A framework of nonequilibrium statistical mechanics. II. Coarse-graining
Alberto Montefusco, Mark A. Peletier, Hans Christian Öttinger
备注：
This paper and its precursor (I) replace the previous paper arXiv:1809.07253. Now the content and the presentation style are more targeted to physicists, with particular emphasis on the applications to specific physical systems. The theoretical and the practical aspects have been separated from each other in the two papers
For a given thermodynamic system, and a given choice of coarse-grained state variables, the knowledge of a force-flux constitutive law is the basis for any nonequilibrium modeling. In the first paper of this series we established how, by a generalization of the classical fluctuation-dissipation theorem (FDT), the structure of a constitutive law is directly related to the distribution of the fluctuations of the state variables. When these fluctuations can be expressed in terms of diffusion processes, one may use Green-Kubo-type coarse-graining schemes to find the constitutive laws. In this paper we propose a coarse-graining method that is valid when the fluctuations are described by means of general Markov processes, which include diffusions as a special case. We prove the success of the method by numerically computing the constitutive law for a simple chemical reaction $A \rightleftarrows B$. Furthermore, we show that one cannot find a consistent constitutive law by any Green-Kubo-like scheme.
With the guidance offered by nonequilibrium statistical thermodynamics, simulation techniques are elevated from brute-force computer experiments to systematic tools for extracting complete, redundancy-free and consistent coarse grained information for dynamic systems. We sketch the role and potential of Monte Carlo, molecular dynamics and Brownian dynamics simulations in the thermodynamic approach to coarse graining. A melt of entangled linear polyethylene molecules serves us as an illustrative example.
By different coarse-graining procedures we derive lower bounds on the total mean work dissipated in Brownian systems driven out of equilibrium. With several analytically solvable examples we illustrate how, when, and where the information on the dissipation is captured.
Lumping a Markov process introduces a coarser level of description that is useful in many contexts and applications. The dynamics on the coarse grained states is often approximated by its Markovian component. In this letter we derive finite-time bounds on the error in this approximation. These results hold for non-reversible dynamics and for probabilistic mappings between microscopic and coarse grained states.
Several studies have investigated the scaling behavior in naturally occurring biological and physical processes using techniques such as detrended fluctuation analysis (DFA). Data acquisition is an inherent part of these studies and maps the continuous process into digital data. The resulting digital data is discretized in amplitude and time, and shall be referred to as coarse-grained realization in the present study. Since coarse-graining precedes scaling exponent analysis, it is important to understand its effects on scaling exponent estimators such as DFA. In this brief communication, k-mea…
We introduce the Fisher information in the basis of decay modes of Markovian dynamics, arguing that it encodes important information about the behavior of nonequilibrium systems. In particular we generalize an orthonormality relation between decay eigenmodes of detailed balanced systems to normal generators that commute with their time-reversal. Viewing such modes as tangent vectors to the manifold of statistical distributions, we relate the result to the choice of a coordinate patch that makes the Fisher-Rao metric Euclidean at the steady distribution, realizing a sort of statistical equivale…
A careful derivation of the generalized Langevin equation using "Zwanzig flavor" projection operator formalism is presented. We provide arguments why this formalism has better properties compared to alternative projection-operator formalisms for deriving non-equilibrium, non-thermodynamic-limit, equations. The two main ingredients in the derivation are Liouville's theorem and optimal prediction theory. As a result we find that equations for non-equilibrium thermodynamics are dictated by the formalism once the choice of coarse-grained variables is made. This includes a microcanonical entropy de…
We consider the application of fluctuation relations to the dynamics of coarse-grained systems, as might arise in a hypothetical experiment in which a system is monitored with a low-resolution measuring apparatus. We analyze a stochastic, Markovian jump process with a specific structure that lends itself naturally to coarse-graining. A perturbative analysis yields a reduced stochastic jump process that approximates the coarse-grained dynamics of the original system. This leads to a non-trivial fluctuation relation that is approximately satisfied by the coarse-grained dynamics. We illustrate ou…
This paper shows an estimation of a lower bound on the total entropy production rate(EPR) for a system following Langevin dynamics with a single observed variable coarse-grained into a few discrete states, by invoking the underlying broken time-reversal symmetry. We estimate the irreversibility in waiting time distributions of the partially observed system and find the effect of spatial resolution on the mean dwell-time asymmetry and the EPR.
