Stochastic thermodynamics (ST) for delayed Langevin systems are discussed. By using the general principles of ST, the first-law-like energy balance and trajectory-dependent entropy s(t) can be well-defined in a similar way as that in a system without delay. Since the presence of time delay brings an additional entropy flux into the system, the conventional second law $<{Δ{s_{tot}}}> \ge 0$ no longer holds true, where $Δ{s_{tot}}$ denotes the total entropy change along a stochastic path and $<...>$ stands for average over the path ensemble. With the help of a Fokker-Planck description, we introduce a delay-averaged trajectory-dependent dissipation functional $η[{χ(t)}]$ which involves the work done by a delay-averaged force $\bar F({x,t})$ along the path $χ(t)$ and equals to the medium entropy change $Δ{s_m}[ {x(t)}]$ in the absence of delay. We show that the total dissipation functional R = Δs + η, where $Δs$ denotes the system entropy change along a path, obeys $< R > \ge 0$, which could be viewed as the second law in the delayed system. In addition, the integral fluctuation theorem $< <e^(-R)>=1 also holds true. We apply these concepts to a linear Langevin system with time delay and periodic external force. Numerical results demonstrate that the total entropy change $< {Δ{s_{tot}}} >$ could indeed be negative when the delay feedback is positive. By using an inversing-mapping approach, we are able to obtain the delay-averaged force $\bar F({x,t})$ from the stationary distribution and then calculate the functional $R$ as well as its distribution. The second law $< R > \ge 0$ and the fluctuation theorem are successfully validated.
An extension of the thermodynamic uncertainty relation (TUR) to time-delayed Langevin systems has been recently proposed by T. V. Vu and Y. Hasegawa (arXiv:1809.06610v2). Here we show that the derivation is erroneous.
This paper is the second in a series devoted to the study of Langevin systems subjected to a continuous time-delayed feedback control. The goal of our previous paper [Phys. Rev. E 91, 042114 (2015)] was to derive second-law-like inequalities that provide bounds to the average extracted work. Here we study stochastic fluctuations of time-integrated observables such as the heat exchanged with the environment, the extracted work, or the (apparent) entropy production. We use a path-integral formalism and focus on the long-time behavior in the stationary cooling regime, stressing the role of rare e…
The thermodynamic uncertainty relation, which establishes a universal trade-off between the relative fluctuation of arbitrary currents and the dissipation, has been found for various Markovian systems. However, this relation has not been revealed for non-Markovian systems. Thus, we investigate the thermodynamic uncertainty relation for time-delayed Langevin systems. First, we demonstrate numerically that the conventional uncertainty relation does not hold in certain delayed systems, which suggests that the lower bound should be refined to sustain the validity of the inequality. By introducing …
Characteristic oscillations in frequency-resolved heat dissipation of linear time-delayed Langevin systems: Approach from the violation of the fluctuation-response relation
The thermodynamic uncertainty relation, which establishes a universal trade-off between nonequilibrium current fluctuations and dissipation, has been found for various Markovian systems. However, this relation has not been revealed for non-Markovian systems; therefore, we investigate the thermodynamic uncertainty relation for time-delayed Langevin systems. We prove that the fluctuation of arbitrary dynamical observables is constrained by the Kullback--Leibler divergence between the distributions of the forward path and its reversed counterpart. Specifically, for observables that are antisymmet…
Response lags are generic to almost any physical system and often play a crucial role in the feedback loops present in artificial nanodevices and biological molecular machines. In this paper, we perform a comprehensive study of small stochastic systems governed by an underdamped Langevin equation and driven out of equilibrium by a time-delayed continuous feedback control. In their normal operating regime, these systems settle in a nonequilibrium steady state in which work is permanently extracted from the surrounding heat bath. By using the Fokker-Planck representation of the dynamics, we deri…
We study the thermodynamic entropy as a Noether invariant in a stochastic process. Following the Onsager theory, we consider the Langevin equation for a thermodynamic variable in a thermally isolated system. By analyzing the Martin-Siggia-Rose-Janssen-de Dominicis action of the Langevin equation, we find that this action possesses a continuous symmetry in quasi-static processes, which leads to the thermodynamic entropy as the Noether invariant for the symmetry.
