Lorenz has stumbled upon chaos, an

iconoclast to the belief that approximations

would only lead to subtle, negligible differences
of the systems solution. At that instant, he
realized that long-term weather forecast was
out the window, yet a new curiosity about the
systems orderly disorder had arisen [2].
Despite attempts to keep the dream alive, not
even the best supercomputers of the time were
capable of accurately predicting meteorological
conditions beyond a period of a few days.
The aperiodicity, unpredictability,
sensitive dependence on the initial conditions,
and a system with no steady state inspired
Lorenz to focus on a simplified model to
explain the chaotic behavior. He modeled the
hydrodynamic process of convection in heated
fluid, which is coined today as the Lorenz
equations. However, even this elegant system
of equations displayed the certain strangeness
that was witnessed in his computer printouts.
Upon plotting the simulated outputs, a complex
bounded swirling orbit was observed. It
traced a strange, distinctive shape, a kind of
double spiral in three dimensions, like a
butterfly with its two wings. The shaped
signaled pure disorder, since no point or
pattern of points ever reoccurred. Yet it also
signaled a new kind of order [2]. The
trajectory lied on some sort of a strange
attractor.
Just as there were skeptics in the time
of Aristotle and his empirical claim of the
spherical shape of the Earth, Lorenz faced a
similar criticism. To disprove the nonbelievers,
he pulled together a chaotic waterwheel as the
upmost rebuttal corroborating his claim and
spreading the seed of a new branch in
mathematics, chaos.
The problem that led to formulation of
these equations comes from fluid dynamics and
meteorology. Edward Lorenz was trying to
figure out a mathematical representation of
chaotic behavior of weather. His 1963
publication entitled, Deterministic Nonperiodic
Flow coined the phrase Butterfly Effect. The
title of his 1972 talk at a meeting of the AAAS

Figure 2: The Lorenz attractor displaying the

strange chaotic behavior of the system governing a
convective flow of a heated fluid.

(American Association for the Advancement of

Science) was Predictability: Does the Flap of a
Butterfly's Wings in Brazil set off a Tornado in
Texas? [3] which clearly captures the essence
of what the butterfly effect is i.e. small
perturbations in a chaotic system (such as the
weather) can cause quite large deviations from
what the short-range predictions might
suggest. In other words, the sensitivity to initial
conditions is called the butterfly effect. The
Lorenz attractor became the symbol of chaos
theory, just as Mandelbrot set became the
symbol of fractal geometry. Since Mandelbrots
work was published in 1960s as well, it was
later discovered that the Lorenz attractor, is in
fact, a fractal.
3. The Original Problem
Everything starts with the desire to forecast
weather for longer periods. It is hard to give a
long-term weather forecast because the
atmosphere is a chaotic system. A lot of work
has been put into knowing the weather in
advance, as it is of the utmost importance to
military, transportation industry, and other
such groups. [5] The problem that lead to the
discovery of this system of equations was of
thermal convection in a layer heated from
above (the Bnard problem). Lorenz assumed
stress-free boundaries for the system. He
2|Page

defined his streamfunction by assuming

nonlinear disturbances in form of rolls
invariant in the y direction. For the convective
hydrodynamical problem, is Prandtl number,
is the ratio of Rayleighs number and the
value at which system bifurcates, and
).
(
Rayleighs number
measures how hard we're driving the system,
relative to the dissipation. More precisely, the
ratio expresses a competition between g and q,
(gravity and inflow). So it makes sense that
steady rotation is possible only if the Rayleigh
number is large enough. Lorenz obtained the
system by defining streamfunction in xz-plane.

