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# Parrondo Strategies for Artificial Traders

## 1 Introduction

Stock markets to an ever-increasing extent allow for trading controlled by artificial agents, or more generally, program trading. For instance, the Swedish Securities Dealers Association finds that it has no objections to program trading, and already in 1992 declared that only the means to exploiting unlawful quotes manipulation, resulting from program trading, should be controlled. Nasdaq, in a communication to their members write:

> Recent events show that the way some stocks are traded is changing dramatically, and the change in trading methods may affect price volatility and cause increased trading volume. This price volatility and increased volume present new hazards to investors, regardless of whether trading occurs on-line or otherwise.

In general, stock markets do not apply restrictive policies to program trading. A primary objective of the market place operator is to promote a high liquidity in the traded instruments. This can be done through reducing the transaction costs: one typical implicit cost is lack of orders, leading to wide spreads, or non-existing quotes. The operators thus have reasons to encourage inbound orders. As long as these are authenticated, and the network can keep up disseminating the market info in a proper fashion so that the situation stays in line with the overall aim of up-keeping a fair and orderly market, the operator should have nothing against a large number of valid orders per second being placed by artificial agents.

Hence, we feel motivated to relate certain theoretical results from physics to artificial traders of the future. We do not assume markets populated solely by artificial traders, however. If we did, we could move on to claim that the Efficient Market Hypothesis and rational choice theory yield efficient equilibria, since the vast empirical evidence against such assumptions are directed almost exclusively towards human traders. We instead believe that artificial traders have gradually and almost unnoticeably slipped onto the same markets as human traders, and we will treat them as speculating noise traders (traders with non-rational expectations and potentially zero intelligence). Artificial stock markets possibly exhibit volatility (i.e., standard deviation) of a different kind than ordinary excess volatility markets, as argued, e.g., in the ban of crawlers from the Internet auction site eBay. In practice, Internet marketplaces supply information on their acceptance of artificial traders and other softbots in a file named robots.txt, and on Internet markets that do allow for softbots, their behavior is usually monitored in some way, in order to mitigate the effects of speculation through unconventional methods such as denial-of-service attacks. Program trading has also in general reached a level where flocking behavior worry policy makers. On an artificial stock market, in contrast to an ordinary market, active portfolio management should also incorporate the price dynamics, because of the intense trading. This factor has also led to transaction fee policies being radical on some artificial trader markets. Since significant transaction fees can render the Parrondo strategies described in sections 2 and 3 below useless, the existence of markets with low or no transaction fees is important to our object. We will consider portfolios on markets with receding prices. We will represent artificial traders as agents in a multi-agent system (MAS), in which agents affect each other’s behavior through trusted message passing, as explained in section 3. In the MAS setting, variations of Parrondo strategies are then subject to experiments on a simulation testbed, the results of which are reported in section 4. In the last section, we present directions for future research.

## 2 The Parrondo Strategy in Games

The flashing ratchet (or Brownian motor) is a molecular motor system consisting of Brownian particles moving in asymmetric potentials, subject to a source of non-equilibrium. In its game-theoretical formulation, the flashing ratchet can be described in terms of two games (A and B) in which biased coins are tossed.

* Game A is a single coin game in which the coin comes up heads (=win) $`50ϵ`$ per cent of the time (for some small $`ϵ>0`$) and results in tails the rest of the times (Parrondo himself used $`ϵ=0.005`$, and the constraints are described, e.g., at seneca.fis.ucm.es/parr/GAMES/discussion.html).
* Game B involves two coins. The first coin comes up heads $`10ϵ`$ per cent of the time, and the second coin $`75ϵ`$ per cent of the time. What coin to flip is decided through looking at the capital of the player. If it is divisible by 3, the first coin is flipped, while the second coin is used in the rest of the cases.

Clearly, game A is a losing game, but the same holds for game B. This is because the player is only allowed to flip the second coin if her capital is not a multiple of 3. The latter situation comes up more often than every third time: The player will start with the unfavorable coin, which will very likely place her in loss -1. She will then typically revert to 0, and then back again to -1, and so on. Whenever the unfavorable coin lands tails twice in succession, however, she will end up with capital -3, and then the pattern will repeat, leading to -6, etc. Hence, game B is a losing game, just like game A.

The Parrondo strategy for playing games A and B repeatedly is to choose randomly which game to play next. Somewhat counter-intuitively, this discrete representation of a ratchet yields a winning game.

## 3 The Parrondo Strategy in Artificial Trading

Artificial trading and herd behavior have often been studied through bottom-up simulations, as in Sugarscape or the Santa Fe artificial stock market. We have concentrated on speculating investors that use variations of the Parrondo strategy. Table 1 briefly describes these strategies, as well as some control strategies. Value investors (exemplified by BLSH in Table 1) seek profits, while trend investors (exemplified by BHSL in Table 1) try to identify upward and downward movers and adjust their portfolios accordingly. In our simulations, the value investor proportion is larger, but this significant fact notwithstanding, our object is not the study of how it affects the market dynamics. Instead, we augment the Parrondo variations by market information, in the form of agent messages. The agents may thus influence each other by passing hints on what to buy, or what to sell. A message is treated by the receiver as trusted information, and the receiving agent will act upon the content of the message, interpreting it as normative advice. A message can be interpreted as perfect (or even insider) information, randomized for the sake of our experiment.

We considered a portfolio of ten stocks with receding prices, assumed to be unaffected by agent trading. The data used is real daily data from the Swedish stock market, from the one-year period starting March 1, 2000. The stocks are listed in Table 2, and in Figure 1 their development is shown. Values have been normalized to 100 for the start of the period. The strategies initially held $10000 value of each stock. One trade was done per day, in which the strategy decided what to sell and what to reinvest in. Three different levels of hint probabilities were used: 1%, 5%, and 10% chance of receiving a hint. A 1% level means that the strategy will on average receive a hint for one of the ten stocks every tenth day of trading. When choosing randomly what to buy and what to sell, 10 integers were randomized and taken modulo 10 in order to get (at most 10) stocks that were then traded. For each of the stocks sold, a percentage of the possession $`p[0.2,0.8]`$ was sold. The values of all sales were then reinvested according to their relative part in a similar selection process. If the strategy did not get at least one stock to buy *and* one to sell, it held its possessions until the next day. Each strategy was evaluated towards the same set of stocks and the same set of hints (if used). In order to even out differences due to the randomness of the trading, the simulations were repeated 1000 times. Alignment and docking experiments are encouraged, and specifics are available upon request.

## 4 Experiment Results

As can be seen in Figure 2, most of the strategies over the 252 trading days followed the major trends of the market and none of them managed to maintain the initial portfolio value. There was considerable movement, as shown in the blowup of the last days of trading in Figure 3, but also significant differences between outcomes (Table 3). Buy-low-sell-random was the only strategy that outperformed Random. Strategies also differed with respect to volatility. For instance, BLSH was inferior to all strategies for most of the year. However, around day 100 through day 120, it outperformed all other strategies. As expected, BHSL amplified the receding trend.

In spite of its poor performance, there are still many reasons for policy makers and speculators to use buy-and-hold even on supposedly receding markets. One reason is to declare and uphold a clear company investment policy, another is that frequent re-investments could be undesirable (e.g., due to transaction fees). Nevertheless, we feel that BLSR produced good enough results to merit further study. For now, we will be content with comparing it to various levels of hint probabilities, however. From those results, shown in Figure 4, we see that BLSR is comparable to the insider strategy with a hint probability of approximately 4%.

## 5 Conclusions and Directions for Future Research

We have shown that the use of certain Parrondo-based strategies may improve the performance of artificial traders. Our model is simplistic, in the following respects. The messages sent must be allowed to have richer content, and may be indicators or signals, rather than simple instructions. Instead of interpreting received messages as normative advice, trust could somehow be represented. For instance, a probability distribution may be associated with messages, and trust assignments can then be represented as second-order probabilities. Market norms should be modeled and adhered to by the traders. Message content can then depend on market dynamics. Artificial traders have two ways of communicating such dynamics. Firstly, they may observe and recognize other traders and try to model them with the intent of communication and possibly co-operation. Secondly, they may monitor prices, as in the Trading Agent Competition (see tac.eecs.umich.edu/) or artificial stock market approaches. Naturally, each trader itself also observes the market dynamics. We have placed no reasoning facilities in the trader at this stage, and so the trader cannot act on sense data. Another simplification is that our models should incorporate transient phenomena, including not only crashes and bubbles, but also transient diversity, i.e. we must find the homogeneity and heterogeneity drivers in our MAS. A related point in need of further investigation is learning in artificial traders.

For purposes of prediction, our results are almost useless, since we cannot in general design in advance a portfolio of stocks, the prices of which are all receding. In rare circumstances, such as during the period of almost universally receding prices of IT stocks in the autumn of 2000, ex ante portfolios could relatively easily be assembled, and then Parrondo variations would indeed be an interesting alternative to buy-and-hold. For our experiment, the real data was chosen ex post from a large sample space with the criterion that each stock should have a saw-tooth receding price curve.

While the above shortcomings together render our results useless for practical purposes, they should be seen as directions for future research. We intend to pursue the important question of strategy programming for artificial traders, as we feel that such programming will be of increasing importance in the future. By replacing our unrealistic assumptions one by one, we hope to achieve our ultimate goal of reasonably efficient strategies on real-time markets with non-linear dynamics.

## Acknowledgements

Magnus Boman was in part financed by a NUTEK (VINNOVA) grant within the PROMODIS (Programming modular and mobile distributed systems) programme. Stefan J. Johansson was financed by the KK-foundation. David Lybäck was supported by a research assignment in the OM corporation. The authors wish to thank Fredrik Liljeros, as well as their respective colleagues, for comments on drafts.


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# Discovery of the neutron star nature of SLX 1737-282

## 1 Introduction

SLX 1737$``$282 was discovered with the Spacelab-2/X-Ray Telescope (SL2-XRT) which flew from 29 July to 6 August 1985 (Skinner et al. 1987). SL2-XRT targeted the Galactic center a number of times for a total of 7 hrs. SLX 1737$``$282 was detected with an average flux of $`7.7\times 10^{11}`$ erg cm-2s-1 in 3 to 30 keV. No timing or spectral features were noticed. Skinner et al. also went back to data from the Einstein galactic plane survey (Hertz & Grindlay 1983) and found that SLX 1737$``$282 was clearly present. The Einstein source was later given the name of 2E 1737.5-2817 and provided a 1′-accurate position.

Sakano et al. (2002) reported on all ASCA-GIS observations of a $`5\mathrm{°}\times 5\mathrm{°}`$ field centered on the galactic center. The position of SLX 1737$``$282 (also designated AX J1740.7-2818) was covered on 3 occasions in 1996, 1998, and 1999 with a total exposure time of 61.5 ksec and was detected every time with 0.7–10 keV fluxes between 4.8 and 6.5$`\times 10^{11}`$ erg cm-2s-1. The spectrum is consistent with a constant absorbed power law with a photon index $`\mathrm{\Gamma }`$ of 2.17$`\pm 0.07`$ and $`N_\mathrm{H}=(2.0\pm 0.1)\times 10^{22}`$ cm-2. The flux varied up to 100% on time scales of 103 to 104 s.

