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rownian motion paradox

J. A. \iiecelli LawrerzceLivermore National Laboratory, Livemore, California 94550 (Received 16 April 1991; accepted 25 June 1991) The unique properties of three-dimensional hydrodynamic turbulence depend on the nature of the long-range time correlations as well as the spatial correlations. Although KoImogorov s second simil@y hypothesis predicts a power-law spatial scaling exponent for the Eulerian velocity fluctuations in agreement with experiments, it also leads, via the Lagrangian velocity time structure function relationship, to particle dispersion predictions that are inconsistent with enhanced diffusion. Recently, a new computational technique has been developed which can generate random power-law correlated fields in any number of dimensions with unlimited scale range. This new method is used to explore the consequences of a proposed set of assumptions about the nature of the time correlations and their relationship to the spatial correlations. In particular, the Brownian motion paradox is examined and it is~shown that it can be resolved if the time domain constraint part of Kolmogorov e second hypothesis is relaxed and replaced with an assumption of space-time isotropy+ The proposed modification preserves the observed one-dimensional k - w3 spatial energy spectrum, allows for enhanced diffusion consistent with Richardson s law, is consistent with Taylor s frozen turbulence assumption under the appropriate conditions, and yields an w- frequency spectrum for then velocity fluctuations in a frame at rest with respe& to the turbulence.

1. INTRODUCTION It is not generally appreciated that the inclusion of time in Kolmogorov s second similarity hypothesis makes the hypothesis somewhat more restrictive than necessary to obtain a k i- 5n turbulent kinetic energy spectrum. Onsager s independent derivation of the k - 5 3 spatial scaling law emphasizes that no time assumption need be made, and that the law essentially rests on the empirical observation that at sufficiently high Reynolds numbers the overall energy loss rate E is fixed by the outer dimension of the flow and otherwise depends only on a power of the mean velocity of the outer scaIe of the motion.13 Since the overall dissipation rate is found not to depend on the viscosity, the smaller scales of the flow must readjust in such a way as to provide the exact amount of overall dissipation fixed by the outer scales of the motion. From this it follows that a spatial spectra1 scaling law consistent with an energy cascade process from larger to smaller scales can involve only E. Dimensional consistency then requires that the one-dimensional spectral energy density folIow E(k) = C, tY3k - S/3where the dissipation E is a volume average time-independent quantity. Time does not enter in the scaling argument since a time-independent average rate of energy transfer from smaller to larger wave numbers is assumed. A theoretical prediction that has become almost as well 3 law is the Lagrangian velocity structure known as the k s function relationship attributed to Obukhov and Landau. This result states that the time structure function for the velocity fluctuations of a Lagrangian particle scales proportional to the first power ofthe time. This sealing follows from the second part of Kolmogorov s second hypothesis, the part that postulates that the time dependence for the velocity fluctuation probability distribution function also- depends
2698 Phys. Fluids A 3 (1 I), November 1991

only on the dissipation rate. Under the assumption that time fluctuationsin velocity can depend only on the energy dissipation rate, dimensional consistency requires that the Lagrangian velocity structure function scale proportional to et, which is equivalent to an asymptotic ecti - ~scaling for the Lagrangian power spectrum in frequency space. Although there have been many experimental studies confirming the k - 5n spatial scaling relationship, the Lagrangian frequency scaling relationship has not been subjected to direct experimental tests. A Lagrangian velocity structure function scaling proportional to et is equivalent to the assumption of normal statistics for the particle velocity fluctuations, such that the particle follows Brownian motion- in velocity space with molecular diffusivity replaced by the dissipation rate per unit mass.B However, Brownian motion in velocity space also yields a normal Brownian random walk for the particle displacements in physical space because incremental displacements driven by velocities with a normal distribution satisfy the conditions of the central limit theorem.7 Here we have wme to what we call the Brownian motion paradox, because there is much evidence that the turbulent dispersion of Lagrangiarrparticles and passive scalars is not correctly described by normal Brownian motion.*- In Brownian motion mean-square displacements grow proportional to time, whereas dispersion experiments in turbulent fluids show enhanced diffusion with mean-square displacements growing proportional to time raised to a power in the neighborhood of three. Recognizing that the inclusion of time in Kolmogorov s second postulate is not necessary to the derivation of the k _ t/3 law, and that experimental support for a Lagrangian structure function scaiing proportional to et is lacking, sug@I 1991 American institute of Physics 2698

0899-8213/91 H 12698-I 1$02.00

gests a possible way of resolving the paradox. That intermittency in turbulent statistics might require some correction to Kolmogorov scaling has been appreciated for a long time, but the nature of what it is that sets the overall scale of the time fluctuations has not been much explored. It seems viscosity must play a role because,just as the overall scale of the spatial fluctuations is set by physical cutoffs, time cutoffs must determine the overall scale in the time domain. Viscosity is explicitly included in Kolmogorov s first similarity hypothesis, and leads to the characteristic space, time, and velocity cutoffs q, r, and v, which set the smallest units of the turbulent fluctuations. Onsager s derivation of the k - 5 3 law shows that the time fluctuations in modal energy are governed by

of the four coordinate axes. With this method one can simulate enhanced diffusion experiments for whatever Eulerian velocity field correlation assumptions one may wish to make. Lagrangian statistical properties can be obtained by integrating the motion of particles over time, using velocities generated from the correlated random field function. For example, one can measure frequency spectra for the velocity fluctuations of Lagrangian particles moved about by velocity field fluctuations correspdnding to a specific choice for the Eulerian space-time co&lations while simultaneously measuring the corresponding enhanced diffusion properties of the particles. In the following we use this method to explore the consequences of the proposed alternative hypothesis for the time fluctuations within inertial-range turbulence.

d la(k) 1 =

- g~4k121a&)