We compare the fluctuation relations for work and entropy in underdamped and overdamped systems, when the friction coefficient of the medium is space-dependent. We find that these relations remain unaffected in both cases. However, for the overdamped system, the analysis is more involved, and a blind application of normal rules of calculus would lead to inconsistent results.
Recently, some general relations have been studied in nonequilibrium mesoscopic systems. In particular, the thermodynamic uncertainty relation (TUR) provides a universal internal relation among the cumulants of currents and the entropy production. In this paper, we give a simple derivation of TUR for thermally fluctuating particle current in a tilted periodic potential from a coarse grained point of view with the use of the transition probabilities. Also, we explore the condition for the bound of TUR to monotonically increase with the affinity.
We investigate the effect of coarse-graining on the energetics properties of a system, focusing on entropy production. As a case of study, we consider a one-dimensional colloidal particle in contact with a thermal bath, moving in a sinusoidal potential and driven out of equilibrium by a small constant force. Different levels of coarse-graining are evaluated: at first, we compare the results in the underdamped dynamics with those in the overdamped one (first coarse-graining). For large values of the viscosity, the two dynamics have the same energetic properties, while, for smaller viscosity val…
Measures of the non-Gaussianity of a random field depend on how accurately one is able to measure the field. If a signal measured at a certain point is to be averaged with its surroundings, or coarse-grained, the magnitude of its non-Gaussian component can vary. In this article, we investigate the variation of the "apparent" non-Gaussianity, as a function of the coarse-graining length, when we measure non-Gaussianity using the statistics of extrema in the field. We derive how the relative difference between maxima and minima -- which is a geometrical measure of the field's non-Gaussianity -- b…
The entropy production rate associated with broken time-reversal symmetry provides an essential characterization of nanosystems out of equilibrium, from driven colloidal particles to molecular motors. Limited access to the dynamical states is generally expected to hinder the correct estimation of this observable. Here we show how memoryless jump processes can be coarse grained exactly preserving its average and fluctuations at stationarity. This supports univocal applicability of fluctuation theorems for entropy and allows inference of the genuine thermodynamics together with inaccessible proc…
A procedure suggested by Vvedensky for obtaining continuum equations as the coarse-grained limit of discrete models is applied to the restricted solid-on-solid model with both adsorption and desorption. Using an expansion of the master equation, discrete Langevin equations are derived; these agree quantitatively with direct simulation of the model. From these, a continuum differential equation is derived, and the model is found to exhibit either Edwards-Wilkinson or Kardar-Parisi-Zhang exponents, as expected from symmetry arguments. The coefficients of the resulting continuum equation remain w…
We study the large time fluctuations of entropy production in Markov processes. In particular, we consider the effect of a coarse-graining procedure which decimates {\em fast states} with respect to a given time threshold. Our results provide strong evidence that entropy production is not directly affected by this decimation, provided that it does not entirely remove loops carrying a net probability current. After the study of some examples of random walks on simple graphs, we apply our analysis to a network model for the kinesin cycle, which is an important biomolecular motor. A tentative gen…
We revisit and analyze the thermodynamic efficiency of the Feynman-Smoluchowski (FS) ratchet, a classical thought experiment describing an autonomous heat-work converter. Starting from the full kinetics of the FS ratchet and deriving the exact forms of the hidden dissipations resulting from coarse-graining, we restate the historical controversy over its thermodynamic efficiency. The existence of hidden entropy productions implies that the standard framework of stochastic thermodynamics applied to the coarse-grained descriptions fails in capturing the dissipative feature of the system. In respo…
We use information geometry, in which the local distance between models measures their distinguishability from data, to quantify the flow of information under the renormalization group. We show that information about relevant parameters is preserved, with distances along relevant directions maintained under flow. By contrast, irrelevant parameters become less distinguishable under the flow, with distances along irrelevant directions contracting according to renormalization group exponents. We develop a covariant formalism to understand the contraction of the model manifold. We then apply our t…
Using molecular simulation, we determine Ginzburg-Landau free energy functions for molecular fluids. To this aim, we extend the Expanded Wang-Landau method to calculate the partition functions, number distributions and Landau free energies for $Ar$, $CO_2$ and $H_2O$. We then parametrize a coarse-grained free energy function of the density order parameter and assess the performance of this free energy function on its ability to model the onset of criticality in these systems. The resulting parameters can be readily used in hybrid atomistic/continuum simulations that connect the microscopic and…
We develop an algorithmic, system-specific renormalization group (RG) procedure that is adapted from model reductions techniques from engineering control theory. The resulting "generalized" RG is a consistent generalization of the Wilsonian RG. We apply the generalized RG to a phi 4-field theory. By considering nonequilibrium in addition to equilibrium observables, we find that naive power counting break down. Additionally, a large class of short-wavelength perturbations can drive the system away from both the Gaussian and Wilson-Fisher fixed points.
