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# References

PURIFICATION OF TWO-QUBIT MIXED STATES

ENRIC JANÉ

Departament d’Estructura i Constituents de la Matèria, Universitat de Barcelona, Diagonal 647

Barcelona, E-08028, Spain

We find the necessary and sufficient condition under which two two-qubit mixed states can be purified into a pure maximally entangled state by local operations and classical communication. The optimal protocol for such transformation is obtained. This result leads to a necessary and sufficient condition for the exact purification of $`n`$ copies of a two-qubit state.

Quantum entanglement is regarded as one of the basic resources in the field of quantum information theory. It is the essential ingredient for tasks as quantum dense coding  and quantum teleportation . In general these tasks require maximally entangled states, among which the Bell state

$$|\mathrm{\Psi }_{}=\frac{1}{\sqrt{2}}(|01|10)$$
(1)
is a frequent choice. However, in practical situations decoherence makes pure states evolve into mixed states and reduces its entanglement. Therefore, in the last years much work has been devoted to understand under which conditions the entanglement that has been lost can be recovered using local operations and classical communication (LOCC).

In general there are two frameworks under which the problem of concentrating the entanglement is studied. On the one hand, there are cases in which a large amount of copies of a given state are available. That is, two parties, $`A`$ and $`B`$, are given a very large number of copies, $`n`$, of a bipartite state, $`\rho _{AB}^n`$, and they have to make operations on their subsystems in order to concentrate the entanglement so that they end up with $`m`$ copies of the state $`|\mathrm{\Psi }_{}`$. In general the problem is stated in the asymptotic limit ($`n\mathrm{}`$), and the final state after the local operations has a fidelity with the state $`|\mathrm{\Psi }_{}\mathrm{\Psi }_{}|^m`$ going to 1 as $`n`$ goes to infinity, keeping $`\frac{m}{n}`$ finite. If the process of concentrating the entanglement is optimal, the ratio $`\frac{m}{n}`$ is called the Entanglement of Distillation  of $`\rho _{AB}`$.

On the other hand, sometimes only one or a few copies of the state $`\rho _{AB}`$ are given to the parties. In this case there are different strategies one may follow. For instance, if we are given a state of two qubits we can consider the LOCC protocol that achieves the state maximizing the fidelity with the state $`|\mathrm{\Psi }_{}`$ with a finite probability . This procedure ensures the state has the maximal probability of behaving as a maximally entangled state. An entanglement measure as the Entanglement of Formation  can be used instead of the fidelity and we can study the LOCC protocol that yields a state maximizing this quantity .

Another possible strategy would be to see whether a mixed state can be transformed (purified) into a pure maximally entangled state . This guarantees that, if the protocol is successful, the final state is maximally entangled. In this paper we study this problem for the case of two-qubit states and give the optimal protocol to purify two two-qubit mixed states. Moreover we find the necessary and sufficient condition to ensure that a finite number of copies $`n`$ of a mixed state of two qubits can be purified.

We will begin by giving a necessary condition that any mixed state that can be purified has to fulfill. This will give us the basic tools to study the particular case we are interested in, namely that in which we deal with states of two qubits.

Consider a mixed state shared by two parties, $`A`$ and $`B`$, and let $`n_A`$ and $`n_B`$ be the dimensions of their Hilbert spaces, $`H_A`$ and $`H_B`$. The general form of such a state is

$$\rho _{AB}=\underset{i=1}{\overset{N}{}}p_i|\psi _i\psi _i|,$$
(2)
where $`|\psi _iH_AH_B`$, $`p_i>0`$ and $`_ip_i=1`$. The number of terms in the sum has to be at least equal to the rank of $`\rho _{AB}`$, that is $`Nr(\rho _{AB})`$, and the states that appear in (2), $`\{|\psi _i\}_{i=1}^N`$, span the range of $`\rho _{AB}`$, $`R(\rho _{AB})`$. There are infinitely many different ways to write $`\rho _{AB}`$ as a sum of projectors (i.e. different realizations), but the above constraints always have to be fulfilled.

We would like to know in which cases this mixed state $`\rho _{AB}`$ can be purified to a pure entangled state with some finite probability using local operations (i.e. operations made on $`H_A`$ and $`H_B`$ separately) and classical communication (LOCC). This is equivalent to requiring that the final state is a maximally entangled state, since we know that we can always concentrate the entanglement of a pure state probabilistically by local operations. Our aim is to find a local transformation such that from the mixed state $`\rho _{AB}`$ we end up with a maximally entangled state,

$$\rho _{AB}|\mathrm{\Psi }\mathrm{\Psi }|,|\mathrm{\Psi }=\frac{1}{\sqrt{k}}\underset{i=1}{\overset{k}{}}|e_i_A|f_i_B,$$
(3)
where $`\{|e_i_A\}`$($`\{|f_i_B\}`$) are orthogonal states in $`H_A(H_B)`$ and $`kd`$.

Let us suppose there is a protocol that purifies the state $`\rho _{AB}`$ into a pure entangled state. This means that there is a chain of (probably correlated) local operations after which, with some finite probability, the initial state $`\rho _{AB}`$ is transformed into a pure entangled state $`|\mathrm{\Psi }`$. The whole process can be written as two operators $`M_A`$ and $`N_B`$ ($`M_AM_A^{},N_BN_B^{}1`$) acting respectively on $`H_A`$ and $`H_B`$ such that

$$M_AN_B\rho _{AB}M_A^{}N_B^{}=p|\mathrm{\Psi }\mathrm{\Psi }|,$$
(4)
where $`p`$ is the probability of success of such process. It is important to note that (4) is not the most general operation, as that would include those operations in which some of the information of the outcome is not kept. However, in our case we want to end up with a pure state, and therefore we have to keep track of the outcome of the whole operation. Since this operation is linear and the r.h.s. of (4) is a pure state, for each projector $`|\psi _i`$$`\psi _i|`$ appearing in the realization of $`\rho _{AB}`$ (2) we have either

$$M_AN_B|\psi _i\psi _i|M_A^{}N_B^{}|\mathrm{\Psi }\mathrm{\Psi }|,$$
(5)
or

$$M_AN_B|\psi _i\psi _i|M_A^{}N_B^{}=0.$$
(6)
Owing to the fact that the r.h.s of (5) is a pure state, we can summarize both (5) and (6) as

$$M_AN_B|\psi _i=\sqrt{q_i}|\mathrm{\Psi },$$
(7)
where the set of coefficients $`\{q_i\}`$ contains at least one non-zero element. Notice that (7) is a necessary and sufficient condition an operator $`M_AN_B`$ must satisfy to purify the state $`\rho _{AB}`$ to a pure entangled state $`|\mathrm{\Psi }`$.