I2 + C Q(W),

(1) II. ALTERNATIVE TO THE SECOND HYPOTHESIS The spatial correlations of the vector potential for threedimensional isotropic turbulence are constrained by the requirement that they satisfy inertial-range scaling, corre3dependence fdr the spectral density of sponding to a k - 11 the velocity components, an r 2 3 spatial structure function dependence, and a one-dimensional k -5 3 kinetic energy spectrum. The scaling relationship for the lateral velocity component structure function, D,, (r) = C r&3r 2 3, (2) was obtained by Kolmogorov from two postulates. The first postulate assumes that in the high Reynolds number limit the statistical relationships describing isotropic turbulence can depend only on the dissipation rate per unit mass 6, and on the kinematic viscosity Y. Given this assumption the characteristic length, time, and velocity of the tlow are defined by
37 = $/4c 114 7

where Y is the kinematic viscosity and Q is the cascade transfer function. Equation ( 1) indicates that the fluctuations of the modal coefficients a(k) in a cascade process depend on the viscosity, even though the total rate of dissipation, the sum of the rates of dissipation over all of the modes, does not. Since it is the part of Kolmogorov s second hypothesis dealing with the time domain that leads to normal Brownian motion via Obukhov s Lagrangian velocity structure function, one possible way out of the dilemma is to relax the second hypothesis to apply only to the spatial domain, consistent with the k - 5 3 law and what is known from experiment. One must then seek some other means for dealing with the nature of the time fluctuations. In this paper we explore a modified form of the second hypothesis that leads to enhanced diffusion with the correct dispersion scaling, and which preserves the k -5 3 law for the spatial spectrum of velocity fluctuations. It also pro Eulerian frequency spectrum of velocity duces an w - fluctuations, and an w - 5n velocity frequency spectrum as observed from a probe moving at arbitrary velocity relative to the fluid such as is the case in almost all experimental measurements of velocity spectra. In fact, the proposed alternative to the treatment of time in the second hypothesis can be stated as a requirement that the exponent dependence of the velocity fluctuation spectrum should be independent of the velocity of the measuring probe relative to the turbulence. It is equivalent to the physically appealing notion that turbulent velocity tluctuations may have no preferred axis in space-time and the supposition that the spectrum of velocity fluctuations is isotropic in four-dimensional space-time. A newly developed computation method allows one to explore, with considerable resolution; the consequences of this alternate hypothesis. This method permits one to generate ensemble Monte Carlo samples of four-dimensional correlated random fields that are described by power-law correlations specified in the program input. The generator is in the form of a computational function that yields the value of a power-law correlated field at any point in a four-dimensional virtual array whose size depends only on the integer word length in the random number generator. A 64-bit word length allows four-dimensional virtual space-time grids of up to ( 215)4,with a scale resolution of better than lo4 in each
2699 Phys. Fluids A, Vol. 3. No. 11, November 1991

(3) (4)

.r = y1/2E -- 2,
u = $y4&4*

In practice 77and r define the smallest measurable unit of space and time fluctuation within the inertial range because variations on smaller space and time scales are damped out by the action of viscosity. Kolmogorov s second hypothesis assumes that, in the inertial range, statistical properties in both space and time can depend only on the dissipation rate. The 2/3 structure function exponent follows from this and the assumption of isotropy. From the first postulate the lateral velocity component structure function must have the form

where a and b are determined from the requirement that Eq. (6) also satisfy the second postulate. The only way Eq. (6) can be made dimensionally consistent is by choosing a = 2/3, b = 2/3, yielding Eq. (2). With the assumption of isotropy the lateral component structure function for a solenoidal velocity field is related to the kinetic energy spectrum by
J. A. Viecelli 2699

DNN(r)m= 2 sin E(k)dk, (7) (kr) > corresponding to the one-dimensional kinetic energy spectrum (8) Isotropy with respect to the spatial coordinates implies symmetry of the spectrum in wave space and invariance of the spectrum with respect to a rotation in wave space coordinates (k,,ii,,k, ) . Hence the assumption of isotropy is equivalent to the requirement that the spectrum must depend only on the spectral radius k where (9) Extending the assumption of isotropy to include time is an appealing notion since there seems no reason to expect that measurements of inertial-range turbulence over one time interval should statistically differ from measurements over any other equal time interval, nor do experiments offer any evidence that the power-law scaling exponent changes depending on the velocity of the measuring probe relative to the turbulence. In fact, as we have pointed out, assuming that the scaling exponent does change when measured from Lagrangian coordinates so as to be consistent with time fluctuations depending only on the dissipation, leads to dispersion predictions contradicting experimental observation. Equation (9) can be modified to include time by adding a term proportional to the square of the frequency, generalizing the spectral radius to include four dimensions. The constant of proportionality must involve velocity to ensure dimensional consistency, and the onIy velocity available consistent with Kolmogorov s first hypothesis is that given by Eq. ( 5 ) . Hence we can ensure isotropy in the space-time case by requiring that all statistical relationships are functions of the four-dimensional spectral radius K, where k=k; +k; +k;. E(k) = C, c?k - 5 3. and w is the frequency measured along an orthogonal fourth coordinate axis. Putting K in dimensionless form by multiplying by r from Eq. (3) shows that multiplying the frequency by e _^ # v- A as in Eq. ( 10) corresponds to scaling the wave number by the smallest measurable spatial incre ment, and frequency by the smallest measurable time increment. This, however, means that we have to abandon the part of Kolmogorov s second hypothesis dealing with the time Auctuations, although we can insist that it continue to apply to the spatial fluctuations. Breaking space-time into discrete cells by scaling with q and rdefines the direction in space-time of a probe moving at constant velocity U relative to the turbulence. Figure 1 shows a schematic of a simplified case where the motion is only in thex-f plane. The angle CJJ ofthe probe path relative to the x axis on the diagram is $=tan - (7j/Ur) = tan- (v/U). (11)

