We present a spectral-theoretic approach to time-average statistical mechanics for general, non-equilibrium initial conditions. We consider the statistics of bounded, local additive functionals of reversible as well as irreversible ergodic stochastic dynamics with continuous or discrete state-space. We derive exact results for the mean, fluctuations and correlations of time average observables from the eigenspectrum of the underlying generator of Fokker-Planck or master equation dynamics, and discuss the results from a physical perspective. Feynman-Kac formulas are re-derived using Itô calculus and combined with non-Hermitian perturbation theory. The emergence of the universal central limit law in a spectral representation is shown explicitly on large deviation time-scales. For reversible dynamics with equilibrated initial conditions we derive a general upper bound to fluctuations of occupation measures in terms of an integral of the return probability. Simple, exactly solvable examples are analyzed to demonstrate how to apply the theory. As a biophysical example we revisit the Berg-Purcell problem on the precision of concentration measurements by a single receptor. Our results are directly applicable to a diverse range of phenomena underpinned by time-average observables and additive functionals in physical, chemical, biological, and economical systems.
The nonequilibrium Time-Reversible Baker Map provides simple illustrations of the Fluctuation Theorem, the Central Limit Theorem, and the Biased Random Walk. This is material in preparation for the Book form of Carol's and my 2016 Kharagpur Lectures.
Biochemical reactions are fundamentally noisy at a molecular scale. This limits the precision of reaction networks, but also allows fluctuation measurements which may reveal the structure and dynamics of the underlying biochemical network. Here, we study non-equilibrium reaction cycles, such as the mechanochemical cycle of molecular motors, the phosphorylation cycle of circadian clock proteins, or the transition state cycle of enzymes. Fluctuations in such cycles may be measured using either of two classical definitions of the randomness parameter, which we show to be equivalent in general mic…
Current fluctuations for the boundary-driven zero-range process on graphs: microscopic versus macroscopic approach and a theory of non-reversible resistor-like networks
We discuss the universal scaling laws of order parameter fluctuations in any system in which the second-order critical behaviour can be identified. These scaling laws can be derived rigorously for equilibrium systems when combined with the finite-size scaling analysis. The relation between order parameter, criticality and scaling law of fluctuations has been established and the connexion between the scaling function and the critical exponents has been found. We give examples in out-of-equilibrium aggregation models such as the Smoluchowski kinetic equations, or of at-equilibrium Ising and perc…
We study diffusive mixing in the presence of thermal fluctuations under the assumption of large Schmidt number. In this regime we obtain a limiting equation that contains a diffusive thermal drift term with diffusion coefficient obeying a Stokes-Einstein relation, in addition to the expected advection by a random velocity. The overdamped limit correctly reproduces both the enhanced diffusion in the ensemble-averaged mean and the long-range correlated giant fluctuations in individual realizations of the mixing process, and is amenable to efficient numerical solution. Through a combination of Eu…
I show that non-decreasing entropy provides a necessary and sufficient condition to convert the state of a physical system into a different state by a reversible transformation that acts on the system of interest and a further "catalyst" whose state has to remain invariant exactly in the transition. This statement is proven both in the case of finite-dimensional quantum mechanics, where von~Neumann entropy is the relevant entropy, and in the case of systems whose states are described by probability distributions on finite sample spaces, where Shannon entropy is the relevant entropy. The result…
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…
Using the fluctuation theorem supplemented with geometric arguments, we derive universal features of the (long-time) efficiency fluctuations for thermal and isothermal machines operating under steady or periodic driving, close or far from equilibrium. In particular, the long-time probability for observing a reversible efficiency in a given engine is identical to that for the same engine working under the time-reversed driving. When the driving is symmetric, this reversible efficiency becomes the least probable.