Because of being so close to the Galactic center, SLX 1737$``$282 was serendipitously targeted in a number of X-ray wide-field monitoring programs such as those carried out with Kvant/COMIS-TTM (In ’t Zand 1992, Emelyanov et al. 2000) and Granat/ART-P (Pavlinsky et al. 1994). The source was never detected in these programs. The upper limits are consistent with the ASCA and SL2-XRT detections.

Despite that a neutron star hypothesis was suggested by the spectrum, variability and flux, definite evidence was lacking; an AGN hypothesis could not be ruled out (e.g., Sakano et al. 2002). This has now changed. We present in this paper the first detection of an X-ray burst from SLX 1737$``$282 which settles the nature of SLX 1737$``$282. In addition we discuss ROSAT and RXTE data.

## 2 BeppoSAX-WFC observations

The Wide Field Cameras (WFCs; Jager et al. 1997) on the BeppoSAX satellite (Boella et al. 1997a) carry out a monitoring program in 2 to 28 keV of the galactic center since mid 1996. SLX 1737$``$282 is well inside the $`40\mathrm{°}\times 40\mathrm{°}`$ field of view and, through the 5′ angular resolution, well-resolved from nearby sources. The monitoring program till early 2002 totalled a net exposure of $``$70 days. SLX 1737$``$282 was never detected in individual observations above an upper limit of roughly 2$`\times 10^{10}`$ erg cm-2s-1 (2-10 keV) except for a single 15 min period on 27 March 2000 when a flare was detected from a location consistent with the Einstein position of SLX 1737$``$282 (see Fig. 1). Figure 2 (top panel) shows the time history of the intensity. The event is characterized by a fast rise – within one second – and a factor-of-3.5 decay in the following 880 sec (or an e-folding decay time of 600 s). At that point a data gap starts which lasts 1122 s after which SLX 1737$``$282 is not detected anymore. Thus, the flare is shorter than 2000 s.

We modeled the spectrum of the flare successfully with pure black body radiation, see Fig. 2. This, and the softening of the spectrum during the decay unambiguously identify this flare as a so-called type-I X-ray burst originating from a thermonuclear flash on the surface of a neutron star. The bolometric fluence of the burst before the data gap is $`3.0\times 10^5`$ erg cm-2.

The burst lasts fairly long, with a 2-min long radius expansion phase at the start and a 6.5 min period after that when the flux and temperature retain their maximum values. The radius expansion during the burst suggests that the flux reaches near-Eddington values. This allows a rough estimate of the distance. For an Eddington limit between 2 and 4$`\times 10^{38}`$ erg s-1 (Kuulkers et al., in prep.), the peak flux of $`(6.0\pm 0.5)\times 10^8`$ erg cm-2s-1 yields a distance between 5 and 8 kpc.

## 3 BeppoSAX-NFI observations

A follow-up observation of the burst was carried out with the BeppoSAX Narrow Field Instruments (NFI) half a year later, from 14 October 2000 01:44 UT to 15 October 2000 10:25 UT. Three NFI were turned on: the low-energy concentrator spectrometer LECS (0.1–4 keV; Parmar et al. 1997), the medium-energy concentrator spectrometer MECS (1.8–10.5 keV; Boella et al. 1997b), and the Phoswich Detector System PDS (Frontera et al. 1997). The PDS is a collimating instrument with a hexagonal field of view of diameter 1°3 to 1$`\stackrel{}{.}`$5; the LECS and MECS are imaging devices with field of views of 40′ and 30′ diameter respectively and few arcmin resolution. The exposure times were 14.0 ksec (LECS), 48.0 ksec (MECS) and 22.2 ksec (PDS).

SLX 1737$``$282 was clearly detected in the LECS and MECS data. Figure 3 shows the light curve as derived from the MECS data. The source exhibits variability with a maximum to minimum ratio of 10 to 1 on typical time scales of a few minutes. The power spectrum shows red noise (i.e., a power-law function with an index of $`1.17\pm 0.04`$) that becomes indistinguishable from Poisson noise beyond 1 Hz. There are no narrow features. The fractional rms is $`40\pm 1`$% between 0.001 and 1 Hz.

A spectrum was generated by combining all LECS, MECS and PDS data. For the data extraction, standard recipes were employed. The off-source pointings of the rocking collimators of the PDS, employed to determine background levels, were verified in WFC data to have no (bright) sources in their field of views. The resulting spectrum could not be modeled in an acceptable way, the reason being that too much flux appears to be contained in the PDS data: all models mandate an unacceptably strong step of a factor of $`2.5\pm 0.1`$ between the MECS and PDS data. We suspect that either the PDS picks up stray light from the bright source GX 3+1 that is located 2$`\stackrel{}{.}`$36 from SLX 1737$``$282, or that other faint sources are present inside the field of view of the PDS that confuse the signal from SLX 1737$``$282 although there are no other sources detected in the (smaller) field of views of LECS and MECS. We decided to exclude the PDS data. The LECS and MECS data can be satisfactorily fit with an absorbed power law ($`\chi _\nu ^2=1.4`$ for $`\nu =77`$ and a systematic error of 3%) with a photon index of $`2.12\pm 0.04`$ and $`N_\mathrm{H}=(1.9\pm 0.1)\times 10^{22}`$ cm-2. These numbers are consistent with the ASCA ones. The observed flux is $`6.3\times 10^{11}`$ erg cm-2s-1 in 0.5–10 keV ($`1.4\times 10^{10}`$ erg cm-2s-1 unabsorbed). The PDS data show that the 10-200 keV flux must be below $`9.0\times 10^{11}`$ erg cm-2s-1, so that the unabsorbed 0.5-200 flux must be $`(1.42.3)\times 10^{10}`$ erg cm-2s-1.

## 4 ROSAT-PSPC observations

ROSAT carried out a number of pointings on 29 February and 1 March 1992 which cover SLX 1737$``$282. All of these were with the Position-Sensitive Proportional Counter (PSPC) in 0.5 to 2.4 keV. We analyzed these data because they represent the X-ray data with the highest angular resolution and enable a check on source confusion. In the two observations where SLX 1737$``$282 is almost on axis (obs ids rp400199 and rp400200), we identify two sources close to SLX 1737$``$282: 1RXS J174043.1-281806 (=RX J1740.7-2818) and 2RXP J174104.3-281504. Only the former is consistent with the Einstein position of SLX 1737$``$282, see Fig. 1, and we identify it with SLX 1737$``$282. The other is close to Tycho-2 star 6839-218-1, whose colors are compatible with a G star at about 150 pc. The detected X-ray flux is compatible with such a counterpart. Using this object to determine the bore sight, and combining both ROSAT observations, we obtain a position for 1RXS J174043.1-281806 of $`\alpha _{2000.0}=17^\mathrm{h}40^\mathrm{m}43\stackrel{s}{.}00`$, $`\delta _{2000.0}=28^\mathrm{o}18\mathrm{}11\stackrel{}{.}9`$ or $`l^{\mathrm{II}}=359\stackrel{}{.}9731`$, $`b^{\mathrm{II}}=+1\stackrel{}{.}2481`$. The positional accuracy is limited by the statistical error of 2RXP J174104.3-281504 to 8$`\stackrel{}{.}`$3 at 90% confidence. This is a considerable improvement over the previously determined radius of 20$`\stackrel{}{.}`$3. Motch et al. (1998) attempted to find the optical counterpart of 1RXS J174043.1-281806 in the $`I`$-band image of this heavily reddened field but were not successful. Within our refined position with 8$`\stackrel{}{.}`$3 radius, there are still 11 stars in this image without an obvious candidate (as identified, for instance, by Balmer line emission). We note that the 2MASS catalog shows a bright object within the error circle, but it is too bright ($`K`$-dereddened 5.65) to be consistent with SLX 1737$``$282. The 0.5–2.4 keV spectrum is consistent with the ASCA result. The best-fit $`N_\mathrm{H}`$ for an absorbed power-law with $`\mathrm{\Gamma }=2.17`$ is $`(2.2\pm 0.1)\times 10^{22}`$ cm-2 with a flux of 7.2$`\times 10^{12}`$ erg cm-2s-1.

## 5 RXTE-PCA observations

Since February 1999, the Proportional Counter Array (PCA) on RXTE has performed scans to monitor a $`16\mathrm{°}\times 16\mathrm{°}`$ region around the Galactic center. Scans occur twice weekly, for a total exposure of approximately 20 seconds per source per observation, and allows detection of source flux variations at the $``$1 mCrab level (Swank & Markwardt 2001). The temporal coverage is uniform, except for periods from November–January and in June, when the positions of the Sun and anti-Sun cross the galactic center region. Light curves are derived for each known point source in the region. Figure 4 shows that for SLX 1737$``$282. It shows a fairly steady source with at most a factor of four variability. The mean flux of $`(60.3\pm 0.6)`$ c s-1 per 5 PCUs translates, for a Crab spectrum like applies to SLX 1737$``$282, to $`1.2\times 10^{10}`$ erg cm-2s-1 in 2–10 keV (3.0$`\times 10^{10}`$ erg cm-2s-1 unabsorbed in 0.5–10 keV). However, we note that there is considerable diffuse galactic emission near the galactic center, which can bias the point source light curves rates upwards by several tens of c s-1 per 5 PCUs. Still, the data show no strong brightening of SLX 1737$``$282 in 206 measurements.

## 6 Discussion

The detection of the type-I burst from SLX 1737$``$282 unambiguously identifies the origin as a neutron star. By analogy with other type-I X-ray bursters, it is almost certain that this neutron star is in a low-mass X-ray binary (LMXB) with a sub-solar mass companion. According to a count based on the LMXB catalog by Liu et al. (2001) which was updated with recent discoveries, SLX 1737$``$282 is the 69th X-ray burster (c.f., In ’t Zand 2001). Among a LMXB population of about 150, this means that at least about half of all LMXBs contain neutron stars. Identifying the companion star in the optical may prove difficult, because of its proximity to the galactic center and the high reddening ($`A_\mathrm{V}11`$) implied by the value of $`N_\mathrm{H}`$.

Whenever the average 0.5–10 keV flux of SLX 1737$``$282 is measured with sufficient accuracy (see Table 1) it is in a narrow range of 1.0 to 1.4$`\times 10^{10}`$ erg cm-2s-1. The NFI observation shows that this may extrapolate to as much as $`2.3\times 10^{10}`$ erg cm-2s-1 in 0.5–200 keV. The RXTE data show that during several hundred brief monitoring observations in 3 years the source never shows signs of strong brightening. Given the distance, the 0.5–200 keV flux translates to a luminosity of $`5\times 10^{35}`$ to $`1.8\times 10^{36}`$ erg s-1, suggesting a bolometric luminosity that is less than or similar to 1% of the Eddington limit (as is also suggested by a direct comparison between the peak flux of the Eddington-limited burst and the persistent flux).

If one ignores ‘superbursts’ (e.g., Kuulkers et al. 2002a), the burst duration and fluence are among the largest (c.f., Tawara et al. 1984, Lewin et al. 1984, Van Paradijs et al. 1990, Swank et al. 1977, Kaptein et al. 2000, Kuulkers et al. 2002b). The amount of radiated energy, if isotropic, is between 1.0 and $`2.2\times 10^{41}`$ erg. If the energy released per gram of accreted material is between 1.6 and 6$`\times 10^{18}`$ erg, this is equivalent to $`2\times 10^{22}`$ to $`1.4\times 10^{23}`$ g of accreted material. Given the persistent luminosity of perhaps a few times 1036 erg s-1, the mass accretion rate may be 5 to 10$`\times 10^{15}`$ g s-1 (or 1 to 2$`\times 10^{10}`$ M yr-1). This implies a waiting time between bursts between 20 and 320 days, consistent with the detection of just a single burst. The long duration combined with the low persistent flux suggests that the burst is caused by a thermonuclear flash in a hydrogen-rich environment in a mass accretion regime of $`\dot{M}<2\times 10^{10}`$ Myr-1 (Fujimoto et al. 1981).

