Suppose that x is a fixed point solution. Do points that are initially

near x remain near or move away?
To answer this question we consider the evolution of a point that
starts near x. The location of this point can be represented by
y = x + x

Since y is a solution of the dynamical system we can write

dy
= f (y)
dt
dx dx
+
= f (x + x)

dt
dt
= f (x ) + f (x) x + (x2)
54

Since the fixed point x is itself a solution of the dynamical system

we can now write
dx
= f (x)x
dt
where

f1
x1

f2
x1

f (x ) =
..
.

fn
x1

f1
x2
f2
x2

...
...

f1
xn
f2
xn

..
.
fn
x2

...

fn
xn

|x=x

Before we consider the general case in Rn consider the one-dimensional

case. Here the stability equation is
dx
= f (x)x
dt
Note that x is a constant so we can write
Z
Z
dx
=
f (x)dt
x
log x log x0 = f (x)t

x = x0ef (x
We will re-write the final result as
x = x0et
where
= f (x)
We now have

55

)t

 x(t) as t if > 0
x(t) 0 as t if < 0
x(t) = const if = 0
Since x(t) is the distance from the fixed point of a point that is
initially nearby we find that solutions are attracted towards the fixed
point if < 0 but are repelled if > 0. Thus x is unstable if = 0,
asymptotically stable if < 0 and unstable if > 0.
How does this result generalize to the n-dimensional case?
In this case we have
dx
= Ax
dt
where the linear stability matrix A = f (x) is a constant matrix. Formally the solution can be written as
x(t) = etA x(0)
where
tA

n
X
t
k=0

n!

An .

If is an eigenvalue of A with eigenvector v then

Av = v
and
tA

e v =
=

n
X
t

n!

An v

k=0
n
X
k=0
t

t n
v
n!

= e v.

It follows that if A has distinct eigenvalues 1 , 2, . . . n with eigenvectors v (1) , v(2) , . . . , v (n) then
x = c1 e1 t v (1) + c2 e2 t v(2) + . . . cn en t v(n)
56

It follows that x(t) grows exponentially if there exists j with (j ) >

0, it decays to zero if all j have (j ) < 0 and it is oscillatory if all j
are purely imaginary.
Stability Theorem Continuous Time
Suppose that x is a fixed point of
dx
= f (x)
dt

x Rn , t R

i.e., f (x) = 0, and suppose that A = f (x) is the linear stability matrix
with eigenvalues 1 , 2, . . . n .
x is (asymptotically) stable if (j ) < 0 j
x is unstable if any (j ) is non-negative.
If any (j ) = 0 while all other eigenvalues have real part < 0
the stability of x is stable but not asymptotically stable.
Example Logistic Growth
dN
= r(N N N 2 ) = f (N )
dt
Fixed points are
i) N = 0
ii) N = N
Stability matrix
f (N ) = rN 2rN

f (0) = rN > 0
f (N ) = rN < 0

N = 0 is an unstable fixed point

N = N

Example Predator-Prey Model

57

is a stable fixed point

dx
= x xy
dt

prey

dy
= y + xy
dt
Define
x=
Then

predator

x
y


 

dx
x1 x1 x2
f1(x1, x2)
=
=
x2 + x1x2
f2(x1, x2)
dt
The fixed points are found by solving
x1 x1 x2 = 0
x2 + x1x2 = 0
There are two solutions as follows
(x1, x2) = (0, 0)
The stability matrix is given by

f1
x1

A=

i) (x1, x2) = (0, 0)

f2
x1

f1
x2
f2
x2

(x1, x2) = (1, 1)

1 x2 x1

A=

x2

0 1

1 + x1

This has an eigenvalue with a positive real component so this fixed

point is unstable.
ii) (x1, x2) = (1, 1)
58

A=

0 1
1

Both eigenvalues are purely imaginary so this fixed point is stable

5.2 Stability Analysis Discrete Dynamical Systems

Stability Theorem Discrete Time

Suppose that x is a fixed point of
x(k + 1) = f (x(k)) x Rn , k N
i.e., x = f (x ), and suppose that A = f (x ) is the linear stability
matrix with eigenvalues 1 , 2 , . . . n .
x is (asymptotically) stable if |j | < 1 j
x is unstable if any |j | > 1
If any |j | = 1 while all other eigenvalues have magnitude less
than 1 then x is stable but not asymptotically stable.
Example Competing Species
Find the fixed point solutions and determine their stability in the following simple model describing populations of two competing species
after n time periods
N1(n + 1) = N1(n) + r1N1(n) k1 N1(n)N2(n)
N2(n + 1) = N2(n) + r2N2(n) k2 N2(n)N1(n)
5.3 Stability Analysis and Qualitative Dynamics

