Physical Formulations with Variables that Transition from Real to Imaginary

in Solutions of their Ordinary Non-linear Differential Equations

Oscar Biblarza)1

Department Mechanical and Aerospace Engineering

Naval Postgraduate School, Monterey, California 93943, USA

ABSTRACT

In a number of physical problems, the formulations being solved may result in of one or more
variables transitioning from real to imaginaryb) within ranges of interest. Such transitions occur
exclusively in nonlinear differential equations and can be opaque within numerical results unless
the software has been set up to detect them. Using a set of test functions that purposely turn
imaginary, the concept of “numerical switches that transmit or reflect across transitions to
imaginary” is introduced with using results from a rudimentary fourth-order Runge-Kutta
numerical scheme. This is prelude to four practical examples: (1) a Child-Langmuir type of
space charge analysis that includes non-zero initial charged-particle energies, (2) a description of
the anode sheath in high-density plasmas, (3) a set of elliptic functions representing an inviscid
transonic flow solution (also relevant to other problems), and (4) the Lorenz weather-equations
formulation. For these, the following physical observations become relevant: (1) when the gap
variable goes imaginary, traditional space-charge currents may exhibit a hysteresis mode and/or
become unsteady; (2) as the electric field goes imaginary, collision-dominated plasma anode-
sheaths may transition from a diffuse to a spotting mode; (3) as the cross-flow space coordinate
approaches a pole, transonic flows solutions may exhibit discontinuities or shocks; and (4) when
the Lorenz weather-equations yield erratic or chaotic behaviors, they should be compared to
turbulence observations for physical validity. With these examples we aim to show that
whenever an original problem formulation becomes suspect because results turn out to be
contrary to observations, revisiting all assumptions and solution techniques before positing new
phenomena is in order. To remedy effects of variables unexpectedly turning from real to
imaginary during their solution may require the re-introduction of terms originally neglected or
adding additional dimensions, including time, that were left out of the original formulation.

I. INTRODUCTION

Most descriptions of physical problems with nonlinear differential-equation need to be

simplified in order to be solved, a task that is itself often challenging. Modern digital computers

a) Electronic mail: obiblarz@nps.edu

b) A real variable transitioning to imaginary within the range being examined is distinguished from a purely
complex variable, although the latter may include such cases. This is relevant to numerical solutions
because such transitions are not necessarily recognized by standard codes.
have expanded the range of problems that can be solved by the use of robust numerical
techniques but these have been a mixed blessing because the interpretation of unexpected results
often does not always lead to a re-examination of the physical formulation for inherent
approximations or of potential ‘errors’ introduced by the numerical software. This author has
studied several problems involving non-linear ordinary differential equations where results
clearly display aberrant behavior and these are the subject of this paper. The common pattern in
all these examples is that they exhibit a transitional phase which can be related to the changeover
of one or more variables from real to imaginary quantities. While interpreting these results, it
has been found necessary to first identify such transitions in terms of the mathematical details
involved in their solution and then whenever possible to correlate them to relevant observed
physical behavior. There are relatively very few cases in the published literature where the
crossing of real variables to imaginary realms is reported (e.g., Refs. 1 and 2), situations most
often related to microscopic phenomena which are formulated using the complex analysis of
analytic functions (e.g., Ref. 3). While the constitutive relations of physics that I have used deal
with phenomena that are strictly deterministic, material properties (such as diffusion, the thermal
conductivity or the viscosity) when not measurable are calculated with probability analyses
whenever they arise from atomic or molecular interactions (e.g., Ref.4). Otherwise, I postulate
that we should interpret solutions ‘turning imaginary’ as some feature of their (simplified)
formulations that is physically untenable. When a solution’s non-existence can be correctly
identified, it necessarily points to the need to introduce one or more additional degrees of
freedom (spatial or temporal). Thus, we should first approach the lack of real-variable solutions
more as a sign of an incomplete formulation rather than of some new behavior. It can be shown5
that as variables progress in a marching/initial-condition type of solution, any deviant function
goes first from real to zero and then to imaginary because of one or more latent square-root
dependencies on one or more groupings of variables in the problem, though such a sequence may
not be apparent in the differential form of the equations being solved. And there are no a priori
ways to tell that any variable or variables will turn imaginary as the solution progresses – the
clearest sign is an unexpected or abrupt change in the behavior of the solutions. This highlights
the challenge to the analyst for those problems being solved only numerically where equations
may contain hidden roots of arguments that will turn negative during solution.

II. NUMERICAL SOLUTIONS USING TEST FUNCTIONS

Perhaps the best known of numerous results that clearly exhibit square roots is the factor
𝑣𝑣 2
(𝛾𝛾 −1 = �1 − 𝑐𝑐 2 ) from Einstein’s special theory of relativity. While physical interpretations have
been proposed to explain the argument inside that square root becoming negative (e.g.,
superluminal tachyons, which exist in a separate dimension), in this paper we shall approach
such cases as simply unacceptable results. What physically happens after the argument in the
square root passes thru zero has not been universally established, and an appropriate question
would be: Would a description with imaginary numbers that introduces additional dimensions as
the variables progress in the solution be appropriate? Take for instance Hamilton’s Quaternions,
i2 = j2 = k2 = ijk = −1, where i, j, and k are three separate imaginary indexes, allowing for one
scalar and up to three perpendicular dimensions. While at first glance there appears to be no
clear advantage in an a priori introduction of complex quantities because of complications with
ordinary software not properly dealing with variable transitions from real to imaginary, our third
example in this paper shows that analytically manipulating with a complex function (the classical
elliptic-function) representation can be of great utility. But this is because in this case an exact
solution exists and transitions from real to imaginary encompass a complementary mirror-like
transition so that the function continues to exist in the real axis.

We can begin by examining two ‘test functions’ designed to transition to imaginary5 in a

range of interest. One being the ordinary, second order differential equation below

1 1
 =
w3 w − w(0) =
1.0 and w (0) =
− (2.1)
4 2

which solves as 𝑤𝑤 = ±√1 − 𝑡𝑡.