,
and
with
( )
and
( )
( )
.
is the
departure of temperature from the state of no
convection, and k is the wavenumber of
perturbation. The original Lorenz system is
obtained by substituting the above equations in
the equations of motion. By doing this, he was
able to demonstrate that the development of
chaos is associated with the attractor acquiring
strange properties. [4]
4. The Strangeness
The trajectories in the phase plane in
the Lorenz model of thermal convection are
shown on page 2. The centers of the two loops
represent the two steady convections
)
(
.
The
trajectories go clockwise around the left loop
and counterclockwise around the right loop;
the two trajectories never intersect. This
structure is an attractor because orbits starting
with initial conditions outside of the attractor
merge on it and then follow it. The attraction is

a result of dissipation in the system. The

aperiodic attractor, however, is unlike the
normal attractor in the form of a fixed point or
a closed curve. This is because the two
trajectories on the aperiodic attractor, with
infinitesimally different initial conditions,
follow each other closely only for a while,
eventually diverging to very different final
states. This is the basic reason for sensitivity to
initial conditions.
For these reasons the
aperiodic attract is called a strange attractor.
An ordinary attractor forgets slightly
different initial conditions, whereas the strange
attractor ultimately accentuates them. Since
Lorenzs work, attractors of other chaotic
systems have been studied and they all have
common property of aperiodicity, continuous
spectra, and sensitivity to initial conditions.
5. References
[1]
Boyce W.E. and DiPrima R.C.,
Elementary
Differential
Equations
and
Boundary Value Problems, Danvers: John Wiley
& Sons, Inc., 2009.
[2]
Gleick J., Chaos: Making a New Science,
New York: Penguin Books, 2008.
[3]
Hilborn, R.C. Chaos and Nonlinear
Dynamics. (Oxford Uni-versity Press, 1994.
Print.
[4]
Pijush, Kundu. Fluid Mechanics. 4th ed.
London: Academic press, 2008. 528-523. Print.
[5]
Lorenz, Edward N., 1963: Deterministic
Nonperiodic Flow. J. Atmos. Sci., 20, 130141.

3|Page

PART II CRITICAL POINTS AND STABILITY ANALYSIS

The Lorenz Equations are:

For the values given,

For this project

Proof that above point is globally stable for

:

There are three critical points for the above

system.
(

. (

) (

. (
Note that

and

The Liapunov function for the Lorenz

equations can be constructed through trial and
error. Typically, the sum of squares is the
initial starting point. Let the Liapunov function
V be formulated as below:

/
)

only exist for

)
(

In order to perform linear stability analysis for

each of the critical points, one must linearize
the system around these points.

{(

) ]

( )
Above implies global stability.

(
|

)
Using the following transformation:

|
(

)((

)(

)
(
(
)

Produces the following equations:

)
4|Page

At the critical point, all of the eigenvalues can

be easily computed.

)
(
(

)(
)(
(

)
(

)(
)
(

Now to determine the stability of the points

for this critical point, plugging in

|
(

),(

)(
, (
(

values into the analytical cubic root formulas

for
and
gives the
following eigenvalues:

Eigenvalues exist as purely real values

or come in pairs of either purely imaginary or
complex conjugates. A bifurcation of solutions
occurs when the eigenvalues cross into the
right half of complex plane. That is when * +
changes sign. Thus, by looking for eigenvalues
of the form
, where
is real, the
bifurcation point can be found.
(

)
(

,
(
(

(
)
)(

(
)

) -

(
(

)
(

5|Page

PART III GLOBALLY STABLE

6|Page

PART IV GLOBALLY STABLE

7|Page

8|Page

PART V PLOTS

9|Page

10 | P a g e

PART VI PLOTS

Poincar map

11 | P a g e

PART VIII PLOTS

12 | P a g e

PART VII PLOTS

13 | P a g e

14 | P a g e

ADDITIONAL PLOT FOR PART IV

15 | P a g e

PART VIII PROBLEM 5

Consider the Ellipsoid:
(

a. Calculate
Equations.

Then, the first sphere is contained in S2. Thus,

(
) and
if we choose c, s.t.

along trajectories of Lorenz

crosses (

) , then
)

as the trajectory
.

c.
, (

)-

(
(

)(

))

b. Determine a sufficient condition on c so that

)
every trajectory crossing (
is
directed inward.
From part a, we get:

(
)
, which
) lies outside the ellipsoid

, if
holds if (
(

We need to choose c, s.t. V = c lies outside the

ellipsoid defined above. Writing V = c in the
form of above equation, we obtain the
ellipsoid:
(

Let
(
), then the ellipsoid in
the first equation is contained inside the
sphere:
(