In the following we consider conditions typical of subsonic laboratory or geophysical fluid turbulence, so that [ U 1(c;. I U [ Qs, and 7 &r&r, where c and s are the fight and sound velocities, respectively. The light cone and the acoustic cone are shown in Fig. 1, although drawn much out of scale with respect to the rest of the figure so as to make their location visible. The light cone half-angle is of course extremely smaii; if we take T= 0.3 mm and r = 0.03 set as approximate representative values for the Kolmogorov cuto& then one obtains light coneand acoustic cone angles in the neighborhood of 10 - r1 and 10 - rad. Hence, with the space and time scales set by the Kolmogorov cell discretization, the speed of communication between any two spatially separated cells is effectively in&rite. Consequently, we can treat time as an independent fourth coordinate orthogonal to the three space coordinates and can define a distance measure in wave-number-frequency space as in Eq. ( IO). G,iven these

Kofmogorov eelIs

Future , Lagrangian turbulence

Taylor frozen turbulence

FIG. I. Diagram showing the breakup of space-time into discrete KoImogorov cells with the location of the Taylor frozen turbulenceand Lagrangian turbulencelimits. The Kohnogorov spice and time fluctuation cutoffs are q and 7.

A particle path
2700 Phys. Fluids A, Vol. 3, No. 11, November lQQ1 J. A. Viecelli 2700

conditions, a requirement of invariance of the exponent in a statistical scaling law of turbulent fluctuations, as observed from different Galilean reference frames, corresponds to an assumption of statistical isotropy in space-time. Measurements of turbulent velocity tluctuation spectra are usually from time samples that are interpreted as spatial samples by invoking Taylor s frozen turbulence hypothesis.r3 Sampling is done by an external probe traveling with a mean velocity Urelative to the turbulence, which is assumed to have a fluctuating amplitude much smaller than U, such that the measured variations essentially represent spatial variations. The diagram in Fig. 1 divides into two limiting regions, one where the probe angle q is small, but much larger than the light and acoustic cone angles, such that Taylor s frozen turbulence assumption is valid, and one where e, is in the neighborhood of n/2 corresponding to the turbulence experienced by an external probe moving with near zero mean velocity relative to the turbulence. The diagonal dashed lines in Fig. 1 show the case where the mean velocity of the probe is equal to the Kolmogorov fluctuation velocity. Lagrangian particles move with the flow and have mean velocity the same as the mean velocity of the flow, so their motion relative to the turbulence is on average zero. Correspondingly, the paths of particles on the diagram in Fig. 1 are on average at angle e, = n-/2 relative to the x axis, but individual particles wander along random paths across the x-t plane. A sample of turbulence drawn from an ensemble could be represented in Fig. 1 by plotting the velocity fluctuation amplitude along a third coordinate perpendicular to the diagram, with amplitude in each Kolmogorov cell obtained from the correlated field-generating function. The diagram makes it plain that the power-law scaling exponents obtained from either space or time samples will differ only if the statistical properties of the fluctuations are anisotropic in space-time. Furthermore, if there were a difference in exponents, then one would expect that the fluctuation statistics would change smoothly from one law in the Taylor regime near the x axis to the other in the rest frame regime near the time axis. This would imply a continuous range of scaling exponents lying between the moving and rest frame limits, with measured value depending on the ratio of the sampling probe velocity to the Kohnogorov velocity, since that defines the path angle in the diagram. Such an exponent dependence has not been experimentally observed. In contrast, the proposed alternate hypothesis of space-time isotropy does not have this difficulty nor, as the computations demonstrate, does it conflict with the experimental observations of enhanced diffusion. Given space-time isotropy it is easy to show that only one specific choice for the vector potential component spectral scaling is consistent with respect to the KolmogorovOnsager spatial fluctuation scaling law. This choice yields a Galilean reference frame invariant frequency spectrum exponent - 5/3, and in the frame at rest with respect to the turbulence, a spectrum coefficient with a specific value determined by E and V. Under the modified second hypothesis the spectral scaling for the vector potential components can be written
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= C,K (12) ._ -=? where C-4 and p are to be determined by the constraint that Eq. (12) yield the one-dimensional inertial-range k --5 3 scaling in Eq. (8). Since the velocity is the curl of the vector potential, a four-dimensional kinetic energy spectrum is obtained from the vector potential spectral density by multiplying by k . The one-dimensional spatial power spectrum can then be obtained by integrating out the frequency and two of the spatial wave-number coordinates; Fourier transformation to physical space, with the corresponding physical space variables set to zero, yields the one-dimensional spatial power spectrum E(k) = k2(4rk2)C, mm (k2 + E- I/2,,o J dw



A change of variable x = (w/k) 2 yields - l/2 X E(k) = 2n-CAk5-2P * s 0 (1+.-%-- 2x)~ =,Tr(9r(8-9


CAEl/ $1/4k5-2~ (14) rw> The corresponding integral for the one-dimensional frequency spectrum is

m k2(4nk2)C, dk * o (k 2 + Es A change of variable x = ( k /rj) 2 yields m E(w) = 2rC,w5 - 28 s

E(o) =
l/2,,1/2@2)8 x3/2


q @3 r(p)




(16) The only choice for C,, andp that makes Eq. ( 14) consistent with Eq. (8) yields

A(K) = cl [r(~)/2~r(~)r(167)1Es'~2Y--~~K


(17) where Cl is the Kolmogorov constant in Eq. (8). The corresponding frequency spectrum is (18) This is the frequency spectrum for an Eulerian frame at rest with respect to the turbulence. This spectrum is physically consistent with Taylor s frozen turbulence hypothesis, since one gets the same result as E?q. ( 18 ) by replacing the probe velocity with the Kolmogorov fluctuation cutoff velocity q/r. As shown by the diagram in Fig. 1, this is physically quite a reasonable substitution to make for a frame approaching rest with respect to the turbulence. III. COMPUTED STATISTICAL PROPERTIES The method of generating the correlated field samples is discussed in detail in the Appendix. The steps in the computation of the field at a given point in space-time are performed in physical space though a resealing process defined by the structure function of the random field. Testing and
J. A. Viecelli 2701

