Detailed fluctuation theorem, a microscopic version of the steady state fluctuation theorem, has been proposed by Jarzynski and demonstrated in the case of Hamiltonian systems weakly coupled with reservoirs. We show that an identical theorem for phase space compressibility rate can be derived for systems evolving under non-Hamiltonian extended system dynamics, without certain limiting assumptions made in the original work. Our derivation is based on the non-Hamiltonian phase space formulation of statistical mechanics and does not rely on any assumptions of thermodynamic nature. This version of the detailed fluctuation theorem is shown to be generic enough to be applicable to several thermostatting schemes. It is shown that in equilibrium, this detailed fluctuation theorem boils down to the detailed balance equation and it is further shown to reproduce the Jarzynski's work theorem for driven systems.
We derive the extended fluctuation theorems in presence of multiple measurements and feedback, when the system is governed by Hamiltonian dynamics. We use only the forward phase space trajectories in the derivation. However, to obtain an expression for the efficacy parameter, we must necessarily use the notion of reverse trajectory. Our results show that the correction term appearing in the exponent of the extended fluctuation theorems are non-unique, whereas the physical meaning of the efficacy parameter is unique.
We analyze the microscopic evolution of a system undergoing a far-from-equilibrium thermodynamic process. Explicitly accounting for the degrees of freedom of participating heat reservoirs, we derive a hybrid result, similar in form to both the fluctuation theorem, and a statement of detailed balance. We relate this result to the steady-state fluctuation theorem, and to a free energy relation valid far from equilibrium.
The total entropy production of a trajectory can be split into an adiabatic and a non-adiabatic contribution, deriving respectively from the breaking of detailed balance via nonequilibrium boundary conditions or by external driving. We show that each of them, the total, the adiabatic and the non-adiabatic trajectory entropy, separately satisfies a detailed fluctuation theorem.
For thermostatted dissipative systems the Fluctuation Theorem gives an analytical expression for the ratio of probabilities that the time averaged entropy production in a finite system observed for a finite time, takes on a specified value compared to the negative of that value. Hitherto it had been thought that the presence of some thermostatting mechanism was an essential component of any system which satisfies a Fluctuation Theorem. In the present paper we show that a Fluctuation Theorem can be derived for purely Hamiltonian systems, with or without applied dissipative fields.
A generalization of the fluctuation law (FL) ("theorem"), formulated in 1993 by Evans, Cohen and Morriss for a nonequilibrium steady state, on the chaotic Hamiltonian systems with equilibrium steady state in recent publication ba Evans, Searles and Mittag (cond-mat/0008421) is briefly discussed. We argue that the physical meaning of this law, as presented in the latter publication, is qualitatively different from the original one. Namely, the original FL concerns the local (in time) fluctuations with an intriguing result: a high probability for the "violation" of the Second Law. Instead, the n…
The Fluctuation Theorems are a group of exact relations that remain valid irrespective of how far the system has been driven away from equilibrium. Other than having practical applications, like determination of equilibrium free energy change from nonequilibrium processes, they help in our understanding of the Second Law and the emergence of irreversibility from time-reversible equations of motion at microscopic level. A vast number of such theorems have been proposed in literature, ranging from Hamiltonian to stochastic systems, from systems in steady state to those in transient regime, and f…
We extend the framework of forward and reverse processes commonly utilized in the derivation and analysis of the nonequilibrium work relations to thermodynamic processes with repeated discrete feedback. Within this framework, we derive a generalization of the detailed fluctuation theorem, which is modified by the addition of a term that quantifies the change in uncertainty about the microscopic state of the system upon making measurements of physical observables during feedback. As an application, we extend two nonequilibrium work relations: the nonequilibrium work fluctuation theorem and the …
Detailed fluctuation theorems are statements about the probability distribution for the stochastic entropy production along a trajectory. It involves the consideration of a suitably transformed dynamics, such as the time reversed, the adjoint, or a combination of these. We identify specific, typically unique, initial conditions, called echo states, for which the final probability distribution of the transformed dynamics reproduces the initial distribution. In this case the detailed fluctuation theorems relate the stochastic entropy production of the direct process to that of the transformed on…
Critical Scaling of Finite-Size Fluctuations around Marginal Stability in Long-Range Hamiltonian Systems
Graduate School of Informatics, Kyoto University（京都大学信息学研究科）；Institut Denis Poisson, Université d’Orléans, Université de Tours and CNRS（德尼·普瓦松研究所，奥尔良大学，图尔大学及法国国家科学研究中心）