We consider two basic types of coarse-graining: the Ehrenfests' coarse-graining and its extension to a general principle of non-equilibrium thermodynamics, and the coarse-graining based on uncertainty of dynamical models and Epsilon-motions (orbits). Non-technical discussion of basic notions and main coarse-graining theorems are presented: the theorem about entropy overproduction for the Ehrenfests' coarse-graining and its generalizations, both for conservative and for dissipative systems, and the theorems about stable properties and the Smale order for Epsilon-motions of general dynamical sys…
We explain a method, inspired by control theory model reduction and interpolation theory, that rigorously establishes the types of coarse graining that are appropriate for systems with quadratic, generalized Hamiltonians. For such systems, general conditions are given that establish when local coarse grainings should be valid. Interestingly, our analysis provides a reduction method that is valid regardless of whether or not the system is isotropic. We provide the linear harmonic chain as a prototypical example. Additionally, these reduction techniques are based on the dynamic response of the s…
Multiscale phenomena which include several processes occuring simultaneously at different length scales and exchanging energy with each other, are widespread in magnetism. These phenomena often govern the magnetization reversal dynamics, and their correct modeling is important. In the present paper, we propose an approach to multiscale modeling of magnets, applying the ideas of coarse graining. We have analyzed the choice of the weighting function used in coarse graining, and propose an optimal form for this function. Simple tests provide evidence that this approach may be useful for modeling …
We present recent results on coarse-graining techniques for thermodynamic quantities (canonical averages) and dynamical quantities (averages of path functionals over solutions of overdamped Langevin equations). The question is how to obtain reduced models to compute such quantities, in the specific case when the functional to be averaged only depends on a few degrees of freedom. We mainly review, numerically illustrate and extend results from [3,18], concerning the computation of the stress-strain relation for one-dimensional chains of atoms, and the construction of an effective dynamics for a…
We discuss the role of ergodicity and chaos for the validity of statistical laws. In particular we explore the basic aspects of chaotic systems (with emphasis on the finite-resolution) on systems composed of a huge number of particles.
Dissipative particle dynamics (DPD) is now a well-established method for simulating soft matter systems. However, its applicability was recently questioned because some investigations showed an upper coarse-graining limit that would prevent the applicability of the method to the whole mesoscopic range. This article aims to reestablish DPD as a truly scale-free method by analyzing the problems reported by other authors and by presenting a scaling scheme that allows one to gauge a DPD-simulation to any desired length scale.
We study the evolution under their self-gravity of infinite ``shuffled lattice'' particle distributions, focussing specifically on the comparison of this evolution with that of ``daughter'' particle distributions, defined by a simple coarse-graining procedure. We consider both the case that such coarse-grainings are performed (i) on the initial conditions, and (ii) at a finite time with a specific additional prescription. In numerical simulations we observe that, to a first approximation, these coarse-grainings represent well the evolution of the two-point correlation properties over a signifi…
We address aspects of coarse-graining in classical Statistical Physics from the viewpoint of the symplectic non-squeezing theorem. We make some comments regarding the implications of the symplectic non-squeezing theorem for the BBGKY hierarchy. We also see the cubic cells appearing in coarse-graining as a direct consequence of the uniqueness of Hofer's metric on the group of Hamiltonian diffeomorphisms of the phase space.
We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramer function, the characteristic function for self-similarity, is confirmed by analyzing real price data from a stock market. We also discuss the close interrelation among our approach, the scaling-of-moments method and the multifractal approach for price fluctuations.