E(o) = ($J) Cl 65 6~6~ - s 3.

verification of the Eulerian correlation properties of the fields generated by the Monte Carlo method can be done by computing estimates of the Eulerian spectral properties from the field samples. The results of the previous section indicated that consistency with the modified hypothesis requires the random vecior potential component fields to have W space-time spectral density functions. symmetrical K The corresponding vaIue of the structure function exponent 2Hneeded for generating the vector potential components is determined from the relationship between the structure function exponent and the spectrum exponent - Zp, which in four dimensions is W = (2p - 4)/2, yielding X = 4/3 for 2p = 20/3. In the computations the scale velocity is chosen such that if t,, defines the size of the time domain, and r,, defines the size of the spatial domain, then the velocity normalizing the time axis is Y= rma/&,aX, such that the mesh resolution is the same in nondimeusional units along any axis. Hence statistical properties are the same along any of the four coordinate axes. In essence, each four-dimensional cell in the virtual computational grid physically corresponds to a Kolmogorov cell. The computations were done using a linear congruential random number generator on a machine with 64-bit integer precision, limiting the number of independent random numbers available for sampling to 262.The largest single four-dimensional virtual grid that can be generated under this constraint is (2 s)4 = 2m, or 32 768 points along each of the four axes; leaving room for three independent components of the potential without overrunning the repeat period. The statistical properties of an isotropic vector field can be characterized in several ways,..but some quantities are easier to obtain from computations. Structure functions can be computed directly from samples, but are sensitive to the largest scales of the turbulent field and begin to deviate significantly from inertial behavior at distances very much less than the outer dimension of the field. Perhaps the best quantities for comparison with inertial theory are Fl (k, ) and F2 (k, ), the longitudinal and lateral velocity component spectra. Good statistical convergence can be obtained by taking one-dimensional sections spread evenly across the space-time field and averaging the individual spectra obtained from applying a fast Fourier transform to each section. Another computationally simple variant of this approach is to keep the location of the section fixed but vary the random number sequence offset for each section by a random amount. Both methods produce the same result. Figure 2 plots estimators of the longitudinal and lateral one-dimensional velocity spectra obtained from sections through a ( 1024) grid. The average is over 64 individual 1024 point spectra taken parallel to the x axis at different y, z, and t coordinates going from the center to the edge of the virtual grid. A solid line with slope - 5/3 is included in Fig, 2 for reference. The longitudinal spectrum F, is very closely following a k - ~3 law over the three decade range, but the lateral spectrum F, is showing some falloff from the k - 5 3 reference line at higher wave numbers. Eulerian rest frame and Lagrangian velocity frequency spectra were also obtained for the same ( 1024)4 mesh, again using the power-law correlated vector potential field corre2702 Phys. Fluids A, Vol. 3, No. i 1, November 1991

FIG. 2. The longitudinal (solid dots) and lateral (open circks) one-dimensional velocity spatial power spectraobtained from Monte Carlo sampling on a 1024space-timegrid. The referenceline has slope - 5 3.

spending to Eq. (17). Eulerian spectra were obtained by averaging the 1024 point frequency spectra of time series samples taken from 64 points in Ix,y,zj separated by 128 spatial intervals in each direction. Lagrangian frequency spectra were derived from time series obtained by integrating the motion of a Lagrangian particle over 1024time steps through (x,v,z) space using the velocity corresponding to the time step coordinate in the four-dimensional velocity field sample. The frequency spectra obtained from 64 trial integrations were averaged to obtain the power spectrum. Each trial used a different seed in the four-dimensional velocity field generator so the average is over an ensemble of Lagrangian trials. Both the Eulerian and Lagrangian cases were done with all other parameters fixed so that one can directly compare the spectral scales. Figure 3 shows that the

i-m, (II .1.,..1, ;>I I*irr5-Timm7--,1 1rP ,i I.T.l. IT IO 10 w 1tjl- I , ii:

FIG. 3. The Eulerian rest frame (octagons with cross) and Lagrangian (solid dots) velocity frequencypower spectraobtainedfrom the same 1O244 space-timegrid samples.The referenceline has slope -- 5/3.
J. A. Viecelli 2702

Eulerian rest frame and Lagmngian velocity frequency .spectra are identical under the proposed alternate hypothesis, to within the statistical accuracy obtained in the simulations. This is in agreement with the hypothesis that the fluctuations are isotopic in four-dimensional space-time, such that no matter what path a particle follows through this space the velocity fluctuation spectra obtained have the same powerlaw scaling exponent. One can also easily measure the enhanced diffusion scaling properties produced by the modified second hypothesis, by performing trial integrations of Lagrangian particle motion using the velocity field samples obtained from vector potential components satisfying the scaling in Eq. ( 17). Statistics were gathered from a long series of trial integrations, each with a different seed for the four-dimensional field sample. A particle is placed at the center of the spatial part of the four-dimensional virtual grid on the first time plane and its trajectory through space is obtained by integrating the motion using the velocity field components at the particle s current (~a&) coordinates. The integration is carried out for a fixed time interval, and the location of the particle saved at the end of the run. By repeating the dispersion experiment many times, using a different field sample for each run, one can obtain a histogram of the probability distribution function for the distance the particle will go for a fixed time interval. One can show that enhanced diffusion, such that the dispersion of particles by the turbulence follows Kichardson s 4/3 spatial scaling law, yields an r 5 3 dependence for the integrated particle count I (r), the distance probability distribution function.i4 This distribution occurs because the fraction of the total number of particles going a distance r from a localized release point, over a fixed time interval, scales as ( (r ) ) 1 2- (r 4 3) 1 2- r 2/3, such that the number density of particles in space is proportional to r 2 3/r 2. Since the number of particles ending their turbulent dispersion trajectory within a sphere of radius r centered at the starting point is proportional to the volume integral up to radius r, the average number inside the spherical volume is therefore proportional to r 5 3. Many thousands of trials have been run under the proposed space-time isotropy hypothesis and they have consistently yielded an r 5 3 scaling for the integrated particle count, demonstrating consistency with enhanced diffusion and Richardson s 4/3 law. In contrast, Brownian motion of the particles is not consistent with enhanced diffusion and does not yield a power-law scaling result. Figure 4 shows a set of three histograms, each obtained from 500 dispersion trials on a (512)4 virtual space-time grid. Histograms for dispersion over 128, 256, and 5 12 time steps, are indicated by the octagons with cross marks, triangles, and open octagons, respectively. In order to better show both the time interval dependence and the comparison with the 5/3 reference line, the first and second histograms have been shifted to the right by scaling their r coordinate by 4~ and 2 x , respectively. This helps to quantitatively show that if the time interval for the dispersion trials is increased, then the histogram moves to the right proportional to the increase while maintaining the r 5 3 spatial dependence, such that the particles end up at distances from the origin following an r 5 3probability distribution with distance to the outer cutoff
Phys. Fluids A, Vol. 3, No. 11, November 1991