There is a slight similarity to sources like 2S 0918-549 (e.g., Jonker et al. 2001) and 4U 1850-087 (e.g., Kitamoto et al. 1992). These are also rare bursters and moderately bright sources that, foremost, show broad emission features at about 0.7 keV attributable to an overabundance of Ne which would be consistent with a hydrogen-depleted donor in an ultracompact orbit (Juett et al. 2001). Our data are not constraining with regards to the 0.7 keV feature due to the high value of $`N_\mathrm{H}`$, but the hydrogen-rich environment inferred from the burst duration suggests that the similarity is superficial. In this respect we note that the burst in SLX 1737$``$282 is an order of magnitude longer than in 2S 0918-549 and 4U 1850-087.

###### Acknowledgements.

JZ and EK acknowledge financial support from the Netherlands Org. for Scientific Research (NWO).


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# Scaling in self-organized criticality from interface depinning?

## I Introduction

The concept of reaching “self-organized” criticality (SOC) in a model without any apparent tuning parameter draws still attraction AIP . In many real-life systems power-law probability distributions are met, and it is thus an obvious question to ask why they would resemble ordinary critical phenomena. To this end, sandpile models have been the prevalent theoretical playground for the last fifteen years. Only recently their understanding has finally started to take shape. Two supporting approaches have been developed. The crucial notion is that the critical state in these models draws from both the boundary conditions and the drive, and also has a generic, field-theoretical description. This can be formulated as a variant of the directed percolation-style Reggeon field theory (RFT) guys , or as a mapping to interface depinning ala1 ; ala2 ; ala3 ; previous . The gist of this mapping is based on the description of the history of the sandpile model and its dynamics via a stochastic differential equation, the quenched Edwards-Wilkinson (qEW) equation qew1 ; qew2 . Likewise a suitable RFT for sandpiles includes by necessity a density conserving term that accounts for the effects of diffusional transport of particles or grains.

In this article the description of sandpiles through interface depinning is reviewed. The issue of particular interest to us is the physics of driven interfaces that describe sandpile models. To this end Section II introduces in a short fashion the mapping, and discusses the ensemble in which SOC is reached. It is seen that this is not any of the normal ones familiar in the context of the qEW, say. The next section is devoted to a discussion of the standard properties of interface scaling at the depinning transition, and, correspondingly, the scaling laws usually formulated for sandpiles depending on the ensemble. We next concentrate in particular on a geometric description of depinning. This is the essential issue in obtaining the scaling exponents of SOC avalanches: the extension of the theory of ’elastic pinning paths’ to the SOC case. In section IV numerical results are considered for the one-dimensional qEW sandpile in the SOC ensemble. This is the simplest model system in which one can try to extract a correspondence with the avalanche and the depinning pictures. This is since the 1D pinning paths can be discussed without the introduction of extra, independent exponents. Finally, section V finishes the paper with a summary about SOC properties based on recent advances including the numerical work presented here, and about remaining open problems.

## II Mapping sandpiles to interfaces

Consider a sandpile model with each site $`x`$ of a hyper-cubic lattice having $`z(x,t)`$ grains. When $`z(x,t)`$ exceeds a critical threshold $`z_c(x)`$, the site is active and topples so (y is a nearest neighbour of $`x`$)

$$z(x,t+1)=z(x,t)2d,z(y,t+1)=z(y,t)+1.$$
(1)
$`z_c(x)`$ is taken to be a random variable, chosen from a probability distribution $`P(z_c)`$ again after each toppling. If there are no active sites in the system, one grain is added to a randomly chosen site, $`z(x,t)z(x,t)+1`$. This is the SOC ensemble, defined via the drive and the open boundaries, characterized by avalanches that may ensue after a grain has been deposited. The dynamics of this model can be reinterpreted through an ’interface’, or history $`H(x,t)`$ which follows the memory of all the activity at $`x`$. $`H`$ counts topplings at site $`x`$ up to time $`t`$, and has the dynamics

$$H(x,t+1)=\{\begin{array}{cc}H(x,t)+1,\hfill & f(x,t)>0,\hfill \\ H(x,t),\hfill & f(x,t)0,\hfill \end{array}$$
(2)
This can be written as a discrete interface equation

$$\frac{\mathrm{\Delta }H}{\mathrm{\Delta }t}=\theta \left(f(x,t)\right),$$
(3)
with $`\theta (f)`$ the step-function forcing it so that the interface does not move backwards. The ’local force’ is

$$f(x,t)=z(x,t)z_c(x)=n_x^{in}n_x^{out}z_c(x),$$
(4)
in terms of $`n_x^{in}`$ (grains added to site $`x`$ up to time $`t`$) and $`n_x^{out}`$ (grains removed from $`x`$). The fluxes $`n_x^{in}`$ and $`n_x^{out}`$ can be worked out in terms of the local height field $`H(x,t)`$, and a columnar force term $`F(x,t)`$ which counts the number of grains added to site $`x`$ by the external drive,

$$f(x,t)=^2H+F(x,t)z_c(x,H).$$
(5)
The step-function, $`\theta (f)`$, in Equation (3), the condition that the interface does not move backwards, introduces an extra noise term $`\sigma (x,H)`$ \- the velocity of the interface is either one or zero - but for the current example this should not be relevant. Combining the three sources of effective noise, $`F`$, $`z_c`$ and $`\sigma `$, one ends at the discretized interface equation

$$\frac{\mathrm{\Delta }H}{\mathrm{\Delta }t}=^2H+\eta (x,H)+F(x,t)+\sigma (x,H).$$
(6)
Here the quenched noise $`\eta (x,H)=z_c(x,H)`$, and we have obtained the central difference discretization of a continuum diffusion equation with quenched noise, called the linear interface model (LIM) or the quenched Edwards-Wilkinson equation qew1 ; qew2 . The continuum limit reads $`_th(x,t)=\nu ^2h(x,t)+F+\eta (x,h(x,t))`$.

The SOC ensemble is illustrated in Figure (1). Once the local force is increased, by adding a grain and making $`F(x,t)F(x,t)+1`$ at the chosen $`x`$ an avalanche starts since the force overcomes the pinning force, $`^2H+\eta (x,H)+F(x,t)>0`$. The interface moves at $`x`$ by one step, $`\mathrm{\Delta }H(x)=1`$. In the subsequent dynamics of the avalanche the columnar force term $`F(x)`$ does not change. For the SOC sandpiles, the correct choice of the interface boundary condition is $`H=0`$ which is to be imposed at two “extra sites” ($`x=0`$, $`x=L+1`$ for a system of size $`L`$ in 1D). The ever-increasing $`F(t)`$ leads to an average parabolic interface shape via the cancellation of the Laplacian by $`F`$. It is to be stressed that this implicitly contains the physics of the SOC state: the driving force $`F(x,t)`$ is increased so slowly that the avalanches do not overlap and are therefore well-defined ala1 .

## III Scaling properties of ensembles

Equation (6) exhibits a depinning transition at a threshold force $`F_c`$ in a normal ensemble. The interface configuration and dynamics develop critical correlations in the vicinity of the critical point. For the case of point-correlated disorder the normal way to analyze the LIM is to use the functional renormalization group method. One-loop expressions for the exponents are found in papers by Nattermann et al., Narayan and Fisher qew1 ; qew2 , and in the more recent ones by Le Doussal and collaborators Doussal .

The problem is technically and from the fundamental viewpoint difficult, since the whole disorder correlator is renormalized. The point-random field noise term forms one of the universality classes in this problem qew1 ; qew2 ; others are the LIM with columnar noise columnar  and the quenched Kardar-Parisi-Zhang equation TKD ; HHZ ; Barabasi ; Gabor  in more general terms. The mapping of SOC models to variants of LIM holds however some surprises. For instance, while the conjecture that the Manna model manna  should be in the usual point-disorder LIM class seems to be true in 2D, this is clearly not so in 1D if considered in the depinning ensemble mannarefs . The complications arise since an arbitrary choice of sandpile rules can lead to non-standard noise correlations that do not need to have a priori the same RG fixed point as the random field or force case.

In the interface language the relevant exponents to describe the depinning phase transition are: $`\nu `$ (the correlation length exponent), $`z`$ (the dynamical exponent), and $`\chi `$, the roughness exponent. Moreover assuming that the avalanche dynamics suffices to describe the interface dynamics off the critical point, $`\theta =\nu (z\chi )`$ holds for the velocity exponent, with $`v(FF_c)^\theta `$ qew2 ; qew1 . For point-like disorder the first-loop functional RG results cited above read $`\chi =(4d)/3`$, and $`z=2(4d)/9`$. Notice the exponent relation $`\nu =1/(2\chi )`$ which manifests together with the $`\theta `$-exponent relation the fact that there is only one temporal and one spatial scale at the critical point.

The typical quantity to be measured in the interface context is the interface width $`w`$ (mean fluctuation) which in most cases equals other measures like the two-point correlation functions and the structure factor Barabasi . From the sandpile viewpoint, these measure the correlations and fluctuations in the activity history, that is in the avalanche series. Initially the width grows, as a function of time, as $`wt^\beta `$ defining the ’growth exponent’ $`\beta `$ until either saturation is reached (with a finite order parameter, $`v`$), or the interface gets pinned at or below $`F_c`$. Scaling now implies $`\beta z=\chi `$, as for general interface models.

The LIM obeys an important invariant, with the static response scaling as qew2  $`\chi (q,\omega =0)q^2`$, so that

$$\gamma /\nu =2.$$
(7)
For forces below $`F_c`$, the (bulk) response of the interface triggered by a small increase in $`F`$ is $`\chi _{\mathrm{bulk}}dH/dF(F_cF)^\gamma `$. By assuming that the avalanche due to a point seed scales as $`\mathrm{\Delta }Hs\mathrm{}^D`$, $`D=d+\chi `$ (since $`H`$ scales with the roughness as $`\mathrm{}^\chi `$), a hyperscaling relation can be derived for $`\gamma `$. Right at the critical point qew2 ; qew1 , the roughness of the interface scales as $`\mathrm{}^\chi `$ and assuming that $`\mathrm{\Delta }H`$ will scale in the same way it follows

$$\gamma =1+\chi \nu .$$
(8)
This also implies $`\chi +1/\nu =2`$, as noted above. The standard scaling relations are valid for parallel dynamics: all sites with $`H/t>0`$ are updated in parallel. For extremal drive criticality (updating one unstable site at a time) the dynamic exponent reads $`z_{\mathrm{ED}}=2`$.

The 1D LIM is a bit more peculiar than one might expect. Numerics (which has recently been matched by the 2-loop RG results of LeDoussal et al.) implies that $`\chi 1.2\mathrm{}1.25`$ which is larger than the 1-loop and scaling argument result $`\chi _{1d}=1`$. The physical interpretation for the fact that $`\chi >1`$ has been dubbed “anomalous scaling” Lesch ; Juanma , and arises from a divergent mean height difference between neighboring sites, with $`t\mathrm{}`$.

