arXiv subjects

D. Sornette

Publications and source records attributed to D. Sornette.

At least 127 records · Page 7Linked to original sources

arXiv2005

Predicting Failure using Conditioning on Damage History: Demonstration on Percolation and Hierarchical Fiber Bundles

We formulate the problem of probabilistic predictions of global failure in the simplest possible model based on site percolation and on one of the simplest model of time-dependent rupture, a hierarchical fiber bundle model. We show that conditioning the predictions on the knowledge of the current degree of damage (occupancy density $p$ or number and size of cracks) and on some information on the largest cluster improves significantly the prediction accuracy, in particular by allowing to identify those realizations which have anomalously low or large clusters (cracks). We quantify the prediction gains using two measures, the relative specific information gain (which is the variation of entropy obtained by adding new information) and the root-mean-square of the prediction errors over a large ensemble of realizations. The bulk of our simulations have been obtained with the two-dimensional site percolation model on a lattice of size $L \times L=20 \times 20$ and hold true for other lattice sizes. For the hierarchical fiber bundle model, conditioning the measures of damage on the information of the location and size of the largest crack extends significantly the critical region and the prediction skills. These examples illustrate how on-going damage can be used as a revelation of both the realization-dependent pre-existing heterogeneity and the damage scenario undertaken by each specific sample.

cond-mat.mtrl-sci↗

arXiv2005

Renormalization of the ETAS branching model of triggered seismicity from total to observable seismicity

Several recent works point out that the crowd of small unobservable earthquakes (with magnitudes below the detection threshold $m_d$) may play a significant and perhaps dominant role in triggering future seismicity. Using the ETAS branching model of triggered seismicity, we apply the formalism of generating probability functions to investigate how the statistical properties of observable earthquakes differ from the statistics of all events. The ETAS (epidemic-type aftershock sequence) model assumes that each earthquake can trigger other earthquakes (``aftershocks''). An aftershock sequence results in this model from the cascade of aftershocks of each past earthquake. The triggering efficiency of earthquakes is assumed to vanish below a lower magnitude limit $m_0$, in order to ensure the convergence of the theory and may reflect the physics of state-and-velocity frictional rupture. We show that, to a good approximation, the ETAS model is renormalized onto itself under what amounts to a decimation procedure $m_0 \to m_d$, with just a renormalization of the branching ratio from $n$ to an effective value $n(m_d)$. Our present analysis thus confirms, for the full statistical properties, the results obtained previously by one of us and Werner, based solely on the average seismic rates (the first-order moment of the statistics). However, our analysis also demonstrates that this renormalization is not exact, as there are small corrections which can be systematically calculated, in terms of additional contributions that can be mapped onto a different branching model (a new relevant direction in the language of the renormalization group).

physics.geo-ph↗

arXiv2005

Vere-Jones' Self-Similar Branching Model

Motivated by its potential application to earthquake statistics, we study the exactly self-similar branching process introduced recently by Vere-Jones, which extends the ETAS class of conditional branching point-processes of triggered seismicity. One of the main ingredient of Vere-Jones' model is that the power law distribution of magnitudes m' of daughters of first-generation of a mother of magnitude m has two branches m' m with exponent beta+d, where beta and d are two positive parameters. We predict that the distribution of magnitudes of events triggered by a mother of magnitude $m$ over all generations has also two branches m' m with exponent beta+h, with h= d \sqrt{1-s}, where s is the fraction of triggered events. This corresponds to a renormalization of the exponent d into h by the hierarchy of successive generations of triggered events. The empirical absence of such two-branched distributions implies, if this model is seriously considered, that the earth is close to criticality (s close to 1) so that beta - h \approx β+ h \approx β. We also find that, for a significant part of the parameter space, the distribution of magnitudes over a full catalog summed over an average steady flow of spontaneous sources (immigrants) reproduces the distribution of the spontaneous sources and is blind to the exponents beta, d of the distribution of triggered events.