Sampling occupies an important position in theories of various scientific fields, and Markov chain Monte Carlo (MCMC) provides the most common technique of sampling. In the progress of MCMC, a huge number of studies have aimed the acceleration of convergence to the target distribution. Hamiltonian Monte Carlo (HMC) is such a variant of MCMC. In the recent development of MCMC, another approach based on the violation of the detailed balance condition has attracted much attention. Historically, these two approaches have been proposed independently, and their relationship has not been clearly unde…
We re-derive the Nyquist theorem and Callen-Welton fluctuation-dissipation theorem (FDT) as a consequence of detailed balance principle applied to a harmonic oscillator. The usage of electrical notions in the beginning makes the consideration understandable for every physicists. Perhaps it is the simplest derivation of these well-known theorems in statistical physics. The classical limit is understandable as a consequence of Waterston-Herapath equipartition theorem.
We show that the assumptions of the detailed balance and of the initial equilibrium macrostate, which are central to the Crooks fluctuation theorem (CFT), lead to all microstates along a trajectory to have equilibrium probabilities. We also point out that the Crooks's definition of the backward trajectory does not return the system back to its initial microstate. Once corrected, the detailed balance assumption makes the CFT a theorem only about reversible processes involving reversible trajectories that satisfy Kolmogorov's criterion. As there is no dissipation, the CFT cannot cover irreversib…
We investigate the statistics of heat exchange between a finite system coupled to reservoir(s). We have obtained analytical results for heat fluctuation theorem in the transient regime considering the Hamiltonian dynamics of the composite system consisting of the system of interest and the heat bath(s). The system of interest is driven by an external protocol. We first derive it in the context of a single heat bath. The result is in exact agreement with known result. We then generalize the treatment to two heat baths. We further extend the study to quantum systems and show that relations simil…
The detailed fluctuation theorem (DFT) is a statement about the asymmetry in the statistics of the entropy production. Consequences of the DFT are the second law of thermodynamics and the thermodynamics uncertainty relation (TUR), which translate into lower bounds for the mean and variance of currents, respectively. However, far from equilibrium, mean and variance are not enough to characterize the underlying distribution of the entropy production. The fluctuations are not necessarily Gaussian (nor symmetric), which means its skewness could be nonzero. We prove that the DFT imposes a negative …
A one-dimensional Hamiltonian system with exponential interactions perturbed by a conservative noise is considered. It is proved that energy superdiffuses and upper and lower bounds describing this anomalous diffusion are obtained
We show explicitly the entropy reduction from a detailed fluctuation theorem for the general stochastic system driven by nonequilibrium process under feedback control. The effect of interaction of the feedback controller with the system is to reduce the entropy of the system. We define the entropy reduction for the single trajectory and show that the overall entropy production for the stochastic system with feedback control can be either positive or negative. The negative entropy production has been studied earlier for a simple system with velocity dependent feedback control [K. H. Kim and H. …
The fluctuations of a number of particles in the Bose-Einstein condensate are studied in the grand canonical ensemble with an effective single-mode Hamiltonian, which is derived from an assumption that the mode corresponding to the Bose-Einstein condensate does not asymptotically correlate with other modes. The fluctuations are evaluated in the dilute limit with a proposed simple method, which is beyond the mean-field approximation. The accuracy of the latter is estimated; it is shown that the mean-field scheme does not work for the single-mode Hamiltonian, while for the Hartree Hamiltonian it…
Empirical records of epidemics reveal that fluctuations are important factors for the spread and prevalence of infectious diseases. The exact manner in which fluctuations affect spreading dynamics remains poorly known. Recent analytical and numerical studies have demonstrated that improved differential equations for mean and variance of infected individuals reproduce certain regimes of the SIS epidemic model. Here, we show they form a dynamical system that follows Hamilton's equations, which allow us to understand the role of fluctuations and their effects on epidemics. Our findings show the H…
Discrete quantum feedback control consists of a managed dynamics according to the information acquired by a previous measurement. Energy fluctuations along such dynamics satisfy generalized fluctuation relations, which are useful tools to study the thermodynamics of systems far away from equilibrium. Due to the practical challenge to assess energy fluctuations in the quantum scenario, the experimental verification of detailed fluctuation relations in the presence of feedback control remains elusive. We present a feasible method to experimentally verify detailed fluctuation relations for discre…
The characteristic function of the work performed by an external time-dependent force on a Hamiltonian quantum system is identified with the time-ordered correlation function of the exponentiated system's Hamiltonian. A similar expression is obtained for the averaged exponential work which is related to the free energy difference of equilibrium systems by the Jarzynski work theorem.