Clearly, when t < 1.0, w(t) is real; at t = 1.0, w(t) is zero, and when t > 1.0, w(t) is
imaginary. We then proceed to solve this equation numerically as an initial-value problem
where we need the initial condition and the initial slope to start the solution marching, and we
anticipate that spurious results would ensue unless the software can recognize the transition to
imaginary. The same difficulty can be expected if were to recast Eq. (2.1) as a boundary-value
problem between any set of fixed values that span t < 1.0 and t > 1.0, but here the software may
or may not generate any output. These two approaches represent many of the traditional solving
techniques encountered in physical problems. And ordinarily there is no advance information
that any dependent variable or variables will turn imaginary as the independent variable changes,
and this be apparent in the four examples treated in Section III of this paper.
The differential equation problem thus posed is solved as a first order problem below for
simplicity. To stay away from canned software routines (because of their built-in diagnostics), a
raw fourth-order Runge-Kutta scheme has been used to examine what happens to w(t) as the
independent variable t goes through one. Numerical results depend on both initial condition and
the marching time increment chosen (h in our notation) and, nearly always, the function w(t) is
reflected going back to positive values via a relatively abrupt jump.
A second test function which also turns into imaginary q = ±(1 - t)1/4, was similarly
solved but here q(t) is transmitted into negative territory via a similar unpredictable jump. These
simple functions are used here in first derivative form with typically small time increments
starting just before t = 1.
1
𝑤𝑤̇ = − 2𝑤𝑤 w(0.98)=0.1414213562 (2.2)
1
𝑞𝑞̇ = − 4𝑞𝑞3 q(0.98)=0.3760603093 (2.3)
 Clearly, by design, at precisely t = 1, both q(t) and w(t) must go to zero, and since they
appear in the denominator of the right-hand side, their time-derivatives become infinite. But the
raw Runge-Kutta scheme does not necessarily peg the variables exactly at zero because of
discretization and the finite number of significant figures utilized. Indeed, in simultaneous
systems of equations such as the anode sheath problem in Section IIIB and the Lorenz weather-
equations, see Section IIID (both of which have three dependent variables and one independent)
one can expect the ability of standard numerical solving routines to be stretched to unanticipated
limits and usual error catching routines not to be effective. Actual values calculated with a raw
Runge-Kutta fourth-order scheme are shown Table A1 in Appendix A, featuring resulting in
magnitude jumps (for w between t = 1.01 and 1.04 and for q between t =1.07 and 1.10) that are
both unexpected and incorrect, and represent behavior that we shall term here as numerical
switches. The precise form of the test functions is not really important but the numerical values
are significant because they individually display transmission or reflection switches at or near the
location of transition to imaginary, their magnitudes being governed by the nature of the
formulation; this switching also has implications in that it injects changes of period in periodic
functions. Such behavior may be further complicated by the fact that the nth-root of a
polynomial can have both real and imaginary components for n > 2.0.
It is helpful to realize that for w (the above test function) no numerical switching would
result as it transitions to imaginary if we had solved numerically for w2 because that equation is
linear; furthermore, there are many nonlinear equations where no imaginaries are generated in
the range of interest. But here, a mere transformation of variables can get rid of the numerical
aberrant behavior, thereby allowing for a solvable outcome. Moreover, w itself is either purely
real or purely imaginary rather than being a complex entity. In situations where the results have
no prior known closed-form solutions, as in most practical cases, it is not straightforward to find
a transformation of variables that will linearize the equations but it is useful to keep in mind that
non-linearities can arise from how the theory is formulated. Though worthwhile, any search for
helpful variable transformations is further complicated because the aberrant behavior in question
may not come from just one square root or because excursions into imaginary territories may not
just be single but periodic. Unlike their linear counterparts, the study of non-linear equations
demands a careful study of the nature of each problem.
III. EXAMPLES FROM PHYSICAL FORMULATIONS

In the first three examples that follow, an existing or latent square-root dependency leads
to imaginary transitions for either the dependent or the independent variables. All three examples
have been examined numerically as initial-value problems although one (the expanded Child-
Langmuir problem6, Section IIIa) is a boundary-value problem that has an exact but implicit
solution6. Another, the plasma-fall anode sheath problem (Section IIIb), has approximate
solutions and is a boundary-layer type problem7,8. The Lorenz-weather system of equations9 are
shown in equivalent formulations and we focus in non-chaotic solutions. An additional example
which involves elliptic functions is included here because of its ubiquitous square-root
dependence and its well-documented exact solutions (the Weierstrass’ function ℘(𝑧𝑧), e.g., Ref.
10) shown to have structures useful for interpreting transonic-flow phenomenology.
 The topics identified above come from several physical disciplines but have a common
thread, namely, they all exhibit difficulties during their numerical solutions that may be
correlated with physical changes of behavior. Note that all symbols in the following examples
are defined and used only locally so that they are not related between sections.

a. Child-Langmuir space-charge currents

In some vacuum diode experiments, space-charge currents that exhibit regions of

unsteadiness and hysteresis not predicted by this classical result have been observed (Ref. 6) and
the task below is to focus on possible origins of such phenomena. The Child-Langmuir law of
plasma physics, which is traditionally used for calculating space charge limited currents, is
derived assuming the kinetic energy of injected charged particles is negligible and that the
electric field is zero at the ion or electron source. These deficiencies were recognized by
Langmuir11 when he was describing electron motion in vacuum tubes and later by others
studying electron and ion motion in collisionless charge acceleration (e.g., Refs. 12, 13). It turns
out that when charge injection velocities are accounted for at the accelerator entrance (shown
below through a factor κ that represents the ratio of ion injection energy to the accelerator
energy), the solution accounts for a continuous range of initial electric fields (denoted below as
So in dimensionless form), which always include the zero value, thus enabling the representation
of a full range of charged-particle source parameters in the diode.

The mathematical description of this problem requires the equations of continuity and
energy for the unipolar charged particles to in addition to Poisson’s equation for the voltage. We
1
formulate singly-negatively-charged particles with a constant injected kinetic energy 2
𝑚𝑚𝑣𝑣02 =
𝜅𝜅𝜅𝜅𝑉𝑉𝑎𝑎 (where the applied voltage is Va, e the electronic charge and κ is a proportionality constant).
In Ref. 6 it is shown that though the original Child-Langmuir formulation describes negative
charges a simple transformation of the dependent variable to ‘1.0 – u(x)’ may be used to
represent positive charges as well, where u(x) is a dimensionless interelectrode voltage (V/Va).
Writing the one-dimensional case where now the space coordinate x has been non-
dimensionalized with the gap distance d, the combined non-linear Poisson differential equation
becomes,

C
u′′(x)
= with=
u(0) 0,=
u(1) 1 (3.a1)
u( x ) + κ

𝑗𝑗 𝑑𝑑 2
Here u(x) is being solved for as a boundary value problem and 𝐶𝐶 ≡ 2𝑒𝑒
3 represents the
𝜀𝜀0 � 𝑉𝑉 2
𝑚𝑚 𝑎𝑎

resulting non-dimensional form of the current density j.

