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Fractal Dimension

There are numerous methods that one can use to calculate a so-called "dimension" of a dataset which in the context of dynamical systems is called the Fractal dimension. Several variants of a computationally feasible fractal dimension exist and a simple usage example is shown in the Fractal dimension example subsection.

Generalized dimension

Based on the definition of the Generalized entropy (genentropy), one can calculate an appropriate dimension, called generalized dimension:

ChaosTools.generalized_dim — Function
generalized_dim(dataset [, sizes]; q = 1, base = MathConstants.e) -> Δ_q

Return the q order generalized dimension of the dataset, by calculating the genentropy for each ε ∈ sizes.

The case of q = 0 is often called "capacity" or "box-counting" dimension, while q = 1 is the "information" dimension.

Description

The returned dimension is approximated by the (inverse) power law exponent of the scaling of the genentropy $H_q$ versus the box size ε, where ε ∈ sizes:

\[H_q \sim -\Delta_q\log(\varepsilon)\]

Calling this function performs a lot of automated steps:

  1. A vector of box sizes is decided by calling sizes = estimate_boxsizes(dataset), if sizes is not given.
  2. For each element of sizes the appropriate entropy is calculated, through H = genentropy.(Ref(dataset), sizes; q, base). Let x = -log.(sizes).
  3. The curve H(x) is decomposed into linear regions, using linear_regions(x, h).
  4. The biggest linear region is chosen, and a fit for the slope of that region is performed using the function linear_region, which does a simple linear regression fit using linreg. This slope is the return value of generalized_dim.

By doing these steps one by one yourself, you can adjust the keyword arguments given to each of these function calls, refining the accuracy of the result.

ChaosTools.molteno_dim — Function
molteno_dim(data::Dataset; k0 = 10, q = 1.0, base = ℯ)

Calculate the generalized dimension using the algorithm for box division defined by Molteno[Molteno1993].

Description

Divide the data into boxes with each new box having half the side length of the former box using molteno_boxing. Break if the number of points over the number of filled boxes falls below k0. Then the generalized dimension can be calculated by using genentropy to calculate the sum over the logarithm also considering possible approximations and fitting this to the logarithm of one over the boxsize using linear_region.

This algorithm is faster than the traditional approach of using probabilities, but it is only suited for low dimensional data since it divides each box into 2^D new boxes if D is the dimension. For large D this leads to low numbers of box divisions before the threshold is passed and the divison stops. This results to a low number of data points to fit the dimension to and thereby a poor estimate.

ChaosTools.molteno_boxing — Function
molteno_boxing(data::Dataset; k0 = 10) → (probs, εs)

Distribute the data into boxes whose size is halved in each step. Stop if the average number of points per filled box falls below the threshold k0.

Return probs, a vector of Propabilities for different box sizes and the corresponding box sizes εs.

Description

Project the data onto the whole interval of numbers that is covered by UInt64. This projected data is distributed into boxes whose size decreases by factor 2 in each step. For each box that contains more than one point 2^D new boxes are created where D is the dimension of the data.

The process of dividing the data into new boxes stops when the number of points over the number of filled boxes falls below k0. The box sizes εs are calculated and returned together with the probs.

See[Molteno1993] for more.

Be wary when using `generalized_dim`

As stated clearly by the documentation string, calling generalized_dim performs a lot of automated steps by calling other functions (see below) with default arguments. It is actually more like a convenient bundle than an actual function and therefore you should be careful when considering the validity of the returned number.

Fractal dimension example

For an example of using entropies to compute the dimension of an attractor let's use everyone's favorite system:

using DynamicalSystems, PyPlot
lor = Systems.lorenz()
3-dimensional continuous dynamical system
 state:       [0.0, 10.0, 0.0]
 rule f:      loop
 in-place?    false
 jacobian:    loop_jac
 parameters:  [10.0, 28.0, 2.66667]

Our goal is to compute entropies for many different partition sizes ε, so let's get down to it:

tr = trajectory(lor, 100.0; Ttr = 10.0)

ες = ℯ .^ (-3.5:0.5:3.5) # semi-random guess
Hs = genentropy.(Ref(tr), ες; q = 1)
15-element Vector{Float64}:
 9.210163135827221
 9.209885904678114
 9.205588821866925
 9.163135769707873
 9.039622517889587
 8.749506901615774
 8.178015212452046
 7.352943670287913
 6.417028000988335
 5.456990975726761
 4.498104282352881
 3.561226185127731
 2.663462859717718
 1.9271837911188767
 0.6834933361933877
xs = @. -log(ες)
fig = figure()
plot(xs, Hs)
ylabel("\$H_1\$")
xlabel("\$-\\log (\\epsilon)\$");
fig.tight_layout(pad=0.3); fig

The slope of the linear scaling region of the above plot is the generalized dimension (of order q = 1) for the attractor of the Lorenz system.