We present a computer-assisted approach to coarse-graining the evolutionary dynamics of a system of nonidentical oscillators coupled through a (fixed) network structure. The existence of a spectral gap for the coupling network graph Laplacian suggests that the graph dynamics may quickly become low-dimensional. Our first choice of coarse variables consists of the components of the oscillator states -their (complex) phase angles- along the leading eigenvectors of this Laplacian. We then use the equation-free framework [1], circumventing the derivation of explicit coarse-grained equations, to per…
We investigate the evolution of the phase-space distribution function around slightly perturbed stationary states and the process of violent relaxation in the context of the dissipationless collapse of an isolated spherical self-gravitating system. By means of the recently introduced symplectic coarse graining technique, we obtain an effective evolution equation that allows us to compute the scaling of the frequencies around a stationary state, as well as the damping times of Fourier modes of the distribution function, with the magnitude of the Fourier $k-$vectors themselves. We compare our an…
We discuss the stochastic thermodynamics of systems that are described by a time-dependent density field, for example simple liquids and colloidal suspensions. For a time-dependent change of external parameters, we show that the Jarzynski relation connecting work with the change of free energy holds if the time evolution of the density follows the Kawasaki-Dean equation. Specifically, we study the work distributions for the compression and expansion of a two-dimensional colloidal model suspension implementing a practical coarse-graining scheme of the microscopic particle positions. We demonstr…
We study the coarse-graining approach to derive a generator for the evolution of an open quantum system over a finite time interval. The approach does not require a secular approximation but nevertheless generally leads to a Lindblad-Gorini-Kossakowski-Sudarshan generator. By combining the formalism with Full Counting Statistics, we can demonstrate a consistent thermodynamic framework, once the switching work required for the coupling and decoupling with the reservoir is included. Particularly, we can write the second law in standard form, with the only difference that heat currents must be de…
Using statistical field theory supplemented with molecular dynamics simulations, we consider premelting on the surface of ice as a generic consequence of broken hydrogen bonds at the boundary between the condensed and gaseous phases. A procedure for coarse-graining molecular configurations onto a continuous scalar order parameter field is discussed, which provides a convenient representation of the interface between locally crystal-like and locally liquid-like regions. A number of interfacial properties are straightforwardly evaluated using this procedure such as the average premelting thickne…
Many biological systems can be described by finite Markov models. A general method for simplifying master equations is presented that is based on merging adjacent states. The approach preserves the steady-state probability distribution and all steady-state fluxes except the one between the merged states. Different levels of coarse graining of the underlying microscopic dynamics can be obtained by iteration, with the result being independent of the order in which states are merged. A criterion for the optimal level of coarse graining or resolution of the process is proposed via a tradeoff betwe…
The effect of strong shear flow on highly fluctuating lamellar systems stabilized by intermembrane collisions via the Helfrich interaction is studied. Advection enters the microscopic equation of motion for a single membrane via a non-linear coupling. Upon coarse-graining the theory for a single bilayer up to the length scale of the collision length, at which a hydrodynamic description applies, an additional dynamical coupling is generated which is of the form of a wavevector-dependent tension that is non-linear in the applied shear rate. This new term has consequences for the effects of stron…
A general mean field theory is presented for the construction of equilibrium coarse grained models. Inverse methods that reconstruct microscopic models from low resolution experimental data can be derived as particular implementations of this theory. The theory also applies to the opposite problem of reduction, where relevant information is extracted from available equilibrium ensemble data. These problems are central to the construction of coarse grained representations of complex systems, and commonly used coarse graining methods are derived as particular cases of the general theory.
The electoral college of voting system for the US presidential election is analogous to a coarse graining procedure commonly used to study phase transitions in physical systems. In a recent paper, opinion dynamics models manifesting a phase transition, were shown to be able to explain the cases when a candidate winning more number of popular votes could still lose the general election on the basis of the electoral college system. We explore the dependence of such possibilities on various factors like the number of states and total population (i.e., system sizes) and get an interesting scaling …
Coarse-graining schemes for stochastic lattice systems with short and long-range interactions.
University of Massachusetts, Amherst（马萨诸塞大学阿默斯特分校）；University of Crete（克里特大学）；Foundation of Research and Technology-Hellas（希腊研究与技术基金会）；University of Tennessee, Knoxville（田纳西大学诺克斯维尔分校）；Oak Ridge National Laboratory（橡树岭国家实验室）；Universitá di Roma, Tor Vergata（罗马托尔维加塔大学）
Starting from a microscopic lattice model, we investigate clustering, micellization and micelle ordering in semi-dilute solutions of AB diblock copolymers in a selective solvent. To bridge the gap in length scales, from monomers to ordered micellar structures, we implement a two-step coarse graining strategy, whereby the AB copolymers are mapped onto ``ultrasoft'' dumbells with monomer-averaged effective interactions between the centres of mass of the blocks. Monte Carlo simulations of this coarse-grained model yield clear-cut evidence for self-assembly into micelles with a mean aggregation nu…
In studying the predictability of emergent phenomena in complex systems, Israeli & Goldenfeld (Phys. Rev. Lett., 2004; Phys. Rev. E, 2006) showed how to coarse-grain (elementary) cellular automata (CA). Their algorithm for finding coarse-grainings of supercell size $N$ took doubly-exponential $2^{2^N}$-time, and thus only allowed them to explore supercell sizes $N \leq 4$. Here we introduce a new, more efficient algorithm for finding coarse-grainings between any two given CA that allows us to systematically explore all elementary CA with supercell sizes up to $N=7$, and to explore individual e…
We show how to coarse grain polymers in a good solvent as single particles, interacting with density-independent or density-dependent interactions. These interactions can be between the centres of mass, the mid-points or end-points of the polymers. We also show how to extend these methods to polymers in poor solvents and mixtures of polymers. Treating polymers as soft colloids can greatly speed up the simulation of complex many-polymer systems, including polymer-colloid mixtures.