An exact solution to Eq. (3.a1) may be obtained through the use of the following form for
the first derivative (a relation not transformable to elliptic integrals)
 ± 4C [u(x) + κ ] + a
1/2
u′(x) = (3.a2)

here a is an integration constant which must next be evaluated in two separate steps, see
Appendix B for details.

Such evaluation and separate integration result in the following equation (after matching
u(x) values at x*):

  (So)2   (So)2  3 1  1 (So)2  (So)2

 1 + κ + 2 − + κ  1+κ −− + κ=
 C − − +3 κ 
  4C   4C  2 2 2 C  C

2
(𝑆𝑆𝑆𝑆)2 2
𝑢𝑢 ∗= �− + √𝜅𝜅� − 𝜅𝜅 and 𝑥𝑥 ∗= 1 − �√𝜅𝜅 + 1 + 2√𝜅𝜅 + 𝑢𝑢 ∗��√𝜅𝜅 + 1 − √𝜅𝜅 + 𝑢𝑢 ∗ (3.a3)
4𝐶𝐶 3√𝐶𝐶

Equations (3.a3) represents the characteristic curves for C(So, κ) in implicit form and can be
used for both positive and negative charges because the slope at the origin appears squared.
Besides representing experimental observations, we show6 that this solution conforms precisely
to two others, one asymptotic and the other numerical a ‘direct-multiple-shooting method’.

The value of C for the Child-Langmuir solution is CC-L = 4/9 but it is exceeded when the
charge’s initial injected energy is included. From both the analytical solution and experimental
observations, the distribution of u(x) is seen to develop a minimum within the interelectrode
space depending solely on the values of So and κ. But for the higher values of So, the magnitudes
of u(x) may equal and eventually exceed that of κ, and because they subtract from each other the
right-hand side of Eq. (3.a1) goes though infinity and then transitions to imaginary as u(x)
becomes more and more negative (Figure 1a below has been obtained using Eq. (3.a3) where the
software draws such regions with wiggly lines). For higher values of So the right-hand-side
lower intercept is not calculable below the green curve in Figure 1a which is a boundary
representing when the square root in Eq. (3.a1) equals zero. Because this is a single non-linear
ODE, most standard numerical marching routines are able to flag these spurious conditions.
Elsewhere, values of x or u(x) are real and, more significantly, C exceeds the Child-Langmuir
limit valued at 4/9. Figure 1a reflects only what happens when the charge injection kinetic
energy is a fixed value; note that, as the applied voltage Va is increased in a quasi-steady fashion,
the value of κ decreases. With such upward voltage sweeps, Child-Langmuir currents may
remain exceeded only when the source saturates before κ becomes exactly zero. The figure also
shows that the Child-Langmuir limit resides in a singularity.
 Max

κ=0.1

0.05
C
Child- Va
Langmuir
limit O 0.01
0.0
u”(x)= ∞

-So
Figure 3.a1. The region below the green line has no real solutions. When the
initial charge kinetic-energy is constant, κ decreases proportionally to Va
increases.

Summarizing other results of Ref. 6, with a fixed total voltage and fixed entrance kinetic
energy, both exact and numerical solutions display a bounded but continuous range of currents.
These currents are accompanied by the formation of a range of voltage extrema in the
interelectrode space in direct correspondence to observed diode behavior. In our ‘characteristics
diagram’, constant-current lines have either one or two intercepts both typically viable in contrast
to constant-initial-electric field lines for which mostly the single upper intercept is viable. All
regions where the current does not exceed the Child-Langmuir limit are inaccessible because,
somewhat before getting there, the right-hand-side of Eq. (3.a1) blows up since u(x) is negative
and greater than κ, rendering that relation imaginary thereafter. Moreover, with purely
monoenergetic charge sources, as Va is made to increase, the approach to κ = 0 may lead to either
unsteady or to multi-dimensional hysteresis behavior, and this might be one important reason
why relevant data are so scarce. In reality, thermionic charge sources are hardly monoenergetic
and other common charge-sources have sufficient ripple to modify the accessible region in Fig.
1a; these topics are treated in Refs. 6 and 11. Reference 12 reports on experimental observations
which display unsteadiness and hysteresis and Refs. 13 report on some results of numerical
calculations that resemble spurious chaotic-like behavior.
b. Plasma-fall anode region

This problem focuses of the observation that numerical solutions of the mathematical
description of anode sheaths in collision-dominated plasmas14,15 produce erratic behaviors from a
set of relevant deterministic equations and, correspondingly, relevant experimental observations8
report both a diffuse and an anode-spot mode for the behavior of the current. Because here the
plasma densities are high, this is a ‘boundary-layer’ type problem which is traditionally
approached with direct-multiple-shooting methods by applying well-developed numerical time-
marching schemes available. This problem also has the typical ingredients presently attributed to
“chaotic behavior”, i.e., 3 nonlinear, coupled, first-order ordinary differential equations that for a
certain range of parameters become intractable with marching schemes – but measurements have
shown that non-chaotic voltage profiles that can be duplicated do exist. Moreover, semi-
analytical approximations have produced satisfactory results7. For this problem the relevant
equations include Gauss’ equation for the electric field and the current density relations, one for
the electrons and the other for positive ions. The latter two include both Ohmic transport and
diffusion terms. As written below, E is the electric field, e the electronic charge, ji and je the
current densities for ions and electrons respectively (note that je is written in the conventional
current direction, defined opposite to the actual movement of electrons), μi,e the respective
mobilities and Di.e the respective diffusion coefficients all of which are treated here as constant.
The number density of the ions is ni and that of the electrons is ne and the one-dimensional
coordinate is y , positive away from the anode.

 e 
=E ′   (ni − ne ) (3.b1)
 ε0 
=ji e µi ni E − eDni′ (3.b2)
=je e µe ne E + eDne′ (3.b3)

At or very near a non-emitting anode surface, the positive ion density and flux must
vanish, i.e., ni ≈ 0 together with both ji ≈ 0 and dni/dy ≈ 0, so that equation (3.b2) above becomes
unnecessary15. Moreover, je ≈ J where J is the total current which is a constant in one dimension.
The electron diffusion gradient in the vicinity of the anode may also be neglected because the
Ohmic term is usually dominant, and all other plasma properties such as temperature, mobility,
diffusivity, may be assumed to remain fixed.