Using the recently developed covariant Ito-Langevin dynamics, we develop a non-equilibrium thermodynamic theory for small systems coupled to multiplicative noises. The theory is based on Ito-calculus, and is fully covariant under time-independent nonlinear transformation of variables. Assuming instantaneous detailed balance, we derive expressions for various thermodynamic functions, including work, heat, entropy production, and free energy, both at ensemble level and at trajectory level, and prove the second law of thermodynamics for arbitrary non-equilibrium processes. We relate time-reversal…
We study Langevin dynamics describing nonequilibirum steady states. Employing the phenomenological framework of steady state thermodynamics constructed by Oono and Paniconi [Prog. Theor. Phys. Suppl. {\bf130}, 29 (1998)], we find that the extended form of the second law which they proposed holds for transitions between steady states and that the Shannon entropy difference is related to the excess heat produced in an infinitely slow operation. A generalized version of the Jarzynski work relation plays an important role in our theory.
Thermodynamic uncertainty relation (TUR) provides a stricter bound for entropy production (EP) than that of the thermodynamic second law. This stricter bound can be utilized to infer the EP and derive other trade-off relations. Though the validity of the TUR has been verified in various stochastic systems, its application to general Langevin dynamics has not been successful in a unified way, especially for underdamped Langevin dynamics, where odd parity variables in time-reversal operation such as velocity get involved. Previous TURs for underdamped Langevin dynamics is neither experimentally …
The average thermodynamic power of a time-dependent external potential in the white-noise Langevin model is derived using a Green's function solution. The power appears as a driving term in the differential equation for the average energy and determines whether the solution is stationary or non-stationary. Different dynamics are illustrated with explicit models: a linear potential with a static magnetic field, a linear potential perturbed with an oscillating component and a magnetic field switch modeled using a $\tanh$ protocol.
By employing a semi-analytical dynamical mean-field approximation theory previously proposed by the author [H. Hasegawa, Phys. Rev. E {\bf 67}, 041903 (2003)], we have developed an augmented moment method (AMM) in order to discuss dynamics of an $N$-unit ensemble described by linear and nonlinear Langevin equations with delays. In AMM, original $N$-dimensional {\it stochastic} delay differential equations (SDDEs) are transformed to infinite-dimensional {\it deterministic} DEs for means and correlations of local as well as global variables. Infinite-order DEs arising from the non-Markovian prop…
Recently, it has been shown that there is a trade-off relation between thermodynamic cost and current fluctuations, referred to as the thermodynamic uncertainty relation (TUR). The TUR has been derived for various processes, such as discrete-time Markov jump processes and overdamped Langevin dynamics. For underdamped dynamics, it has recently been reported that some modification is necessary for application of the TUR. In this study, we present a more generalized TUR, applicable to a system driven by a velocity-dependent force in the context of underdamped Langevin dynamics, by extending the t…
The thermodynamic uncertainty relation (TUR) quantifies a relationship between current fluctuations and dissipation in out-of-equilibrium overdamped Langevin dynamics, making it a natural counterpart of the fluctuation-dissipation theorem in equilibrium statistical mechanics. For underdamped Langevin dynamics, the situation is known to be more complicated, with dynamical activity also playing a role in limiting the magnitude of current fluctuations. Progress on those underdamped TUR-like bounds has largely come from applications of the information-theoretic Cramér-Rao inequality. Here, we pres…
We present a novel hybrid but thermodynamic approach to provide an alternative to the Langevin equation by using system-intrinsic (SI) microwork done by the Brownian particle in the kth microstate (realization). The corresponding SI-microforce is unique to the microstate and determines the microscopic equation of motion for it. Being a thermodynamic approach, the equipartition theorem is always satisfied and no additional stochastic Langevin force is needed. We determine instantaneous and long-time averages of useful quantities and thus provide a new unified approach to the fluctuating motion …