When a biased conductor is put in proximity with an unbiased conductor a drag current can be induced in the absence of detailed balance. This is known as the Coulomb drag effect. However, even in this situation far away from equilibrium where detailed balance is explicitly broken, theory predicts that fluctuation relations are satisfied. This surprising effect has, to date, not been confirmed experimentally. Here we propose a system consisting of a capacitively coupled double quantum dot where the nonlinear fluctuation relations are verified in the absence of detailed balance.
Fluctuation relations are powerful equalities that hold far from equilibrium. However, the standard approach to include measurement and feedback schemes may become inapplicable in certain situations, including continuous measurements, precise measurements of continuous variables, and feedback induced irreversibility. Here we overcome these shortcomings by providing a recipe for producing detailed fluctuation relations. Based on this recipe, we derive a fluctuation relation which holds for arbitrary measurement and feedback control. The key insight is that fluctuations inferable from the measur…
A novel error measure, referred to as the hysteresis error, is developed from the Crooks fluctuation theorem to evaluate sampling quality in free energy calculations. Theory and numerical free energy of hydration calculations are used to show that Hamiltonian replica exchange provides a direct route for minimizing the hysteresis error. Replica exchange swap probabilies yield the rate at which the hysteresis error falls with simulation length, and this result can be used to decrease bias and statistical errors associated with free energy calculations based on multicanonical simulations.
We consider the modified Ising model introduced by de Oliveira et al. [J.Phys.A {\bf 26}, 2317 (1993)], where the temperature depends locally on the spin configuration and detailed balance and local equilibrium are not obeyed. We derive a relation between the linear response function and correlation functions which generalizes the fluctuation-dissipation theorem. In the stationary states of the model, which are the counterparts of the Ising equilibrium states, the fluctuation-dissipation theorem breaks down due to the lack of time reversal invariance. In the non-stationary phase ordering kinet…
We develop a theory of fluctuations for Brownian systems with weak long-range interactions. For these systems, there exists a critical point separating a homogeneous phase from an inhomogeneous phase. Starting from the stochastic Smoluchowski equation governing the evolution of the fluctuating density field, we determine the expression of the correlation function of the density fluctuations around a spatially homogeneous equilibrium distribution. In the stable regime, we find that the temporal correlation function of the Fourier components of the density fluctuations decays exponentially rapid…
The off-equilibrium purely dissipative dynamics (Model A) of the O(N) vector model is considered at criticality in an $ε= 4- d > 0$ up to O($ε^2$). The scaling behavior of two-time response and correlation functions at zero momentum, the associated universal scaling functions, and the nontrivial limit of the fluctuation-dissipation ratio are determined in the aging regime.