Given that we see the plot, we can estimate where the linear scaling region starts and ends. However, we can use the function linear_region to get an estimate of the result as well. First let's visualize what it does:

lrs, slopes = linear_regions(xs, Hs, tol = 0.25)

fig = figure()
for i in 1:length(lrs)-1
    plot(xs[lrs[i]:lrs[i+1]], Hs[lrs[i]:lrs[i+1]], marker = "o")
end
ylabel("\$H_1\$")
xlabel("\$-\\log (\\epsilon)\$");
fig.tight_layout(pad=0.3); fig

The linear_region function computes the slope of the largest region:

Δ = linear_region(xs, Hs)[2]
1.8268932415033061

This result is an approximation of the information dimension (because we used q = 1) of the Lorenz attractor.

The above pipeline is bundled in generalized_dim. For example, the dimension of the strange attractor of the Systems.henon map, following the above approach but taking automated steps, is:

using DynamicalSystems
hen = Systems.henon()
tr = trajectory(hen, 200000)
D_hen = generalized_dim(tr; q = 1)
1.221186840581862

As a side note, be sure that you have enough data points, otherwise the values you will get will never be correct, as is demonstrated by J.-P. Eckmann and D. Ruelle (see Physica D 56, pp 185-187 (1992)).

Linear scaling regions

And other utilities, especially linreg, used in both [generalized_dim] and grassberger_dim.

ChaosTools.linear_regions — Function
linear_regions(x, y; dxi::Int = 1, tol = 0.25) -> (lrs, tangents)

Identify regions where the curve y(x) is linear, by scanning the x-axis every dxi indices sequentially (e.g. at x[1] to x[5], x[5] to x[10], x[10] to x[15] and so on if dxi=5).

If the slope (calculated via linear regression) of a region of width dxi is approximatelly equal to that of the previous region, within tolerance tol, then these two regions belong to the same linear region.

Return the indices of x that correspond to linear regions, lrs, and the correct tangents at each region (obtained via a second linear regression at each accumulated region).

ChaosTools.linear_region — Function
linear_region(x, y; kwargs...) -> ((ind1, ind2), slope)

Call linear_regions and identify and return the largest linear region and its slope. The region starts and stops at x[ind1:ind2].

The keywords dxi, tol are propagated as-is to linear_regions. The keyword ignore_saturation = true ignores saturation that (sometimes) happens at the start and end of the curve y(x), where the curve flattens. The keyword sat = 0.01 decides what saturation is (while abs(y[i]-y[i+1])<sat we are in a saturation regime).

The keyword warning = true prints a warning if the linear region is less than 1/3 of the available x-axis.

ChaosTools.linreg — Function
linreg(x, y) -> a, b

Perform a linear regression to find the best coefficients so that the curve: z = a + b*x has the least squared error with y.

ChaosTools.estimate_boxsizes — Function
estimate_boxsizes(A::Dataset; kwargs...) → εs

Return k exponentially spaced values: εs = base .^ range(lower + w, upper + z; length = k), that are a good estimate for sizes ε that are used in calculating a Fractal Dimension. It is strongly recommended to standardize input dataset A before using this function.

Let d₋ be the minimum pair-wise distance in A and d₊ the average total length of A along each of the dimensions of A. Then lower = log(base, d₋) and upper = log(base, d₊). Because by default w=1, z=-1, the returned sizes are an order of mangitude larger than the minimum distance, and an order of magnitude smaller than the maximum distance.

Keywords

  • w = 1, z = -1, k = 20 : as explained above.
  • base = MathConstants.e : the base used in the log function.
  • warning = true: Print some warnings for bad estimates.
  • autoexpand = true: If the final estimated range does not cover at least 2 orders of magnitude, it is automatically expanded by setting w -= we and z -= ze. You can set different default values to the keywords we = w, ze = z.

Correlation sum based dimension

ChaosTools.correlationsum — Function
correlationsum(X, ε::Real; w = 0, norm = Euclidean(), q = 2) → C_q(ε)

Calculate the q-order correlation sum of X (Dataset or timeseries) for a given radius ε and norm. They keyword show_progress = false can be used to display a progress bar for large X.

The function boxed_correlationsum is faster and should be preferred over this one.