We develop a systematic approach to the linear-noise approximation for stochastic reaction systems with distributed delays. Unlike most existing work our formalism does not rely on a master equation, instead it is based upon a dynamical generating functional describing the probability measure over all possible paths of the dynamics. We derive general expressions for the chemical Langevin equation for a broad class of non-Markovian systems with distributed delay. Exemplars of a model of gene regulation with delayed auto-inhibition and a model of epidemic spread with delayed recovery provide evi…
The bifurcation diagram of a model nonlinear Langevin equation with delayed feedback is obtained numerically. We observe both direct and oscillatory bifurcations in different ranges of model parameters. Below threshold, the stationary distribution function p(x) is a delta function at the trivial state x=0. Above threshold, p(x) ~ x^alpha at small x, with alpha = -1 at threshold, and monotonously increasing with the value of the control parameter above threshold. Unlike the case without delayed feedback, the bifurcation threshold is shifted by fluctuations by an amount that scales linearly with…
A general nonequilibrium thermodynamic theory is developed for time-dependent Langevin dynamics, starting from the common definition of nonequilibrium Gibbs entropy. It is shown that the notations appearing in the First and the Second Law of thermodynamics could be consistently applied to transient nonequilibrium processes. We find out a general equality representing the energy balance relation for the system, and further an explicit mathematical interpretation for the extended form of the Second Law is proposed, which only comes into existence in the time-dependent case. More applications to …
A trade-off between the precision of an arbitrary current and the dissipation, known as the thermodynamic uncertainty relation, has been investigated for various Markovian systems. Here, we study the thermodynamic uncertainty relation for underdamped Langevin dynamics. By employing information inequalities, we prove that, for such systems, the relative fluctuation of a current at a steady state is constrained by both the entropy production and the average dynamical activity. We find that, unlike what is the case for overdamped dynamics, the dynamical activity plays an important role in the bou…
We reformulate stochastic thermodynamics in terms of noise realizations for Langevin systems in contact with multiple reservoirs and investigated the structure of the second laws of thermodynamics. We derive a hierarchy of fluctuation theorems when one degree of freedom of the system is affected by multiple reservoirs simultaneously, that is, when noise mixing occurs. These theorems and the associated second laws of thermodynamics put stricter bounds on the thermodynamics of Langevin systems. We apply our results to a stochastic machine in noise-mixing environments and demonstrate that our new…
Stochastic thermodynamics provides an important framework to explore small physical systems where thermal fluctuations are inevitable. In the studies of stochastic thermodynamics, some thermodynamic quantities, such as the trajectory work, associated with the complete Langevin equation (the Kramers equation) are often assumed to converge to those associated with the overdamped Langevin equation (the Smoluchowski equation) in the overdamped limit under the overdamped approximation. Nevertheless, a rigorous mathematical proof of the convergence of the work distributions to our knowledge has not …
Networks of globally coupled, noise activated, bistable elements with connection time delays are considered. The dynamics of these systems is studied numerically using a Langevin description and analytically using (1) a Gaussian approximation as well as (2) a dichotomous model. The system demonstrates ordering phase transitions and multi-stability. That is, for a strong enough feedback it exhibits nontrivial stationary states and oscillatory states whose frequencies depend only on the mean of the time delay distribution function. Other observed dynamical phenomena include coherence resonance a…
After establishing stochastic thermodynamics for underdamped Langevin systems in contact with multiple reservoirs, we derive its overdamped limit using timescale separation techniques. The overdamped theory is different from the naive theory that one obtains when starting from overdamped Langevin or Fokker-Planck dynamics and only coincide with it in presence of a single reservoir. The reason is that the coarse-grained fast momenta dynamics reaches a nonequilibrium state which conducts heat in presence of multiple reservoirs. The underdamped and overdamped theory are both shown to satisfy fund…
In Stochastic Thermodynamics, heat is a random variable with a probability distribution associated. Studies of the distribution of heat are mostly in the overdamped regime and in one dimension. Here we solve the heat distribution in the underdamped regime for three different cases: the free particle, the linear potential, and the harmonic potential. All of them in arbitrary dimensions. The results are exact and generalize known results in the literature.