We study the effect of thermal fluctuations on the wetting phase transitions of infinite order and of continuously varying order, recently discovered within a mean-field density-functional model for three-phase equilibria in systems with short-range forces and a two-component order parameter. Using linear functional renormalization group (RG) calculations within a local interface Hamiltonian approach, we show that the infinite-order transitions are robust. The exponential singularity (implying $2-α_s = \infty$) of the surface free energy excess at infinite-order wetting as well as the precise …
It has been shown recently that the Jarzynski equality is generalized under nonequilibrium feedback control [T. Sagawa and M. Ueda, Phys. Rev. Lett. {\bf 104}, 090602 (2010)]. The presence of feedback control in physical systems should modify both Jarzynski equality and detailed fluctuation theorem [K. H. Kim and H. Qian, Phys. Rev. E {\bf 75}, 022102 (2007)]. However, the generalized Jarzynski equality under forward feedback control has been proved by consider that the physical systems under feedback control should locally satisfies the detailed fluctuation theorem. We use the same formalism …
We present a general method to identify an arbitrary number of fluctuating quantities which satisfy a detailed fluctuation theorem for all times within the framework of time-inhomogeneous Markovian jump processes. In doing so we provide a unified perspective on many fluctuation theorems derived in the literature. By complementing the stochastic dynamics with a thermodynamic structure (i.e. using stochastic thermodynamics), we also express these fluctuating quantities in terms of physical observables.
Any decomposition of the total trajectory entropy production for Markovian systems has a joint probability distribution satisfying a generalized detailed fluctuation theorem, when all the contributing terms are odd with respect to time reversal. The expression of the result does not bring into play dual probability distributions, hence easing potential applications. We show that several fluctuation theorems for perturbed non-equilibrium steady states are unified and arise as particular cases of this general result. In particular, we show that the joint probability distribution of the system an…
Acceleration of relaxation toward a fixed stationary distribution via violation of detailed balance was reported in the context of a Markov chain Monte Carlo method recently. Inspired by this result, systematic methods to violate detailed balance in Langevin dynamics were formulated by using exponential and rotational nonconservative forces. In the present paper, we accentuate that such specific nonconservative forces relate to the large deviation of total heat in an equilibrium state. The response to these nonconservative forces can be described by the intrinsic fluctuation of the total heat …
Fluctuation theorems impose fundamental bounds in the statistics of the entropy production, with the second law of thermodynamics being the most famous. Using information theory, we quantify the information of entropy production and find an upper tight bound as a function of its mean from the strong detailed fluctuation theorem. The bound is given in terms of a maximal distribution, a member of the exponential family with nonlinear argument. We show that the entropy produced by heat transfer using a bosonic mode at weak coupling reproduces the maximal distribution in a limiting case. The upper…
We present a comprehensive study about the relationship between the way Detailed Balance is broken in non-equilibrium systems and the resulting violations of the Fluctuation-Dissipation Theorem. Starting from stochastic dynamics with both odd and even variables under Time-Reversal, we exploit the relation between entropy production and the breakdown of Detailed Balance to establish general constraints on the non-equilibrium steady-states (NESS), which relate the non-equilibrium character of the dynamics with symmetry properties of the NESS distribution. This provides a direct route to derive e…
The role of fluctuation-dissipation relations (theorems) for the magnetization dynamics with Landau-Lifshitz-Gilbert and Bloch-Bloembergen damping terms are discussed. We demonstrate that the use of the Callen-Welton fluctuation-dissipation theorem that was proven for Hamiltonian systems can give an inconsistent result for magnetic systems with dissipation.