cond-mat.stat-mech↗

arXiv2005

Multifractality of Inverse Statistics of Exit Distances in 3D Fully Developed Turbulence

The inverse structure functions of exit distances have been introduced as a novel diagnostic of turbulence which emphasizes the more laminar regions [1-4]. Using Taylor's frozen field hypothesis, we investigate the statistical properties of the exit distances of empirical 3D fully developed turbulence. We find that the probability density functions of exit distances at different velocity thresholds can be approximated by stretched exponentials with exponents varying with the velocity thresholds below a critical threshold. We show that the inverse structure functions exhibit clear extended self-similarity (ESS). The ESS exponents ξ(p,2) for small p (p<3.5) are well captured by the prediction of ξ(p,2)= p/2 obtained by assuming a universal distribution of the exit distances, while the observed deviations for large p's characterize the dependence of these distributions on the velocity thresholds. By applying a box-counting multifractal analysis of the natural measure constructed on the time series of exit distances, we demonstrate the existence of a genuine multifractality, endowed in addition with negative dimensions. Performing the same analysis of reshuffled time series with otherwise identical statistical properties for which multifractality is absent, we show that multifractality can be traced back to non-trivial dependence in the time series of exit times, suggesting a non-trivial organization of weakly-turbulent regions.

physics.flu-dyn↗

arXiv2005

Distribution of the Largest Aftershocks in Branching Models of Triggered Seismicity: Theory of the Universal Bath's law

Using the ETAS branching model of triggered seismicity, we apply the formalism of generating probability functions to calculate exactly the average difference between the magnitude of a mainshock and the magnitude of its largest aftershock over all generations. This average magnitude difference is found empirically to be independent of the mainshock magnitude and equal to 1.2, a universal behavior known as Bath's law. Our theory shows that Bath's law holds only sufficiently close to the critical regime of the ETAS branching process. Allowing for error bars +- 0.1 for Bath's constant value around 1.2, our exact analytical treatment of Bath's law provides new constraints on the productivity exponent alpha and the branching ratio n: $0.9 <= alpha <= 1$ and 0.8 <= n <= 1. We propose a novel method for measuring alpha based on the predicted renormalization of the Gutenberg-Richter distribution of the magnitudes of the largest aftershock. We also introduce the ``second Bath's law for foreshocks: the probability that a main earthquake turns out to be the foreshock does not depend on its magnitude.

physics.geo-ph↗

arXiv2005

Apparent Clustering and Apparent Background Earthquakes Biased by Undetected Seismicity

In models of triggered seismicity and in their inversion with empirical data, the detection threshold m_d is commonly equated to the magnitude m_0 of the smallest triggering earthquake. This unjustified assumption neglects the possibility of shocks below the detection threshold triggering observable events. We introduce a formalism that distinguishes between the detection threshold m_d and the minimum triggering earthquake m_0 < m_d. By considering the branching structure of one complete cascade of triggered events, we derive the apparent branching ratio n_a (which is the apparent fraction of aftershocks in a given catalog) and the apparent background source S_a that are observed when only the structure above the detection threshold m_d is known due to the presence of smaller undetected events that are capable of triggering larger events. If earthquake triggering is controlled in large part by the smallest magnitudes as several recent analyses have shown, this implies that previous estimates of the clustering parameters may significantly underestimate the true values: for instance, an observed fraction of 55% of aftershocks is renormalized into a true value of 75% of triggered events.