From (7) it follows that the operator $`M_AN_B`$ purifies any mixed state $`\stackrel{~}{\rho }_{AB}`$ with the same range as $`\rho _{AB}`$ (i.e. $`R(\rho _{AB})R(\stackrel{~}{\rho }_{AB})`$). The reason is that any state $`|\stackrel{~}{\psi }_i`$ appearing in a realization of $`\stackrel{~}{\rho }_{AB}`$,

$$\stackrel{~}{\rho }_{AB}=\underset{i=1}{\overset{M}{}}\stackrel{~}{p}_i|\stackrel{~}{\psi }_i\stackrel{~}{\psi }_i|,$$
(8)
will be a linear combination of the states $`\{|\psi _i\}`$ that span $`R(\rho _{AB})`$ (and therefore also span $`R(\stackrel{~}{\rho }_{AB})`$), and we can apply the necessary and sufficient condition (7),

$`M_AN_B|\stackrel{~}{\psi }_i`$ $`=`$ $`M_AN_B{\displaystyle \underset{j}{}}a_j^i|\psi _j`$ (9)
$`=`$ $`\sqrt{\stackrel{~}{q}_i}|\mathrm{\Psi },`$
where $`\sqrt{\stackrel{~}{q}_i}=|_ja_j^i\sqrt{q_j}|`$, which is also satisfied. The fact that at least one element in $`\{\stackrel{~}{q}_i\}`$ is non-zero is because if that was not the case, $`R(\rho _{AB})`$ would belong to the kernel of $`M_AN_B`$, but this cannot be true because our assumption is that $`M_AN_B`$ purifies the state $`\rho _{AB}`$. This result leads us to the necessary condition for the purification of a state $`\rho _{AB}`$ to be possible.

Necessary condition: A mixed state $`\rho _{AB}`$ cannot be purified to a pure entangled state if its range can be spanned by product states.

Proof: As we have showed above, a purification protocol that purifies a state $`\rho _{AB}`$ will also purify any state $`\stackrel{~}{\rho }_{AB}`$ with the same range as $`\rho _{AB}`$. In addition, given a space that can be spanned by product states, there is always a separable state with a range being that space. Therefore, if a protocol would purify a state with a range spanned by product states, it would also purify a separable state with the same range, which is impossible as it would transform a separable state into an entangled one. This completes the proof.

This necessary condition follows from , where they consider the case where an entangled ancillary system is used to purify a mixed entangled state.

In the case of qubits ($`n_A=n_B=2`$) it was shown that a single copy of a mixed state cannot be purified . The reason is that the local POVMs, $`M_A`$ and $`N_B`$, on both subsystem need to have rank 2 (full rank in this case), since otherwise they would destroy the entanglement between the parties. But the operator $`M_AN_B`$ in (4) cannot have full rank because it has to map different states into the same one (or project them away). This makes the task of purifying impossible since in the case of two qubits the whole space has dimension 4.

However, when two states of two qubits are available it could happen that they could be purified. That is, if party $`A`$ holds one subsystem of each of the two states and party $`B`$ holds the remaining subsystems, they could find a way of sharing pure state entanglement after performing some correlated local operations on their subsystems. Since we know that a mixed state of two qubits cannot be purified, the necessary condition stated above has to be satisfied by each of the two states. This is because if one of the two states had a range spanned by product states it would mean that the purification protocol should work for the other state together with a separable state, which we know is not possible in the case of two qubits.

We will now study the case of two states of two qubits to see in which cases we can purify entangled pure states.

From the necessary condition it is clear that the first step is to know in which cases a subspace of $`^2^2`$ cannot be spanned by product states. The only interesting cases are when the dimension of the subspace is 2 or 3, since the case of dimension equal to 1 is the case when we have a pure state from the very beginning and in the case when the dimension is 4 the space is of course spanned by product states (it is the whole space $`^2^2`$).

When the dimension of the subspace of $`^2^2`$ is 3 it can always be spanned by product states. To see that this is the case, consider the subspace orthogonal to the most general state of two qubits$`^\text{a}`$footnotetext: $`^\text{a}`$From now on we consider that the local bases $`\{|0,|1\}`$ are not fixed for any party and therefore they include any local unitary transformation. $`|\psi ^{}=\alpha |00+\beta |11`$, with $`\alpha ^2+\beta ^2=1`$. This subspace can be spanned by the states $`\{|10,|01,(\beta |0\alpha |1)(|0+|1)/\sqrt{2}\}`$, which are all product states.

The remaining case is when the dimension of the subspace is 2. There are two possibilities , either the subspace contains only one product state and it is spanned by $`\{|00,(\alpha |01+\beta |10+\gamma |00)\}`$, with $`\alpha ^2+\beta ^2+\gamma ^2=1`$, or it is spanned by the product states $`\{|00,(\kappa |0\lambda |1)(\mu |0+\nu |1)\}`$, with $`\kappa ^2+\lambda ^2=1`$ and $`\mu ^2+\nu ^2=1`$.

Therefore, the only case that satisfies the necessary condition is when the rank of both states of two qubits is 2 and their ranges contain only one product state. In fact, since a mixed state of two qubits of rank two can always be regarded as a pure state of three qubits where one of the parties has been traced out, we can use the known results of the classifications of pure states in $`^2^2^2`$ . The case in which the range only contains one product state corresponds to states of three qubits belonging to the W class . Since the states belonging to this family can always be written as $`|\mathrm{\Phi }_W_{ABC}=\sqrt{p}|\mathrm{\Phi }_{AB}|1_C+\sqrt{1p}|00_{AB}|0_C`$, with $`|\mathrm{\Phi }_{AB}=\alpha |01+\beta |10+\gamma |00`$ and $`\alpha ^2+\beta ^2+\gamma ^2=1`$, we only have to consider the two-qubit mixed states of the form

$$\rho _{AB}=p|\mathrm{\Phi }\mathrm{\Phi }|+(1p)|0000|$$
(10)
In the following, we will show how an entangled pure state can be purified from two states of two qubits of the form (10).

Let us consider the states of two qubits

$`\rho _{AB}`$ $`=`$ $`p|\phi \phi |+(1p)|0000|`$
$`\sigma _{A^{}B^{}}`$ $`=`$ $`q|\psi \psi |+(1q)|0000|,`$ (11)
where

$`|\phi _{AB}`$ $`=`$ $`\alpha |01+\beta |10+\gamma |00`$
$`|\psi _{A^{}B^{}}`$ $`=`$ $`\alpha ^{}|01+\beta ^{}|10+\gamma ^{}|00,`$ (12)
with $`\alpha ^2+\beta ^2+\gamma ^2=1`$ and $`\alpha ^2+\beta ^2+\gamma ^2=1`$ (we will put the sub-indices denoting the parties whenever it is not clear from the context). One of the parties will hold the subsystem $`AA^{}`$ and the other the subsystem $`BB^{}`$.