Modern statistical thermodynamics retains the concepts employed by Landau of the order parameter and a functional depending on it, now called the Hamiltonian. The present paper investigates the limits of validity for the use of the functional to describe the statistical correlations of a thermodynamic phase, particularly in connection with the experimentally accessible scattering of X-rays, electrons and neutrons. Guggenheim's definition for the functional is applied to a generalized system and the associated paradoxes are analyzed. In agreement with Landau's original hypothesis, it is demonst…
The second law of thermodynamics is a statement about the statistics of the entropy production, $\langle Σ\rangle \geq 0$. For small systems, it is known that the entropy production is a random variable and negative values ($Σ< 0$) might be observed in some experiments. This situation is sometimes called apparent violation of the second law. In this sense, how often is the second law violated? For a given average $\langle Σ\rangle $, we show that the strong detailed fluctuation theorem implies a lower tight bound for the apparent violations of the second law. As applications, we verify that th…
We review generalized Fluctuation-Dissipation Relations which are valid under general conditions even in ``non-standard systems'', e.g. out of equilibrium and/or without a Hamiltonian structure. The response functions can be expressed in terms of suitable correlation functions computed in the unperperturbed dynamics. In these relations, typically one has nontrivial contributions due to the form of the stationary probability distribution; such terms take into account the interaction among the relevant degrees of freedom in the system. We illustrate the general formalism with some examples in no…
Previously derived expressions for the characteristic function of work performed on a quantum system by a classical external force are generalized to arbitrary initial states of the considered system and to Hamiltonians with degenerate spectra. In the particular case of microcanonical initial states explicit expressions for the characteristic function and the corresponding probability density of work are formulated. Their classical limit as well as their relations to the respective canonical expressions are discussed. A fluctuation theorem is derived that expresses the ratio of probabilities o…
In dissipative dynamical systems phase space volumes contract, on average. Therefore, the invariant measure on the attractor is singular with respect to the Lebesgue measure. As noted by Ruelle, a generic perturbation pushes the state out of the attractor, hence the statistical features of the perturbation and, in particular, of the relaxation, cannot be understood solely in terms of the unperturbed dynamics on the attractor. This remark seems to seriously limit the applicability of the standard fluctuation dissipation procedure in the statistical mechanics of nonequilibrium (dissipative) syst…
We introduce axiomatically a complete thermodynamic formalism for a single macromolecule, either with or without detailed balance, in an isothermal ambient fluid based on its stochastic dynamics. With detailed balance, the novel theory yields mesoscopic, nonequilibrium generalizations for entropy and free energy of the macromolecule. Mesoscopic energy and entropy fluctuate. Expectation of entropy production equals zero if and only if the macromolecule is at thermal equilibrium, in which we show entropy still fluctuates but free energy is a constant. The entropy fluctuation a la L.D. Landau, pr…
Liouville's theorem, based on the Hamiltonian flow (micro-canonical ensemble) for a many particle system, indicates that the (stationary) equilibrium probability distribution is a function of the Hamiltonian. A canonical ensemble corresponds to a micro-canonical one at thermodynamic limit. On the contrary, the dynamics of a single Brownian particle (BP) being explicitly non-Hamiltonian with a force and damping term in it and at the other extreme to thermodynamic limit admits the Maxwell-distribution (MD) for its velocity and Boltmann-distribution (BD) for positions (when in a potential). This …
The detailed fluctuation theorems of the exact form $P(A)/P(-A)=e^A$ exist only for a handful of variables $A$, namely for work (Crooks theorem), for total entropy change (Seifert's theorem), etc. However, the so-called modified detailed fluctuation theorems can be formulated for several other thermodynamic variables as well. The difference is that the modified relations contain an extra factor, which is dependent on $A$. This factor is usually an average of a quantity $e^{-B}$, where $B\neq A$, with repect to the conditional probability distribution $P(B|A)$. The corresponding modified integr…
Nonequilibrium noise emerging from broken detailed balance in active gels
Max Planck Institute for the Physics of Complex Systems（马克斯·普朗克复杂系统物理研究所）；Alikhanyan National Laboratory (Yerevan Physics Institute)（阿里哈尼扬国家实验室（埃里温物理研究所））；Center for Systems Biology Dresden（德累斯顿系统生物学中心）；Universitat de Barcelona Institute of Complex Systems (UBICS)（巴塞罗那大学复杂系统研究所）
We examine classical, transient fluctuation theorems within the unifying framework of Langevin dynamics. We explicitly distinguish between the effects of non-conservative forces that violate detailed balance, and non-autonomous dynamics arising from the variation of an external parameter. When both these sources of nonequilibrium behavior are present, there naturally arise two distinct fluctuation theorems.