A model for diffusion in liquids that couples the dynamics of tracer particles to a fluctuating Stokes equation for the fluid is investigated in the limit of large Schmidt number. In this limit, the concentration of tracers is shown to satisfy a closed-form stochastic advection-diffusion equation that is used to investigate the collective diffusion of hydrodynamically-correlated tracers through a combination of Eulerian and Lagrangian numerical methods. This analysis indicates that transport in liquids is quite distinct from the traditional Fickian picture of diffusion. While the ensemble-aver…
Stationary states of Navier-Stokes fluids have been proposed to be described equivalently by several alternative equations, besides the NS equation itself. In particular equivalence between the NS evolution and a reversible. It is natural to test whether, assuming the Chaotic Hypothesis, the Fluctuation Theorem can be applied to the reversible flows. Here an example is provided which also leads to the possibility of testing the prediction of the fluctuation theorem even in systems evolving irreversibly.
A generalization of fluctuation theorems in stochastic processes is proposed. The new theorem is written in terms of posterior probabilities, which are introduced via the Bayes theorem. In usual fluctuation theorems, a forward path and its time reversal play an important role, so that a microscopically reversible condition is essential. In contrast, the microscopically reversible condition is not necessary in the new theorem. It is shown that the new theorem adequately recovers various theorems and relations previously known, such as the Gallavotti-Cohen-type fluctuation theorem, the Jarzynski…
Hamiltonian trajectories are strictly time-reversible. Any time series of Hamiltonian coordinates {q} satisfying Hamilton's motion equations will likewise satisfy them when played "backwards", with the corresponding momenta changing signs : {+p} --> {-p}. Here we adopt Levesque and Verlet's precisely bit-reversible motion algorithm to ensure that the trajectory reversibility is exact, with the forward and backward sets of coordinates identical. Nevertheless, the associated instantaneous Lyapunov instability, or "sensitive dependence on initial conditions" of "chaotic" (or "Lyapunov unstable") …
A possible way to extract information about the reversible dissociation of a molecular adhesion bond from force fluctuations observed in force ramp experiments is discussed. For small loading rates the system undergoes a limited number of unbinding and rebinding transitions observable in the so-called force versus extension (FE) curves. The statistics of these transient fluctuations can be utilized to estimate the parameters for the rebinding rate. This is relevant in the experimentally important situation where the direct observation of the reversed FE-curves is hampered, e.g. due to the pres…
We consider in this paper, a few important issues in non-equilibrium work fluctuations and their relations to equilibrium free energies. First we show that Jarzynski identity can be viewed as a cumulant expansion of work. For a switching process which is nearly quasistatic the work distribution is sharply peaked and Gaussian. We show analytically that dissipation given by average work minus reversible work $W_R$, decreases when the process becomes more and more quasistatic. Eventually, in the quasistatic reversible limit, the dissipation vanishes. However estimate of $p$ - the probability of v…
We develop a bit-reversible implementation of Milne's Fourth-order Predictor algorithm so as to generate precisely time-reversible simulations of irreversible processes. We apply our algorithm to the collision of two zero-temperature Morse-potential balls, which collide to form a warm liquid oscillating drop. The oscillations are driven by surface tension and damped by the viscosities. We characterize the "important" Lyapunov-unstable particles during the collision and equilibration phases in both time directions to demonstrate the utility of the Milne algorithm in exposing "Time's Arrow".