In the above we considered the linear stability of fixed points. We now

describe, using the Predator-Prey model as an illustrative example,
how this linear stability analysis can be combined with the method of
isoclines and direction arrows to provide a qualitative description of
a nonlinear dynamical system. A key consideration in this is whether
or not the linear analysis still holds in the nonlinear system.

59

Predator-Prey Model
dx
= ax bxy = f1 (x, y) prey
dt
dy
= cy + d xy = f2 (x, y) predator
dt
a, b, c, d > 0 and x, y > 0.
Fixed Points and Stability
The fixed points are found by solving the simultaneous equations
f1(x, y) = 0, f2(x, y) = 0.
This yields
c a
(ii) (x, y ) = ( , )
d b

(i) (x, y ) = (0, 0)

The stability matrix is given by

f1
x

A=

(i) (x, y ) = (0, 0)

f2
x

f1
y
f2
y

A=

a by bx
d y

a 0
0 c

c + d x

Eigenvalues are 1 = a, 2 = c. One of the eigenvalues has a

positive real component so this fixed point is linearly unstable. This
fixed point is described as a hyperbolic fixed point because the phase
space trajectories of the linear stability system in the vicinity of this
fixed point are hyperbolas.
Recall that the linear stability equations were found by linearizing
the nonlinear system around a fixed point via the substitution x =
x + x, y = y + y and the linear equations describe the evolution
of x and y. In this example near the fixed point (x, y ) = (0, 0)

60

we have the linear equations

dx
= ax
dt
dy
= cy.
dt
These equations are decoupled with solutions
x(t) = x(0)eat
y(t) = y(0)ect
It is a simple matter to obtain y as a function of x by eliminating
time. The result
y = Kxc/a,
where K s a constant, is the equation for a hyperbola. Different values of K result in different hyperbola.
A fundamental result in dynamics is the The Grobman-Hartman Theorem which essentially states that if the linear stability trajectories
around a fixed point are hyperbola then in the nonlinear system the
trajectories will also be qualitatively similar near the fixed point.
(ii) (x, y ) = (c/d, a/b)

0
bc/d

A=
da/b 0

Eigenvalues are 1 , 2 = aci. This fixed point is described as an

elliptic fixed point because the phase space trajectories of the linear
stability system in the vicinity of this fixed point are ellipses. Near the
fixed point (x, y ) == (c/d, a/b) we have the linear equations
bc
dx
= y
dt
d
da
dy
=
x.
dt
b
The phase space trajectories are then solutions of
  
da
d x
dy
=
.
dx
b
bc y
61

This separable equation has the solution

c2 b 2 d2a 2
y +
x = K
2
2
where K is a constant. This solution is the equation for an ellipse
with different concentric ellipses for different K.
In the nonlinear system the trajectories may be qualitatively similar
near the fixed point but the Grobman-Hartman Theorem does not
apply to elliptic fixed points. However it can be shown that in this example the trajectories in the nonlinear system are indeed qualitatively
similar to ellipses.
Isoclines
The phase space equation for the nonlinear predator-prey system is
(c + dx)y
dy
=
.
dx
(a by)x
The zero-isoclines are defined by
dy
= 0 y = 0 or
dx

x=

c
d

The infinity-isoclines are defined by

a
dy
x = 0 or y =
dx
b
Direction Arrows
Direction arrows can be found by evaluating the vector field at any
point in phase space. On the zero-isoclines the direction is either
increasing x or descreasing x. From the equation
dx
= (a by)x
dt
we have

dx
a
dx
a
>0y<
and
<0y>
dt
b
dt
b
On the infinity-isoclines the direction is either increasing y or descreasing y. From the equation
dy
= (ca + dx)y
dt
62