FIG. 4. Integrated distributions l? of Lagrangeparticles obtained after integrating the motion ofthe particles over 128 (octagonswith cross), 256 (triangles), and 5 12 time steps (octagons), using Monte Carlo samplesof solenoidal velocity fields drawn from the ensembleon a 5124space-timegrid. The radial coordinate has beenresealed by factors of 4X and 2 X for the 128 and 256 cases,respectively.The referenceline has slope 5/3.

expanding proportional to the time interval. The linear time scaling of the horizontal axis cutoff on the r 5 3 probability distribution function results because the part of the velocity field derived from the largest space and time scale has the biggest variance. To the eye the velocity field in a typical sample appears to roughly consist of a mean velocity with which the rest of the turbulence is swept across the virtual grid. This appearance is a consequence of the power-law scaling cutoff imposed by the outer dimension of the virtual grid. On the finite size computing grid the largest scale produces the biggest displacements, such that the horizontal axis scaling of the probability distribution function for the particle dispersion expands proportional to the time interval with average velocity corresponding to the rms velocity of the largest scale. The mean convection resulting from the outer scale cutoff on the turbulent velocity scaling is not an independent external variable, rather its amplitude is related through the velocity structure function to the Kolmogorov small-scale cutoff velocity v in Eq. (5), which in turn depends on the dissipation and viscosity. One can fix the parameters of a given case either by specifying the outer scale velocity, as might be the case in a physical experiment, or by specifying the dissipation, such as is often done in theoretical analysis, but not both. IV. CQNCLUSION The notion of a discretization of space-time corresponding to the smallest possible scales of turbulent fluctuations has been fundamental to the arguments discussed in this paper. Within the context of subsonic laboratory and geophysical fluid turbulence it appears reasonable that this discretization should be determined by the Kolmogorov space and time fluctuation cutoffs, smaller scale turbulent fluctuations
J. A. Viecelli


having been erased by the action of molecular diffusion. The existence of a small-scale spatial cutoff has long been appreciated, but the existence of a corresponding time cutoff has seemed less easy to accept, although it necessarily follows from the same argument leading to the spatial cutoff. Including a time cutoff makes it possible to draw a space-time diagram showing the relationship between the motion of a probe along a path corresponding to Taylor s frozen turbulence hypothesis and the trajectories followed by particles moving with the flow. Such a diagram shows that the only way the exponent of the Eulerian frequency spectrum, measured from a frame at rest with respect to the turbulence, can differ from the exponent in the Taylor frozen turbulence spectrum is for the statistical law governing the fluctuations to be anisotropic in space-time. Apart from there not being any experimental evidence for velocity fluctuation spectrum exponents differing from - 5/3 depending on the motion of the probe frame relative to the rest frame of the turbulence, a statistical law with an anisotropic exponent dependence leads to Lagrangian particle dispersion scalings inconsistent with experimental observation. In particular, supposing a transition to an w - dependence in the neighborhood of the time axis yields Brownian motion with mean-square particle displacements growing proportional to c instead of the approximate t dependence observed. The Brownian motion paradox results from the Lagrangian time structure function argument which is based on the assumption that the only relevant physical parameter is the dissipation rate. However, discretization of space-time shows that one cannot consider both space and time together in a consistent way, unless the time cutoff is included, which necessarily introduces a viscosity dependence..As Onsager s argument has shown, one can obtain a k 5/3spatial scaling for the velocity fluctuations without resorting to the second part of Kolmogorov s second similarity hypothesis dealing with time, Given that, consistency with the observed enhanced diffusion can be obtained if one replaces the second part of the second hypothesis with the assumption that inertial-range velocity fluctuations are isotropic in four-dimensional space-time. Adopting this change resolves the paradox, and yields Lagrangian~ velocity fluctuations that produce enhanced diffusion in agreement with experimental observations. The change preserves E(k) = C, fi3k - spatial scaling for the one-dimensional velocity component spectrum, but permits space-time symmetry in the spectral density of the vector potential components. Consequently, velocity frequency spectra follow u ; j3 scaling in both Eulerian and Lagrangian coordinate frames. Velocity frequency spectra following an w - s/3 scaling are consistent with direct experimental observation, since turbulent spectra have almost always been measured in the time domain, although they are often interpreted as spatial spectra under the assumption that the turbulence is embedded in a mean flow which sweeps it past the measuring probe. In contrast to the spectrum exponent, the measured frequency spectrum amplitude coefficient depends on the velocity of the measuring probe relative to the rest frame of the turbulence, as expressed in Taylor s frequency spectrum
2704 Phys. Fluids A, Vol. 3, No. 11, November 1991