Within the abstract framework of dynamical system theory we describe a general approach to the Transient (or Evans-Searles) and Steady State (or Gallavotti-Cohen) Fluctuation Theorems of non-equilibrium statistical mechanics. Our main objective is to display the minimal, model independent mathematical structure at work behind fluctuation theorems. Besides its conceptual simplicity, another advantage of our approach is its natural extension to quantum statistical mechanics which will be presented in a companion paper. We shall discuss several examples including thermostated systems, open Hamilt…
Deeply supercooled water exhibits complex dynamics with large density fluctuations, ice coarsening and characteristic time scales extending from picoseconds to milliseconds. Here, we discuss implications of these time scales as they pertain to two-phase coexistence and to molecular simulations of supercooled water. Specifically, we argue that it is possible to discount liquid-liquid criticality because the time scales imply that correlation lengths for such behavior would be bounded by no more than a few nanometers. Similarly, it is possible to discount two-liquid coexistence because the time …
We show for Markov diffusion processes that the quadratic entropic bound, recently derived for the rate functions of nonequilibrium currents, can be seen as being produced by an effective process that creates current fluctuations in a sub-optimal way by modifying only the non-reversible part of the drift or force of the process considered while keeping its reversible part constant. This provides a clear interpretation of the bound in terms of a physical process, which explains, among other things, its relation to the fluctuation relation, linear response, and reversible limits. The existence o…
The time reversibility characteristic of Hamiltonian mechanics has long been extended to nonHamiltonian dynamical systems modeling nonequilibrium steady states with feedback-based thermostats and ergostats. Typical solutions are multifractal attractor-repellor phase-space pairs with reversed momenta and unchanged coordinates, $(q,p)\longleftrightarrow (q,-p)$ . Weak control of the temperature, $\propto p^2$ and its fluctuation, resulting in ergodicity, has recently been achieved in a three-dimensional time-reversible model of a heat-conducting harmonic oscillator. Two-dimensional cross section…
Slowing down of the relaxation of the fluctuations around equilibrium is investigated both by stochastic simulations and by analysis of Master equation of reversible reaction networks consisting of resources and the corresponding products that work as catalysts. As the number of molecules $N$ is decreased, the relaxation time to equilibrium is prolonged due to the deficiency of catalysts, as demonstrated by the amplification compared to that by the continuum limit. This amplification ratio of the relaxation time is represented by a scaling function as $h = N \exp(-βV)$, and it becomes prominen…
We study by Montecarlo simulation the non-equilibrium stationary behavior of a three-dimensional stochastic lattice gas with reversible kinetic constraints and in diffusive contact with two particle reservoirs at different chemical potential. When one of the boundaries is placed in the glassy phase, the statistics of entropy production fluctuations driven by the chemical potential gradient satisfy the Gallavotti-Cohen fluctuation theorem provided that an effective entropy production is introduced.
We analyze the time-reversible mechanics of two irreversible simulation types. The first is a dissipative one-dimensional heat-conducting oscillator exposed to a temperature gradient in a three-dimensional phase space with coordinate $q$, momentum $p$, and thermostat control variable $ζ$. The second type simulates a conservative two-dimensional $N$-body fluid with $4N$ phase variables $\{q,p\}$ undergoing shock compression. Despite the time-reversibility of each of the three oscillator equations and all of the $4N$ manybody motion equations both types of simulation are irreversible, obeying th…
Motivated by recent progresses in nonequilibrium Fluctuation Relations, we present a generalized time reversal for stochastic master equation systems with discrete states that is defined as a splitting of the rate matrix into irreversible and reversible parts. An immediate advantage of this definition is that a variety of fluctuation relations can be attributed to different matrix splitting. Additionally, we also find that, the accustomed total entropy production formula and conditions of the detailed balance must be modified appropriately to account for the presence of the reversible part, wh…
We propose a theory which describes the density relaxation of loosely packed, cohesionless granular material under mechanical tapping. Using the compactivity concept we develope a formalism of statistical mechanics which allows us to calculate the density of a powder as a function of time and compactivity. A simple fluctuation-dissipation relation which relates compactivity to the amplitude and frequency of a tapping is proposed. Experimental data of E.R.Nowak et al. [{\it Powder Technology} 94, 79 (1997) ] show how density of initially deposited in a fluffy state powder evolves under carefull…
The Gallavotti - Cohen Fluctuation Theorem (FT) implies an infinite set of identities between correlation functions that can be seen as a generalization of Green Kubo formula to the nonlinear regime. As an application, we discuss a perturbative check of the FT relation through these identities for a simple Anosov reversible system; we find that the lack of differentiability of the time reversal symmetry implies a violation of the Gallavotti - Cohen fluctuation relation. Finally, a brief comparison with Lebowitz - Spohn FT is reported.
We develop a formalism to discuss the properties of GENERIC systems in terms of corresponding Hamiltonians that appear in the characterization of large-deviation limits. We demonstrate how the GENERIC structure naturally arises from a certain symmetry in the Hamiltonian, which extends earlier work that has connected the large-deviation behaviour of reversible stochastic processes to the gradient-flow structure of their deterministic limit. Natural examples of application include particle systems with inertia.