With these simplifications very near the anode surface we write (3.b1) into (3.b3),

dE
je ≈ e µe ne E =
− µe ε 0 E ≈ J (constant)
dy
(3.b4)
J
so that EE ′ + ≈ 0 with =
E E0 at =
y 0
ε 0 µe
Equation (3.b4) has the following solution very close to the anode, an expression which shows
the “parabolic nature” for the variables,

2J
E ≈ E02 − y (3.b5)
ε 0 µe

Applying the Einstein relation, we can see that the electric field in the expression above goes
imaginary beyond

E02ε 0 µe E02ε 0eDe

y=
crit = ≈ 1.0 × 10−4 m (3.b6)
2J 2JkTo

The numerical result shown above (~ 0.1 mm) comes from values in Ref. 15, with E0 = 18E∞.
This is indeed a very small distance which validates the approximations. In certain low-density
plasmas, ycrit may well reside within the collisionless part of the sheath where different physics
applies and where the assumption of constant properties in the original equations is usually
weak. The only way that this distance can approach the more ordinary sheath lengths is to
increase the electron mobility (by lowering the total plasma density) and/or by decreasing the
total current to J < 104 A/m2. However, where Eq. (3.b5) holds, the equation system goes
imaginary within a few marching steps with standard numerical solutions14.

A less approximate approach which does display the “boundary-layer” nature of the
electric field distribution may be shown to be as follows,

  
  
E 2kTne 0  eE  2kTne 0 1
= 1− tanh  0  1 − y + tanh −1  
E0 ε E02  2kT  ε E0
2  2kTne 0 
  1 −  
  ε E02  
2kTne 0
where ≤ 1.0
ε E02
 Figure 3.b1 Boundary layer behavior of E-field at high-density plasma anodes

Case considered in Ref.7 at 6,000 K, (data on page 15 of Ref. 15),

−1 3/2
2kTon∞ 2kToneo  n∞ / ne 0   2kToneo   n E   2kToneo 
=  1,300 =   =
so  2 
1300  e 0 0   1 − 
ε 0 E∞
2
ε 0 E02  E∞2 / E02   ε 0 E0   n∞ E ∞   ε 0E02 
dn e2D kT
J =e µe ne 0 E0 + eDe e 0 ≈ e µe ne 0 E0 = e ( ne 0 E0 ) or ne 0 E0 =J 2 o ≈ 1023
dy kTo e De
−1
 z   ne 0 E0   1025 
=
  1300    1300  23  ≈ 10 so z ≈ 0.9996 < 1.0 which is OK
5
 (1 − z )3/2   n∞ E ∞   10 
 

The calculation above shows that the system is perilously close to 1.0 which in numerically
would not allow for much error with ordinary step size increments.

Cathode spots ordinarily arise from thermal needs in thermionic emission from unheated
electrodes, but anode spots are more difficult to explain as they originate from solely from
continuity considerations. Physically, to accommodate a high-pressure situation, a two- or three-
dimensional description is necessary, and possibly unsteady flow. Reference 8 shows
calculations after the anode has transitioned from a diffuse to a spot mode. Such transitions are
observed in plasma-flow experiments where electron mobilities were being significantly
decreased by the formation negative ions, and in Eq. (3.b5), this amplifies effects of the distance
y causing E to go imaginary earlier than otherwise.
c. Elliptic-Functions in Transonic-Flow Formulations

Elliptic functions are well documented since appear in solutions to a variety of important
physical problems which in their differential form feature the dependent variable (in various
polynomial forms) with a square root dependence – their solutions span the real and imaginary
domains (e.g., Ref. 10). Applications yielding such elliptic formulations range from pendulum
dynamics to electrical filter designs, among many others. In this section we focus on a
separation of variables solution16 to the classical, two dimensional “small-disturbance partial
differential equation for transonic flows” which under experimental conditions is known exhibit
shock-related discontinuities. Here, a cross-flow component variable function yields a solution
expressible in terms of the “equianharmonic case” of Weierstrass’ elliptic function10 ℘(𝑧𝑧),
where z is a conventional complex variable related to a directional coordinate and η represents
values of ℘(𝑧𝑧) (or P(z)) along an airfoil. The relevant equations may be summarized as follows:

℘′′(z) − 6℘2 (z) =0

℘′2 (z)=4℘3 (z) − g3
with g3 ∝ (1 − M∞2 ) (3.c1)
η* dP η1 dP
y= −∫
Re(z) = +∫
η0
4P 3 − g3 η * 4P 3 − g3

The complex function ℘(𝑧𝑧) is symmetric and doubly-periodic (one period is real and the
other imaginary) and it exists within “strips or cells” bounded by poles in the complex plane. In
our case, the variable z represents twice the cross-flow coordinate y, where at the surface of an
immersed body (or transonic surface) y becomes a function of the flow-direction coordinate x. In
transonic flows, the constant g3 can be shown to be related to M∞, the incoming Mach number, as
(1 – M∞2), where M∞ is only slightly above or below unity so that g3 spans a relatively small
range either positive for subsonic flow or negative for supersonic flow. For exactly sonic flows
the solution to the above integral becomes η = ± 1/y2 and this solution has been shown16 to
represent a weak Prandtl-Meyer expansion. In Eqs. (3.c1), at locations where ℘(𝑧𝑧) (or P) is
large compared to g3 such inverse square dependence also holds so that P may approach its poles
robustly (as the sixth power) with variations of z. At some intermediate z*-value, the square root
in the denominator goes to zero and the value of both branches of ℘′ (𝑧𝑧 ∗) vanish. Approaching
from the left, this portion of the curve corresponds to the negative branch of the square-root (see
Fig. c-1). Because of the symmetry of the Weierstrass solution, at the zero-slope location the
positive part of the square root emerges (e.g., Ref. 10) but the slope ℘′ (𝑧𝑧 ∗) is discontinuous
while ℘(𝑧𝑧) itself undergoes a minimum. Real solutions are always obtainable inside each cell
because at the precise location where the negative branch goes imaginary the positive branch
transitions from imaginary to real – with such behavior the well-known Weierstrass results
demonstrates one advantage of a-priori establishing such solutions with complex variable sums –
but with most other nonlinear equations one does not have the benefit of such well-studied and
well-documented solutions.
 The value of z* for which the slope ℘′ (𝑧𝑧) vanishes when g3 > 0 is z* = 1.52995/(g3)1/6;
for g3 < 0 it is z* ≈ 2.64/(g3)1/6 though it has an inflection at 1.53. The magnitude of z* also
represents one-half of a strip or cell dimension. As the denominator in Eq. (3c1) turns
imaginary, the solution’s real parts of appear to ‘reflect’ as we found in Section II. At z* where
the slope of ℘(𝑧𝑧) is discontinuous the transverse component velocity goes to zero (in addition to
blowing up at the poles). Physically, this location has been shown to represent the basis of a
family of afterbodies where the vertical perturbation velocity changes direction17; Figure c-2
shows the transonic flow pattern at Mach 1.1 around an axisymmetric afterbody which has been
solved with the aid of CFD-software.