The SOC steady-state is characterized by the probability to have avalanches of lifetime $`t`$ and size $`s`$ which follow power-law distributions: $`p(t)=t^{\tau _t}f_t(t/L^z)`$ and $`p(s)=s^\tau f(s/L^D),`$ with $`st^{D/z}`$ and $`z(\tau _t1)=D(\tau 1)`$. One can also characterize the avalanche by its linear dimension, $`p(\mathrm{})=\mathrm{}^\tau _{\mathrm{}}f_{\mathrm{}}(\mathrm{}/L)`$, with $`\tau _{\mathrm{}}=1+D(\tau 1)`$. Here the size scales as $`s\mathrm{}^D`$ and the (spatial) area as $`\mathrm{}^d`$ (for compact avalanches) with $`\mathrm{}`$ the linear dimension. The fact that each added grain will perform of the order of $`L^2`$ Dhar  topplings before leaving the system leads to the fundamental result

$$sL^2$$
(9)
independent of dimension tang:1988 . Thus, $`\tau =22/D`$ and $`\tau _t=1+(D2)/z`$. Equation (9) yields $`\gamma /\nu =2`$, where $`\gamma `$ describes the divergence of the susceptibility (bulk response to a bulk field) near a critical point, if one generalizes the exponent relation of the depinning ensemble to the SOC case. In the particular case of an increasing drive and a bulk dissipation, which induces a term $`kH`$ to the qEW equation, this should, evidently, be valid bulk .

## IV The one-dimensional QEW sandpile: geometric description of avalanches

To go beyond the scaling exponents to a description of the probability distributions at the critical point of any particular ensemble is a more challenging task. This is easiest in one dimension, which we thus discuss here. The most well-known case in which the geometry of the random quenched landscape allows to use a self-affine picture of the progress of an interface through it is given by directed percolation depinning (DPD), the quenched KPZ cousin of the qEW TKD ; HHZ ; Barabasi .

In this language the interface moves, e.g. in the case of an applied extremal drive, via a succession of punctuation events . The interface is assumed to invade the voids of a connected network in each of these events, in ’bursts’. In between these events, the pinned interface is mapped into a connected path on the backbone of a suitable (elastic) percolation problem pinningpaths , For DPD the analogy is more or less clear, and for the qEW one speaks of elastic pinning paths. Such paths have the characteristics that the RHS of the qEW is always negative semi-definite, ie. $`f0`$. It is not known rigorously whether such paths at criticality follow strictly the DPD -like scaling properties. There are two fundamental issues: the geometric properties of avalanches (the scaling of voids, or whether the relation of size vs. area can be characterized with a local roughness exponent $`\chi _{loc}`$) and the probability to induce an avalanche, or punctuation event if the interface is pushed at any particular spot (this issue is still open to discussion, see huber ; zeitak ; jost ).

Assuming that the DPD analogy works huber , it follows in the depinning ensemble for the avalanche size exponent

$$\tau _{s,dep}=1+(1/(1+\chi _{loc}))(11/\nu )$$
(10)
which using eg. the exponent relation $`\nu =1/(2\chi )`$ and a reasonable value for $`\chi _{loc}`$, taken to equal the global $`\chi `$, produces

$$\tau _{s,dep}1.08.$$
(11)
For the SOC ensemble, the description of the critical state is given in terms of the avalanche distribution exponents \- note that due to the inhomogeneity of the ensemble e.g. perturbing the system off the critical point is more complicated ala3 . One has then to ask the question what is the prediction of pinning-path picture. Due to the symmetries (static response) of the qEW it could be assumed that the typically parabolic interface profile is irrelevant, except perhaps for finite size corrections induced by the boundary condition that is imposed on the pinning paths since $`H=0`$ at the edges. This would imply, in particular, that for the SOC avalanche exponent it is found that

$$\tau _{s,SOC}\tau _{s,dep}.$$
(12)
A parallel approach is to use the invariant (9) which leads to the prediction

$$\tau _{s,SOC}=22/D=22/(1+\chi _{loc})$$
(13)
by using the roughness exponent to estimate the cut-off dimension of avalanches. This is identical with the pinning path estimate above.

These are then the major issues: is the depinning geometric description applicable to the SOC ensemble and if not why? The answer should depend only on fundamental similarities or differences between the ensembles, and not on the particular model - class of qEW-like models - nor the dimensionality. The study of the outcome is the easiest in 1D whereas in higher dimensions further independent exponents are needed, i.e. assumptions to describe the probability distributions since the avalanches have in addition to an area vs. volume relation also a perimeter length vs. area one higherdim ; zeitak .

To study the issue we next outline some numerical results on the 1D qEW/LIM, obtained from a Leschhorn-like cellular automaton Lesch ; jost  for the interface problem. The system is run as a sandpile in that after the interface gets pinned a new avalanche initiation is done by increasing the local force $`F_i`$ at a random location by one. System sizes upto $`L=8192`$ have been studied, with 2 $`\times `$ 106 avalanches for the largest sizes tobe . The resulting avalanche size distributions, after logarithmic binning, imply that the effective $`\tau `$-exponent varies with $`L`$, and that the weight of the power-law -like tail increases with the size. Meanwhile, the effective roughness exponent slightly decreases. Due to the systematic finite size corrections it does not make sense to try a normal datacollapse using a fixed $`D`$ and $`\tau _{SOC}`$ for all $`L`$. This is a little bit surprising given that relation (9) is fulfilled within numerical accuracy by the data, and that higher momenta of the size distributions indicate just simple scaling of the avalanche size distribution. Certainly more numerical analysis is called for, but two facts are worth pointing out. First, even for the largest system size the effective $`\tau `$ is way off from the predicted 1.08 (1.024 for $`L=8192`$). Second, by blindly - without any a priori justification - using the scaling Ansatz

$$\tau _{SOC}(L)=\tau _{SOC}(L=\mathrm{})+\mathrm{\Delta }\tau (L),$$
(14)
with a best-working function $`\mathrm{\Delta }\tau `$, one observes that there is an apparent power-law correction to the exponent. This extrapolates very slowly in $`L`$ to $`\tau _{SOC}(\mathrm{})1.115`$, ie. clearly off the depinning ensemble value. From $`\tau _{SOC}`$ it would be in principle possible to derive the other exponents as well, using the consequences of Eq. (9),

## V Conclusions

Above, we have discussed a strategy to understand so-called self-organized criticality by mapping the history of a sandpile model to a driven interface in a random medium. For SOC models this idea is useful since it helps to understand universality classes (via noise terms generated) though there are theoretical challenges in the understanding of the possible classes (RG fixed points), and in the role of the discretization (called $`\sigma `$-noise above). Such work follows the historical connections of SOC to depinning, and extends it by explicitly constructing the right ensemble to reach SOC, and by outlining a general strategy to understand various models. Applied to other absorbing state phase transitions, in general, the history/interface description should be of interest. In some cases (e.g. the contact process) it can give rise to new, seemingly independent exponents dm .

Once one has defined the right ensemble for SOC in interface depinning, the most pertinent question becomes if the usual avalanche exponents in SOC can be derived from those of the depinning transition. Here we have addressed the question, but since the outcome is still open, it is worth reiterating the two possibilities. Either eventually, by studying large enough systems numerically, the exponents of the statistically homogeneous ensemble are recovered once finite size effects become negligible. Or, it becomes apparent that the SOC ensemble is an independent one. The microscopic reason for this would be that the density of grains (average force for the interface) is non-uniform: in one dimension it is easy to see that a site $`x`$ will get a larger grain flux from its neighbor on the bulk side and a smaller one from the boundary side - more trivially, there is a net flux of grains towards the boundaries. This inhomogeneity may persist in the thermodynamic limit, in which case the avalanche relations will be determined by its scaling properties.

Consider the idea depicted in Figure (3). The integral of the average force deviation at $`x`$, $`\mathrm{\Delta }F(x)=F_{dep}F(x)_{SOC}`$, where $`F_{dep}`$ and $`F(x)_{SOC}`$ are averages at the critical points of the ensembles, can be used to define a finite-size correction to the normal critical point, as $`\mathrm{\Delta }F(x)𝑑x\delta F(L)`$. It is seen that $`\delta F`$ will be dependent on the exact scaling function of $`F(x)_{SOC}`$, computing which is thus the crucial issue. It will give indirectly the true correlation length exponent $`\nu _{SOC}`$ in the SOC ensemble via the $`L`$-dependence of the finite size correction, which may or may not be the same as for the depinning case. The implication can be rephrased so that the usual exponents like $`\nu `$ are derived from the RG in an ensemble with statistical translational invariance in the $`x`$-direction. It is thus not obvious whether the properties of self-organized critical state actually follow from boundary -induced criticality or are related to the usual depinning one. In this respect the usual SOC models discussed here are inherently more complicated than the boundary driven cases like the so-called rice-pile model. This is in particular true if the symmetries of the depinning transition are broken by the SOC ensemble, as is the case for the quenched KPZ equation Gabor .

To summarize, the above problem is central in understanding SOC-like systems. It may also be tackled, perhaps, from the viewpoint of absorbing state phase transitions and their field-theoretical description which provides a parallel route to the interface one. There are many other interesting issues, like the early-stage dynamics (growth exponent $`\beta `$, suitably defined for the SOC ensemble), the question of the pinning path/manifolds in higher dimensions and so forth. For all these it is invaluable that one can resort to continuum descriptions of the SOC sandpiles, that also seem to be inter-connected, in an intriguing fashion alepp ; am .

ACKNOWLEDGMENTS

The results presented here have been in part obtained in an enjoyable collaboration with K. B. Lauritsen, M. Muńoz, R. Dickman, A. Vespignani, and S. Zapperi. The Academy of Finland’s Center of Excellence Program is thanked for financial support.


text:
# Can the Lepton Flavor Mixing Matrix Be Symmetric?

## I Introduction

The observed anomalies of atmospheric  and solar  neutrinos strongly suggest that neutrinos be massive and lepton flavors be mixed. In the framework of three charged leptons and three active neutrinos, the phenomena of flavor mixing and $`CP`$ violation are described by a unitary matrix $`V`$, which relates the neutrino mass eigenstates $`(\nu _1,\nu _2,\nu _3)`$ to the neutrino flavor eigenstates $`(\nu _e,\nu _\mu ,\nu _\tau )`$:

$$\left(\begin{array}{c}\nu _e\\ \nu _\mu \\ \nu _\tau \end{array}\right)=\left(\begin{array}{ccc}V_{e1}& V_{e2}& V_{e3}\\ V_{\mu 1}& V_{\mu 2}& V_{\mu 3}\\ V_{\tau 1}& V_{\tau 2}& V_{\tau 3}\end{array}\right)\left(\begin{array}{c}\nu _1\\ \nu _2\\ \nu _3\end{array}\right).$$
(1)
The unitarity of $`V`$ represents two sets of normalization and orthogonality conditions:

$`{\displaystyle \underset{i}{}}\left(V_{\alpha i}V_{\beta i}^{}\right)`$ $`=`$ $`\delta _{\alpha \beta },`$ (2)
$`{\displaystyle \underset{\alpha }{}}\left(V_{\alpha i}V_{\alpha j}^{}\right)`$ $`=`$ $`\delta _{ij},`$ (3)
where Greek and Latin subscripts run over $`(e,\mu ,\tau )`$ and $`(1,2,3)`$, respectively. If neutrinos are Dirac particles, a full parametrization of $`V`$ requires four independent parameters – three mixing angles and one $`CP`$-violating phase, for example. If neutrinos are Majorana particles, however, two additional $`CP`$-violating phases need be introduced for a complete parametrization of $`V`$. In both cases, $`CP`$ and $`T`$ violation in normal neutrino oscillations depends only upon a single rephasing-invariant parameter $`𝒥`$ , defined through

$$\mathrm{Im}\left(V_{\alpha i}V_{\beta j}V_{\alpha j}^{}V_{\beta i}^{}\right)=𝒥\underset{\gamma ,k}{}\left(ϵ_{\alpha \beta \gamma }ϵ_{ijk}\right),$$
(4)
where $`(\alpha ,\beta ,\gamma )`$ and $`(i,j,k)`$ run respectively over $`(e,\mu ,\tau )`$ and $`(1,2,3)`$. A major goal of the future long-baseline neutrino oscillation experiments is to measure $`|V_{\alpha i}|`$ and $`𝒥`$ as precisely as possible . Once the matrix elements of $`V`$ are determined to a good degree of accuracy, a stringent test of its unitarity will become available.