we have

c
dy
c
dy
>0x>
and
<0x<
dt
d
dt
d
Qualitative Phase Space Portrait
We can now combine the fixed points, linear stability trajectories, isoclines and direction arrows on one diagram to provide a qualitative
phase space portrait.
Suppose that we have lots of predators and lots of prey. What do
we expect to happen over time? From the phase space portrait we
expect prey numbers to initially decrease (as they are consumed by
predators) and the predator number decrease (as their food supply
is diminished) but the prey number increase (as there are few predators) and then prey numbers increase (as their food supply is abundant) and so on.
y

a/b

c/d

Figure 13: Qualitative Phase Space Portrait for the Predator Prey Model

Average Populations
Given the periodic behaviour in the phase space trajectory we can
compute the average populations as follows:
Z
1 t0 +
x =
x(t) dt
t0
where is the period of the cycle. To evaluate the above integral we
63

consider the evolution equation

dy
= cy + dxy
dt
and solve for x to write
Z
1 t0 + 1 1 dy c
+
x =
t0
d y dt d


 y(t0 + )  c
11
+
=
log 
d
y(t0 )  d

But y(t0 + ) = y(t0 ) so that the above simplifies to

c
x = = x.
d
Similarly it can be shown that
y =

a
= y.
b

The average populations are equal to the non-zero fixed point populations.
Harvesting in the Predator-Prey Model
If we assume that harvesting has the same relative impact on prey
as it has on predators then in the presence of harvesting the model
equations become
dx
= ax bxy ky
dt
dy
= cy + dxy ky
dt
The fixed points are now given by
(i) (x, y ) = (0, 0)

(ii) (x, y ) = (

c+k ak
,
).
d
b

The average populations in the presence of harvesting are thus

x =

c
c+k
>
d
d

and

y =

ak
a
< .
b
b

Thus the use of harvesting will lead to an increase in the average

numbers of prey but a decrease in the average numbers of predators.
64

6 Modelling Example Spread of Infectious Diseases

The possible spread of an infectious disease has major health and
security implications. The risk is arguably greater now than at any
time in the past due to increasing globalization, bioterrorism, urbanization, and new medical and agricultural practices. Since 2002 the
US has committed more than $3 billion annually to prevent, detect
and treat bioterrorism and possible pandemics. Global infectious disease out breaks are monitored by the World Health Organization and
The Australian Government keeps records of the incidence levels for
infectious diseases in Australia: http://www.health.gov.au/pubhlth
Under what conditions will an epidemic occur? How much of the
population will be affected? How useful is quarantine and/or vaccine?
The classic mathematical model for modelling the outbreak of an infectious disease is the SIR Model developed by Kermack & McKendrick.

6.1 SIR Model Assumptions

Assume that the population can be represented by three groups:

S(t) susceptibles
# of individuals who are susceptible;
not infected and not vaccinated or immune
I(t)

infecteds
# of individuals who have the disease
and who can transmit it

R(t) removeds
# of individuals who are no longer
susceptible or infected
may have recovered, acquired immunity, died

65

Population Densities

s(t) =

S(t)
N

susceptible fraction

i(t) =

I(t)
N

infected fraction

r(t) =

R(t)
N

removed fraction

Note
Some references work with population numbers (S, I, R) and others
work with population densities (s, i, r).
Constant Population Assumption
N (t) = S(t) + I(t) + R(t)

Further Model Assumptions

1. N (t) = const, i.e., no births; and deaths are included in R
2. diseases are transmitted instantaneously
3. homogeneous groups all susceptibles and infecteds are equally
so
4. homogeneous mixing the different groups are mixed homogeneously throughout the community
6.2 SIR Model Equations

Here we consider the equations for the times rates of change of s, i, r.

66

ds
dt

Suppose that each infected person has contacts per day that
would transmit the disease if the contacts were with susceptible
people.
In a homogeneously mixed population the fraction of such contacts with susecptibles is s(t). This is the fraction of the contacts
that will transmit the disease.
Thus on average each infected individual creates s(t) new infected per day.
dS
= s(t)I(t)
dt
1 dS
s(t)

=
I(t)
N dt
N
ds
= s(t)i(t)

dt
Note that I is the total number of contacts being made each day
that would spread disease if the contacts were with susceptible
people.
dr
dt

Suppose that on average a person is infected with the disease

for days. After this time they either acquire immunity or die.
Thus on average each infected person is removed in days or
= 1/ infected people are removed each day.
dR
= I(t)
dt
dr
= i(t)

dt
di
dt

Once we have the equations for s(t) and r(t) we can use our

67

constant population assumption to find i(t).