Figure 3.c1 Real parts of ℘′ (𝑧𝑧) showing a slope discontinuity which appears as a
‘reflection’, see Fig. 57 in Ref. 10, here g2 = 0 and g3 =1.0. The minimum occurs
at z* = 1.53 and η* = 0.630.

Figure 3.c2 Axisymmetric afterbody transonic-inviscid-flow solution at Mach

1.1 from Ref. 17 (Priyono), where for this configuration the peak of the pressure-
drag coefficient curve is shown to be 15 % lower than that for a conical afterbody.
 Properties of elliptic functions can readily be found in the literature; the supersonic case
where g3 < 0 can be reduced to a case where g3 > 0 (because for transonic flows, g2 = 0) with,

℘(z; g2 , g3 ) = −℘(iz; g2 , − g3 ) (3.c2)

Transonic flows readily develop shocks and the rich structure of ℘(𝑧𝑧) provides a capability to
model such complicated set of events governing the formation of aerodynamic shocks, though
these require a simultaneous look at the x-perturbation velocity (see, for example, Ref. 16).

There are several other well-known functions that contain the dependent variable in
polynomial form inside a square-root and that display discontinuities, such as the inverse circular
functions. Here for example is the arcsine which has real values only for – 1 ≤ x ≤ 1, and poles
at ± 1, namely,
𝑧𝑧 𝑑𝑑𝑑𝑑
𝑠𝑠𝑠𝑠𝑠𝑠−1 ( 𝑧𝑧) ≡ ∫0 √1−𝑈𝑈 2
where 𝑧𝑧 is complex (3.c3)

Equation (3.c3) is the solution to the classical harmonic oscillator which has a number of
quantum mechanical counterparts (e.g., Ref. 2). Since the inverse trigonometric functions are
analytic functions, they can be extended from the real to the complex plane. This results in
functions with multiple sheets and branch points. We see here that manipulating with complex
variables expands the range of elliptic functions to any desired number of periodic regions.

d. Lorenz weather-system formulation, deterministic aspects

Moving fluids display two distinct types of observable behavior, namely, laminar and
turbulent flows with the former amenable to exact solutions whereas latter mostly described with
empirical relations. At the present time, the topic of random behavior or “numerical chaos” has a
large following but its relation to fluid-dynamic turbulence18 remains unsubstantiated (largely
because turbulence arises from many “tiny violently mixing areas that are buried in a hierarchy
of fluid structures”). Our approach here is to focus on some fully deterministic results using
traditional mathematics techniques in the system of equations introduced by E. N. Lorenz9 for
weather modelling. This is because chaotic behavior is manifest only for certain values of the
constantans that are present in the equations shown below (b and p, as r is increased in the
calculations). While future events in weather phenomena are considered unpredictable because
of their intrinsic complexity which includes random initial conditions, here the problem as
originally formulated had fixed initial conditions (and today computers do not require
‘resubmissions’ as Lorenz had to do in 1963). This system consists of the following 3 first-
order, initial-value, autonomous, ordinary, coupled nonlinear differential equations:

𝑥𝑥̇ + 𝑝𝑝𝑝𝑝 = 𝑝𝑝𝑝𝑝 x(0) = 0 (3.d1)

𝑦𝑦̇ + 𝑦𝑦 = (𝑟𝑟 − 𝑧𝑧)𝑥𝑥 y(0) = 1 (3.d2)

 𝑧𝑧̇ + 𝑏𝑏𝑏𝑏 = 𝑥𝑥𝑥𝑥 z(0) = 0 (3.d3)

Fluid dynamic formulations originate from fully deterministic equations. The variable x above
represents the conventional fluid-dynamic stream function, whereas y and z are related to specific
temperature deviations (the variable y is proportional to the temperature difference between the
rising and falling portions of the fluid which mathematically plays the enabling role in their
solution). Fluid properties are included in a modified Prandtl number p which is treated as a
constant (r and b are also constant during each solution). The first equation is linear and shows
that the dependence of x on time will follow the behavior of y within a ‘time lag’ and a
proportionality factor. The second equation is non-linear, governing the enabling variable y, and
is highly dependent on the magnitude of z with respect to r (because it affects the sign of the
right-hand-side). The last equation is also non-linear and shows that the character of z depends
highly on the product of the previous two variables5. Because in the Lorenz example p > b > 1.0,
for r > 1.0 numerical solutions to this system of equations display a fast transient followed by
several oscillations that dampen for r < bp but begin grow erratically with time beyond r ≈ bp. It
is in this latter region that much ‘unpredictable activity’ is apparent and it is there that Lorenz
identifies such chaos as physical behavior (although it likely starts when y first goes to zero at
around r ≈ b + p +1). Whereas b and p are considered fixed fluid properties, r is incremented to
reflect effects of ‘free convection’ transitioning from laminar to some turbulent regimes, thus r
represents or can be proportional to a ‘Rayleigh number’. As detailed below, non-chaotic
solutions (that have only been obtained numerically using digital computers) to Eqs. (3.d1) to
(3.d3) are possible at any r for some specific values of b and p, which may reflect certain fluids
or can be obtained by re-normalizing Eqs. (3.d1) to (3.d3). This motivates the following
important question: Is the source of Lorenz-chaos really physical or is it of numerical origin (due
to unforeseen software results)?