Let another sphere, S2, be centered at (

with radius
:
(
(

)
16 | P a g e

DISCUSSION
PART III
For r<1, we see that for any set of
initial conditions, the solution decays to zero
for large times. The result is expected since a
Liapunov function can be constructed for the
governing system implying global stability.
PART IV
For 1 < r < 470/19, there are two
stable critical points. Thus depending on the
prescribed initial conditions, the system settles
down to a steady state at one of the two points.
Note that the equilibrium state at the origin is
unstable, thus none of the solutions converge
to this point.
PART V
r=28 corresponds to a state where all
critical points are unstable. Thus, the
trajectories never settle down to a steady state.
Also, since there exists a trapping region as
derived in part 8, the solution never goes off to
infinity either. The solution lies on a strange
attractor. For the critical point at the origin, the
trajectories never get too close, however it
seems to define the boundary where certain
incoming paths become deflected from one one
wing of the attractor to the other. As for the
other two critical points, the solution winds
about the two point in an elliptical-like fashion.
As for the number of windings before it is flung
onto the other wing is completely random.
Also, no one point intersects another, yet come
arbitrarily close to one another.
PART VI POINCAR MAP
A Poincar map is a way of taking a
section out of dynamical system in order to
watch the behavior of the system in one less
dimension. For example, we use the Poincar
map to study the behavior of the 3D Lorenz
map in a 2D plane. The most usual aspect of
studying a Poincar map is to watch what the
mapped points are doing as time goes on. If the
points seem to be converging to a point, there
may be a fixed point. If they appear divergent,
that very well may be the case for the entire

system. And if they are neither, then there is

some form of cycle.
Every time the system passes through
the plane z = 27 in our example, a point is
plotted on a 2D surface. We can then take a
look at what these points are doing and where
they seem to be going. The first thing to notice
is that the points do not seem to be diverging
from each other, nor converging to any point,
so we will take a look at the possibilities.
There are sets known as a non-wandering sets
of which there are four types: fixed points, limit
cycles, quasiperiodic cycles, and chaotic orbits.
Non-wandering simply means that all systems
with different initial conditions will come
arbitrarily close to one another at times,
basically meaning they are not divergent
systems.
Looking at our plot we can rule out all
but a chaotic orbit. There is no single point it is
converging to (fixed point); it is not following
any one orbit (limit cycle); and there is not an
orbit with a couple distinct periods or
frequencies (quasiperiodic cycles).
It is
however, orbiting in a way and definitely stay
within some form of an orbit even though that
orbit is unpredictable. Therefore, the Poincar
map here shows a chaotic orbit, which we can
then take and use to say that the system as a
whole follows a chaotic orbit.
This process of using a Poincar map is
applicable to an n-dimensional system, and its
use is then taking that system and studying in
in (n-1)-dimensions, which simplifies the
problem. It is extremely rare to be able to
calculate a formula for the Poincar map, but
by running a numerical algorithm, such as the
one used in this report, it is possible to plot a
very good estimation of the map.
PART VII
Chaos is aperiodic long-term behavior
in a deterministic system that exhibits sensitive
dependence on initial conditions. (Strogatz,
P.323) The motion on the attractor exhibits
17 | P a g e

sensitive dependence on initial conditions just

like other chaotic systems. This means that two
trajectories initially separated by a very small
distance will rapidly diverge from each other
with time. In order to study this behavior, we
solved the Lorenz Equations for two nearby
points as initial conditions. Our first initial
condition is a point x(t) = (x0 , y0, z0) from the
trajectory at time t = 60s and another is a
nearby point x(t) + (t) = (x0 + 0, y0 + 0, z0
+ 0) separated by the distance 0 = 10-5. (t)
grows with time, which means the distance
gets bigger as t
. From our plots, we
observed that the neighboring trajectories
separate exponentially; that is, the distance
grows exponentially with time. Initially, the
two trajectories seem coincident, as indicated
by the small difference between two points, but
after certain time period the difference gets

larger and then they are no longer coincident. If

we plot log((t)) vs t, we find a curve that
shows the exponential divergence. We observe
wiggles instead of straight lines because the
strength of the exponential divergence varies
along the attractor. The two trajectories cannot
be separated by a distance greater than the
length of the attractor. Since the trajectories
are bound to a finite domain of the attractor,
and cannot escape to infinity, the distance
between the two points can no longer grow.
For larger time, as the motion continues, the
distance between the trajectories varies
(decreases and increases) and creates some
noise because of the attractor.

