Elsevier Science Home
Computer Physics Communications Program Library
Full text online from Science Direct
Programs in Physics & Physical Chemistry
CPC Home

[Licence| Download | New Version Template] adhc_v1_0.gz(5 Kbytes)
Manuscript Title: LYAP: a program to compute the Lyapunov exponents of a dynamical system from a time series.
Authors: F. Sattin
Program title: LYAP
Catalogue identifier: ADHC_v1_0
Distribution format: gz
Journal reference: Comput. Phys. Commun. 107(1997)253
Programming language: Fortran.
Computer: DEC Alpha 2100 5/250.
Operating system: Open VMS.
RAM: 2.5M words
Word size: 32
Keywords: General purpose, Quadrature, Chaos, Lyapunov exponents, Time series.
Classification: 4.11.

Nature of problem:
The program calculates all the Lyapunov exponents of a dynamical system when the law of evolution is unknown, as is the case for most of the systems studied in applied science (astronomy, biology, ...), and only a set of data in the form of a time series is available.

Solution method:
The time series is approximated by an analytical function. The Lyapunov exponents are computed from this analytical function. The fitting algorithm is an implementation of the method outlined in [1]. NAG routine E04GCF is used.

Running time:
Almost all the cpu time is consumed by the least squares minimization. It is about 15 sec for the test run.

References:
[1] R. Gencay and W. Davis Dechert, Physica D 59 (1992) 142.