As a straightforward consequence of the unitarity of $`V`$, two interesting relations can be derived from the normalization conditions in Eq. (2):

$`|V_{e2}|^2|V_{\mu 1}|^2`$ $`=`$ $`|V_{\mu 3}|^2|V_{\tau 2}|^2`$ (5)
$`=`$ $`|V_{\tau 1}|^2|V_{e3}|^2\mathrm{\Delta }_\mathrm{L},`$ (6)
and

$`|V_{e2}|^2|V_{\mu 3}|^2`$ $`=`$ $`|V_{\mu 1}|^2|V_{\tau 2}|^2`$ (7)
$`=`$ $`|V_{\tau 3}|^2|V_{e1}|^2\mathrm{\Delta }_\mathrm{R}.`$ (8)
The off-diagonal asymmetries $`\mathrm{\Delta }_\mathrm{L}`$ and $`\mathrm{\Delta }_\mathrm{R}`$ characterize the geometrical structure of $`V`$ about its $`V_{e1}`$-$`V_{\mu 2}`$-$`V_{\tau 3}`$ and $`V_{e3}`$-$`V_{\mu 2}`$-$`V_{\tau 1}`$ axes, respectively. If $`\mathrm{\Delta }_\mathrm{L}=0`$ held, $`V`$ would be symmetric about the $`V_{e1}`$-$`V_{\mu 2}`$-$`V_{\tau 3}`$ axis. Indeed the counterpart of $`\mathrm{\Delta }_\mathrm{L}`$ in the quark sector is very small (of order $`10^5`$ ); i.e., the $`3\times 3`$ quark mixing matrix is almost symmetric about its $`V_{ud}`$-$`V_{cs}`$-$`V_{tb}`$ axis. An exactly symmetric flavor mixing matrix may hint at an underlying flavor symmetry, from which some deeper understanding of the fermion mass texture can be achieved . In this sense, the tiny off-diagonal asymmetry of the quark flavor mixing matrix is likely to arise from a slight breakdown of certain flavor symmetries of quark mass matrices.

The purpose of this paper is to examine whether the lepton flavor mixing matrix $`V`$ is really symmetric or not. In section II, we find that current neutrino oscillation data strongly favor $`\mathrm{\Delta }_\mathrm{R}=0`$; i.e., $`V`$ is possible to be symmetric about its $`V_{e3}`$-$`V_{\mu 2}`$-$`V_{\tau 1}`$ axis. It remains too early to get any phenomenological constraints on $`\mathrm{\Delta }_\mathrm{L}`$, unless very special assumptions are made. In section III, we point out that the off-diagonal symmetry $`\mathrm{\Delta }_\mathrm{R}=0`$ corresponds to three pairs of congruent unitarity triangles in the complex plane. Taken realistic long-baseline experiments of neutrino oscillations into account, the terrestrial matter effects on $`𝒥`$, $`\mathrm{\Delta }_\mathrm{L}`$ and $`\mathrm{\Delta }_\mathrm{R}`$ are briefly discussed in section IV. Section V is devoted to some further discussions about possible implications of $`\mathrm{\Delta }_\mathrm{R}=0`$ on specific textures of lepton mass matrices. Finally we summarize our main results in section VI.

## II Off-diagonal Symmetry

Current experimental data  strongly favor the hypothesis that atmospheric and solar neutrino oscillations are dominated by $`\nu _\mu \nu _\tau `$ and $`\nu _e\nu _\mu `$ transitions, respectively. Thus their mixing factors $`\mathrm{sin}^22\theta _{\mathrm{atm}}`$ and $`\mathrm{sin}^22\theta _{\mathrm{sun}}`$ have rather simple relations with the elements of the lepton flavor mixing matrix $`V`$. The mixing factor associated with the CHOOZ (or Palo Verde) reactor neutrino oscillation experiment , denoted as $`\mathrm{sin}^22\theta _{\mathrm{chz}}`$, is also a simple function of $`|V_{\alpha i}|`$ in the same hypothesis. The explicit expressions of $`\mathrm{sin}^22\theta _{\mathrm{sun}}`$, $`\mathrm{sin}^22\theta _{\mathrm{atm}}`$ and $`\mathrm{sin}^22\theta _{\mathrm{chz}}`$ read as follows:

$`\mathrm{sin}^22\theta _{\mathrm{sun}}`$ $`=`$ $`4|V_{e1}|^2|V_{e2}|^2,`$ (9)
$`\mathrm{sin}^22\theta _{\mathrm{atm}}`$ $`=`$ $`4|V_{\mu 3}|^2\left(1|V_{\mu 3}|^2\right),`$ (10)
$`\mathrm{sin}^22\theta _{\mathrm{chz}}`$ $`=`$ $`4|V_{e3}|^2\left(1|V_{e3}|^2\right).`$ (11)
An analysis of the Super-Kamiokande data on atmospheric neutrino oscillations  yields $`0.88\mathrm{sin}^22\theta _{\mathrm{atm}}1.0`$ and $`1.6\times 10^3\mathrm{eV}^2\mathrm{\Delta }m_{\mathrm{atm}}^24.0\times 10^3\mathrm{eV}^2`$ at the $`90\%`$ confidence level. Corresponding to $`\mathrm{\Delta }m_{\mathrm{chz}}^2>2.0\times 10^3\mathrm{eV}^2`$, $`\mathrm{sin}^22\theta _{\mathrm{chz}}<0.18`$ can be drawn from the CHOOZ experiment . We restrict ourselves to the large-angle Mikheyev-Smirnov-Wolfenstein (MSW) solution to the solar neutrino problem , as it gives the best global fit of present data. At the $`99\%`$ confidence level, $`0.56\mathrm{sin}^22\theta _{\mathrm{sun}}0.99`$ and $`2.0\times 10^5\mathrm{eV}^2\mathrm{\Delta }m_{\mathrm{sun}}^25.0\times 10^4\mathrm{eV}^2`$ have been obtained .

With the help of Eqs. (2) and (6), one may express $`|V_{e1}|^2`$, $`|V_{e2}|^2`$, $`|V_{e3}|^2`$ and $`|V_{\mu 3}|^2`$ in terms of $`\theta _{\mathrm{sun}}`$, $`\theta _{\mathrm{atm}}`$ and $`\theta _{\mathrm{chz}}`$:

$`|V_{e1}|^2`$ $`=`$ $`{\displaystyle \frac{1}{2}}\left(\mathrm{cos}^2\theta _{\mathrm{chz}}\pm \sqrt{\mathrm{cos}^4\theta _{\mathrm{chz}}\mathrm{sin}^22\theta _{\mathrm{sun}}}\right),`$ (12)
$`|V_{e2}|^2`$ $`=`$ $`{\displaystyle \frac{1}{2}}\left(\mathrm{cos}^2\theta _{\mathrm{chz}}\sqrt{\mathrm{cos}^4\theta _{\mathrm{chz}}\mathrm{sin}^22\theta _{\mathrm{sun}}}\right),`$ (13)
$`|V_{e3}|^2`$ $`=`$ $`\mathrm{sin}^2\theta _{\mathrm{chz}}\mathrm{or}\mathrm{cos}^2\theta _{\mathrm{chz}},`$ (14)
$`|V_{\mu 3}|^2`$ $`=`$ $`\mathrm{sin}^2\theta _{\mathrm{atm}}\mathrm{or}\mathrm{cos}^2\theta _{\mathrm{atm}}.`$ (15)
Without loss of generality, three mixing angles ($`\theta _{\mathrm{sun}}`$, $`\theta _{\mathrm{atm}}`$ and $`\theta _{\mathrm{chz}}`$) can all be arranged to lie in the first quadrant. Then we need only adopt the solution $`|V_{e3}|^2=\mathrm{sin}^2\theta _{\mathrm{chz}}`$ , in accord with $`\mathrm{sin}^22\theta _{\mathrm{chz}}<0.18`$. We may also express $`|V_{\tau 3}|^2`$ in terms of $`\theta _{\mathrm{atm}}`$ and $`\theta _{\mathrm{chz}}`$, once the normalization relation $`|V_{e3}|^2+|V_{\mu 3}|^2+|V_{\tau 3}|^2=1`$ is taken into account. It turns out that useful experimental constraints are achievable for those matrix elements in the first row and in the third column of $`V`$. However, it is impossible to get any constraints on the other four matrix elements of $`V`$, unless some special assumptions are made Allowing the Dirac-type $`CP`$-violating phase of $`V`$ to vary between 0 and $`\pi `$, Fukugita and Tanimoto  have presented the numerical ranges of all nine $`|V_{\alpha i}|`$ by use of current neutrino oscillation data. This rough construction of the lepton flavor mixing matrix is actually unable to shed light on its off-diagonal asymmetries and $`CP`$-violating features.. This observation means that it remains too early to get any instructive information on the off-diagonal asymmetry $`\mathrm{\Delta }_\mathrm{L}`$ from current neutrino oscillation experiments, but it is already possible to examine whether $`\mathrm{\Delta }_\mathrm{R}=0`$ coincides with current data and what its implications can be on leptonic $`CP`$ violation and unitarity triangles.