The protocol will consist in general of two operators acting locally on each side, $`M_{AA^{}}`$ and $`N_{BB^{}}`$. There are some constraints on the operator $`M_{AA^{}}N_{BB^{}}`$ due to the fact that its kernel must contain all the product states (with respect to $`AA^{}`$ and $`BB^{}`$) in $`R(\rho _{AB}\sigma _{A^{}B^{}})`$. The reason is that there is no way of obtaining an entangled state from a product one, and therefore if there is a product state $`|e_{AA^{}}|f_{BB^{}}`$ in the range of the mixed state $`\rho _{AB}\sigma _{A^{}B^{}}`$ it has to be necessarily projected away by $`M_{AA^{}}N_{BB^{}}`$ (remember the protocol works for any state with the same range as $`\rho \sigma `$), i.e.

$$M_{AA^{}}N_{BB^{}}|e_{AA^{}}|f_{BB^{}}=0,|e_{AA^{}}|f_{BB^{}}R(\rho _{AB}\sigma _{A^{}B^{}}).$$
(13)
The range of the state $`\rho _{AB}\sigma _{A^{}B^{}}`$ is spanned by the states

$`|00_{AB}`$ $``$ $`|00_{A^{}B^{}}`$
$`|00_{AB}`$ $``$ $`|\psi _{A^{}B^{}}`$
$`|\phi _{AB}`$ $``$ $`|00_{A^{}B^{}}`$
$`|\phi _{AB}`$ $``$ $`|\psi _{A^{}B^{}}.`$ (14)
Using the constrain for the operator $`M_{AA^{}}N_{BB^{}}`$ stated above we can see that the following relation has to be satisfied (from now on we will use a shorthand notation without the tensor product symbol unless it is misleading)

$$M_{AA^{}}N_{BB^{}}|00_{AB}|00_{A^{}B^{}}=0,$$
(15)
which means that either (i) $`M_{AA^{}}|00_{AA^{}}=0`$ or (ii) $`N_{BB^{}}|00_{BB^{}}=0`$ have to be satisfied. We can choose (ii) without loss of generality and apply this condition to the states $`|\phi _{AB}|00_{A^{}B^{}}`$ and $`|00_{AB}|\psi _{A^{}B^{}}`$

$`M_{AA^{}}N_{BB^{}}|\phi _{AB}|00_{A^{}B^{}}M_{AA^{}}N_{BB^{}}|00_{AA^{}}|10_{BB^{}}`$
$`M_{AA^{}}N_{BB^{}}|00_{AB}|\psi _{A^{}B^{}}M_{AA^{}}N_{BB^{}}|00_{AA^{}}|01_{BB^{}}.`$ (16)
From (S0.Ex7) it is clear that a further constrain has to be imposed on the operators $`M_{AA^{}}`$ and $`N_{BB^{}}`$, as the states appearing in the r.h.s. of (S0.Ex7) are product states. Since $`N_{BB^{}}`$ cannot be orthogonal to both $`|01_{BB^{}}`$ and $`|10_{BB^{}}`$ (it would make $`r(N_{BB^{}})=1`$ and then the entanglement between $`AA^{}`$ and $`BB^{}`$ would be destroyed) we conclude that $`M_{AA^{}}`$ has to be orthogonal to $`|00_{AA^{}}`$, i.e. condition (i) stated above has to be satisfied as well.

Finally, we can apply both conditions —$`(i)`$ and $`(ii)`$— to the state $`|\phi _{AB}|\psi _{A^{}B^{}}`$, obtaining

$$M_{AA^{}}N_{BB^{}}|\phi _{AB}|\psi _{A^{}B^{}}=M_{AA^{}}N_{BB^{}}(\alpha ^{}\beta |10_{AA^{}}|01_{BB^{}}+\alpha \beta ^{}|01_{AA^{}}|10_{BB^{}}).$$
(17)
Note that the terms that do not appear in the r.h.s. of (17) have been projected away, since they contained either $`|00_{AA^{}}`$ or $`|00_{BB^{}}`$ which are orthogonal to $`M_{AA^{}}`$ and $`N_{BB^{}}`$.

Now we only have to apply the optimal protocol to obtain a maximally entangled state from a pure state , which gives

$`M_{AA^{}}`$ $`=`$ $`\mathrm{min}\{\alpha \beta ^{},\alpha ^{}\beta \}\left({\displaystyle \frac{1}{\alpha \beta ^{}}}|0101|+{\displaystyle \frac{1}{\alpha ^{}\beta }}|1010|\right)`$
$`N_{BB^{}}`$ $`=`$ $`|0101|+|1010|,`$ (18)
and the probability of obtaining a maximally entangled state from $`\rho \sigma `$ in (S0.Ex2) is

$$P(\rho \sigma \mathrm{\Psi })=2pq\mathrm{min}\{\alpha ^2\beta ^2,\alpha ^2\beta ^2\}$$
(19)
It is important to note that this is the *optimal* probability, since we have obtained (17) only by applying the constrains imposed by the range of the mixed state $`\rho \sigma `$ and (S0.Ex8) is the optimal protocol for the conversion between pure states.

We can summarize the result we have obtained in the following way:

Result 1: Two mixed states of two qubits can be purified to a pure entangled state if and only if their ranges cannot be spanned by product states. In that case, the optimal probability is given by (19).

A further question is the condition under which a pure entangled state can be purified from n copies of a two-qubit mixed state. That is, when the transformation using local operations and classical communication

$$\rho _{AB}^n|\mathrm{\Psi }\mathrm{\Psi }|,$$
(20)
is possible with $`n`$ finite and $`|\mathrm{\Psi }`$ being an entangled state.

From the results we have obtained, and since in this case we are dealing with copies of the same state, we have that the necessary and sufficient condition stated above is still valid.

Result 2: $`n`$ (finite) copies of a two-qubit mixed state $`\rho _{AB}`$ can be purified to a pure entangled state if and only if $`n2`$ and the range of $`\rho _{AB}`$ cannot be spanned by product states.

Proof: The proof is similar to that of the necessary condition. Any protocol purifying a pure entangled state from $`n`$ copies of $`\rho _{AB}`$ would work for any state $`\sigma _{AB}`$ with the same range as $`\rho _{AB}`$. This makes it impossible to distill a pure entangled state from a density matrix $`\rho _{AB}`$ whose range can be spanned by product states even when we have $`n`$ copies of it. On the other hand, from *result 1* obtained before we know that the necessary condition is actually sufficient for two-qubit mixed states, and therefore the result is proven.

This result is interesting, since it means that only a very small subset of the (entangled) mixed two-qubit states can be purified to a pure entangled state. On the other hand, all the entangled states of two qubits can be distilled, i.e. the Entanglement of Distillation is non-zero for all the entangled two-qubit states. The reason of this apparent contradiction is the following. As explained in the introduction, the distillation protocols are defined in the asymptotic limit. The protocol transforms the initial state $`\rho _{AB}^n`$ into the state $`\mathrm{\Omega }_{AB}`$, that has a fidelity with the state $`|\mathrm{\Psi }_{}\mathrm{\Psi }_{}|^{nE_D(\rho _{AB})}`$ that approaches 1 when the number of copies $`n`$ goes to infinity,

$$\underset{n\mathrm{}}{lim}\mathrm{Tr}[\mathrm{\Omega }_{AB},|\mathrm{\Psi }_{}\mathrm{\Psi }_{}|^{nE_D(\rho _{AB})}]1,$$
(21)
where $`E_D(\rho _{AB})`$ is the entanglement of distillation of $`\rho _{AB}`$ and in this case the fidelity is the trace. Our results only apply for the case of finite $`n`$, and in this case the distillation protocols are approximate transformations giving in general a mixed state as a result.