coefficient formula. Although Taylor s formula is normally used with a probe velocity much greater than the Kolmogorov velocity fluctuation cutoff, if one nevertheless extrapolates to the rest frame frequency spectrum by slowing the mean probe velocity relative to the turbulence to the neighborhood of the Kolmogorov cutoff velocity, one; obtains, except for a small difference in the numerical multiplier, the same frequency spectrum coefficient dependence as the space-time isotropy assumption, again demonstrating that it is necessary to introduce a viscosity dependence, through the Kolmogorov cuto$ to lix the time scale of the rest frame fluctuations. One can perhaps draw no additional conclusion fram the resulting 2 6 9~ l/6 dissipation and kinematic viscosity dependence of the frequency spectrum coefficient, but this dependence is suggestive of other properties of the flow associated wirh enhanced diffusion. The exponent of the viscosity turns out to be equal to the intermittency exponent inferred for strictly inviscid three-dimensional turbulence under the assumption that it evolves following Richardson% 4/3 law. When the flow is inviscid one can show that because of Kelvin s circulation theorem vorticity cannot be completely mixed throughout Euclidean space, but instead remains confined on a nearly volume-filling fractal surface with dimension 3 - 8 = E or in sampling along a one-dimensional section, a fractal set of dimension 1 - & = 2. In real fluids the vorticity can fill all of Euclidean space because viscous diffusion of the vorticity fills in the gaps, so_the 8%1/6 dependence may be a consistent manifestaticn of this.

This work was performed under the auspices of the U.S. Department of Energy by the Lawrence Livermore National Laboratory under Contract No. W-7405-Eng-48. APPENDIX: GENERATING MONTE CARLO SAMPLES OF CtX?RELATED FIELDS The problem of how to generate fluctuating random tields with specified long-range space-time correlations is closely tied to that of generating random fractal curves and surfaces. The method of successive random additions has been successfully used to generate fractals that are quantitatively described by a structure function. The process is one of successive grid retlnement, with field values at new intermediate grid points obtained by interpolation from the previous grid. Successive mesh refinements are performed in repeated cycles, and at each level of resolution random increments are added to the existing geld points, with variance resealed to the given level. A drawback of the method is that it requires a storage array big enough to contain the entireset of field points at the highest level of resolution, However, this limitation-can be overcome by combining the method of successive random additions with an algebraic random number sequence function and random number recovery techniques.16 This makes it possible to write a computational function that generates statistically consistent samples of
J. A. Viecelli 2704

ad infinitum each time the sizeof the hypercube containing

the samplingpoint is cut in half, with values ofA interpolated from the larger hypercube, to which additional random perturbations are added. At the qth level of this resealing the variance of the random perturbation for the qth grid is given by a; = (&>fi$. (A21 The accuracy with which the location of the sampling point is fixed and A specified can reduce to the level of round-off error. In practice, for dimension two or greater the number of calls to the random number generator will usually exceed the repeat interval of the generator before round-off precision is obtained. For linear congruential generators the repeat period is fixed by the precision of the integer words used in the generator. For example, with 64-bit single precision integers the repeat. period for a linear congruential generator without an additive term is 262. With this interval the scale range for a single scalar field variable is limited to 262in one dimension, 231 in two dimensions, and approximately 2* and 2 in three and four dimensions, respectively. Although these grids are of enormous size, only the 16 values of A at the vertices of the hypercube containing the sampling point at the @h level of resealing need be retained in memory. Hence the value of A at any vertex in the ( 29)4 mesh of hypercubes contained in the largest outer hypercube can be reproduced, with negligible working storage. This supposes, however, that we have some way of recovering the specific random perturbations involved in determining the value of A at a specific vertex. Fortunately, the ordering of the sequence of random number generator calls can be related to 4 and the grid indices by an algebraic formula, so that standard random number recovery methods can be used to regenerate any numbers in the sequence of calls as needed. If the sampling point is (x~,JQ,z,J, ) where (k,Z,m,n) are the indices of the hypercube containing (x,y,z,t) on the finest resolution grid, corresponding to q = qmax, then the mesh interval S, of the 4th grid, measured in units of the smallest grid interval, is (A3) 4 = 2qm - qWe compute the @h-level indices of the hypercube containing (X,JJ,ZJ) on the 4th grid from k, = 1+ [(kzq = 1+ [(Im,=I+[(m-1)/S,], n,=l+[(PI-WSq], where the brackets signify the integer part. For q,,, = 3, corresponding to the division of the outer hypercube into 163 smaller hypercubes, the index k = 1,2,3,4,5,6,7, 8 for the finest resolution mesh lines. At the first level q = 1, the index kg takes on values 1 and 2. At the second level q = 2 the index k, takes on values 1, 2, 3, and 4. At the third level q = 3, the index k, covers the range 1,2,3,4,5,6,7, and 8. We have indexed the hypercubes at each level starting at 1 increasing by increments of 1, because this may be more helpful for computer programming purposes. Each time the grid interval is reduced by 2, it is necesJ. A. Viecelli 2705

FIG. 5. The vertex numbering schemefor the four-dimensional hypercube. Time runs alongan orthogonal fourth coordinate axis,but it is schematical-

ly represented by nested cells.

power-law-correlated random fields at arbitrary points within any number of dimensions without using mesh storage, such that the scale range available is limited only by the integer precision carried in the random number generator. The following shows how the method can be used to generate Monte Carlo samples of four-dimensional space-time fluctuating solenoidal velocity vector fields that maintain specified correlations between arbitrary sampling points in space and time. The method of successive random additions generates a field with structure function where A is a scalar or component of a vector field, C i is the structure constant, and His the Hurst exponent. A set of nested grids with each grid a fabtor of 2 smaller in size is generated and the field is derived by a process of interpolation from one grid to the next finer grid, with the addition at each step of a random perturbation of appropriate amplitude. In the four-dimensional case the mesh lines define the outline of a hypercube as shown in Fig. 5; a single mesh cell consists of a three-space-dimensional cube with time index n within another spatial cube at time 12+ 1. The numbers labeling the vertices correspond to the storage locations in a one-dimensional array containing the values of A at the vertices. At the start of a computation, the values of the field at the 16 corners of a hypercube covering the largest distance R of interest are initialized by drawing values from a probability distribution with .variance u g = CgR H. This single hypercube outlines the boundaries and must be large enough to cover the desired outer dimensions of the computing region, preferably the physical outer length scale of the turbulence. The comptitation proceeds by dividing the single hypercube into 16 additional hypercubes obtained by bisecting each grid line, and locating which one of the smaller hypercubes contains the sampling point. Values ofA at the vertices of this smaller cube are obtained by linear interpolation from the larger hypercube. In addition, a random perturbation SA is added to each of the vertices. This process can be repeated
2705 Phys. Fluids A, Vol. 3, No. 11, November 1991