In analyzing nonlinear differential equations, it is necessary and often instructive to

manipulate the equations analytically prior to applying purely numerical approaches, even if
linear approximations or exact solutions do not result. It is well known that alternative
formulations can often show singular behavior more clearly, as should be apparent in example
IIIb of this paper. Numerous references have been published about this Lorenz system of
equations and Ref. 5, which is included below in summary form, extensively examines Eqs.
(3.d1) to (3.d3) presenting equivalent formulations that have yielded criteria relating to the
importance of the role of the numerics in the observed chaotic results. Reference 5 also posits
that such chaotic behavior observed in the purely numerical solutions may originate uniquely
from finite-step increments in the software and, as in Section II; it also identifies and shows the
“signatures” of intrinsic numerical switches that arise within commonly used Runge-Kutta
numerical routines. These switches depend on the step-discretization size and on a ‘starting
value’ as any particular variable being incremented passes into the complex realm (i.e., turns
imaginary). The information in Section II will be shown to be especially relevant here.
 A particularly insightful form of Eqs. (3.d1) to (3.d3) that unmixes the three dependent
variables is derived in Appendix B2 and shown below,
𝑟𝑟 𝑟𝑟 𝑡𝑡 𝑡𝑡
− 𝑝𝑝 𝑥𝑥 2 + (𝑦𝑦 2 + 𝑧𝑧 2 ) = 𝑒𝑒 −2𝑡𝑡 + 2 𝑝𝑝 (𝑝𝑝 − 1)𝑒𝑒 −2𝑡𝑡 ∫0 𝑒𝑒 2𝜏𝜏 𝑥𝑥 2 𝑑𝑑𝑑𝑑 − 2(𝑏𝑏 − 1)𝑒𝑒 −2𝑡𝑡 ∫0 𝑒𝑒 2𝜏𝜏 𝑧𝑧 2 𝑑𝑑𝑑𝑑
(3.d4)

This form highlights a hyperbolic nature embedded among the three dependent variables, i.e., in
the “state space” of the system. Clearly, whenever x2 and/or y2 become negative we encounter
imaginary values of x and/or y. Hyperbolic functions are periodic with respect to the imaginary
component with period 2πi. It can be shown5 with Eqs. (3.d1) to 3.d3) that as y turns imaginary x will
follow but that z does not go imaginary – this means that during imaginary conditions the hyperboloid
represented by the left-hand-side of Eq. (3.d4) will have to have flipped axis from its real variable
configuration (i.e., from the x-axis to the z-axis). As time increases, this behavior when added to right-
hand-side excursions into positive and negative values (causing the arrangements discussed below) shows
the many complications that any software must be able to properly manage during numerical solutions.

Special solutions may be found when p = b = 1.0 and also, with increasing time, whenever
the last two terms in the right-hand-side become equal; here the resulting equation has a range of
values from one to zero which correspond to a fully non-chaotic result (i.e., e-2t). Reference 5
shows that for 2p = b a simple relation results at any value of r (i.e., x2 = 2pz) which never
becomes chaotic, but for other cases Eq. (3.d4) needs to be individually examined. It is well
established that for r > 1 numerical solutions for x, y, and z will oscillate in time with different
periodicities in the Lorenz case (b = 8/3 and p = 10) and with magnitudes that always dampen
out for r < 22 but which increase when r > 22. Reference 5 further shows that an alternate
formulation involving x2 and y2 represents more intrinsic dependent variables (their fixed points
are not discontinuous – no pitchfork bifurcation as r is made to increase because the fixed points
become 𝑥𝑥𝑠𝑠2 = 𝑦𝑦𝑠𝑠2 = 𝑏𝑏(𝑟𝑟 − 1)and 𝑧𝑧𝑠𝑠2 = (𝑟𝑟 − 1)2 ). Such symmetry property also arises from the
quadratic nature of the formulation in Eq. (3.d4); moreover, in Eq. (3.d4), z2 depends on two real
numbers (x2 and y2) so that it is always real. From the work in Ref. 5 it is clear that all alternate
formulations of the Lorenz case cease to be equivalent after r = 14. As stated earlier, our
scrutiny of the numerical results indicates that chaotic behavior begins to arise whenever y2 goes
to zero (x being linearly dependent on y must mimic such behavior) – for b = 8/3 and p = 10 the
first zero of y appears at r =13.93, second zeros begin to appear for r = 22.0 and thereafter the
curves amplify with time. Figure (3.d1) shows a second switch at t = 0.536 with its ‘abrupt
refection’ features unlike the adjacent minima which may be attributed to the inability of the
software to accept negative values of y2.
 Figure 3.d1 ‘Switch Signature’ triggered by y2 going negative.

Returning now to Eq. (3.d4), in general three possible hyperboloidal arrangements may result
depending on the right-hand-side (RHS) value at any instant of time when all variables are real:

a) RHS > 0 (hyperboloid of revolution about x-axis, one sheet)

b) RHS = 0 (portion of cone, boundary between (a) and (c) hyperboloids)
c) RHS < 0 (hyperboloid of revolution about x-axis, two sheets)

Note that the RHS must always start in case (a) because of the 𝑒𝑒 −2𝑡𝑡 -term which at sufficiently
long times becomes negligible (or it can rapidly be overcome by the third term which is always
negative for b > 1.0) enabling cases (b) and (c) to occur.

The second RHS term vanishes for p = 1 and this serves as a useful simplification.
Looking next at case (c) allows an investigation of the effects of changing r with fixed b, after
the initial transient (e-2t) becomes negligible. Only the third term remains which is negative for
any value of t, since we expect that z2 is always real. The resulting Eq. (3.d4) equation is
𝑡𝑡
𝑟𝑟𝑥𝑥 2 − (𝑦𝑦 2 + 𝑧𝑧 2 ) ≈ 2(𝑏𝑏 − 1)𝑒𝑒 −2𝑡𝑡 ∫0 𝑒𝑒 2𝜏𝜏 𝑧𝑧 2 𝑑𝑑𝑑𝑑 ≥ 0 for 𝑝𝑝=1.0, 𝑡𝑡 >> 0
(3.d5)

For b > 1.0 and at any fixed given time in Eq. (3.d5), the two-sheets in the hyperboloid of
revolution approach the y-z plane toward each other with increasing r since the closest distance
1
between them decreases as�𝑟𝑟. Furthermore, all numerical solutions examined for p = 1 with
arbitrary values of b and r greater than 1.0 oscillate toward a steady state, never becoming
imaginary (except perhaps for values of r > 106) meaning that standard software can handle this
early transition from one-sheet to two-sheets without generating any chaotic behavior. In the
case shown by Eq. (3.d5) the corresponding steady-state values are: 𝑥𝑥𝑠𝑠 = 𝑦𝑦𝑠𝑠 = �𝑏𝑏(𝑟𝑟 − 1)and
𝑧𝑧𝑠𝑠 = (𝑟𝑟 − 1) . Physically p = 1 implies a Prandtl number proportional to 1.0 and
mathematically, from Eq. (3.d1), it implies no time lag between y and x.

