Bounding Averages Rigorously Using Semidefinite Programming: Mean Moments of the Lorenz System

Abstract

We describe methods for proving bounds on infinite-time averages in differential dynamical systems. The methods rely on the construction of nonnegative polynomials with certain properties, similarly to the way nonlinear stability can be proved using Lyapunov functions. Nonnegativity is enforced by requiring the polynomials to be sums of squares, a condition which is then formulated as a semidefinite program (SDP) that can be solved computationally. Although such computations are subject to numerical error, we demonstrate two ways to obtain rigorous results: using interval arithmetic to control the error of an approximate SDP solution, and finding exact analytical solutions to relatively small SDPs. Previous formulations are extended to allow for bounds depending analytically on parametric variables. These methods are illustrated using the Lorenz equations, a system with three state variables $(x,y,z)$ and three parameters $(\beta,\sigma,r)$. Bounds are reported for infinite-time averages of all eighteen moments $x^ly^mz^n$ up to quartic degree that are symmetric under $(x,y)\mapsto(-x,-y)$. These bounds apply to all solutions regardless of stability, including chaotic trajectories, periodic orbits, and equilibrium points. The analytical approach yields two novel bounds that are sharp: the mean of $z^3$ can be no larger than its value of $(r-1)^3$ at the nonzero equilibria, and the mean of $xy^3$ must be nonnegative. The interval arithmetic approach is applied at the standard chaotic parameters to bound eleven average moments that all appear to be maximized on the shortest periodic orbit. Our best upper bound on each such average exceeds its value on the maximizing orbit by less than 1%. Many bounds reported here are much tighter than would be possible without computer assistance.