Summarizing, in this paper we have found the optimal protocol to purify two mixed states of two qubits. The result reveals that only a very small subset of the mixed two-qubit states can be purified. Moreover, we have given a simple necessary and sufficient condition to determine whether a mixed two-qubit state can be purified when a finite number of copies are available.

Acknowledgements

The author thanks R. Tarrach for posing this problem and for many interesting discussions and useful comments on the final manuscript. The author also thanks A. Acín, L. Masanes and G. Vidal for helpful comments and suggestions. This work is financially supported by MEC (AP99), AEN99-0766, 1999SGR-00097 and IST-1999-11053.

References


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# The $-Game

We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting opportunistically between the minority and the majority. The emergent properties of the price dynamics and of the wealth of agents are strikingly different from those found in MG. As the memory of agents is increased, we find a phase transition between a self-sustained speculative phase in which a “stubborn majority” of agents effectively collaborate to arbitrage a market-maker for their mutual benefit and a phase where the market-maker always arbitrages the agents. A subset of agents exhibit a sustained non-equilibrium risk-return profile.

The Minority Game (MG) is perhaps the simplest in the class of multi-agent games of interacting inductive agents with limited abilities competing for scarce resources. Many published works on MG have motivated their study by their relevance to financial markets, because investors exhibit a large heterogeneity of investment strategies, investment horizons, risk aversions and wealths, have limited resources and time to dedicate to novel strategies and the minority mechanism is found in markets. Here, our goal is to point out that the minority mechanism is a relatively minor contribution to the self-organization of financial markets. We develop a better description based on a financially motivated payoff function. Following the standard specification of MG, we assume that markets are purely speculative, that is, agents profit only from changes in the stock price. In addition, agents are chartists or technical analysts who only analyze past realization of prices, with no anchor on fundamental economic analysis.

A MG is a repeated game where $`N`$ players have to choose one out of two alternatives at each time step based on information represented as a binary time series $`B(t)`$. Those who happen to be in the minority win. Each agent $`i`$ possesses a memory of the last $`m`$ digits of $`B(t)`$. A strategy gives a prediction for the next outcome of $`B(t)`$ based on the history of the last $`m`$ digits of $`B`$. Since there are $`2^m`$ possible histories, the total number of strategies is given by $`S=2^{2^m}`$. Each agent holds the same number $`s`$ of (but in general different) strategies among the $`S`$ possible strategies. At each time $`t`$, every agent uses her most successful strategy (in terms of payoff, see below) to decide whether to buy or sell an asset. The agent takes an action $`a_i(t)=\pm 1`$ where $`1`$ is interpreted as buying an asset and $`1`$ as selling an asset. The excess demand, $`A(t)`$, at time $`t`$ is therefore given as $`A(t)=_{i=1}^Na_i(t)`$. The payoff of agent $`i`$ in the MG is given by:

$$g_i(t)=a_i(t)A(t).$$
(1)
As the name of the game indicates, if a strategy $`i`$ is in the minority ($`a_i(t)A(t)<0`$), it is rewarded. In other words, agents in MG try to be anti-imitative. To ensure causality, the notation $`a_i(t)A(t)`$ in (1) must be understood as $`a_i(t1/2)A(t)`$ since the actions/strategies of the agents take place before the price (and thus the payoff) can be determined. The richness and complexity of minority games stem from the fact that agents have to be different; theories based on an effective representative agent are bound to fail because she would represent the majority. MG are intrinsically frustrated and fluctuations and heterogeneities are the key ingredients.

In order to model financial markets, several authors have used the following or slight variants of the following equation for the return $`r(t)`$

$$r(t)\mathrm{ln}(p(t+1))\mathrm{ln}(p(t))=A(t)/\lambda ,$$
(2)
where $`\lambda N`$ is the liquidity. The fact that the price goes in the direction of the sign of the order imbalance $`A(t)`$ is well-documented . By constructing and analyzing a large database of estimated market-wide order imbalances for a comprehensive sample of NYSE stocks during the period 1988-1998 inclusive, Chordia et al.  confirm that contemporaneous order imbalance $`A(t)`$ exerts an extremely significant impact on market returns in the expected direction; the positive coefficients of their regressions imply that excess buy (sell) orders drive up (down) prices, in qualitative agreement with (2).

Let us assume that an agent thinks at time $`t1/2`$ that the unknown future price $`p(t)`$ will be larger than the known previous quote $`p(t1)`$ and larger than the next future quote $`p(t+1)`$, thus identifying $`p(t)`$ as a local maximum. Her best strategy is to put a sell order at time $`t1/2`$ in order for the sale to be realized at time $`t`$ at the local price maximum, allowing her to profit from future drops at later times. She will then profit and cash in the money equal to the drop from the local maximum at time $`t`$ to a smaller price realized at $`t+1`$ or later. In this case, the optimal strategy is thus to be in the minority as seen from the relation between the direction of the price change given by the sign of $`r(t)`$ and the direction of the majority given by the sign of $`A(t)`$. Alternatively, if the agent thinks at time $`t1/2`$ that $`p(t1)<p(t)<p(t+1)`$, her best strategy is to put a buy order at time $`t1/2`$, realized at the price $`p(t)`$ at time $`t`$. She will then profit by the amount $`p(t+1)p(t)`$ if her expectation that $`p(t)<p(t+1)`$ is born out. In this case, it is profitable for an agent to be in the majority, because the price continues to go up, driven by the majority, as seen from (2). In order to know when the price reaches its next local extremum and optimize their gains, the agents need to predict the price movement over the next two time steps ahead ($`t`$ and $`t+1`$), and not only over the next time step as in the standard MG. This pinpoints the fundamental misconception of MG as models of financial markets. Indeed, by shifting from minority to majority strategies and vice-versa, an agent tries at each time step to gain $`|p(t+1)p(t)|`$ whatever the sign of $`p(t+1)p(t)`$: an ideal strategy is a “return rectifier.” Because an agent’s decision $`a(t1/2)`$ at time $`t1/2`$ is put into practice and invested in the stock market at time $`t`$, the decision will bring its fruit from the price variation from $`t`$ to $`t+1`$. From (2), this price variation is simply proportional to $`A(t)`$. Therefore, the agent has a positive payoff if $`a(t1/2)`$ and $`A(t+1/2)`$ have the same sign. As a consequence, in the spirit of the MG (and using the MG notation without half-time scales), the correct payoff function is:

$$g_i^\$(t+1)=a_i(t)A(t+1).$$
(3)
The superscript $`\$`$ is a reminder that the action taken by agent $`i`$ at time $`t`$ results at time $`t+1`$ in a percentage gain/loss of $`g_i^\$(t+1)/\lambda `$ (see (2)). We will refer to the game where the agents use (3) as the “$-game” since, by using this payoff function, the agents strive to increase their wealth. This reasoning stresses that, in real markets, the driving force underlying the competition between investors is not a struggle to be in the minority at each time step, but rather a fierce competition to gain money.