When b = 1.0, the solution for the sum of the left of Eq. (3.d4) (SUM) reaches a steady state
with oscillations greater than zero – but for large values of p they appear to saturate at a value:
𝑏𝑏
SUM < 20.0. The steady state SUM = (𝑟𝑟 − 1) �𝑟𝑟 �1 − 𝑝𝑝� + 𝑏𝑏 − 1� . Now for results of p > b
> 1.0,

Lorenz-case: r = 13.8, at t = 2.0 SUM = 1.563

r = 13.905, at t= 2.015, SUM = 0.43

r = 14.0, at t= 20, SUM = 152.34 [See Fig. 3.d2, note first y2 =0]

The jump in the above-value of SUM around t = 2 is denying this parameter from
becoming negative (together with y2) just shy of r = 14.0, and SUM from becoming a
“hyperboloid of two sheets”. Also in this region 𝑦𝑦𝑦𝑦̇ and x become nearly zero making 𝑦𝑦̈ also
nearly zero and the solution is able to flip over (numerically) to the bottom quadrant. The values
of y and x transition to negative at r = 14 and t > 2 (and then proceed to decay to their asymptotic
values). This particular case repeats itself many times at larger rs and the values of y and x jump
back and forth to positive. Thus y  0 should be the problem that generates chaotic behavior.

In the Non-Lorenz case, y2 never goes negative or closely approaches zero while the SUMa does
flip between positive and negative values (verified with r = 5 and also r = 28)..

LORENZ CASE (r=14, p=10, b=8/3) 2p = b CASE (r=5, p=3, b=6)

Figure 3.d2 Values of SUM for a Lorenz case and a case where x2 = 2pz.
However, when p > 1 in the RHS of Eq. (3.d4) a positive term which is proportional to r
reappears, and for certain values of t and r this term can become greater in magnitude than the
last integral in Eq. (3.d4). Because for r > 1 all solutions of x, y, and z oscillate in time but out of
phase, many instances occur when RHS = 0 (denoted below as 𝑥𝑥�, 𝑦𝑦�, 𝑧𝑧̃ ), where 𝑟𝑟(𝑝𝑝 − 1)𝑥𝑥� 2 =
𝑝𝑝(𝑏𝑏 − 1)𝑧𝑧̃ 2 (i.e., case (b) after the initial transient) and Eq. (3.d4) will need to transition back-
and-forth from negative to positive, a rate which increases with r increases. Thus Eq. (3.d-4)
now becomes (𝑝𝑝 − 1)𝑦𝑦� 2 + (𝑝𝑝 − 𝑏𝑏)𝑧𝑧̃ 2 ≈ 0 or equivalently 𝑟𝑟(𝑝𝑝 − 𝑏𝑏)𝑥𝑥� 2 + 𝑝𝑝(𝑏𝑏 − 1)𝑦𝑦� 2 ≈ 0 and
when p > b > 1), either x or y (or z) must turn imaginary (though y seems to be preferred by the
numerics). Hence, for this case and at certain critical times variables must turn imaginary.

The supposition that, somehow, physical disorder can be hidden in the non-linearities of
the differential equations used to model meteorological or other physical phenomena must be
tempered by further clarifications of the role of the calculational schemes5,19. The behavior
interpreted by Lorenz as physical chaos might equally well arise from unforeseen and
uncontrolled numerical switches that randomize (generating noise-like patterns) and that enclose
(generating an attractor) the output because the numerical procedures encounter terms turning
imaginary, a situation they are not programmed to handle. The so-called shadowing effect might
be recognition of the fact that in-between numerical switching numerical solutions do follow a
deterministic path. Until rigorous parametric studies of chaos-type equations with a wider range
of tools (including non-numerical and/or more analytical solutions) become available, we should
perhaps refer to such results reported mostly as “numerical” and not “physical” chaos. Clearly
separating unwanted numerical effects from the physical character of the formulations should
lead to a better understanding of any such behavior. Because of the very approximate nature of
the original equations perhaps resurrecting certain neglected terms (when p ≤ 1.0 is invalid), in
particular those representing dissipative processes, might avoid the variables turning imaginary.
Another approach would be to solve Eqs. (3.d1) to (3.d3) with suitable analog computers.

IV. CONCLUSIONS

The four examples presented cover a variety of known quadratic relations between
dependent and independent variables: elliptic, parabolic and hyperbolic and lead to situations
where imaginaries may arise. The first three comprise only two variables and the hyperbolic one
comprises three dependent variables as time functions (yielding a number of possible
arrangements such as one- and two-sheet hyperboloids, and cones).

These examples highlight the proposition that when purely numerical approaches lead to
unexpected results these may only be interpreted as realistic behavior after carefully examining
additional terms which could be introduced (or reintroduced) in the formulation in order to
establish more appropriate descriptions – here it is advantageous to consult all relevant physical
observations available for changes in dimensionality or for any emerging time dependency, and
to identify variables that may turn imaginary over the intervals being examined. In the same
order as the four examples, the following comments apply: as a diode’s gap coordinate goes
imaginary, traditional space-charge currents may exhibit a hysteresis mode and/or become
unsteady so that time and additional dimensions should be considered; as the electric field goes
imaginary, collision-dominated plasma anode-sheaths may transition from a diffuse to a spotting
mode so that additional dimensions need to be introduced; as the cross-flow coordinate
approaches a mathematical pole or the cross-flow velocity changes abruptly, transonic flows
inherently display some of the observed discontinuities; and when the Lorenz-weather
formulations behave erratically, terms that have been neglected need to be reconsidered in
relation to the physical effects they represent (or a renormalization of the equations of that yields
p ≤ 1.0 if realistic should be implemented because the accepted Prandtl number for air ≈ 0.7
before modification).