To see whether $`\mathrm{\Delta }_\mathrm{R}=0`$ is compatible with the present data of solar, atmospheric and reactor neutrino oscillations, we simply set $`|V_{e2}|^2=|V_{\mu 3}|^2`$ in Eq. (7) and then obtain

$$\mathrm{sin}^22\theta _{\mathrm{sun}}^{(\pm )}=\mathrm{sin}^22\theta _{\mathrm{atm}}\left(1\pm \sqrt{1\mathrm{sin}^22\theta _{\mathrm{atm}}}\right)\left(1\sqrt{1\mathrm{sin}^22\theta _{\mathrm{chz}}}\right).$$
(16)
As $`\mathrm{sin}^22\theta _{\mathrm{chz}}<0.18`$ , the second term on the right-hand side of Eq. (8) serves as a small correction to the leading term $`\mathrm{sin}^22\theta _{\mathrm{atm}}`$. The difference between $`\mathrm{sin}^22\theta _{\mathrm{sun}}^{(+)}`$ and $`\mathrm{sin}^22\theta _{\mathrm{sun}}^{()}`$ is therefore insignificant. Indeed $`\mathrm{sin}^22\theta _{\mathrm{chz}}=0`$ leads definitely to $`\mathrm{sin}^22\theta _{\mathrm{sun}}^{(+)}=\mathrm{sin}^22\theta _{\mathrm{sun}}^{()}=\mathrm{sin}^22\theta _{\mathrm{atm}}`$, as a straightfoward result of $`\mathrm{\Delta }_\mathrm{R}=0`$. Allowing $`\mathrm{sin}^22\theta _{\mathrm{atm}}`$ to vary in the experimental range $`0.88\mathrm{sin}^22\theta _{\mathrm{atm}}1.0`$, we plot the numerical dependence of $`\mathrm{sin}^22\theta _{\mathrm{sun}}^{(\pm )}`$ on $`\mathrm{sin}^22\theta _{\mathrm{chz}}`$ in Fig. 1. One can observe that the values of $`\mathrm{sin}^22\theta _{\mathrm{sun}}^{(\pm )}`$ predicted from Eq. (8) are consistent very well with current experimental data. Thus we conclude that a vanishing or tiny off-diagonal asymmetry of $`V`$ about its $`V_{e3}`$-$`V_{\mu 2}`$-$`V_{\tau 1}`$ axis is strongly favored.

## III Unitarity triangles

Let us proceed to discuss possible implications of $`\mathrm{\Delta }_\mathrm{R}=0`$ on the leptonic unitarity triangles. It is known that six orthogonality relations of $`V`$ in Eq. (2) correspond to six triangles in the complex plane , as illustrated in Fig. 2. These six triangles totally have eighteen different sides and nine different inner angles. Unitarity requires that all six triangles have the same area amounting to $`𝒥/2`$, where $`𝒥`$ is just the rephasing-invariant measure of leptonic $`CP`$ violation defined in Eq. (3).

Now that the off-diagonal asymmetries $`\mathrm{\Delta }_\mathrm{L}`$ and $`\mathrm{\Delta }_\mathrm{R}`$ describe the geometrical structure of $`V`$, they must have direct relations with the unitarity triangles in the complex plane. Indeed it is easy to show that $`\mathrm{\Delta }_\mathrm{L}=0`$ or $`\mathrm{\Delta }_\mathrm{R}=0`$ corresponds to the congruence between two unitarity triangles; i.e.,

$`\mathrm{\Delta }_\mathrm{L}=0`$ $``$ $`\mathrm{}_e\mathrm{}_1,`$ (19)
$`\mathrm{}_\mu \mathrm{}_2,`$
$`\mathrm{}_\tau \mathrm{}_3;`$
and

$`\mathrm{\Delta }_\mathrm{R}=0`$ $``$ $`\mathrm{}_e\mathrm{}_3,`$ (22)
$`\mathrm{}_\mu \mathrm{}_2,`$
$`\mathrm{}_\tau \mathrm{}_1.`$
As $`\mathrm{\Delta }_\mathrm{R}=0`$ is expected to be rather close to reality, we draw the conclusion that the unitarity triangles $`\mathrm{}_e`$ and $`\mathrm{}_3`$ must be approximately congruent with each other. A similar conclusion can be drawn for the unitarity triangles $`\mathrm{}_\mu `$ and $`\mathrm{}_2`$ as well as $`\mathrm{}_\tau `$ and $`\mathrm{}_1`$. The long-baseline experiments of neutrino oscillations in the near future will tell whether an approximate congruence exists between $`\mathrm{}_e`$ and $`\mathrm{}_1`$ or between $`\mathrm{}_\tau `$ and $`\mathrm{}_3`$. A particularly interesting possibility would be $`\mathrm{\Delta }_\mathrm{L}\mathrm{\Delta }_\mathrm{R}0`$; i.e., only two of the six unitarity triangles are essentially distinct.

Next we examine how large the area of each unitarity triangle (i.e., $`𝒥/2`$) can maximally be in the limit $`\mathrm{\Delta }_\mathrm{R}=0`$, in which $`V`$ is parametrized as follows:

$$V=\left(\begin{array}{ccc}c_xc_z& s_xc_z& s_z\\ c_xs_xs_zc_xs_xe^{i\delta }& s_x^2s_z+c_x^2e^{i\delta }& s_xc_z\\ c_x^2s_z+s_x^2e^{i\delta }& c_xs_xs_zc_xs_xe^{i\delta }& c_xc_z\end{array}\right)\left(\begin{array}{ccc}e^{i\rho }& 0& 0\\ 0& e^{i\sigma }& 0\\ 0& 0& 1\end{array}\right),$$
(23)
where $`s_x\mathrm{sin}\theta _x`$, $`c_z\mathrm{cos}\theta _z`$, and so on. The merit of this phase choice is that the Dirac-type $`CP`$-violating phase $`\delta `$ does not appear in the effective mass term of the neutrinoless double beta decay , which depends only upon the Majorana phases $`\rho `$ and $`\sigma `$. Without loss of generality, one may arrange the mixing angles $`\theta _x`$ and $`\theta _z`$ to lie in the first quadrant. Three $`CP`$-violating phases ($`\delta ,\rho ,\sigma `$) can take arbitrary values from 0 to $`2\pi `$. Clearly $`𝒥=c_x^2s_x^2c_z^2s_z\mathrm{sin}\delta `$ holds. With the help of Eq. (6) or (7), we are able to figure out the relations between $`(\theta _x,\theta _z)`$ and $`(\theta _{\mathrm{sun}},\theta _{\mathrm{chz}})`$. The result is

$`\mathrm{sin}^22\theta _x`$ $`=`$ $`{\displaystyle \frac{4\mathrm{sin}^22\theta _{\mathrm{sun}}}{\left(1+\sqrt{1\mathrm{sin}^22\theta _{\mathrm{chz}}}\right)^2}},`$ (24)
$`\mathrm{sin}^22\theta _z`$ $`=`$ $`\mathrm{sin}^22\theta _{\mathrm{chz}}.`$ (25)
Then we obtain

$$𝒥_{(\pm )}=\frac{\sqrt{2}}{4}\mathrm{sin}^22\theta _{\mathrm{sun}}^{(\pm )}\mathrm{sin}\delta \frac{\sqrt{1\sqrt{1\mathrm{sin}^22\theta _{\mathrm{chz}}}}}{1+\sqrt{1\mathrm{sin}^22\theta _{\mathrm{chz}}}},$$
(26)
where $`\mathrm{sin}^22\theta _{\mathrm{sun}}^{(\pm )}`$ has been given in Eq. (8). Again the difference between $`𝒥_{(+)}`$ and $`𝒥_{()}`$ is insignificant. If $`\delta =0`$ or $`\pi `$ held, we would arrive at $`𝒥_{(\pm )}=0`$. In general, however, $`CP`$ symmetry is expected to break down in the lepton sector. For illustration, we plot the numerical dependence of $`𝒥_{(\pm )}/\mathrm{sin}\delta `$ on $`\mathrm{sin}^22\theta _{\mathrm{chz}}`$ in Fig. 3, where the experimentally allowed values of $`\mathrm{sin}^22\theta _{\mathrm{atm}}`$ are used. It is obvious that the upper bound of $`𝒥_{(\pm )}`$ (when $`\delta =\pi /2`$) can be as large as a few percent, only if $`\mathrm{sin}^22\theta _{\mathrm{chz}}0.01`$. This result implies that leptonic $`CP`$ and $`T`$ violation might be observable in the future long-baseline neutrino oscillation experiments.

## IV Matter effects

In realistic long-baseline experiments of neutrino oscillations, the terrestrial matter effects must be taken into account . The pattern of neutrino oscillations in matter can be expressed in the same form as that in vacuum, however, if we define the effective neutrino masses $`\stackrel{~}{m}_i`$ and the effective lepton flavor mixing matrix $`\stackrel{~}{V}`$ in which the terrestrial matter effects are already included . Note that $`\stackrel{~}{m}_i`$ are functions of $`m_j`$, $`|V_{ej}|`$ and $`A`$; and $`\stackrel{~}{V}_{\alpha i}`$ are functions of $`m_j`$, $`V_{\beta j}`$ and $`A`$, where $`A`$ is the matter parameter and its magnitude depends upon the neutrino beam energy $`E`$ and the background density of electrons $`N_e`$. The analytically exact relations between $`(\stackrel{~}{m}_i,\stackrel{~}{V}_{\alpha i})`$ and $`(m_i,V_{\alpha i})`$ can be found in Ref. , if $`N_e`$ is assumed to be a constant. In analogy to the definitions of $`𝒥`$, $`\mathrm{\Delta }_\mathrm{L}`$ and $`\mathrm{\Delta }_\mathrm{R}`$, the effective $`CP`$-violating parameter $`\stackrel{~}{𝒥}`$ and off-diagonal asymmetries $`\stackrel{~}{\mathrm{\Delta }}_\mathrm{L}`$ and $`\stackrel{~}{\mathrm{\Delta }}_\mathrm{R}`$ can be defined as follows:

$$\mathrm{Im}\left(\stackrel{~}{V}_{\alpha i}\stackrel{~}{V}_{\beta j}\stackrel{~}{V}_{\alpha j}^{}\stackrel{~}{V}_{\beta i}^{}\right)=\stackrel{~}{𝒥}\underset{\gamma ,k}{}\left(ϵ_{\alpha \beta \gamma }ϵ_{ijk}\right),$$
(27)
where $`(\alpha ,\beta ,\gamma )`$ and $`(i,j,k)`$ run respectively over $`(e,\mu ,\tau )`$ and $`(1,2,3)`$;

$`|\stackrel{~}{V}_{e2}|^2|\stackrel{~}{V}_{\mu 1}|^2`$ $`=`$ $`|\stackrel{~}{V}_{\mu 3}|^2|\stackrel{~}{V}_{\tau 2}|^2`$ (28)
$`=`$ $`|\stackrel{~}{V}_{\tau 1}|^2|\stackrel{~}{V}_{e3}|^2\stackrel{~}{\mathrm{\Delta }}_\mathrm{L},`$ (29)
and

$`|\stackrel{~}{V}_{e2}|^2|\stackrel{~}{V}_{\mu 3}|^2`$ $`=`$ $`|\stackrel{~}{V}_{\mu 1}|^2|\stackrel{~}{V}_{\tau 2}|^2`$ (30)
$`=`$ $`|\stackrel{~}{V}_{\tau 3}|^2|\stackrel{~}{V}_{e1}|^2\stackrel{~}{\mathrm{\Delta }}_\mathrm{R}.`$ (31)
It is then interesting to examine possible departures of $`(\stackrel{~}{𝒥},\stackrel{~}{\mathrm{\Delta }}_\mathrm{L},\stackrel{~}{\mathrm{\Delta }}_\mathrm{R})`$ from $`(𝒥,\mathrm{\Delta }_\mathrm{L},\mathrm{\Delta }_\mathrm{R})`$ in a concrete experimental scenario.