U/S,], 1)/S,], (A4)

sary to determine which of the 16 new hypercubes contains the point (k,,Z, ,mq,nq ). Once this is known, field values at the corners of the q + 1st hypercube can be interpolated from the vertices of the qth hypercube. Storage for only one hypercube is needed, since old values can be overwritten as soon as the interpolation is completed. The relative indices (k,Z,m,n j on the q + l-level grid square containing (k ,Z ,m ,n )~are k9+1 = l-f [(k1) modS,/S,+,], iii1 =lf[(Z-11)modS,/S,,,],~


[(m-11modS,/S,+,], 1) modS,/S,+,],


= 1 + [(n-

where the brackets signify the integer part. With this choice ki+,,~Zi+,, m;,,,andrt;+, takeoneithervalues 1 or2.

These relative indices tell which of the I6 hypercubes within the qth-Ievel hypercube contains the field point (k,Z,m,rt j, on subdividing the @h-level mesh. In one dimension or even in two and three dimensions the process of linearly interpolating from one mesh to the next is relatively straightforward, but in four dimensions with the 16 possibilities, each with 16 formulas, the problem becomes more complex and the chance for error increases. The task can be made easier by working out the 16 interpolation formulas for the case where the sampling point is located in the first ofthe 16 smaller hypercubes$ and then permuting indices to obtain formulas for the cases where the sampling point is in one of the other 15 smaller hypercubes. Hence one obtains a 16 x 16 matrix ofindex values where the entries Pzr give the location of the ith node for the sampling point located in the jth smaller hypercube. For the vertex numbering scheme shown in Fig. 5 the permutation matrix is

i2345678 2 6 3442783 4 8 5 1 6 5 7386844 8 7 9 10 10 14 11 12 12 16 13 9 14 13 I5 11 16 15

1 2 7 5 6 11 9 12 10 15 13 16 14

3 1 8 7 5 12 11 10 9 16 15 14 13

1 3 6 2 4 13 9 15 11 14 10 16 12

5 7 2 1 3 14 13 16 15 10 9 12 11

5 I 8 6 2 15 13 I1 9 16 14 12 10

4 6 2 7 3 5 I 16 12 14 10 15 11 13 4

9 10 11 12 13 14 f5 16 1 2 3 4 5 6 7 8

10 14 12 16 9 13 11 15 2 6 4 8 1 5 3 7

11 3 12 10 15 13 16 14 3 1 4 2 7 5 8 6

12 II IO 9 16 15 t4 13 4 3 2 1 8 7 6 5

13 9 I5 11 14 10 16 12 5 1 7 3 6 2 8 4

14 13 I6 15 10 9 l2 11 6 5 8 7 2 1 4 3

15 13 II 9 16 14 12 10 3 5 3 1 8 6 4 2

16 12 14 10 15 11 13 9 8 4 6 2 7 3 5 Is


Except for values at the vertices of the single hypercube containing the sampling point at each level of therescaling, none of the other mesh values need be generated or stored. The index of the smaller hypercube containing the sampling point is (A71 where the relative indices (k ,I ,m ,n j areobtained from Eq. (A5). The interpolated values of A p + at the vertices of the jth smaller hypercube containing the sampling point are A+ =AP 5.i fw -G~,1==~4(A$,,, t-4& G4 S; = 1/A%,,, -t-A p?,,), A $a& = $(A Sle,+ A $J,
2706 Phys. Fluids A, Vol. 3, No. 11, November 1 Q91

il~~,l,l=(,~*,,+A~,.j), A4 y,, --F

i{A SC,, + A &, -t A $3>j+ A ll,.j), +A& +A%s, +A4,,),

A &+,I +(A$~~ A $&/j g;++

A j57+fl = i(A?:~tA~~:/iA?:,+A4,.,), g(A ST.,-I- A &, + A &., + A %o.,)~ $(A$., f A $s,l t ~4;*., +- A p,~.,)~

j=k +2(E ,--1)+4(m -1)+8(n -l),

rd $;.; = $(A & f A Qp, -t- ~4$9.1 -t- A p,d <44+ ps,/ =$(A$ ,,,. ?A :z,, ?A&.) fA%,,+A$,hA$I+A%.,)l A >;; = &(A Bptej -+A:~~ +%3.j +A%., ..* +-%.,j, +i4q pe, +&,-+A&,,,
J. A. Viecelli 2708

-f %.i

A 5;; = &(A%,,+ A g, + A I%,, + A 4pg.J $ A $,, f A $,,., + A zh., + A h%~)~

A ;;; = i(A ;,,, + A ;%, + A $., + A %I +A ,g,+Ap A y; = #A ,,,, +A: ,,,, +A&.,),