Description

The correlation sum is done using the formula:

\[C_2(\epsilon) = \frac{2}{(N-w)(N-w-1)}\sum_{i=1}^{N}\sum_{j=1+w+i}^{N} B(||X_i - X_j|| < \epsilon)\]

for q=2 and

\[C_q(\epsilon) = \left[\frac{1}{\alpha} \sum_{i=w+1}^{N-w}\left[\sum_{j:|i-j| > w} B(||X_i - X_j|| < \epsilon)\right]^{q-1}\right]^{1/(q-1)}\]

where

\[\alpha = (N-2w)(N-2w-1)^{(q-1)}\]

for q≠2, where $N$ is its length and $B$ gives 1 if the argument is true. w is the Theiler window. If ε is a vector its values have to be ordered. See the article of Grassberger for the general definition [Grassberger2007] and the book "Nonlinear Time Series Analysis" [Kantz2003], Ch. 6, for a discussion around w and choosing best values and Ch. 11.3 for the explicit definition of the q-order correlationsum.

correlationsum(X, εs::AbstractVector; w, norm, q) → C_q(ε)

If εs is a vector, C_q is calculated for each ε ∈ εs. If also q=2, we attempt to do further optimizations are done, if the allocation a matrix of size N×N is possible

See grassberger for more. See also takens_best_estimate.

ChaosTools.grassberger_dim — Function
grassberger_dim(data, εs = estimate_boxsizes(data); kwargs...) → D_C

Use the method of Grassberger and Proccacia[Grassberger1983], and the correction by Theiler[Theiler1986], to estimate the correlation dimension D_C of the given data.

This function does something extremely simple:

cm = correlationsum(data, εs; kwargs...)
return linear_region(log.(sizes), log(cm))[2]

i.e. it calculates correlationsum for various radii and then tries to find a linear region in the plot of the log of the correlation sum versus log(ε). See generalized_dim for a more thorough explanation.

See also takens_best_estimate.

ChaosTools.boxed_correlationsum — Function
boxed_correlationsum(X::Dataset, εs, r0 = maximum(εs); kwargs...) → Cs

Estimate the box assisted q-order correlation sum[Kantz2003] Cs out of a dataset X for each radius in εs, by splitting the data into boxes of size r0 beforehand. This method is much faster than correlationsum, provided that the box size r0 is significantly smaller than then the attractor length. A good estimate for r0 is estimate_r0_buenoorovio.

boxed_correlationsum(X; kwargs...) → εs, Cs

In this method the minimum inter-point distance and estimate_r0_buenoorovio are used to estimate good εs for the calculation, which are also returned.

Keywords

  • q = 2
  • P = autoprismdim(data) : The prism dimension.
  • w = 0 : The Theiler window.
  • show_progress = false : Whether to display a progress bar for the calculation.

Description

C_q(ε) is calculated for every ε ∈ εs and each of the boxes to then be summed up afterwards. The method of splitting the data into boxes was implemented according to Theiler[Theiler1987]. w is the Theiler window. P is the prism dimension. If P is unequal to the dimension of the data, only the first P dimensions are considered for the box distribution (this is called the prism-assisted version). By default P is choosen automatically.

The function is explicitly optimized for q = 2 but becomes quite slow for q ≠ 2.

See correlationsum for the definition of C_q and also data_boxing to use the algorithm that splits data into boxes.

ChaosTools.data_boxing — Function
data_boxing(data, r0, P) → boxes, contents

Distribute the data points into boxes of size r0. Return box positions and the contents of each box as two separate vectors. Implemented according to the paper by Theiler[Theiler1987] improving the algorithm by Grassberger and Procaccia[Grassberger1983]. If P is smaller than the dimension of the data, only the first P dimensions are considered for the distribution into boxes.

See also: boxed_correlationsum.

ChaosTools.estimate_r0_buenoorovio — Function
estimate_r0_buenoorovio(X::Dataset, P = autoprismdim(X))

Estimates a reasonable size for boxing the time series X proposed by Bueno-Orovio and Pérez-García[Bueno2007] before calculating the correlation dimension as presented by Theiler[Theiler1983]. If instead of boxes, prisms are chosen everything stays the same but P is the dimension of the prism. To do so the dimension ν is estimated by running the algorithm by Grassberger and Procaccia[Grassberger1983] with √N points where N is the number of total data points. An effective size ℓ of the attractor is calculated by boxing a small subset of size N/10 into boxes of sidelength r_ℓ and counting the number of filled boxes η_ℓ.

\[\ell = r_\ell \eta_\ell ^{1/\nu}\]

The optimal number of filled boxes η_opt is calculated by minimising the number of calculations.

\[\eta_\textrm{opt} = N^{2/3}\cdot \frac{3^\nu - 1}{3^P - 1}^{1/2}.\]

P is the dimension of the data or the number of edges on the prism that don't span the whole dataset.

