A comparative study of computation of Lyapunov spectra with different algorithms
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Publication:1972886
Abstract: In this paper we make a detailed numerical comparison between three algorithms for the computation of the full Lyapunov spectrum as well as the associated eigen-vectors of general dynamical systems. They are : (a) the standard method, (b) a differential formaulation of the standard method, and (c) a new algorithm which does not require rescaling and reorthogonolization. We also bring out the relations among these methods. oreover, we give a simplified formulation of the new algorithm when the dimensionality of the system is 4. We find that there is reasonable agreement among the Lyapunov spectra obtained using the three algorithms in most cases. However the standard method seems to be the most efficient followed by the new method and the differential version of the standard method (in that order), as far as the CPU time for the computation of the Lyapunov spectra is concerned. The new method is hardly suitable for finding the eigenvectors, whereas the other procedures give nearly identical numerical results.
The authors are interested in the computation of Lyapunov exponents for a general system of ordinary differential equations \[ {dZ\over dt} =F(Z,t). \] They consider three numerical procedures. One is standard (it is based on a reorthogonalization algorithm); the second one is a differential version of the previous one; the third one has been recently proposed and it is based on a matrix decomposition. The performances of the three methods are compared and discussed for some low-dimensional typical examples: van der Pol oscillator, Lorenz system, anisotropic Kepler problem, coupled oscillators.
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