18 | P a g e

APPENDIX: CODES
THIS FIRST SECTION SHOWS THE CODE FOR CALCULATIONS DONE FOR ALL THE PLOTS ON PAGES 6 TO 11 AND THE CODE USED TO
PRODUCE THOSE PLOTS.
%This code uses RungeKutta method of 4th order in a vector form.
tic
clear
clc
r = ;
h = ;
t=0:h:tf;

%tic-toc used for benchmarking purposes to calculate execution time.

%Appropriate value for r, depending on the problem.
%Declare step size. For the project, h = 0.00001
%Create the variable vector. Value tf depending on problem.

%initial conditions, chosen for each problem.

x0 = ;
y0 = ;
z0 = ;
Y = zeros(3,length(t))';
Y(1,1) = x0;
Y(1,2) = y0;
Y(1,3) = z0;
for i=1:length(t)-1
k1 = [-10*Y(i,1)+10*Y(i,2),r*Y(i,1)-Y(i,2)-Y(i,1)*Y(i,3),
(8/3)*Y(i,3)];
k2 = [-10*Y(i,1)+10*Y(i,2),r*Y(i,1)-Y(i,2)-Y(i,1)*Y(i,3),
+ 0.5*h.*k1;
k3 = [-10*Y(i,1)+10*Y(i,2),r*Y(i,1)-Y(i,2)-Y(i,1)*Y(i,3),
+ 0.5*h.*k2;
k4 = [-10*Y(i,1)+10*Y(i,2),r*Y(i,1)-Y(i,2)-Y(i,1)*Y(i,3),
+ 0.5*h.*k3;
Y(i+1,:) = Y(i,:)+(1/6).*h.*(k1 + 2.*k2 + 2.*k3 + k4);
end
toc

Y(i,1)*Y(i,2)Y(i,1)*Y(i,2)-(8/3)*Y(i,3)]
Y(i,1)*Y(i,2)-(8/3)*Y(i,3)]
Y(i,1)*Y(i,2)-(8/3)*Y(i,3)]

%Produce a plot for x(t) vs. t, y(t) vs. t, z(t) vs. t

figure1 = figure;
axes1 = axes('Parent',figure1,'FontSize',16,'Position',[0.025 0.0868 0.956875 0.855]);
box(axes1,'on');
hold(axes1,'all');
plot(t,Y(:,1),'linewidth',2)
hold on
plot(t,Y(:,2),'r','linewidth',2)
plot(t,Y(:,3),'black','linewidth',2)
xlabel('time','fontsize',16)
title(['r = ',num2str(r),' Initial Conditions: x_0 = ',num2str(x0),', y_0 =
',num2str(y0),', z_0 = ',num2str(z0)],'fontsize',16)
legend('x(t)','y(t)','z(t)')
grid on
hold off
%Produce a plot for phase plane x(t) vs. y(t)
figure2 = figure;
axes1 = axes('Parent',figure1,'FontSize',16,'Position',[0.025 0.0868 0.956875 0.855]);
box(axes1,'on');
hold(axes1,'all');
plot(Y(:,1),Y(:,2),'linewidth',2)