In preparing formulations for numerical solution, substituting a change of variable, (in the
manner of Sections II and IIId) that simplifies the equations should be seriously investigated, and
the fact that the sign of a slope may change because of an implicit ± sign (from taking of square
roots) must not be dismissed, see Sections IIIa and IIIc where physical expectations are shown to
affect the ultimate form of the solutions. Numerical techniques are much inferior to analytical
methods when the non-linear equations have singularities and pure analysis has always been
much superior at defining the big picture. As many different techniques as possible should be
scrutinized (analytical, numerical, approximate, transforming variables, etc.) in solutions of
complicated problems – this is nothing new but often neglected in this age of digital computers
(a revival of using for analog devices might be in order). Because currently software appears to
be unable to properly flag all transitions from real to imaginary, the diagnostics in available
standard numerical schemes must be improved. When mathematically different but physically
equivalent formulations do not yield equivalent numerical results (something that arises from
variables turning imaginary), then the numerical stability of the results to small changes in
tolerances should be more carefully examined. Additionally, a priori complex variable
formulations (that anticipate transitions to and from the imaginary plane) might prove to be
helpful when they can be properly done.
Square root signs appear explicitly in the formulations of Examples IIIa and IIIc even
though the conditions for their going imaginary are not readily transparent; In examples IIIb and
IIId the formulations give no hint of any existing roots and this makes the task considerably more
complicated. One reason for the abundance of transitions-to-imaginary generated chaos might
be related to the fact that any root (involving whole numbers or fractions) may generate complex
numbers and thus imaginary quantities are commonly encountered after singular behavior under
such roots occurs (i.e., (- 1)1/n will generate complex numbers for n > 1, with n = 2 being the
imaginary index). Only nonlinear equations can generate such roots which adds another reason
to their difficulty.
APPENDIX A
Using the test functions identified in Eqs. (2.2) and (2.3) in the neighborhood of the time axis,
we can get some useful insights into the behavior of the numerical solutions. The raw fourth-
order Runge-Kutta (e.g., Ref 20) method employed is,
yn+1 = yn + (h/6) (y'n1 + 2y'n2 + 2 y'n3 + y'n4)
y'n1 = f(tn, yn),
y'n2 = f(tn + ½h, yn + ½hy'n1),
y'n3 = f(tn + ½h, yn + ½hy'n2),
y'n4 = f(tn + h, yn + hy'n3)
Table A1 shows values for w(t) and q(t) from calculations with h = 0.03. Each first tabulated
value at t = 0.98 is obtained from the analytical relation. These results will depend not only on
the function itself but also on the initial point and on the step size h. The reflection of w(t) and
the transmission of q(t) about the t = 1.0 singularity are clearly evident below. What apparently
happens after the switching is that the solutions are thrown abruptly into an "allowable basin"
where the variables must seek some sort of fixed points without going through a progression of
values that satisfy the equations as originally formulated.
TABLE A1

t w(t) q(t)

0.98 0.14142 0.37606

1.01 -0.00101 0.31447

1.04 4.94756 0.22074

1.07 4.94452 0.11077

1.10 4.94149 -0.73361

1.13 4.93845 -0.71312

1.16 4.93542 -0.69182

APPENDIX B
This Appendix presents a few relevant steps in the derivations of: (1) Eq. (3a.3) and (2) Eq.
(3d.4).

1. Because Eq. (3a.1) comes from a ‘boundary value problem’ we need to split the two parts of
the curve around the minimum in order to properly retain the ‘parabolic nature’ of its solution
and still meet the end conditions. By denoting the slope at x = 0 as So, which is either less or
equal to zero, we must first choose the negative square-root in Eq. (3a.1). Applying the value of
the derivative at x = 0 leads to

u′(x) =− 4C [u(x) + κ ] + (S02 − 4Cκ 1/2 )

1/2
0 ≤ x ≤ x* (B1.1)

The parameter x* is the location of minimum point where the slope is zero and where u(x) = u*
(which can be negative or zero). Equation Eq. (B1.1) may be integrated using standard integral
tables with the boundary condition u(0) = 0 applied. Beyond the minimum, we must deal with
the positive portion of the square-root and evaluate with the outer boundary condition (u(1) =
1.0).

u′(x) =+ 4C [u(x) + κ ] − 4C(u * +κ )1/2

1/2
x* ≤ x ≤ 1.0 (B1.2)

Equation (B1.2) may now be integrated and the boundary condition u(1) = 1 then applied. The
final result is Eq. (3a.3) after matching u(x) values at x*.

2. Multiplying Eq. (3d.1) by x and Eq. (3d.2) by y and then inserting (3.d3) we get

xx + px 2 = pxy = p(z + bz) (B2.1)

yy + y =(r − z)xy =r(z + bz) − (zz + bz ) (B2.2)
2 2

r
yy + y =
2
(xx + px2 ) − (zz + bz 2 ) (B2.3)
p
r
− (xx + px 2 ) + ( yy + y 2 ) + (zz + bz 2 ) =
0 (B2.4)
p
We now introduce (r/p)x2 together with z2 on both sides of Eq. (B2.4) and rearrange to keep the
variables x and z inside parentheses without multipliers on the left side of the equation,
𝑟𝑟 𝑟𝑟
− 𝑝𝑝 (𝑥𝑥𝑥𝑥̇ + 𝑥𝑥 2 ) + (𝑦𝑦𝑦𝑦̇ + 𝑦𝑦 2 ) + (𝑧𝑧𝑧𝑧̇ + 𝑧𝑧 2 ) = 𝑝𝑝 (𝑝𝑝 − 1)𝑥𝑥 2 + (𝑏𝑏 − 1)𝑧𝑧 2 (B2.5)

1 𝑑𝑑 𝑟𝑟 𝑟𝑟
2
𝑒𝑒 −2𝑡𝑡 𝑑𝑑𝑑𝑑 �𝑒𝑒 2𝑡𝑡 �− 𝑝𝑝 𝑥𝑥 2 + (𝑦𝑦 2 + 𝑧𝑧 2 )�� = 𝑝𝑝 (𝑝𝑝 − 1)𝑥𝑥 2 − (𝑏𝑏 − 1)𝑧𝑧 2 (B2.6)

The integral of Eq. (B2.6) becomes Eq. (3d.4) after inserting initial conditions. These equations
show clearly a “hyperbolic nature” of the dependent variables.
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