In the simplest version of the model, each trade made by an agent is the exchange of one quanta of a riskless asset (cash) for one quanta of a risky one (asset) irrespective of the agent’s wealth or the price of the asset. The wealth of the i’th agent at time $`t`$ is given as

$$W_i(t)=N_i(t)p(t)+C_i(t),$$
(4)
where $`N_i(t)`$ is the number of assets held by agent $`i`$ and $`C_i(t)`$ the cash possessed by agent $`i`$ at time $`t`$. In order to illustrate the differences between the payoff functions (1) and (3), we have plotted in Fig. 1 an example of the payoff (upper plot) of the best as well as the worst performing MG agent using (1). Each agent is allowed to take either a long or a short position, and we furthermore assume that the agents stay in the market at all times. This means that if e.g. an agent has taken a long position (i.e. taken the action $`a_i=1`$ to buy a asset) the agent will not open new positions (and therefore does not contribute to the excess demand and price change) but keep the long position until she gets a signal to sell ($`a_i=1`$). The lower plot of Fig. 1 shows the wealth (4) corresponding to the agents of the upper plot. The consistently bad performance of the optimal MG-agent in terms of her wealth and reciprocally the relatively good performance for the worst MG-agent in terms of her wealth is a clear illustration of the fact that a minority strategy will perform poorly in a real market. This does not exclude howeer the potential usefulness of MG strategies in certain situations, in particular for identifying extrema, as discussed above and as illustrated recently in the prediction of extreme events . In contrast, for the “$`\$`$-game” (3) presented here, the performance of the payoff function (3) matches by definition the performance of the wealth of the agents. The superficial observance by some MG of the stylized facts of financial time series is not a proof of their relevance and, in our opinion, express only the often observed fact that many models, be they relevant or irrelevant, can reproduce superficially a set of characteristics (see for instance a related discussion on mechanisms of power laws and self-organized criticality in chapters 14 and 15 of ).

In order for trading to occur and to fully specify the price trajectory, a clearing mechanism has to be specificed. Here, we use a market maker who furnishes assets in case of demand and buys assets in case of supply . The price fixing equation (2) implicitely assumes the presence of a market-maker, since the excess demand of the agents $`A(t)`$ always finds a counterpart. For instance, if the cumulative action of the agents is to sell 10 stocks, $`A(t)=10`$, the market-maker is automatically willing to buy 10 stocks at the price given by (2). As pointed out in Ref., expression (2) leads to an unbound market-maker inventory $`S_M(t)`$. In order to lower his inventory costs and the risk of being arbitraged, a market-maker will try to keep his inventory secret and in average close to zero . As shown in , this can be achieved by the following generalization of (2):

$$r(t)\mathrm{ln}(p(t+1))\mathrm{ln}(p(t))=(A(t)S_M(t))/\lambda ,$$
(5)
with $`S_M(t)=_{t=0}^{t1}A(t)`$. Expression (5) implies that, the larger is the long position the market-maker is holding, the more he will lower the price in order to attract buyers, and vice-versa for a short position. Another way to ensure the same behavior is to introduce a spread or change the available liquidity .

We first study the price formation using (2) and resulting from a market competition between agents with payoff function (3) and compare it with the MG case (1) in the case with no constraint on the number of stocks held by each agent (i.e., an agent can open a new position at each time step). Contrary to the MG case, we find that the price always diverges to infinity or goes zero within a few tens or hundreds of time steps. This behavior is observed for all values of $`N,m,s`$. Similar results are found if we replaced the price equation (2) with (5) which includes the market-maker strategy. The reason for this non-stationary behavior is that agents, using (3) as pay-off function, are able to collaborate to their mutual benefit. This happens whenever a majority among the agents can agree to “lock on” for an extended period of time to a common decision of either to keep on selling or buying. A constant sign of $`A(t)`$ is seen from either (2) -(4) or (3)-(5) to lead to a steady increase of the wealth of those agents sticking to the majority decision. A “stubborn majority” manages to collaborate by sticking to the same common decision - they all gain by doing so at the cost of the market-maker who is arbitraged. The mechanism underlying this cooperative behavior is the positive feedback resulting from a positive majority $`A(t)`$ which leads to an increase in the price (5) which in turn confirms the “stubborn majority” to stick to their decision and keep on buying, leading to a further confirmation of a positive $`A(t)`$. This situation is reminiscent of wild speculative phases in markets, such as occurred prior to the October 1929 crash in the US, before the 1994 emergent market crises in Asia, and more recently during the “new economy” boom on the Nasdaq stock exchange, in which margin requirements are decreased and/or investors are allowed to borrow more and more on their unrealized market gains. This situation is quite parallel to our model behavior in which agents can buy without restrain, pushing the prices up. Of course, some limiting process will eventually appear, often leading to the catastrophic stop of such euphoric phase.

We turn to the more realistic case where agents have bounded wealth, and study the limiting case where agents are allowed to keep only one long/short position at each time step. With this constraint, the previous positive feedback is no longer at work. Holding a position, an agent will contribute to future price changes only when she changes her mind. Thus, a “stubborn majority” can not longer directly influence future price changes through the majority term $`A(t)`$, but only now indirectly through the impact on the market maker strategy $`S_M(t)`$ in (5). Fig. 2a show typical examples of price trajectories using (3)-(5) with agents keeping a single position (short/long) at any times, for three different choices of parameter values $`(N,m,s)`$. The time series are quite similar to typical financial price series and possess their basic stylized properties (short-range correlation of returns, distribution of returns with fat tails, long-range correlation of volatility). The corresponding wealth of the market maker is shown in Fig. 2b. It exhibits a systematic growth, interrupted rarely for some short periods of time with small losses. The stochastic nature of the price trajectories is translated into an almost deterministic wealth growth for the market-maker, who is an almost certain winner (as it should and is in real market situations to ensure his survival and profitability). The market maker is similar to a casino providing services or entertainments and which profits from a systematic bias here resulting from the lack of cooperativity of the agents.

For each agent $`i`$, we define a risk parameter

$$R_i(t)=(dW_i(t)dW_i_t)^2_t$$
(6)
where $`dW_i(t)`$ is the change of wealth of agent $`i`$ between $`t`$ and $`t1`$. $`R_i(t)`$ is the volatility of the wealth of agent $`i`$. The average return per time step $`dW_i`$ for each of the $`N=101`$ different agents as a function of his volatility $`R_i`$ is shown in Fig. 2c (each point corresponds to one agent). Since agents choose either a short or a long position at each time step, a perfect performing agent is a return rectifier taking no risk. Similarly, the worst performing agent is consistently moving against the market, again with the risk defined from (6) equal to zero. This explains why the risk-return behavior seen in Fig.2 c is an mirror image of the risk-return efficient frontier in Markovitz standard portfolio theory . The figure shows that even though the market-maker arbitrages the agents as a group, some “clever” agents are still able to profit from their trade with a risk-return profile which should be unstable in the sense of standard economic theory. It is however a robust and stable feature of our model. This property results fundamentally from the heterogeneity of the strategies and can not be captured by a representative agent theory.