19 | P a g e

hold on
plot(sqrt(8/3*(27)),sqrt(8/3*(27)),'b*')
plot(-sqrt(8/3*(27)),-sqrt(8/3*(27)),'b*')
plot(0,0,'b*')
xlabel('time','fontsize',16)
title(['x vs. y; r = ',num2str(r)],'fontsize',16)
legend('x(t) vs. y(t)','CP')
grid on
hold off
%Produce a plot for phase plane x(t) vs. z(t)
figure3 = figure;
axes1 = axes('Parent',figure1,'FontSize',16,'Position',[0.025 0.0868 0.956875 0.855]);
box(axes1,'on');
hold(axes1,'all');
plot(Y(:,1),Y(:,3),'linewidth',2)
hold on
plot(sqrt(8/3*(27)),27,'b*')
plot(-sqrt(8/3*(27)),27,'b*')
plot(0,0,'b*')
xlabel('time','fontsize',16)
title(['x vs. z r = ',num2str(r)],'fontsize',16)
legend('x(t) vs. z(t)','CP')
grid on
hold off
%Produce a plot for phase plane y(t) vs. z(t)
figure4 = figure;
axes1 = axes('Parent',figure1,'FontSize',16,'Position',[0.025 0.0868 0.956875 0.855]);
box(axes1,'on');
hold(axes1,'all');
plot(Y(:,2),Y(:,3),'linewidth',2)
hold on
plot(sqrt(8/3*(27)),27,'b*')
plot(-sqrt(8/3*(27)),27,'b*')
plot(0,0,'b*')
xlabel('time','fontsize',16)
title(['y vs. z r = ',num2str(r)],'fontsize',16)
legend('y(t) vs. z(t)','CP')
grid on
hold off
%Produce a 3D plot for the strange attractor
figure5 = figure;
hold on
view([-297 107 228]);
plot3(Y(:,1),Y(:,2),Y(:,3));
scatter3(sqrt(8/3*(27)),sqrt(8/3*(27)),27,'m*')
scatter3(-sqrt(8/3*(27)),-sqrt(8/3*(27)),27,'m*')
grid on
xlabel('x','fontsize',16)
ylabel('y','fontsize',16)
zlabel('z','fontsize',16)
xlim([-18 18])
ylim([-25 25])
title(['r = ',num2str(r),' Initial Conditions: x_0 = ',num2str(x0),', y_0 =
',num2str(y0),', z_0 = ',num2str(z0)],'fontsize',16)
hold off

20 | P a g e

SECOND SECTION CONTAINS THE CODE FOR THE CALCULATIONS INVOLVING POINCAR MAP (PROBLEM 6).
program lorenz
integer n, i
parameter (n = 100000)
real x(n),y(n),z(n),t(n)
real pm(n,3)
real l(n,2)
call AB(n,x,y,z,t)
call poincareMap (x,y,z,t,n,pm)
call interpolate(n,pm,l)

50

open (77, file='xyzt.txt', status='new')

do i=1, n
write(77,50), x(i),y(i),z(i),t(i),pm(i,1),pm(i,2),pm(i,3),&
&
l(i,1),l(i,2)
enddo
format(f10.5,8x,f10.5,8x,f10.5,8x,f10.5,8x,f10.5,8x,f10.5,8x,f10.5,&
&
8x,f10.5,8x,f10.5)
close(77)
&

print *, 't = ',t(85607),' x = ', x(85607),' y = ', y(85607),' &

z = ', z(85607)
stop
end

-------------------------------------------------------------------------subroutine AB (n,x,y,z,t)
!Adams-Bashfourth third order explicit multi-step method.
real x(n),y(n),z(n),t(n)
real f0(3),f1(3),f2(3),f3(3)
real s,b,r
parameter (s = 10, b = 8.0/3.0, r = 28)
real e
parameter (e = 10**(-5))
real tmax
parameter (tmax = 100.0)
real h
integer i
h = tmax/n
!Initial conditions
x(1) = 5.0
y(1) = 5.0
z(1) = 5.0
t(1) = 0.0
!Forward Euler O(1) for n=1 (n=0,,99999)
i=1
call rhs (s,b,r,x(i),y(i),z(i),f0)
x(i+1) = x(i) + h*f0(1)
y(i+1) = y(i) + h*f0(2)