physics.geo-ph↗

arXiv2005

Statistical Physics of Rupture in Heterogeneous Media

The damage and fracture of materials are technologically of enormous interest due to their economic and human cost. They cover a wide range of phenomena like e.g. cracking of glass, aging of concrete, the failure of fiber networks in the formation of paper and the breaking of a metal bar subject to an external load. Failure of composite systems is of utmost importance in naval, aeronautics and space industry. By the term composite, we refer to materials with heterogeneous microscopic structures and also to assemblages of macroscopic elements forming a super-structure. Chemical and nuclear plants suffer from cracking due to corrosion either of chemical or radioactive origin, aided by thermal and/or mechanical stress. Despite the large amount of experimental data and the considerable effort that has been undertaken by material scientists, many questions about fracture have not been answered yet. There is no comprehensive understanding of rupture phenomena but only a partial classification in restricted and relatively simple situations. This lack of fundamental understanding is indeed reflected in the absence of reliable prediction methods for rupture, based on a suitable monitoring of the stressed system. Not only is there a lack of non-empirical understanding of the reliability of a system, but also the empirical laws themselves have often limited value. The difficulties stem from the complex interplay between heterogeneities and modes of damage and the possible existence of a hierarchy of characteristic scales (static and dynamic). The paper presents a review of recent efforts from the statistical physics community to address these points.

cond-mat.mtrl-sci↗

arXiv2004

The Dynamics of Book Sales: Endogenous versus Exogenous Shocks in Complex Networks

We present an extensive study of the foreshock and aftershock signatures accompanying peaks of book sales. The time series of book sales are derived from the ranking system of Amazon.com. We present two independent ways of classifying peaks, one based on the acceleration pattern of sales and the other based on the exponent of the relaxation. They are found to be consistent and reveal the co-existence of two types of sales peaks: exogenous peaks occur abruptly and are followed by a power law relaxation, while endogenous sale peaks occur after a progressively accelerating power law growth followed by an approximately symmetrical power law relaxation which is slower than for exogenous peaks. We develop a simple epidemic model of buyers connected within a network of acquaintances which propagates rumors and opinions on books. The comparison between the predictions of the model and the empirical data confirms the validity of the model and suggests in addition that social networks have evolved to converge very close to criticality (here in the sense of critical branching processes of opinion spreading). We test in details the evidence for a power law distribution of book sales and confirm a previous indirect study suggesting that the fraction of books (density distribution) $P(S)$ of sales S is a power law P(S) ~ 1/S^{1+mu} with mu close to 2. A short version of this work appeared in Sornette, D. et al., Phys. Rev. Letts. 93 (22), 228701 (2004).

physics.soc-ph↗

arXiv2004

Power Law Distributions of Seismic Rates

We report an empirical determination of the probability density functions $P_{\text{data}}(r)$ of the number $r$ of earthquakes in finite space-time windows for the California catalog. We find a stable power law tail $P_{\text{data}}(r) \sim 1/r^{1+μ}$ with exponent $μ\approx 1.6$ for all space ($5 \times 5$ to $20 \times 20$ km$^2$) and time intervals (0.1 to 1000 days). These observations, as well as the non-universal dependence on space-time windows for all different space-time windows simultaneously, are explained by solving one of the most used reference model in seismology (ETAS), which assumes that each earthquake can trigger other earthquakes. The data imposes that active seismic regions are Cauchy-like fractals, whose exponent $δ=0.1 \pm 0.1$ is well-constrained by the seismic rate data.

physics.geo-ph↗

arXiv2004

Power law distribution of seismic rates: theory and data

We report an empirical determination of the probability density functions P(r) of the number r of earthquakes in finite space-time windows for the California catalog, over fixed spatial boxes 5 x 5 km^2 and time intervals dt =1, 10, 100 and 1000 days. We find a stable power law tail P(r) ~ 1/r^{1+mu} with exponent mu \approx 1.6 for all time intervals. These observations are explained by a simple stochastic branching process previously studied by many authors, the ETAS (epidemic-type aftershock sequence) model which assumes that each earthquake can trigger other earthquakes (``aftershocks''). An aftershock sequence results in this model from the cascade of aftershocks of each past earthquake. We develop the full theory in terms of generating functions for describing the space-time organization of earthquake sequences and develop several approximations to solve the equations. The calibration of the theory to the empirical observations shows that it is essential to augment the ETAS model by taking account of the pre-existing frozen heterogeneity of spontaneous earthquake sources. This seems natural in view of the complex multi-scale nature of fault networks, on which earthquakes nucleate. Our extended theory is able to account for the empirical observation satisfactorily. In particular, the adjustable parameters are determined by fitting the largest time window $dt=1000$ days and are then used as frozen in the formulas for other time scales, with very good agreement with the empirical data.