We investigate the model of "reversible ratchet" with interacting particles, introduced by us earlier [Europhys. Lett. 84, 50009 (2008)]. We further clarify the effect of efficiency enhancement due to interaction and show that it is of energetic origin, rather than a consequence of reduced fluctuations. We also show complicated structures emerging in the interaction and density dependence of the current and response function. The fluctuation properties of the work and input energy indicate in detail the far-from-equilibrium nature of the dynamics.
An analogy is developed between the breaking of space-inversion symmetry in equilibrium statistical mechanics and the breaking of time-reversal symmetry in nonequilibrium statistical mechanics. In this way, similar relationships characterizing fluctuations are obtained in both contexts.
In this contribution it is considered a simple and solvable model consisting of a qubit in interaction with an oscillator exposed to a very small "environment" (a second qubit). An isolated qubit-oscillator system having the oscillator initially in one of its energy eigenstates exhibits Rabi oscillations, an evidence of coherent quantum behaviour. It is shown here in which way the coupling to a small "environment" disrupts such regular behaviour, leading to a quasi-periodic dynamics for the qubit linear entropy. In particular, it is found that the linear entropy is very sensitive to the amount…
Turbulence exhibits significant velocity fluctuations even if the scale is much larger than the scale of the energy supply. Since any spatial correlation is negligible, these large-scale fluctuations have many degrees of freedom and are thereby analogous to thermal fluctuations studied in the statistical mechanics. By using this analogy, we describe the large-scale fluctuations of turbulence in a formalism that has the same mathematical structure as used for canonical ensembles in the statistical mechanics. The formalism yields a universal law for the energy distribution of the fluctuations, w…
The statistical mechanical basis of the fluctuation theory of mixtures is reviewed. An overview of the statistical mechanical relations between the microscopic properties of a system and its macroscopic properties is presented. The distribution functions in equilibrium systems are defined and relations between the distribution functions and thermodynamic properties for pure fluids and fluid mixtures are reported. The available approximations to distribution functions are presented. Definitions of direct correlation functions, direct correlation function integrals, and their relations with fluc…
An overview is given of recent advances in nonequilibrium statistical mechanics about the statistics of random paths and current fluctuations. Although statistics is carried out in space for equilibrium statistical mechanics, statistics is considered in time or spacetime for nonequilibrium systems. In this approach, relationships have been established between nonequilibrium properties such as the transport coefficients, the thermodynamic entropy production, or the affinities, and quantities characterizing the microscopic Hamiltonian dynamics and the chaos or fluctuations it may generate. This …
We present a comprehensive study of the statistical features of a three-dimensional time-reversible Navier-Stokes (RNS) system, wherein the standard viscosity $ν$ is replaced by a fluctuating thermostat that dynamically compensates for fluctuations in the total energy. We analyze the statistical features of the RNS steady states in terms of a non-negative dimensionless control parameter $\mathcal{R}_r$, which quantifies the balance between the fluctuations of kinetic energy at the forcing length scale $\ell_{\rm f}$ and the total energy $E_0$. We find that the system exhibits a transition from…
We study the transient response of a colloidal bead which is released from different heights and allowed to relax in the potential well of an optical trap. Depending on the initial potential energy, the system's time evolution shows dramatically different behaviors. Starting from the short-time reversible to long-time irreversible transition, a stationary reversible state with zero net dissipation can be achieved as the release point energy is decreased. If the system starts with even lower energy, it progressively extracts useful work from thermal noise and exhibits an anomalous irreversibili…
Molecular Dynamics and Statistical Mechanics make possible a particle-based understanding of Thermodynamics and Hydrodynamics, including the fascinating Loschmidt contradiction between time-reversible atomistic mechanics and the time-irreversible thermodynamic dissipation incorporated into macroscopic fluid and solid mechanics.