In light of the recently published complete set of statistically correct Gronbech-Jensen (GJ) methods for discrete-time thermodynamics, we revise a differential operator splitting method for the Langevin equation in order to comply with the basic GJ thermodynamic sampling features, namely the Boltzmann distribution and Einstein diffusion, in linear systems. This revision, which is based on the introduction of time scaling along with flexibility of a discrete-time velocity attenuation parameter, provides a direct link between the ABO splitting formalism and the GJ methods. This link brings abou…
We study irreversible processes for nonlinear oscillators networks described by complex-valued Langevin equations that account for coupling to different thermo-chemical baths. Dissipation is introduced via non-Hermitian terms in the Hamiltonian of the model. We apply the stochastic thermodynamics formalism to compute explicit expressions for the entropy production rates. We discuss in particular the non-equilibrium steady states of the network characterised by a constant production rate of entropy and flows of energy and particle currents. For two specific examples, a one-dimensional chain and…
Validity of local equilibrium has been questioned for non-equilibrium systems which are characterized by delayed response. In particular, for systems with non-zero thermodynamic inertia, the assumption of local equilibrium leads to negative values of the entropy production, which is in contradiction with the second law of thermodynamics. In this paper we address this question by suggesting a variational formulation of irreversible evolution of a system with non-zero thermodynamic inertia. We introduce the Lagrangian, which depends on the properties of the normal and the so-called "mirror-image…
In this work, we study the nonequilibrium statistical properties of the relaxation dynamics of a nanoparticle trapped in a harmonic potential. We report an exact time-dependent analytical solution to the Langevin dynamics that arises from the stochastic differential equation of our system's energy in the underdamped regime. By utilizing this stochastic thermodynamics approach, we are able to completely describe the heat exchange process between the nanoparticle and the surrounding environment. As an important consequence of our results, we observe the validity of the heat exchange fluctuation …
We establish a refined version of the Second Law of Thermodynamics for Langevin stochastic processes describing mesoscopic systems driven by conservative or non-conservative forces and interacting with thermal noise. The refinement is based on the Monge-Kantorovich optimal mass transport. General discussion is illustrated by numerical analysis of a model for micron-size particle manipulated by optical tweezers.
Based on the Fokker-Planck equation we investigate the transport of an overdamped colloidal particle in a static, asymmetric periodic potential supplemented by a time-dependent, delayed feedback force, $F_{\mathrm{fc}}$. For a given time $t$, $F_\mathrm{fc}$ depends on the status of the system at a previous time $t-τ_\mathrm{D}$, with $τ_\mathrm{D}$ being a delay time, specifically on the delayed mean particle displacement (relative to some "switching position"). For non-zero delay times $F_{\mathrm{fc}}(t)$ develops nearly regular oscillations generating a net current in the system. Depending…
Building on our earlier work (Proesmans et. al., Phys.~Rev.~X \textbf{6} (2016), 041010), we introduce the underdamped Brownian duet as a prototype model of a dissipative system or of a work-to-work engine. Several recent advances from the theory of stochastic thermodynamics are illustrated with explicit analytic calculations and corresponding Langevin simulations. In particular, we discuss Onsager-Casimir symmetry, the trade-off relations between power, efficiency and dissipation, and stochastic efficiency.
The thermodynamics of stochastic non-Markovian systems is still widely unexplored. We present an analytical approach for the net steady-state heat flux in nonlinear overdamped systems subject to a continuous feedback force with a discrete time delay. We show that the feedback inevitably leads to a finite heat flow even for vanishingly small delay times. Application to an exemplary (bistable) system reveals that the feedback induces heating as well as cooling regimes and leads to a maximum of the medium entropy production at coherence resonance conditions.
We derive a universal bound on generalized currents in Langevin systems in terms of the mean-square fluctuations of the current and the total entropy production. This bound generalizes a relation previously found by Barato et al. to arbitrary times and transient states. Using the bound, we define a new efficiency for stochastic transport, which measures how close a given system comes to saturating the bound. The existence of such a bounded efficiency implies that stochastic transport is unavoidably accompanied by a fluctuations and dissipation, which cannot be reduced arbitrarily. We apply the…
The experimental verification of the fluctuation theorem by Wang et al. is explained in terms of a simple Langevin dynamics. This implies that the entropy consuming trajectories found by Wang et al. are fluctuations generated by a random force and do not violate the second law.