To study further the competition between the agents as a group and the market-maker, we let the $-game evolve for $`T`$ time steps and measure if the market-maker has arbitraged the agents, i.e., if his wealth is positive at the end of the time period $`T`$. Fig. 3 shows the probability $`P(m)`$ for the market-maker to arbitrage the agents versus the memory of the agents $`m`$. For $`m=1`$, the agents always exploit the market-maker according to the positive feedback mechanism involving the “stubborn majority” described above. As $`m`$ increases, $`P(m)`$ increases and, for the largest memory $`m=11`$ of the agents, the market-maker arbitrages the group of agents with probability $`1`$. This correspond to the examples illustrated in Fig. 2. In between, there is a competition between cooperativity between the agents and the destructive interferences of their heterogeneous strategies. The finite-size study of $`P(m)`$ as a function of $`T`$ suggests the existence of a sharp transition in the large $`T`$ limit for $`m9`$. Below this memory length, the set of strategies available to agents allow them to sometimes cooperate successfully. As the complexity of the information increases, their strategies are unable to cope with the large set of incoming information and the chaotic desynchronized behavior that results favors the market maker. This could be termed the curse of intelligence.

We will report elsewhere on extensions of this model with traders who act at different time scales and with different weights and on the detection of large price movements in the spirit of .

D.S. gratefully acknowledges support from the James S. McDonnell Foundation 21st Century Scientist award/studying complex systems.


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# References

Effect of asynchronicity on the universal behaviour of coupled map lattices
Neelima Guptea,1, T.M. Janakib,2 and Sudeshna Sinhab,3

a Department of Physics, IIT Madras, Chennai 600036, India111gupte@chaos.iitm.ernet.in
bInstitute of Mathematical Sciences, Taramani, Chennai 600 113, India222janaki@imsc.ernet.in,333sudeshna@imsc.ernet.in

## Abstract

We investigate the spatiotemporal dynamics of coupled circle map lattices, evolving under synchronous (parallel) updating on one hand and asynchronous (random) updating rules on the other. Synchronous evolution of extended spatiotemporal systems, such as coupled circle map lattices, commonly yields multiple co-existing attractors, giving rise to phenomena strongly dependent on the initial lattice. By marked contrast numerical evidence here strongly indicates that asynchronous evolution eliminates most of the attractor states arising from special sets of initial conditions in synchronous systems, and tends to yield more global attractors. Thus the phenomenology arising from asynchronous evolution is more generic and robust in that it is obtained from many different classes of initial states. Further we show that in parameter regions where both asynchronous and synchronous evolution yield spatio-temporal intermittency, asynchronicity leads to better scaling behaviour.

It is well-known that spatially extended systems undergoing temporal evolution show the presence of a large number of multiple co-existing attractors . In the case of coupled map lattices, which constitute simple models of spatially extended systems  evolving under synchronous up-dates, it has been seen in numerous examples that system attractors shows strong sensitivity to initial conditions even in parameter regimes where the evolving dynamics is spatio-temporally periodic in nature . This multiattractor property has significant consequences for problems like control and synchronisation  in physical, chemical, biological and engineering contexts. The stability of such attractors to perturbations and noise have also been studied in the case of globally coupled systems .

A typical CML consists of dynamical elements on a lattice which interact with suitably chosen sets of other elements, and evolve via synchronous or parallel updates wherein the dynamical elements at each lattice site are updated simultaneously. However, there have been several attempts to study CML-s which evolve via asynchronous evolution, that is, one in which the updates at lattice sites are not concurrent, but sequential instead. The study of asynchronous updates is considered to be interesting for several reasons. Notably, neurophysiological systems like neurons and neuron groups evolve asynchronously, and lattice dynamical models of such phenomena must of course employ asynchronous updating schemes. Therefore it is of importance to investigate the effects of asynchronicity in prototype models \[6-13\]. These effects can be quite significant, e.g. it has been argued that asynchronous up-dates can alter the universality class of spatio-temporal intermittency .

In this paper, we observe that asynchronicity can have a very important physical effect. Systems which show the existence of multiple co-existing attractors which depend on the state of the initial lattice when evolved via synchronous updates, evolve to the same global attractor from many kinds of initial states under asynchronous evolution. Thus asynchronicity wipes out multiple co-existing attractors and leads to a generic global attractor which is robust to the evolution of different classes of initial conditions.

We demonstrate this result for the following specific example. The space on which our CML dynamics occurs is a discrete $`1`$-dimensional chain, with periodic boundary conditions. The sites are denoted by integers $`i`$, $`i=1,\mathrm{},N`$, where $`N`$ is the linear size of the lattice. On each site is defined a continuous state variable denoted by $`x_n(i)`$, which corresponds to the physical variable of interest, with $`n`$ denoting the discrete time. Here the local on-site map is chosen to be the sine circle map, a map which has generated much research interest:

$$f(x)=x+\omega \frac{K}{2\pi }\mathrm{sin}(2\pi x)$$

where $`0x1`$. The parameter $`K`$ indicates the strength of the nonlinearity, and is chosen to be $`1`$ here.

These local maps are coupled through their nearest neighbours, and the coupling form is the discretized Laplacian form (i.e. future coupled) , with the strength of coupling given by $`ϵ`$. Now extensive results have been obtained for the standard parallel time evolution of lattices of circle maps, i.e. the scheme in which all individual maps of the lattice are iterated forward simultaneously . This synchronous evolution implies the dynamics:

$$x_{n+1}(i)=(1ϵ)f(x_n(i))+\frac{ϵ}{2}\{f(x_n(i1))+f(x_n(i+1))\}\mathrm{mod}1$$
(1)
It is known  that varying $`ϵ`$ and $`\omega `$, under the usual parallel undating, yields various dynamical phases, such as: the synchronized fixed point, i.e. spatial period 1 temporal period 1 (S1T1), spatio-temporally periodic solutions e.g. spatial period 2 temporal period 1 (S2T1) and spatial period 2 temporal period 2 (S2T2), spatial intermittency, spatiotemporal intermittency etc. For parallel updating an important feature of the spatiotemporal dynamics is the existence of multiple co-existing attractors. This implies that the resultant attractor is very strongly dependent on the spatiotemporal features of the initial lattice. Thus synchronous evolution can yield many different behaviours under different initial preparations even for identical parameter values. Detailed phase diagrams of the behaviour of this CML under synchronous evolution have been obtained.

Here we focus on randomly updated CMLs, i.e. a CML where the elements of the lattice do not update simultaneously, but update one after another in random sequence. Time now is measured in units of one complete updating sweep of the lattice (in random order), i.e. after one unit of time, all sites in the lattice have been updated. This random updating scheme should help us test the implications of asynchronicity in extended systems, and help us gauge the degree of robustness of various physical features emerging under conventional synchronous evolution.

