Information geometry of nonlinear stochastic systems

Rainer Hollerbach, Donovan Dimanche, Eun Jin Kim

Research output: Contribution to journalArticlepeer-review

11 Citations (Scopus)
60 Downloads (Pure)

Abstract

We elucidate the effect of different deterministic nonlinear forces on geometric structure of stochastic processes by investigating the transient relaxation of initial PDFs of a stochastic variable x under forces proportional to -xn (n = 3, 5, 7) and different strength D of d-correlated stochastic noise. We identify the three main stages consisting of nondiffusive evolution, quasi-linear Gaussian evolution and settling into stationary PDFs. The strength of stochastic noise is shown to play a crucial role in determining these timescales as well as the peak amplitude and width of PDFs. From time-evolution of PDFs, we compute the rate of information change for a given initial PDF and uniquely determine the information length L(t) as a function of time that represents the number of different statistical states that a system evolves through in time. We identify a robust geodesic (where the information changes at a constant rate) in the initial stage, and map out geometric structure of an attractor as L(t → ∞)α μ mm, where m is the position of an initial Gaussian PDF. The scaling exponent m increases with n, and also varies with D (although to a lesser extent). Our results highlight ubiquitous power-laws and multi-scalings of information geometry due to nonlinear interaction.

Original languageEnglish
Article number550
JournalEntropy
Volume20
Issue number8
DOIs
Publication statusPublished - 25 Jul 2018
Externally publishedYes

Keywords

  • Fokker-Planck equation
  • Information length
  • Stochastic processes

ASJC Scopus subject areas

  • Physics and Astronomy(all)

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