To illustrate, we compute $`\stackrel{~}{𝒥}`$, $`\stackrel{~}{\mathrm{\Delta }}_\mathrm{L}`$ and $`\stackrel{~}{\mathrm{\Delta }}_\mathrm{R}`$ using the typical inputs $`\theta _x=40^{}`$, $`\theta _z=5^{}`$ and $`\delta =90^{}`$, which yield $`𝒥=0.021`$, $`\mathrm{\Delta }_\mathrm{L}=0.166`$ and $`\mathrm{\Delta }_\mathrm{R}=0`$ in vacuum. The neutrino mass-squared differences are taken to be $`\mathrm{\Delta }m_{21}^2=\mathrm{\Delta }m_{\mathrm{sun}}^2=5\times 10^5\mathrm{eV}^2`$ and $`\mathrm{\Delta }m_{31}^2=\mathrm{\Delta }m_{\mathrm{atm}}^2=3\times 10^3\mathrm{eV}^2`$. The explicit formulas relevant to our calculation have been given in Ref. . We plot the numerical dependence of $`\stackrel{~}{𝒥}/𝒥`$, $`\stackrel{~}{\mathrm{\Delta }}_\mathrm{L}`$ and $`\stackrel{~}{\mathrm{\Delta }}_\mathrm{R}`$ on the matter parameter $`A`$ in Fig. 4, where both the cases of neutrinos ($`+A`$) and antineutrinos ($`A`$) are taken into account. One can see that the off-diagonal symmetry $`\mathrm{\Delta }_\mathrm{R}=0`$ in vacuum can substantially be spoiled by terrestrial matter effects. The deviation of $`\stackrel{~}{\mathrm{\Delta }}_\mathrm{L}`$ from $`\mathrm{\Delta }_\mathrm{L}`$ and that of $`\stackrel{~}{𝒥}`$ from $`𝒥`$ are remarkably large, if $`A>10^5\mathrm{eV}^2`$.

As emphasized in Ref. , there exists the simple reversibility between the fundamental neutrino mixing parameters in vacuum and their effective counterparts in matter. The former can therefore be expressed in terms of the latter, allowing more straightforward extraction of the genuine lepton mixing quantities (including $`𝒥`$, $`\mathrm{\Delta }_\mathrm{L}`$ and $`\mathrm{\Delta }_\mathrm{R}`$) from a variety of long-baseline neutrino oscillation experiments. If $`|V_{\alpha i}|`$ are determined to a very high degree of accuracy, it will be possible to test the unitarity of $`V`$  and establish leptonic $`CP`$ violation through the non-zero area of six unitarity triangles  even in the absence of a direct measurement of $`𝒥`$.

## V Further discussions

If $`\mathrm{\Delta }_\mathrm{R}=0`$ really holds, one may wonder whether this off-diagonal symmetry of $`V`$ hints at very special textures of the neutrino mass matrix $`M_\nu `$ and (or) the charged lepton mass matrix $`M_l`$. In the following, we take two simple but instructive examples to illustrate possible implications of $`\mathrm{\Delta }_\mathrm{R}=0`$ on $`M_l`$ and $`M_\nu `$.

Example A

In no conflict with current data on atmospheric , solar  and reactor  neutrino oscillations, a remarkably simplified form of $`V`$ with $`\mathrm{\Delta }_\mathrm{R}=0`$ and $`\delta =\rho =\sigma =0`$ is

$$𝐕=\left(\begin{array}{ccc}\frac{c}{\sqrt{2}}& \frac{c}{\sqrt{2}}& s\\ \\ \frac{1+s}{2}& \frac{1s}{2}& \frac{c}{\sqrt{2}}\\ \\ \frac{1s}{2}& \frac{1+s}{2}& \frac{c}{\sqrt{2}}\end{array}\right),$$
(32)
where $`s\mathrm{sin}\theta 1`$ and $`c\mathrm{cos}\theta 1`$ . In the flavor basis where $`M_l`$ is diagonal, $`M_\nu `$ can be given as

$`M_\nu `$ $`=`$ $`𝐕\left(\begin{array}{ccc}m_1& 0& 0\\ 0& m_2& 0\\ 0& 0& m_3\end{array}\right)𝐕^\mathrm{T}`$ (33)
$`=`$ $`m_1𝐍_1+m_2𝐍_2+m_3𝐍_3,`$ (34)
where symmetric matrices $`𝐍_1`$, $`𝐍_2`$ and $`𝐍_3`$ read

$`𝐍_1`$ $`=`$ $`\left(\begin{array}{ccc}{\displaystyle \frac{c^2}{2}}& {\displaystyle \frac{c(1+s)}{2\sqrt{2}}}& {\displaystyle \frac{c(1s)}{2\sqrt{2}}}\\ \\ & {\displaystyle \frac{(1+s)^2}{4}}& {\displaystyle \frac{1s^2}{4}}\\ \\ & & {\displaystyle \frac{(1s)^2}{4}}\end{array}\right),`$ (35)
$`𝐍_2`$ $`=`$ $`\left(\begin{array}{ccc}{\displaystyle \frac{c^2}{2}}& {\displaystyle \frac{c(1s)}{2\sqrt{2}}}& {\displaystyle \frac{c(1+s)}{2\sqrt{2}}}\\ \\ & {\displaystyle \frac{(1s)^2}{4}}& {\displaystyle \frac{1s^2}{4}}\\ \\ & & {\displaystyle \frac{(1+s)^2}{4}}\end{array}\right),`$ (37)
$`𝐍_3`$ $`=`$ $`\left(\begin{array}{ccc}s^2& {\displaystyle \frac{cs}{\sqrt{2}}}& {\displaystyle \frac{cs}{\sqrt{2}}}\\ \\ & {\displaystyle \frac{c^2}{2}}& {\displaystyle \frac{c^2}{2}}\\ \\ & & {\displaystyle \frac{c^2}{2}}\end{array}\right).`$ (39)
The texture of $`M_\nu `$ is rather complicated, hence it is difficult to observe any hidden flavor symmetry associated with lepton mass matrices.

Example B

The result of $`M_\nu `$ in Example A will become simpler, if $`s=0`$ is further taken (i.e., $`𝐕`$ is of the bi-maximal mixing form ). In this special case, however, simple textures of $`M_l`$ and $`M_\nu `$ can be written out in a more general flavor basis. It is easy to show that $`M_l`$ and $`M_\nu `$ of the following textures lead to $`𝐕`$ with $`s=0`$:

$`M_l`$ $`=`$ $`{\displaystyle \frac{C_l}{2}}\left[\left(\begin{array}{ccc}0& 0& 0\\ 0& 1& 1\\ 0& 1& 1\end{array}\right)+\left(\begin{array}{ccc}\delta _l& 0& 0\\ 0& 0& \epsilon _l\\ 0& \epsilon _l& 0\end{array}\right)\right],`$ (40)
$`M_\nu `$ $`=`$ $`{\displaystyle \frac{C_\nu }{2}}\left[\left(\begin{array}{ccc}1& 0& 0\\ 0& 1& 0\\ 0& 0& 1\end{array}\right)+\left(\begin{array}{ccc}0& \epsilon _\nu & 0\\ \epsilon _\nu & 0& 0\\ 0& 0& \delta _\nu \end{array}\right)\right],`$ (41)
where $`\delta _{l,\nu }`$ and $`\epsilon _{l,\nu }`$ are small perturbative parameters . In the limit $`\delta _{l,\nu }=\epsilon _{l,\nu }=0`$, $`M_l`$ has the $`S(2)_\mathrm{L}\times S(2)_\mathrm{R}`$ symmetry and $`M_\nu `$ displays the $`S(3)`$ symmetry . The perturbative corrections in $`M_l`$ allow electron and muon to acquire their masses:

$$\{m_e,m_\mu ,m_\tau \}=\frac{C_l}{2}\{|\delta _l|,|\epsilon _l|,2+\epsilon _l\}.$$
(42)
We then arrive at $`C_l=m_\mu +m_\tau 1.88`$ GeV, $`|\epsilon _l|=2m_\mu /(m_\mu +m_\tau )0.11`$ and $`|\delta _l|=2m_e/(m_\mu +m_\tau )5.4\times 10^4`$. The perturbative corrections in $`M_\nu `$ make three neutrino masses non-degenerate:

$$\{m_1,m_2,m_3\}=C_\nu \{1+\epsilon _\nu ,1\epsilon _\nu ,1+\delta _\nu \}.$$
(43)
As a result, $`|\epsilon _\nu |/|\delta _\nu |\mathrm{\Delta }m_{\mathrm{sun}}^2/(2\mathrm{\Delta }m_{\mathrm{atm}}^2)10^2`$ for the large-angle MSW solution to the solar neutrino problem.

Examples A and B illustrate how the off-diagonal symmetry of $`V`$ ($`\mathrm{\Delta }_\mathrm{R}=0`$) can be reproduced from specific textures of lepton mass matrices.

## VI Summary

In view of current experimental data on solar and atmospheric neutrino oscillations, we have discussed the geometrical structure of the $`3\times 3`$ lepton flavor mixing matrix $`V`$. We find that the present data strongly favor the off-diagonal symmetry of $`V`$ about its $`V_{e3}`$-$`V_{\mu 2}`$-$`V_{\tau 1}`$ axis. This symmetry, if really exists, will correspond to three pairs of congruent unitarity triangles in the complex plane. It remains too early to tell whether $`V`$ is symmetric or not about its $`V_{e1}`$-$`V_{\mu 2}`$-$`V_{\tau 3}`$ axis. A brief analysis of terrestrial matter effects on the universal $`CP`$-violating parameter and off-diagonal asymmetries of $`V`$ has also been made. We expect that future long-baseline experiments of neutrino oscillations can help establish the texture of the lepton flavor mixing matrix, from which one could get some insights into the underlying flavor symmetries responsible for the charged lepton and neutrino mass matrices.

###### Acknowledgements.

This work was supported in part by the National Natural Science Foundation of China.


text:
# Size segregation and convection

## Abstract

The size segregation of granular materials in a vibrating container is investigated using Molecular Dynamics. We find that the rising of larger particles is accompanied by the existence of convection cells even in the case of the lowest possible frequencies. The convection can, however, also be triggered by the larger particle itself. The possibility of rising through this mechanism strongly depends on the depth of the larger particle.

One of the most puzzling phenomena encountered in granular matter is size segregation: When a mixture of grains of the same material (equal density) but different size is shaken in a container the larger particles rise to the top. This effect has been extensively studied experimentally  and has much importance in numerous industrial processes. Recently this so called “Brazil nut effect” has attracted much interest among physicists.

Size segregation inevitably seems to contradict equilibrium statistical mechanics since the density of the overall packing increases with polydispersivity and so gravity makes situations with larger particles on the bottom energetically more favourable. Rosato et al. proposed a Monte Carlo algorithm and put forward a kinetic argument to explain segregation using the fact that smaller particles are more mobile. In the same year Haff and Werner did Molecular Dynamics simulations of rather small systems and claimed that segregation was essentially a consequence of solid friction and the rotation of the particles. Jullien et al. used a piling technique which is non–stochastic as compared to the one of ref. 6 and found a critical ratio $``$ for the radia of spherical particles below which no segregation occurs. Based on these ideas Duran et al. formulated a geometrical theory for segregation in which the small particles glide down along the surface of the larger particle, the critical ratio $``$ of radia being between continuous and discontinuous gliding. They also claimed experimental evidence for two types of dynamics and visualized the discontinuous ascent of the larger particle through stroboscopic photos. Jullien et al. reproduced the discontinuous dynamics by including horizontal random fluctuations into their model.