Many single molecule experiments for molecular motors comprise not only the motor but also large probe particles coupled to it. The theoretical analysis of these assays, however, often takes into account only the degrees of freedom representing the motor. We present a coarse-graining method that maps a model comprising two coupled degrees of freedom which represent motor and probe particle to such an effective one-particle model by eliminating the dynamics of the probe particle in a thermodynamically and dynamically consistent way. The coarse-grained rates obey a local detailed balance conditi…
We develop coarse-graining tensor renormalization group algorithms to compute physical properties of two-dimensional lattice models on finite periodic lattices. Two different coarse-graining strategies, one based on the tensor renormalization group and the other based on the higher-order tensor renormalization group, are introduced. In order to optimize the tensor-network model globally, a sweeping scheme is proposed to account for the renormalization effect from the environment tensors under the framework of second renormalization group. We demonstrate the algorithms by the classical Ising mo…
We explore a systematic approach to studying the dynamics of evolving networks at a coarse-grained, system level. We emphasize the importance of finding good observables (network properties) in terms of which coarse grained models can be developed. We illustrate our approach through a particular social network model: the "rise and fall" of a networked society [1]: we implement our low-dimensional description computationally using the equation-free approach and show how it can be used to (a) accelerate simulations and (b) extract system-level stability/bifurcation information from the detailed …
Finite stochastic Markov models play a major role for modelling biochemical pathways. Such models are a coarse-grained description of the underlying microscopic dynamics and can be considered mesoscopic. The level of coarse-graining is to a certain extend arbitrary since it depends on the resolution of accomodating measurements. Here, we present a way to simplify such stochastic descriptions, which preserves both the meso-micro and the meso-macro connection. The former is achieved by demanding locality, the latter by considering cycles on the network of states. Using single- and multicycle exa…
Fluctuations in small biological systems can be crucial for their function. Large-deviation theory characterizes such rare events from the perspective of stochastic processes. In most cases it is very difficult to directly determine the large-deviation functions. Circumventing this necessity, I present a method to quantify the fluctuation spectra for arbitrary Markovian models with finite state space. Under non-equilibrium conditions, current-like observables are of special interest. The space of all current-like observables has a natural decomposition into orthogonal complements. Remarkably, …
Coarse-graining to create minimalist models for dynamic, end-linked star-polymer networks
McKetta Department of Chemical Engineering, The University of Texas at Austin（德克萨斯大学奥斯汀分校麦凯塔化学工程系）；Department of Chemical Engineering, Auburn University（奥本大学化学工程系）；Department of Chemical Engineering and Biointerfaces Institute, University of Michigan（密歇根大学生物界面研究所化学工程系）；McKetta Department of Engineering, The University of Texas at Austin（德克萨斯大学奥斯汀分校麦凯塔工程学院）
Entropy production plays a fundamental role in the study of non-equilibrium systems by offering a quantitative handle on the degree of time-reversal symmetry breaking. It depends crucially on the degree of freedom considered as well as on the scale of description. It was hitherto unknown how the entropy production at one resolution of the degrees of freedom is related to the entropy production at another resolution. This relationship is of particular relevance to coarse grained and continuum descriptions of a given phenomenon. In this work, we derive the scaling of the entropy production under…
Stochastic modelling of complex systems plays an essential, yet often computationally intensive role across the quantitative sciences. Recent advances in quantum information processing have elucidated the potential for quantum simulators to exhibit memory advantages for such tasks. Heretofore, the focus has been on lossless memory compression, wherein the advantage is typically in terms of lessening the amount of information tracked by the model, while -- arguably more practical -- reductions in memory dimension are not always possible. Here we address the case of lossy compression for quantum…