S(t) + I(t) + R(t) = N
s(t) + i(t) + r(t) = 1
ds di dr
+ +
= 0

dt dt dt

di
= s(t)i(t) i(t)
dt

SIR Model
ds
= s(t)i(t)
dt
dr
= i(t)
dt
di
dt

= s(t)i(t) i(t)

Note
Only two variables (s, r) or (r, i) or (s, i) are required for phase space
analysis the third variable is determined by the other two. For example consider the (s, i) phase space.
di
si i
=
.
ds
si
zero-isocline: s =
infinity-isocline: s = 0
All phase space trajectories must lie below the line i + s = 1 and
di
= 0) on the
s is always decreasing. Note that i is a maximum ( ds
zero-isocline provided it is in the region i + s < 1.
68

Disease Progression
The diseases progression is S I R .
initially the number of infecteds increases and the number of susceptible decreases
as the disease progresses the number of infecteds will grow
more slowly as some are removed (death, recovery with immunity) and the number of removeds will increase
eventually all infecteds will be removed and the numbers of susceptibles and removeds will plateau to levels representing the
numbers not infected and the numbers infected respectively, during the course of the disease.
This qualitative behaviour is shown schematically in the figure below.
Four questions emerge:
Under what conditions will an epidemic occur?
How many people will have been infected in total?
What will be the peak number infected at any given time?
How long will the disease last?

69

1
s(t)

r(t)

i(t)

20

40

60

80

100

Time in Days

Figure 14: Typical disease progression in the SIR model

6.3 Analyzing an Epidemic

Under what conditions will an epidemic occur? Consider the SIR

model with initial conditions
i(0) ' 0
s(0) / 1
r(0) = 0
The condition for an epidemic to occur is di/dt > 0 at t = 0
di
= si i > 0
dt

s
s >

For an outbreak we require the initial number of susceptibles to be

70

greater than this threshold level

s(0) > s
s(0) >

< s(0) < 1

< 1

Contact Number

This is the total number of contacts that each individual has on average that can transmit the disease over the lifetime of the disease in
that individual. The Contact Number is also called the Reproduction
Number for the disease. It can equally be thought of as the number
of secondary infections produced by one primary infection in a wholly
susceptible population.
C > 1 is the condition of an epidemic. The larger the value of C
the more contagious the disease but not necessarily the worse the
outcome.
C

Disease
Influenza A
AIDS
Small Pox
Measles

Malaria

C
23
25
35
1618
>100

In the case of malaria the disease is not transmitted directly by air

borne particles from human to human (as in the case of influenza)
but is transmitted through the intermediary of a mosquito (that travels
much further and can spread to many more people than air borne
particles through sneezing hence the high contact number.)
71

What fraction of the population will not become infected?

Here we want to try to estimate s(), the final number that remain
susceptible at the end of the epidemic (i.e., where i() = 0).
Recall
ds
= si
dt
dr
= i
dt
ds

= s
dr

ds
= Cs
dr
Z r()
Z s()
ds
=
Cdr
s
r(0)
s(0)
s()
log
= C(r() r(0))
s(0)

Recall that r = 1 s i so that

r() r(0) = (1 s() i()) (1 s(0) i(0))
(1 s()) (1 s(0))
= s(0) s()
We now have
C=
which we re-arrange to

s(0)
log s()

s0 s()

s() eC eCs() = f (s())

This equation has a solution in terms of a LambertW function (ProductLog[] on Mathematica). LambertW is the inverse function of
z = W eW . Hence W =LambertW(z).
After multiplying by C we can obtain
C
1
s() LambertW( C ).
C
e
72

1
f(s(inf))

C=1

C=2

C=4

1
s(inf)

Figure 15: The intersection of the two lines shows s() for different C values.

We can also solve the equation graphically (or numerically).

From the figure we see that s() (the number unaffected) decreases
with increasing C. In fact the decrease is very nearly exponential as
can be seen in the plot below which shows log(s() versus C.
What is the peak level of infection in the community?
Here we wish to find the maximum value of i at any given time.
Recall
di
= si i
dt
ds
= si
dt

1 Cs
di
=
ds
Cs

C=

We can now find the value of s = s where i is a maxmimum via

di
1
di
=0
= 0 s =
dt
ds
C
73

log(s(inf))
-2

-4

-6

-8

-10
0

10

C
Figure 16: Logarithm of s() versus C.