Work is one of the most basic notion in statistical mechanics, with work fluctuation theorems being one central topic in nanoscale thermodynamics. With Hamiltonian chaos commonly thought to provide a foundation for classical statistical mechanics, here we present general salient results regarding how (classical) Hamiltonian chaos generically impacts on nonequilibrium work fluctuations. For isolated chaotic systems prepared with a microcanonical distribution, work fluctuations are minimized and vanish altogether in adiabatic work protocols. For isolated chaotic systems prepared at an initial ca…
The random matrix ensembles (RMT) of quantum statistical Hamiltonian operators, e.g.Gaussian random matrix ensembles (GRME) and Ginibre random matrix ensembles (Ginibre RME), are applied to following quantum statistical systems: nuclear systems, molecular systems, and two-dimensional electron systems (Wigner-Dyson's electrostatic analogy). The Ginibre ensemble of nonhermitean random Hamiltonian matrices $K$ is considered. Each quantum system described by $K$ is a dissipative system and the eigenenergies $Z_{i}$ of the Hamiltonian are complex-valued random variables. The second difference of co…
We give a perturbative analysis of Crooks relation and Jarzynski equality in an arbitrary driven quantum system weakly coupled to a heat bath. Invoking no efficient Hamiltonian nor any restriction on the form of the coupling, we derive the first-order correction to Crooks relation and Jarzynski equality in terms of the interacting Hamiltonian. A Crooks type of relation about energy increment in the system and nonvanishing heat expenditure to the heat bath up to the second order of interaction would be given by the way. Our results tell us that deviation of the quantum fluctuation relations is …
The exchange fluctuation theorem for heat exchanged between two systems at different temperatures, when kept in direct contact, has been investigated by C. Jarzynski and D. K. Wójcik, in Phys. Rev. Lett. {\bf 92}, 230602 (2004). We extend this result to the case where two Langevin reservoirs at different temperatures are connected via a conductor made of interacting particles, and are subjected to an external drive or work source. The Langevin reservoirs are characterized by Gaussian white noise fluctuations and concomitant friction coefficients. We first derive the Crooks theorem for the rati…
We study the dynamics of a quantum-coherent thermally isolated Luttinger liquid with noisy Luttinger parameter. To characterize the fluctuations of the absorbed energy in generic noise-driven systems, we first identify two types of energy moments, which can help tease apart the effects of classical (sample-to-sample) and quantum sources of fluctuations. One type of moment captures the total fluctuations due to both sources, while the other one captures the effect of the classical source only. We then demonstrate that in the Luttinger liquid case, the two types of moments agree in the thermodyn…
In frustrated antiferromagnets with isotropic exchange interactions, there is typically a manifold of degenerate classical ground states. This degeneracy is broken by the (free) energy of quantum or thermal fluctuations, or the uniform effects of bond disorder. We derive effective Hamiltonians to express each kind of selection effect, in both exact forms and convenient approximate forms. It is argued that biquadratic terms, representing the collinear-selecting effects of quantum fluctuations, should be included in classical simulations of large-$S$ frustrated magnets at low temperatures
Within the Rayleigh-Helmholtz model of active Brownian particles activity is due to a non-linear velocity dependent force. In the presence of an external trapping potential or a constant force, the steady state of the system breaks detailed balance producing a net entropy. Using molecular dynamics simulations, we obtain the probability distributions of entropy production in these steady states. The distribution functions obey detailed fluctuation theorem for entropy production. Using simulation results, we further show that the steady state response function obeys a modified fluctuation-dissip…
Stochastic thermodynamics has largely succeeded in characterizing both equilibrium and far-from-equilibrium phenomena. Yet many opportunities remain for application to mesoscopic complex systems -- especially biological ones -- whose effective dynamics often violate detailed balance and whose microscopic degrees of freedom are often unknown or intractable. After reviewing excess and housekeeping energetics -- the adaptive and homeostatic components of a system's dissipation -- we extend stochastic thermodynamics with a trajectory class fluctuation theorem for nonequilibrium steady-state, nonde…
The driving force of the dynamical system can be decomposed into the gradient of a potential landscape and curl flux (current). The fluctuation-dissipation theorem (FDT) is often applied to near equilibrium systems with detailed balance. The response due to a small perturbation can be expressed by a spontaneous fluctuation. For non-equilibrium systems, we derived a generalized FDT that the response function is composed of two parts: (1) a spontaneous correlation representing the relaxation which is present in the near equilibrium systems with detailed balance; (2) a correlation related to the …