physics.geo-ph↗

arXiv2004

Endogenous versus Exogenous Origins of Crises

Are large biological extinctions such as the Cretaceous/Tertiary KT boundary due to a meteorite, extreme volcanic activity or self-organized critical extinction cascades? Are commercial successes due to a progressive reputation cascade or the result of a well orchestrated advertisement? Determining the chain of causality for extreme events in complex systems requires disentangling interwoven exogenous and endogenous contributions with either no clear or too many signatures. Here, I review several efforts carried out with collaborators, which suggest a general strategy for understanding the organization of several complex systems under the dual effect of endogenous and exogenous fluctuations. The studied examples are: Internet download shocks, book sale shocks, social shocks, financial volatility shocks, and financial crashes. Simple models are offered to quantitatively relate the endogenous organization to the exogenous response of the system. Suggestions for applications of these ideas to many other systems are offered.

physics.soc-ph↗

arXiv2004

Endogenous Versus Exogenous Shocks in Complex Networks: an Empirical Test Using Book Sale Ranking

Are large biological extinctions such as the Cretaceous/Tertiary KT boundary due to a meteorite, extreme volcanic activity or self-organized critical extinction cascades? Are commercial successes due to a progressive reputation cascade or the result of a well orchestrated advertisement? Determining the chain of causality for extreme events in complex systems requires disentangling interwoven exogenous and endogenous contributions with either no clear or too many signatures. Here, we study the precursory and recovery signatures accompanying shocks, that we test on a unique database of the Amazon sales ranking of books. We find clear distinguishing signatures classifying two types of sales peaks. Exogenous peaks occur abruptly and are followed by a power law relaxation, while endogenous sale peaks occur after a progressively accelerating power law growth followed by an approximately symmetrical power law relaxation which is slower than for exogenous peaks. These results are rationalized quantitatively by a simple model of epidemic propagation of interactions with long memory within a network of acquaintances. The slow relaxation of sales implies that the sales dynamics is dominated by cascades rather than by the direct effects of news or advertisements, indicating that the social network is close to critical.

cond-mat.stat-mech↗

arXiv2004

Constraints on the Size of the Smallest Triggering Earthquake from the ETAS Model, Baath's Law, and Observed Aftershock Sequences

The physics of earthquake triggering together with simple assumptions of self-similarity impose the existence of a minimum magnitude m0 below which earthquakes do not trigger other earthquakes. Noting that the magnitude md of completeness of seismic catalogs has no reason to be the same as the magnitude m0 of the smallest triggering earthquake, we use quantitative fits and maximum likelihood inversions of observed aftershock sequences as well as Baath's law, compare with ETAS model predictions and thereby constrain the value of m0. We show that the branching ratio $n$ (average number of triggered earthquake per earthquake also equal to the fraction of aftershocks in seismic catalogs) is the key parameter controlling the minimum triggering magnitude m0. Conversely, physical upper bounds for m0 derived from state- and velocity-weakening friction indicate that at least 60 to 70 percent of all earthquakes are aftershocks.

physics.geo-ph↗

arXiv2004

Testing the Stability of the 2000-2003 US Stock Market "Antibubble"

Since August 2000, the stock market in the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. In \cite{SZ02QF}, we have proposed to describe this phenomenon using the concept of a log-periodic power law (LPPL) antibubble, characterizing behavioral herding between investors leading to a competition between positive and negative feedbacks in the pricing process. A monthly prediction for the future evolution of the US S&P 500 index has been issued, monitored and updated in \cite{urlprediction}, which is still running. Here, we test the possible existence of a regime switching in the US S&P 500 antibubble. First, we find some evidence that the antibubble has exhibited a transition in log-periodicity described by a so-called second-order log-periodicity. Second, >...