Dynamic properties of molecular motors whose motion is powered by interactions with specific lattice bonds are studied theoretically with the help of discrete-state stochastic "burnt-bridge" models. Molecular motors are depicted as random walkers that can destroy or rebuild periodically distributed weak connections ("bridges") when crossing them, with probabilities $p_1$ and $p_2$ correspondingly. Dynamic properties, such as velocities and dispersions, are obtained in exact and explicit form for arbitrary values of parameters $p_1$ and $p_2$. For the unbiased random walker, reversible burning …
The relative stability and ergodicity of deterministic time-reversible thermostats, both singly and in coupled pairs, are assessed through their Lyapunov spectra. Five types of thermostat are coupled to one another through a single Hooke's-Law harmonic spring. The resulting dynamics shows that three specific thermostat types, Hoover-Holian, Ju-Bulgac, and Martyna-Klein-Tuckerman, have very similar Lyapunov spectra in their equilibrium four-dimensional phase spaces and when coupled in equilibrium or nonequilibrium pairs. All three of these oscillator-based thermostats are shown to be ergodic, w…
This viewpoint relates to an article by Jorge Kurchan (1998 J. Phys. A: Math. Gen. 31, 3719) as part of a series of commentaries celebrating the most influential papers published in the J. Phys. series, which is celebrating its 50th anniversary.
There are only a very few known relations in statistical dynamics that are valid for systems driven arbitrarily far-from-equilibrium. One of these is the fluctuation theorem, which places conditions on the entropy production probability distribution of nonequilibrium systems. Another recently discovered far-from-equilibrium expression relates nonequilibrium measurements of the work done on a system to equilibrium free energy differences. In this paper, we derive a generalized version of the fluctuation theorem for stochastic, microscopically reversible dynamics. Invoking this generalized theor…
It is shown that early suggested derivation of the Boltzmann kinetic equation for dilute hard sphere gas from the time-reversible BBGKY equations is incorrect since in fact a priori substitutes for them definite irreversible equations. Alternative approach to analysis of the hard sphere gas is formulated which conserves the reversibility and makes it clear that at any gas density one can reduce the BBGKY equations to the Boltzmann equation only in case of spatially uniform gas.
While entropy changes are the usual subject of fluctuation theorems, we seek fluctuation relations involving time-symmetric quantities, namely observables that do not change sign if the trajectories are observed backward in time. We find detailed and integral fluctuation relations for the (time integrated) difference between "entrance rate" and escape rate in mesoscopic jump systems. Such "inflow rate", which is even under time reversal, represents the discrete-state equivalent of the phase space contraction rate. Indeed, it becomes minus the divergence of forces in the continuum limit to over…
We construct different equivalent non-equilibrium statistical ensembles in a simple yet instructive $N$-degrees of freedom model of atmospheric turbulence, introduced by Lorenz in 1996. The vector field can be decomposed into an energy-conserving, time-reversible part, plus a non-time reversible part, including forcing and dissipation. We construct a modified version of the model where viscosity varies with time, in such a way that energy is conserved, and the resulting dynamics is fully time-reversible. For each value of the forcing, the statistical properties of the irreversible and reversib…
Propulsion of otherwise passive objects is achieved by mechanisms of active driving. We concentrate on cases in which the direction of active drive is subject to spontaneous symmetry breaking. In our case, this direction will be maintained, until a large enough impulse by an additional stochastic force reverses it. Examples may be provided by self-propelled droplets, gliding bacteria stochastically reversing their propulsion direction, or nonpolar vibrated hoppers. The magnitude of active forcing is regarded as constant, and we include the effect of inertial contributions. Interestingly, this …
Dynamics of molecular motors that move along linear lattices and interact with them via reversible destruction of specific lattice bonds is investigated theoretically by analyzing exactly solvable discrete-state ``burnt-bridge'' models. Molecular motors are viewed as diffusing particles that can asymmetrically break or rebuild periodically distributed weak links when passing over them. Our explicit calculations of dynamic properties show that coupling the transport of the unbiased molecular motor with the bridge-burning mechanism leads to a directed motion that lowers fluctuations and produces…