We study functionals, such as heat and work, along trajectories of a class of multi-dimensional generalized Langevin systems in various limiting situations that correspond to different level of homogenization. These are the situations where one or more of the inertial time scale(s), the memory time scale(s) and the noise correlation time scale(s) of the systems are taken to zero. We find that, unless one restricts to special situations that do not break symmetry of the Onsager matrix associated with the fast dynamics, it is generally not possible to express the effective evolution of these fun…
We consider a network of N noisy bistable elements with global time-delayed couplings. In a two-state description, where elements are represented by Ising spins, the collective dynamics is described by an infinite hierarchy of coupled master equations which was solved at the mean-field level in the thermodynamic limit. For a finite number of elements, an analytical description was deemed so far intractable and numerical studies seemed to be necessary. In this paper we consider the case of two interacting elements and show that a partial analytical description of the stationary state is possibl…
We apply the stochastic thermodynamics formalism to describe the dynamics of systems of complex Langevin and Fokker-Planck equations. We provide in particular a simple and general recipe to calculate thermodynamical currents, dissipated and propagating heat for networks of nonlinear oscillators. By using the Hodge decomposition of thermodynamical forces and fluxes, we derive a formula for entropy production that generalises the notion of non-potential forces and makes trans- parent the breaking of detailed balance and of time reversal symmetry for states arbitrarily far from equilibrium. Our f…
We experimentally study a piezoelectric energy harvester driven by broadband random vibrations. We show that a linear model, consisting of an underdamped Langevin equation for the dynamics of the tip mass, electromechanically coupled with a capacitor and a load resistor, can accurately describe the experimental data. In particular, the theoretical model allows us to define fluctuating currents and to study the stochastic thermodynamics of the system, with focus on the distribution of the extracted work over different time intervals. Our analytical and numerical analysis of the linear model is …
Thermodynamic observables of mesoscopic systems can be expressed as integrated empirical currents. Their fluctuations are bound by thermodynamic uncertainty relations. We introduce the hyperaccurate current as the integrated empirical current with the least fluctuations in a given non-equilibrium system. For steady-state systems described by overdamped Langevin equations, we derive an equation for the hyperaccurate current by means of a variational principle. We show that the hyperaccurate current coincides with the entropy production if and only if the latter saturates the thermodynamic uncer…
In stochastic thermodynamics standard concepts from macroscopic thermodynamics, such as heat, work, and entropy production, are generalized to small fluctuating systems by defining them on a trajectory-wise level. In Langevin systems with continuous state-space such definitions involve stochastic integrals along system trajectories, whose specific values depend on the discretization rule used to evaluate them (i.e. the "interpretation" of the noise terms in the integral). Via a systematic mathematical investigation of this apparent dilemma, we corroborate the widely used standard interpretatio…
On the basis of Langevin equation the optimal SUSY field scheme is formulated to discribe a non-equilibrium thermodynamic system with quenched disorder and non-ergodicity effects. Thermodynamic and isothermal susceptibilities, memory parameter and irreversible response are determined at different temperatures and quenched disorder intensities.
Thermodynamic uncertainty relations quantifying a trade-off between current fluctuation and entropy production have been found in various stochastic systems. Herein, we study the thermodynamic uncertainty relations for Langevin systems driven by an external control protocol. Using information-theoretic techniques, we derive the uncertainty relations for arbitrary observables satisfying a scaling condition in both overdamped and underdamped regimes. We prove that the observable fluctuation is constrained by both entropy production and a kinetic term. The derived bounds are applicable to both cu…
Numerical simulation of stochastic dynamics of vortex filaments under action of random (Langevin) force is fulfilled. Calculations are performed on base of the full Biot--Savart law for different intensities of the Langevin force. A new algorithm, which is based on consideration of crossing lines, is used for vortex reconnection procedure. After some transient period the vortex tangle develops into the stationary state characterizing by the developed fluctuations of various physical quantities, such as total length, energy etc. We tested this state to learn whether or not it the thermodynamic …
Analytical models describing the motion of colloidal particles in given velocity fields are presented. In addition to local approaches, leading to well known master equations such as the Langevin and the Fokker-Planck equations, a global description based on path integration is reviewed. This shows that under very broad conditions, during its evolution a dissipative system tends to minimize its energy dissipation in such a way to keep constant the Hamiltonian time rate, equal to the difference between the flux-based and the force-based Rayleigh dissipation functions. At steady state, the Hamil…
We extend the Langevin dynamics so that particles can be exchanged with a particle reservoir. We show that grand canonical ensembles are realized at equilibrium and derive the relations of thermodynamics for processes between equilibrium states. As an application of the proposed evolution rule, we devise a simple model of Brownian motors driven by particle exchange. KEYWORDS: Langevin Dynamics, Thermodynamics, Open Systems