Parallel to these local theories there has been the “convection connection”: It is known experimentally and numerically that shaken assemblies of spheres form convection rolls which are attached to the walls of the container. For weak shaking the convection rolls only appear on the surface. Knight et al. showed experimentally that segregation was due to this convection and the fact that larger particles have a harder time entering again into the bulk once they are on the surface. They also verified an exponential decay of the convection strength as function of depth for weak shaking. Duran et al. verified segregation due to convection in two dimensions for strong shaking and claimed that above mentioned local mechanisms are at work at weak shaking. Their stroboscopic pictures showed convection cells above the particles.

Here we present large scale Molecular Dynamics simulations showing that also for weak shaking convection is responsible for segregation but in a more intricate way: Under certain conditions the larger particle is able to pull down the convection rolls due to the more efficient momentum transfer and then rises within its flow. Because of the exponential decay of convection with depth the ability to rise critically depends on the vertical position of the larger particles.

We used the classical Gear predictor–corrector Molecular Dynamics algorithm and the contact forces proposed by Cundall and Strack: Two grains $`i`$ and $`j`$ at positions $`\stackrel{}{r}_i`$ and $`\stackrel{}{r}_j`$ interact if the distance between the center points is smaller than the sum of their radii $`\stackrel{}{r}_i\stackrel{}{r}_j<R_i+R_j`$. For this case the force between particles $`i`$ and $`j`$ moving with the velocities $`\dot{\stackrel{}{r}}_i`$ and $`\dot{\stackrel{}{r}}_j`$ and rotating with angular velocities $`\dot{\mathrm{\Omega }}_i`$ and $`\dot{\mathrm{\Omega }}_j`$ is given by

$$\stackrel{}{F}_{ij}=F_{ij}^N\frac{\stackrel{}{r}_i\stackrel{}{r}_j}{|\stackrel{}{r}_i\stackrel{}{r}_j|}+F_{ij}^S\left(\genfrac{}{}{0pt}{}{0}{1}\genfrac{}{}{0pt}{}{1}{0}\right)\frac{\stackrel{}{r}_i\stackrel{}{r}_j}{|\stackrel{}{r_i}\stackrel{}{r}_j|}.$$
(1)
with the normal and shear forces being

$`F_{ij}^N`$ $`=`$ $`Y\left(R_i+R_j|\stackrel{}{r}_i\stackrel{}{r}_j|\right)+\gamma _Nm_{ij}^{eff}|\dot{\stackrel{}{r}}_i\dot{\stackrel{}{r}}_j|`$ (2)
$`F_{ij}^S`$ $`=`$ $`sign\left(\left|\stackrel{}{v}_{ij}^{rel}\right|\right)\mathrm{min}\{\gamma _Sm_{ij}^{eff}|\stackrel{}{v}_{ij}^{rel}|,\mu |F_{ij}^N|\}.`$ (3)
The relative velocity $`\stackrel{}{v}_{ij}^{rel}`$ between $`i`$ and $`j`$ and the effective mass $`m_{ij}^{eff}`$ of the particles $`i`$ and $`j`$ are defined as

$`\stackrel{}{v}_{ij}^{rel}`$ $`=`$ $`(\dot{\stackrel{}{r}}_i\dot{\stackrel{}{r}}_j)+R_i\dot{\mathrm{\Omega }}_i+R_j\dot{\mathrm{\Omega }}_j`$ (4)
$`m_{ij}^{eff}`$ $`=`$ $`{\displaystyle \frac{m_im_j}{m_i+m_j}}.`$ (5)
The resulting momenta $`M_i`$ and $`M_j`$ acting upon the particles are

$$M_i=F_{ij}^SR_i,M_j=F_{ij}^SR_j.$$
(6)
Eq. (3) takes into account that the particles slide on each other for the case that the inequality $`\mu F_{ij}^N<F_{ij}^S`$ holds, otherwise they feel some viscous friction.

Throughout our simulation we used the parameters $`Y=310^6g/sec^2`$ (Young modulus), $`\gamma _N=100sec^1`$, $`\gamma _S=1sec^1`$ (phenomenological normal and shear friction coefficients) and $`\mu =0.5`$ (Coulomb friction parameter). We considered $`N=950`$ particles with radii uniformly distributed in the interval $`R_i[0.85,1.15]cm`$ and with masses $`m_i=2\pi R_i^2\rho `$, $`\rho =1g/cm^2`$. The particles are put into a two–dimensional box having walls made of particles with the same material characteristics as the grains and which vibrates vertically according to $`y_{box}=A\mathrm{sin}(2\pi ft)`$ with $`A=2cm`$. Gravity acts in negative $`y`$–direction $`F_i^{gr}=m_ig`$, $`g=981cm/sec^2`$. The time step for the numerical integration of the Gear predictor–corrector scheme of 5th order was $`\mathrm{\Delta }t=510^5sec`$.

We investigate segregation and convection behaviour as function of the vibration frequency $`f`$ in two different systems, either all particles are small ($`R_i[0.85,1.15]cm`$) or we add one single big particle of $`R_1=4cm`$ located in the centre of the box close to the bottom. In order to investigate closer what happens at the onset of segregation we keep all the other parameters fixed. Fig. 1 shows the convection cells without the larger particle (left) and with the larger particle (right) for three different frequencies $`f=2.6sec^1`$ (upper figure), $`f=2.8sec^1`$ (central figure) and $`f=3sec^1`$ (lower figure). For $`f=2.8sec^1`$ the convection cells of both systems, with and without the big particle, differ significantly while they are quite similar in the other cases. This indicates that there is a certain frequency interval where the presence of the big sphere triggers the onset of convection which finally leads to segregation. Indeed we find that convection is always present when segregation happens. It is important to note that if one is close enough to the onset of segregation just putting the larger particles one row lower can entirely supress the effect of segregation. This dependence of segregation on the height is quite strong and has not been discussed in the literature. By changing the frequency $`f`$ very slowly and measuring the convection flow through a plane at a certain height we observed that the transition from the fluctuation regime to the convection regime is very sharp and differs between different runs for less than $`\mathrm{\Delta }f=0.05sec^1`$. Moreover when increasing the frequency the transition occurs almost exactly at the same frequency as when decreasing the frequency, i.e. there is no hysteresis. This is in contrast to the case of viscous fluids which tuned out of equilibrium by applying a temperature gradient have nonequilibrium dissipative structures, e.g. Bénard convection, with a characteristic hysteresis.

The triggering of convection cells by the big particle is investigated more quantitatively by calculating the convective flux $`\mathrm{\Phi }`$ defined as the sum of material (mass) flow in the centre of the box $`j_{top}`$ and the flow close to the walls $`j_{bot}`$ by considering that these flows have opposite signs as illustrated in Fig. 2. The flows $`j_{top}`$ and $`j_{bot}`$ are defined by adding the number of particles which move in one direction minus the ones moving in the opposite direction and is measured in particles per cycle time of the box. In fact we measure for each particle if the positions at subsequent nodes of the vibration are on different sides of a height line, where the height of the box was divided into 80 height lines between the bottom of the box and the surface of the packing. Fig. 3 shows the convective flux $`\mathrm{\Phi }`$ through planes at different heights $`D`$ for both systems and for the three different frequencies. For $`f=2.6sec^1`$ we find almost no directed flow but only fluctuations. For $`f=3sec^1`$ both systems behave similarly, as could also be observed in Fig. 1. For $`f=2.8sec^1`$, however, the convection cells clearly extend deeper due to the existence of the larger particle. Apparently the larger particle is able to pull the convection cells down.

This effect can be explained by the fact that in the region around the large particle the accelerations are higher since the momentum is transferred with less dissipative loss through the larger particle than through a corresponding pile of smaller particles of the same volume. We measured the sum of the absolute values of the forces of all the particles in a region around the position of the large particle and averaged it over time. The region was ring shaped with the inner border of radius $`4.5cm`$ and the outer border of radius $`8cm`$. At the onset of segregation ($`f=2.8sec^1`$) the average force of the small particles around the large particle is about 15% larger than that of the small particles in the same region in a system containing no large particle. This effect is strongest in the lower part of the ring shaped region. For $`f=2.6sec^1`$ the difference is only 5%. Therefore the accelerations in the region around a large particle are larger than if no particle would be present. We believe that this increase in high frequency oscillations is responsible for pulling the convection rolls down. It is, however, interesting to note that the granular temperatures in this region is roughly the same in the two systems.

One can see from Fig. 1 that the convection cells decay very sharply in strength but that even in the deep regions some essentially horizontal motion occurs. This is reminiscent of the stroboscopic pictures of  implying that even in the low acceleration regime some particles move inward horizontally. Within our framework this motion could be interpreted as the exponentially weak tail of the convection rolls.

Next we investigated the dependence of the onset of convection on the ratio of radia $``$. Note that in our case $`=R_1/1cm`$ because the mean radius of the small particles is $`1cm`$. For $`f=3.2sec^1`$ we observed a big particle of radius $`=4.0`$ moving up immediately. We also studied the cases $`=3.5`$, $`=3.0`$, $`=2.5`$ and $`=2.0`$. In these cases the large particle remains a certain waiting time on the bottom before it suddenly moves up quite rapidly. Fig. 4 shows a typical evolution of the vertical position of the big particle with radius $`=2.0`$ and $`=3.0`$. The waiting times do not noticeably depend on $``$ being of the order of $`30sec`$. Once the large particle comes to the top it performs an oscillating motion going up and down (whale effect) that has also been observed experimentally. This motion seems due to the convection rolls: In the case where $``$ is smaller the oscillating motion is more regular because the larger particle has less difficulty reentering into the bulk from the surface and to follow the convective motion. For larger $``$ the larger particle has more difficulty reentering thus leading to a more erratic horizontal motion as seen in Fig. 4. Particles with smaller $``$ also seem to dip deeper into the bulk showing that the convection cells can move them more efficiently.

We have shown with large numerical calculations of granular media in a vibrating box that in two dimensions segregation is intimately connected to convection. The larger particles, surrounded by a region of higher acceleration, loosen the material thus deepening the penetration of the convection rolls from the top into the medium. After some waiting time the larger particles are caught by the lower part of the rolls and pulled up. This triggering effect is only relevant close to the characteristic onset frequency of segregation which is sharply defined and strongly dependent on the initial depth of the large particle. Once the large particle is on the top it periodically goes up and down (whale effect) driven by the convection cells.

In addition to convection arching and geometry are also important as pointed out by many authors in the past. How the large particles move in the exponentially weak convection field before being lifted upwards and the $``$-dependence of the mobility are probably best described by Duran et al.’s local arching mechanisms. The fact that the whale effect of larger particles is less pronounced is certainly due to their lower mobility because of steric hindrance effects as formulated by Rosato et al..

Many of the details of segregation are still not completely clear and in particular in three dimensions additional geometrical effects might play a role. This as well as other questions are difficult to study conclusively with our numerical technique due to the excessive requirements in computer time. It would for instance be interesting to see what happens when the box is so wide that the walls of the box are much farther away from the large particle than the height of the packing. In this experimentally relevant case the walls would not be able to stabilize the convection rolls. Simulations with periodic boundary conditions have, however, provided rather similar results as with fixed boundaries . It would also be interesting to study larger ratios $``$ in order to verify predictions made about a characteristic value of $`=12`$  but for that case one would need to consider substantially larger systems. The limitations in observation time due to the computational requirements also puts limits on the determination of the segregation velocity and we cannot exclude that particles rise on time scales much larger than the ones accessible numerically.

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H.J.H. thanks Jacques Duran and Daniel Bideau for enlightening discussions. Stefan Schwarzer and Hans–Jürgen Tillemans are thanked for their help.