We study the different $`ϵ`$ and $`\omega `$ regions of this coupled circle map system, under three classes of initial lattices: (i) spatial period 2 initial condition; (ii) spatial period 2 initial lattice, with a kink; and (iii) random initial lattice. We observe the spatiotemporal dynamics under parallel updating on one hand and completely asynchronous updating on the other, and find out how this “phase diagram” changes under asynchronicity, for the different classes of initial states mentioned above.

Case I: In the region with very high coupling parameter $`ϵ`$ and low $`\omega `$, for instance around $`ϵ0.97`$, $`\omega 0.02`$, parallel updating yields spatial period 2, temporal period 2 behaviour when evolved from spatial period 2 initial lattices. But for the case of the initial periodic lattice having a kink, and for the case of random initial lattices, spatio-temporal intermittency is obtained. (See  for a detailed phase diagram).

By contrast, under asynchronous updating in this parameter regime one obtains spatiotemporal fixed points for all initial conditions: spatial period 2, spatial period 2 with a kink, and random initial lattices. This fixed point is at $`\theta =f(\theta )\omega `$ for low $`\omega `$. (See Fig. 1.) Note that this is in agreement with earlier observations that under strong coupling asynchronicity has the effect of regularising the system .

Thus, under randomness in updating rules, spatiotemporal dynamics is no longer sensitive to initial conditions. The spatiotemporal fixed point is now the global attractor of the system.

Case II: In the region around $`ϵ0.8`$, $`\omega 0.2`$, asynchronicity yields spatiotemporal chaos from all initial conditions. By contrast, parallel updating yields spatiotemporal periodicity when evolved from spatial period 2 initial lattices (with or without kink), and yields spatiotemporal intermittency when evolved from random initial lattices (see Fig. 2).

Also note here, that while asynchronicity had the effect of regularising the system under strong coupling (as seen above in Case I), under weaker coupling asynchronicity has the effect of inducing spatiotemporal disorder. In this example for instance, we see that parallel updating gives rise to spatiotemporal periodicity for certain classes of initial states, while asynchronous evolution always leads to spatiotemporal chaos.

Case III: Around the region $`ϵ0.8`$, $`\omega 0.08`$, asynchronicity yields spatiotemporal intermittency for all initial conditions. In contrast, parallel updates yield exact spatiotemporal periodicity for period 2 initial lattices, and spatiotemporal intermittency for random lattices.

Interestingly, when both asynchronous and synchronous evolution yield spatiotemporal intermittency from random initial lattices, the scaling exponents obtained from the probability distribution of laminar lengths in space and time are quite distinct for the two cases. The intermittent dynamics arising from asynchronous evolution exhibits scaling in both time and space, with the spatial and temporal scaling exponents being approximately the same ($`\varphi 3`$). Synchronous evolution on the other hand leads only to temporal scaling, and not good spatial scaling (see Fig. 3).

We note that similar phenomena are observed for coupled logistic map lattices as well, i.e. a CML with the local on-site map being $`f(x)=rx(1x)`$, with $`r=4`$. See figures 6 and 7 for two examples, one for high coupling strength $`ϵ=0.9`$ and the other for low coupling strength $`ϵ=0.1`$. Clearly here too asynchronous evolution is insensitive to differences in initial conditions, whereas multiple attractors co-exist for the case of the traditional synchronous evolution.

In summary then, we have investigated the spatiotemporal dynamics of coupled map lattices evolving under asynchronous updating rules. We have shown that asynchronicity has a pronounced effect on the spatiotemporal dynamics: it yields a more global attractor where multiple attractors co-existed for the case of parallel updating. In that sense asynchronous updating yields more generic and robust phenomena in extended systems. Conversely, introducing some degree of asynchronicity in an extended system may help lead the system to its most generic attractor from any initial condition, however special. The nature of the generic attractor i.e. whether regular or disordered, appears to depend on the strength of the coupling, as well as the synchronicity /asynchronicity. In the case of spatio-temporal intermittency, asynchronicity leads to better spatial scaling. Thus, synchronous and asynchronous updates can lead to different universality classes of spatio-temporal behaviour for systems which are otherwise identical in all respects. Therefore asynchronicity constitutes a relevant perturbation in the evolution of extended systems, and can perhaps be used to direct spatially extended systems to desired global attractors. We hope our observations will be useful towards the understanding the diversity of phenomena which can be seen in spatially extended systems and for controlling their behaviour.


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# Disorder-induced Phase Transition of Vortex Matter in MgB2

## Abstract

Measurements of single crystalline MgB2 with torque magnetometry in fields up to $`90\text{kOe}`$ reveal a sharp peak in the irreversible torque at about $`0.85H_{c2}`$. In the region between peak onset and maximum, pronounced history effects occur. Angle and temperature dependence of the characteristic peak fields track those of $`H_{c2}`$. The features observed suggest that the peak marks a disorder-induced phase transition of vortex matter between a quasi-ordered Bragg glass and a highly-disordered phase.

The new superconductor MgB2 is considered to have great potential for applications, and a lot of research activity has concentrated on this compound.note\_Buzea  Much light was shed on the superconducting mechanism, there is mounting evidence that MgB2 is a two-band superconductor with a substantial difference between the superconducting gaps of the two bands.note\_Buzea ; Bouquet01c ; Schmidt02 ; Iavarone02  About the superconducting phase diagram, however, less is known. Most “phase diagrams” published contain only the upper critical fields $`H_{c2}`$. Here, the situation was clarified insofar as later bulk measurements all find a pronounced anisotropy $`\gamma `$ of $`H_{\text{c2}}`$, decreasing with increasing temperature,Angst02MgB2anis ; Sologubenko01 ; Budko02 ; Zehetmayer02 ; Welp02  although there are still discrepancies of the exact $`\gamma (T)`$ dependences reported. MgB2 is, particularly concerning the importance of thermal fluctuations and the value of $`\kappa =\lambda /\xi `$, intermediate between the high $`T_c`$ cuprates and low $`T_c`$ superconductors. Studying the vortex matter phase diagram of MgB2 may thus help in understanding the phase diagrams of various superconductors in a unified way.

From the study of cuprate superconductors is known that the $`H`$$``$$`T`$ phase diagram contains more transition lines than the upper and lower critical fields. Identified were for example a melting transition between a quasi-ordered vortex lattice, called Bragg glass, and a disordered vortex fluid,Schilling96  as well as an order-disorder transition between the Bragg glass and a highly disordered, glassy phase.Giamarchi94 ; Khaykovich96 ; Giller97  The latter transitionnote\_Avraham  has been observed also in low $`T_c`$ superconductors, such as NbSe2,Ravikumar01 ; Marchevsky01  and even in the elemental superconductor Nb,Ling01  but not in ultra-pure Nb crystals.Forgan02  This transition is generally associated with a peak in the critical current density $`j_c`$ and pronounced history effects.