21 | P a g e

z(i+1) = z(i) + h*f0(3)

t(i+1) = t(i) + h
!Adams-Bashfourth O(2) for n=2
i=2
call rhs (s,b,r,x(i),y(i),z(i),f1)
x(i+1) = x(i) + 0.5*h*(3*f1(1) - f0(1))
y(i+1) = y(i) + 0.5*h*(3*f1(2) - f0(2))
z(i+1) = z(i) + 0.5*h*(3*f1(3) - f0(3))
t(i+1) = t(i) + h
!Adams-Bashfourth O(3) for n=3,,99999
do i=3,n-1
call rhs (s,b,r,x(i),y(i),z(i),f2)
x(i+1) = x(i) + h/12*(23*f2(1) - 16*f1(1) + 5*f0(1))
y(i+1) = y(i) + h/12*(23*f2(2) - 16*f1(2) + 5*f0(2))
z(i+1) = z(i) + h/12*(23*f2(3) - 16*f1(3) + 5*f0(3))
t(i+1) = t(i) + h
f0 = f1
f1 = f2
call rhs (s,b,r,x(i),y(i),z(i),f2)
enddo
return
end
-------------------------------------------------------------------------subroutine rhs (s,b,r,x,y,z,f0)
!R.H.S. of dX/dt, X=(x,y,z)
real f0(3)
f0(1) = s*(-x + y)
f0(2) = r*x - y - x*z
f0(3) = -b*z + x*y
return
end
-------------------------------------------------------------------------subroutine poincareMap (x,y,z,t,n,pm)
!For the Poincare Map, find a point directly below the z=r-1 plane and a
!point directly above the z=r-1 plane.
!Computations done only for time t>30.
! plane z=r-1 at r=28
real x(n),y(n),z(n),t(n)
real pm(n,3)
real zp
parameter (zp = 27.0)
integer i,j,k,zz
do j=1, n
pm(j,1) = 0
pm(j,2) = 0
pm(j,3) = 0
enddo

22 | P a g e

zz = 0
i = 1
do k=1, n
if ((zz .eq. 0) .and. (t(k) .ge. 30.0)) then
if (z(k) .gt. zp) then
pm(i,1) = x(k-1)
pm(i,2) = y(k-1)
pm(i,3) = z(k-1)
i = i + 1
pm(i,1) = x(k)
pm(i,2) = y(k)
pm(i,3) = z(k)
i = i + 1
zz = 1
endif
endif
if ((zz .eq. 1) .and. (t(k) .ge. 30.0)) then
if (z(k) .lt. zp) then
pm(i,1) = x(k-1)
pm(i,2) = y(k-1)
pm(i,3) = z(k-1)
i = i + 1
pm(i,1) = x(k)
pm(i,2) = y(k)
pm(i,3) = z(k)
i = i + 1
zz = 0
endif
endif
enddo
return
end
-------------------------------------------------------------------------subroutine interpolate(n,pm,l)
!Apply linear interpolation on the two points acquired in the poincareMap
!subroutine. From the line, use the point intersecting the z=r-1 plane.
!This point can be analytically calculated using the geometry of the problem
!involving two right triangles. This is the point used to plot the Poincare
!Maps.
!point(p,q)
!Z=r-1
!p=(x1-x0)/(z1-z0)*(z1-Z)+x1
!q=(y1-y0)/(z1-z0)*(z1-Z)+y1
real l(n,2)
real pm(n,3)
real zp
parameter (zp = 27.0)
integer i,j
do i=1, n
l(i,1) = 0
l(i,2) = 0
enddo
i=2

23 | P a g e

j=1
do while (pm(i,1) .ne. 0)
l(j,1) = (pm(i,1) - pm(i-1,1))/(pm(i,3) - pm(i-1,3))*&
&
(pm(i,3) - zp) + pm(i,1)
l(j,2) = (pm(i,2) - pm(i-1,2))/(pm(i,3) - pm(i-1,3))*&
&
(pm(i,3) - zp) + pm(i,2)
i = i + 2
j = j + 1
enddo
return
end
-------------------------------------------------------------------------plotting code ran in MATLAB
XYZT = dlmread('xyzt.txt'); x = XYZT(:,1); y = XYZT(:,2); z = XYZT(:,3);
t = XYZT(:,4);
X = XYZT(:,8); Y = XYZT(:,9);
figure
plot(X(2:186),Y(2:186),'k.')
xlabel('x')
ylabel('y')
title('r=28, z=27, x0=5, y0=5, z0=5')
--------------------------------------------------------------------------

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