We now integrate
1 Cs
di
=
ds
Cs
to find i as a function of s
Z i(t)

di =

i(0)

i(t) + s(t)

s(t)
s(0)

ds

Cs

s(t)

ds

s(0)

1
1
log s(t) = i(0) + s(0) log s(0) = const
C
C

Now substitute s(0) = 1, i(0) 0, i(t) = imax , s(t) =

imax 1

1
C

then

1
1
1
+ log
C C
C

In the figure below imax is plotted as a function of C showing that imax

increases with C.
6.4 Estimating Model Parameters

To begin with we fix the units for time, e.g., days.

74

0.8
i(max)
0.6

0.4

0.2

12

16

20

C
Figure 17: The peak infection level as a function of the contact number

Estimating
We can estimate if we know the average lifetime for a particular
disease in an individual since
1
=

Estimating
We can estimate after the disease has run its course by eliminating
C in the following

C =

s() = eC eCs()
This yields
=
If s(0) 6= 1 then

Example

log s()
(s() 1)

s(0)
log s()

s(0) s()

75

An analysis of the recent SARS outbreak from February to May 2003

indicated that the contact number for this virus was C 3 before
extreme control measures were applied. For example in Hong Kong
affected individuals were quarantined and schools and universities
were closed. Due to these measures the SARS virus affected 1755
individuals in Hong Kong, resulting in 299 deaths. Given that the
population of Hong Kong is 7.3 million how many people might have
died if the control measures were not taken?
Assuming the validity of the SIR model we have
C
1
s() LambertW( C )
C
e
= 0.0595
Thus about 94% of the population (1 .0595 = .94) would have been
affected and with a death rate of about 17% this would have resulted
in about one million deaths.
6.5 SIR Model with Vaccination

In order to investigate vaccination we need to include births in our

model. Here we introduce the per capita birth rate m and m dt is the
probability that any given individual produces an offspring in the time
dt. In a similar fashion we introduce the per capita death rate d with
d dt the probability that any given individual dies in time dt so that 1/d
is the life expectancy.
The analysis is simplified if we assume that m = d. The governing
equations with vaccination are now given by
dS
= s(t)I(t) + (1 v)m N mS(t)
dt
dI
= s(t)I(t) I(t) mI(t)
dt
dR
= I(t) mR(t) + vm N.
dt
In the first of these equations teh number of susceptibes is increased
by m N per unit time due to births but it is assumed that a proportion
76

v of these are immediately vaccinated and hence removed. After

dividing by N we obtain
ds
= s(t)i(t) + (1 v)m ms(t)
dt
di
= s(t)i(t) i(t) mi(t)
dt
dr
= i(t) mr(t) + vm.
dt
In these equations, m is the per capita birth rate, 1/m is the life expectancy, v is the vaccination rate, is the contact rate and 1/
is the mean infectious period of the disease. Assuming the population rem ains at a constant size (r(t) includes deaths) we have
s(t) + i(t) + r(t) = 1. What level of vaccination is needed to eliminate
the disease?
To answer this question note that the dynamical system defined by
s(t) and i(t) has two equilibrium solutions. In one equilibrium solution
i(t) = 0 and in the other i(t) = i(t) 6= 0. Linear stability analysis can
be carried out for each of the equilibrium solutions. The disease free
equilibrium can be shown to be stable if
v >1

m+
1

Example
In the case of measles, m = 0, = 1800, = 100. Thus we require
v = .94, i.e., 94% of the population.
The above model assumes constant vaccination. Is this the best
strategy?
6.6 References:

1. N. F. Britton, Essential Mathematical Biology, Springer (2003).

2. Kermack & McKendrick, Proc. Roy. Soc., A115 (1927) 700721;
Proc. Roy. Soc., A138 (1932) 5583; Proc. Roy. Soc., A141
(1933) 94122.
77

3. J. Brower & P Chalk, The Global Threat of New and Re-emerging

Infectious Diseases: Reconciling US National Security and Public
Health Policy, (RAND, 2003, ISBN: 0-8330-3293-3 ).
4. B. Shulgin, L. Stone and Z Agur, Pulse vaccination strategy in
the SIR epidemic model, Bull. Math. Biol. 60 (1998) 126.

78