cond-mat.stat-mech↗

arXiv2004

Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method

We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists in constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the lag-lead structure is searched as the optimal path in the distance matrix landscape that minimizes the total mismatch between the two time series, and that obeys a one-to-one causal matching condition. To make the solution robust to the presence of large noise that may lead to spurious structures in the distance matrix landscape, we then generalize this optimal search by introducing a fuzzy search by sampling over all possible paths, each path being weighted according to a multinomial logit or equivalently Boltzmann factor proportional to the exponential of the global mismatch of this path. We present the efficient transfer matrix method that solves the problem and test it on simple synthetic examples to demonstrate its properties and usefulness compared with the standard running-time cross-correlation method. We then apply our `Optimal Thermal Causal Path'' method to the question of the causality between ......

cond-mat.stat-mech↗

arXiv2004

Predictability of large future changes in major financial indices

We present a systematic algorithm testing for the existence of collective self-organization in the behavior of agents in social systems, with a concrete empirical implementation on the Dow Jones Industrial Average index (DJIA) over the 20th century and on Hong Kong Hang Seng composite index (HSI) since 1969. The algorithm combines ideas from critical phenomena, the impact of agents' expectation, multi-scale analysis and the mathematical method of pattern recognition of sparse data. Trained on the three major crashes in DJIA of the century, our algorithm exhibits a remarkable ability for generalization and detects in advance 8 other significant drops or changes of regimes. An application to HSI gives promising results as well. The results are robust with respect to the variations of the recognition algorithm. We quantify the prediction procedure with error diagrams.

cond-mat.stat-mech↗

arXiv2004

Multifractal Scaling of Thermally-Activated Rupture Processes

We propose a ``multifractal stress activation'' model combining thermally activated rupture and long memory stress relaxation, which predicts that seismic decay rates after mainshocks follow the Omori law $\sim 1/t^p$ with exponents $p$ linearly increasing with the magnitude $M_L$ of the mainshock and the inverse temperature. We carefully test this prediction on earthquake sequences in the Southern California Earthquake catalog: we find power law relaxations of seismic sequences triggered by mainshocks with exponents $p$ increasing with the mainshock magnitude by approximately $0.1-0.15$ for each magnitude unit increase, from $p(M_L=3) \approx 0.6$ to $p(M_L=7) \approx 1.1$, in good agreement with the prediction of the multifractal model.

physics.geo-ph↗

arXiv2004

Magnitude-Dependent Omori Law: Empirical Study and Theory

We propose a new physically-based ``multifractal stress activation'' model of earthquake interaction and triggering based on two simple ingredients: (i) a seismic rupture results from activated processes giving an exponential dependence on the local stress; (ii) the stress relaxation has a long memory. The combination of these two effects predicts in a rather general way that seismic decay rates after mainshocks follow the Omori law 1/t^p with exponents p linearly increasing with the magnitude M of the mainshock and the inverse temperature. We carefully test the prediction on the magnitude dependence of p by a detailed analysis of earthquake sequences in the Southern California Earthquake catalog. We find power law relaxations of seismic sequences triggered by mainshocks with exponents p increasing with the mainshock magnitude by approximately 0.1-0.15 for each magnitude unit increase, from p(M=3) \approx 0.6 to p(M=7) \approx 1.1, in good agreement with the prediction of the multifractal model. The results are robust with respect to different time intervals, magnitude ranges and declustering methods. When applied to synthetic catalogs generated by the ETAS (Epidemic-Type Aftershock Sequence) model constituting a strong null hypothesis with built-in magnitude-independent $p$-values, our procedure recovers the correct magnitude-independent p-values. Our analysis thus suggests that a new important fact of seismicity has been unearthed. We discuss alternative interpretations of the data and describe other predictions of the model.

cond-mat.stat-mech↗