SIP,+ A &, -I- A %,, + A k.,

+ A ;$,, + A Sk, + A &., + A p 8.1 + A &, + A &,, +A k,., + A $12.1 + A &, + A &, + A $,s, + A s IS.1 (A81 )* A solenoidal velocity field sample can be generated from the curl of a random vector potential having three independent components A,, A,,, and A, with each component generated starting from a different point in the random number sequence. Since the computation of the potential ends with the 16 values at the vertices of the smallest hypercube containing the sampling point, the average value of the velocity at the center of the hypercube can be computed from first-order &rite differences approximating the curl. The velocity components depend only on derivatives of the vector potential, hence a constant and the gradient of a scalar can be added to the potential without changing the velocity field. Two remaining considerations are the choice of distribution function for the random additions at each of the q levels, and the formula relating the random number call sequence to each stage of the construction. The choice of distribution function affects the higher moments of the statistical fluctuations in the generated fields. Drawing random additions from either a normal distribution or an exponential distribution will, for the same scaling of the variance with q, produce velocity fields with similar structure function and power spectrum exponents. However, the exponential distribution produces lognormal statistics in the field amplitudes, whereas the normal distribution produces correlated fields with statistics skewed toward more uniform background field amplitudes. Kolmogorov s third hypothesis postulates that the dissipation fluctuations follow lognormal statistics. Recent theoretical developments suggest that the dissipation field in hydrodynamic turbulence cannot be exactly lognormal; however, experiments in three-dimensional turbulence appear to show that for moments up to approximately 10, close to the limit of measuring resolution, the lognormal hypothesis is a very good approximation. ig~ For this reason the random additions used in the computation are drawn from an exponential distribution. The variance of the random perturbations SA added at the vertices of the$h hypercube after interpolation from the @h-level grid is the fraction of the initial variance specified by .Eq. (A2) with q replaced by q + 1. If the entire field were being generated there would be no need to keep track of the number of times the random number generator had been called at the given stage in generating the field. However, if only the hypercube containing the sampling point is to be computed, it is necessary to know the number of calls to get to those particular vertices in the full construction in order to be able to regenerate the random perturbations added at those vertices without repeating the entire random number
Phys. Fluids A, Vol. 3, No. 11, November 1991

sequence. The sequence number has to be expressed as a formula, since storing the sequence numbers in a pointer array corresponding to the spatial grid and level would require a large storage array. The sequence number formula also needs to take into account the number of calls required to generate the distribution from which the random additions are drawn; for an exponential distribution only one call to the random number generator is necessary; hence, with indices varying most rapidly from k through iz, the calling sequence number g is c$ = kq + (I, - 1)2q+ (m, - 1)22q + (n, - 1)234 + 2

24(J- l),


where the relative coordinate indices ( kq,lq,mq,nq ) are obtained from Eq. (A4). An arbitrary fixed integer constant can be added to { without affecting the computation and corresponds to starting from a different point in the random number sequence. In order to generate independent Monte Carlo samples from an ensemble of different fields it is necessary to increment this offset by the maximum possible value of {, the number of random numbers used to generate every point in the given field, each time a new field is needed. Although there is some overhead involved in computing relative indices, and interpolating between meshes, nearly all of the computing time is spent in regenerating random numbers satisfying an exponential distribution. For large n, the number of random numbers required to generate a single sample of the necessary components of the vector potential on a virtual mesh with side 2 in d-dimensional space is C-410) In practice the amount of computing time can be estimated quite well by multiplying N in Eq. (AlO) by the time required to regenerate one random number. The time to regenerate a random number in the standard method* is spent in testing the bits of the sequence number and, for nonzero bits, performing a multiply mod 2N, where N is the number of bits in the machine word length. If the word length is N = 64 bits, the average number of multiplications is 32, whereas only one multiplication is needed to generate the next number in the sequence. However, the number of multiplications can be reduced if the function storage space is increased to include precomputed tables of factored powers of the multiplier.23 N = 3n2d.

A. N. Kolmogorov, C. R. Dokl. Acad. Sci. URSS 30,301 (1941). L. Onsager,Phys. Rev. 68,286 (1945). 3 L. Onsager,Nuovo Cimento 6, Suppl. No. 2,279 ( 1949). 4L. D. Landau and E. M. Lifshitz, Fluid Mechanics (Pergamon, London, 1959), p. 122. 5A. S. Monin and A. M. Yaglom, Statistical Fluid Mechanics,edited by J. L. Lumley (MITPress, Cambridge, MA, 1987), Vol. 2, Sec.23.4, p. 486. 6A. S. Monin and A. M. Yaglom, in Ref. 5, Sec.21.3, p. 360. F. Reif, Fundamentals of Statistical and Thermal Physics(McGraw-Hill, New York, 1965), p. 560. L. F. Richardson, Proc. R. Sot. London Ser. A 110,709 (1926). A. S. Monin and A. M. Yaglom, in Ref. 5, Sec.24.3, p. 551. M. F. Shlesinger,B. J. West, and J. Klafter, Phys. Rev. Lett. 58, 1100 (1987). J. A. Viecelli, Phys. Fluids A 2,2036 ( 1990).
J. A. Viecelli


12A. S. Monin and A. M. Yaglom, in Ref. 5, Sec. 13.3,p. 110. I3A. S. Monin and A. M. Yaglom, in Ref. 5, Sec.21.4, p. 362. J. k Viecellii Phys. Fluids A 1, 1836 (1989). R. F. Voss,in Fundamental Algorithms in Computer Graphics,edited by R A. Earnshaw (Springer-Verlag, Berlin, 1985), p. 805. r6J. A. viacelii and E. H. Canfield, J. Comput. Phys. 95,29 (1991). i J. Feder, Fractak (Plenum, New York, 1988)) p. 180. *A. S. Monin and A. M. Yaglom, in Ref. 5, Sea.25.3, p. 611.

19F. Anselmet, Y. Gagne, E. J. Nopfinger, and R. 4. Antonia, J. Fluid Mach. 140,63 ( 1984). C. Meneveauand K. R. Sreenivasan, Nucl. Phys. B, Pron. Suppl. 2,49 f1987L D. EL Knuth, The Art of Computer Programming (Addison-Wesley, Readink MA, 1969). A. E. Koniges and C. E Leith, J. Comput. Phys. 81,230 ( 1989). E. H. Cantleld, Jr. and J. A. Viecelli, J. Comput. Phys. (in press).


Phys. Fluids A, Vol. 3, No. 11, November 1991

J. A. Viecelli