Then the optimal boxsize $r_0$ computes as

\[r_0 = \ell / \eta_\textrm{opt}^{1/\nu}.\]

ChaosTools.estimate_r0_theiler — Function
estimate_r0_theiler(X::Dataset) → r0, ε0

Estimate a reasonable size for boxing the data X before calculating the boxed_correlationsum proposed by Theiler[Theiler1987]. Return the boxing size r0 and minimum inter-point distance in X, ε0.

To do so the dimension is estimated by running the algorithm by Grassberger and Procaccia[Grassberger1983] with √N points where N is the number of total data points. Then the optimal boxsize $r_0$ computes as

\[r_0 = R (2/N)^{1/\nu}\]

where $R$ is the size of the chaotic attractor and $\nu$ is the estimated dimension.

ChaosTools.correlationsum_fixedmass — Function
correlationsum_fixedmass(data, max_j; metric = Euclidean(), M = length(data)) → rs, ys

A fixed mass algorithm for the calculation of the fractal dimension $\Delta$ according to [Grassberger1988] with max_j the maximum number of neighbours that should be considered for the calculation, M defines the number of points considered for the calculation, default is the whole data set.

Implements

\[\Delta \overline{\log r^{(j)}} \sim Ψ(j) - \log N\]

where $\Psi(j) = \frac{\text{d} \log Γ(j)}{\text{d} j}$, rs = $\overline{\log r^{(j)}}$ and ys = $\Psi(j) - \log N$.

$\Delta$ can be computed by using linear_region(rs, ys).

Takens' best estimate

ChaosTools.takens_best_estimate — Function
takens_best_estimate(X, εmax, metric = Chebyshev(),εmin = 0) → D_C, D_C_95u, D_C_95l

Use the so-called "Takens' best estimate" [Takens1985][Theiler1988] method for estimating the correlation dimension D_C and the upper (D_C_95u) and lower (D_C_95l) confidence limit for the given dataset X.

The original formula is

\[D_C \approx \frac{C(\epsilon_\text{max})}{\int_0^{\epsilon_\text{max}}(C(\epsilon) / \epsilon) \, d\epsilon}\]

where $C$ is the correlationsum and $\epsilon_\text{max}$ is an upper cutoff. Here we use the later expression

\[D_C \approx - \frac{1}{\eta},\quad \eta = \frac{1}{(N-1)^*}\sum_{[i, j]^*}\log(||X_i - X_j|| / \epsilon_\text{max})\]

where the sum happens for all $i, j$ so that $i < j$ and $||X_i - X_j|| < \epsilon_\text{max}$. In the above expression, the bias in the original paper has already been corrected, as suggested in [Borovkova1999].

The confidence limits are estimated from the log-likelihood function by finding the values of D_C where the function has fallen by 2 from its maximum, see e.g. [Barlow] chapter 5.3 Because the CLT does not apply (no independent measurements), the limits are not neccesarily symmetric.

According to [Borovkova1999], introducing a lower cutoff εmin can make the algorithm more stable (no divergence), this option is given but defaults to zero.

If X comes from a delay coordinates embedding of a timseries x, a recommended value for $\epsilon_\text{max}$ is std(x)/4.

Kaplan-Yorke Dimension

ChaosTools.kaplanyorke_dim — Function
kaplanyorke_dim(λs::AbstractVector)

Calculate the Kaplan-Yorke dimension, a.k.a. Lyapunov dimension[Kaplan1970].

Description

The Kaplan-Yorke dimension is simply the point where cumsum(λs) becomes zero (interpolated):

\[ D_{KY} = k + \frac{\sum_{i=1}^k \lambda_i}{|\lambda_{k+1}|},\quad k = \max_j \left[ \sum_{i=1}^j \lambda_i > 0 \right].\]

If the sum of the exponents never becomes negative the function will return the length of the input vector.

Useful in combination with lyapunovspectrum.

Notice that calling this function requires you to pass the Lyapunov exponents in an ordered vector form (largest to smallest). Example:

using DynamicalSystems
hen = Systems.henon()
D_kp = kaplanyorke_dim(lyapunovspectrum(hen, 100000))
1.2586995653740427