In single crystals of MgB2, a quasi-ordered vortex structure has been observed in low fields by scanning tunneling spectroscopy,Eskildsen02  showing that at least under some conditions a Bragg glass is the stable vortex phase. Since, by tuning the amount of quenched random point-like disorder, the stabilization of a highly disordered phase can always be favored, an order-disorder transition in fields below $`H_{c2}`$ should be observable in MgB2 as well, at least for certain impurity concentrations. Although a phase transition distinct from $`H_{c1}`$ or $`H_{c2}`$ has not been suggested yet in MgB2, a peak effect, and accompanying history effects have been observed in transport measurements for $`Hc`$.Welp02

Here, we report the observation of a pronounced, sharp peak effect (PE) by torque magnetometry in fields close to, but clearly distinct from, $`H_{c2}`$. A minor hysteresis loop (MHL) study shows pronounced history effects in the region between the onset and the maximum of the peak. Angle and temperature dependence of the characteristic fields is reported, and we propose a phase diagram for MgB2.

The measurements were performed on a high-quality single crystal of MgB2, sample B of Ref. Angst02MgB2anis, . The $`T`$ dependence of the magnetization (upper inset of Fig. 1) shows a sharp ($`0.3\text{K}`$ with a $`10\%90\%`$ criterion) transition to the superconducting state at $`38.2\text{K}`$, indicating a high quality of the crystal. Measurements to study the PE were carried out with the torque option of a Quantum Design 9T PPMS. Measurement runs consisted in varying the field $`H`$ at fixed angle $`\theta `$ between $`\stackrel{}{H}`$ and the $`c`$-axis of the crystal, and recording the torque $`\stackrel{}{\tau }=\stackrel{}{m}\times \stackrel{}{H}`$, where $`\stackrel{}{m}`$ is the magnetic moment of the crystal.

One of the curves measured is shown in the lower inset of Fig. 1. For better comparison with magnetization curves, $`\tau /H`$ vs $`H`$ is shown. The main panel shows a magnification of the PE region. The peak is well pronounced and very sharp. Various characteristic fields are indicated: The maximum of the peak for field increasing ($`H_{\text{max}}^{}`$) and decreasing ($`H_{\text{max}}^{}`$) branch of the hysteresis loop, and the onsets of the peak, $`H_{\text{on}}^{}`$ and $`H_{\text{on}}^{}`$. The separation of the two onset fields is larger, similar to the case of the cuprate superconductors (see, e.g., Ref. Angst02Sr124, ). Also indicated is the irreversibility field $`H_{\text{irr}}`$, where the two branches of the hysteresis loops meet. The peak resembles qualitatively peaks observed in NbSe2,Ravikumar01 ; Eremenko02  and CeRu2.Roy00

To investigate possible history dependences of $`j_c`$, we performed several minor hysteresis loop (MHL) measurements in and around the peak: The field is cycled up and down by a small amount several times, ideally until the loops retrace each other, indicating that the vortex system reached a stable pinned state in the given field.Ravikumar01 ; Roy00  MHL measured, within full loops, in four different regions of the PE are indicated in the figure (A-D).

Torque $`\tau /H`$ values of MHL A (Fig. 2a)) vary significantly as the MHL is cycled through repeatedly. Partly, this may be explained by relatively strong normal relaxation processes. However, a pronounced difference can be seen between MHL started from the field increasing ($`H^{}`$) branch of the full hysteresis loop (FHL), and the one started from the field decreasing ($`H^{}`$) branch. The latter has a significantly higher width initially. This effect can be explained by a difference in the vortex configuration between $`H^{}`$ and $`H^{}`$ in the region of MHL A. In the configuration on $`H^{}`$, $`j_c`$ (proportional to the width of the MHL)note\_rev\_critst  is higher, i.e. the vortices are pinned stronger. Repeated cycling causes the width of the MHL started from $`H^{}`$ to approach the one started from $`H^{}`$, indicating that the vortex configuration on $`H^{}`$ is only meta-stable. History effects are even more pronounced for MHL B (Fig. 2b)). Here, the initial $`H^{}`$ branch of the MHL started from the $`H^{}`$ branch of the FHL (full line indicated by arrows) clearly is below the $`H^{}`$ branch of the FHL (thick dashed), indicating larger hysteresis. This behavior contradicts Bean’s critical state model,Bean62  where the hysteresis of partial hysteresis loops can never be higher than the one of the full loop. We point out that simple relaxation effects cannot account for this specific effect. It can be explained by the vortex configuration on the $`H^{}`$ branch of the FHL (where the MHL was started) having a higher $`j_c`$ than the vortex configuration on the $`H^{}`$ branch. The variation of the hysteresis width with cycling (Fig. 2d)) demonstrates the meta-stable nature of the vortex configuration on the $`H^{}`$ branch of the FHL, while the vortex configuration of the $`H^{}`$ branch of the FHL is stable, or close to. In contrast, no clear deviations in the cycling behavior between $`H^{}`$ and $`H^{}`$ branch started MHL are visible for MHL C and MHL D (Fig. 2c)), as well as for a MHL measured in the region around $`68\text{kOe}`$ (not shown).

In summary, between $`H_{\text{on}}^{}`$ and $`H_{\text{max}}^{}`$, pronounced history effects occur. They can be accounted for by the coexistence of a meta-stable high-field vortex configuration with high pinning and a stable low-field, low pinning configuration. Above $`H_{\text{max}}^{}`$ and below $`H_{\text{on}}^{}`$, no significant history effects are observed, indicating that there is only one vortex configuration, which is stable. The larger hysteresis width of MHL started from $`H^{}`$ indicates pinning in the configuration stable above $`H_{\text{max}}^{}`$ to be stronger than pinning in the configuration stable below $`H_{\text{on}}^{}`$.

The variation of the peak onsets and maxima with angle at $`18\text{K}`$ is shown, together with $`H_{c2}(\theta )`$ and $`H_{\text{irr}}(\theta )`$,note\_Hirr\_crit  in Fig. 3. Since the visibility of the peaks is diminished at higher temperatures, onsets and maxima were determined from $`\mathrm{\Delta }\tau (H)=\tau (H^{})\tau (H^{})`$ curves. The characteristic peak fields follow the angular dependence of $`H_{c2}`$, as indicated by fits to the theoretical $`H_{c2}(\theta )`$ dependence according to the anisotropic Ginzburg-Landau theory (see Ref. Angst02MgB2anis, ), while the angular scaling of the irreversibility field is less clear. This can be seen also in the inset, displaying the $`\theta `$ dependence of the characteristic fields, reduced by the upper critical field. The onset field is approximately constant at about $`0.8H_{c2}`$ and the maximum field at about $`0.85H_{c2}`$. $`H_{\text{irr}}`$ is located at about $`0.9H_{c2}`$, but seems to get slightly lower as $`\theta 0`$.

The characteristic fields could not be determined with enough accuracy in the whole region of angles: Since $`\stackrel{}{\tau }=\stackrel{}{m}\times \stackrel{}{H}`$ and $`\stackrel{}{m}`$ points, for $`Hc`$ or $`Hab`$, into the same direction, the sensitivity is much lower for angles close to $`0`$ and $`90\text{deg}`$. Due to the pronounced anisotropy of MgB2 at $`18\text{K}`$ ($`\gamma 5.7`$)Angst02MgB2anis  $`\stackrel{}{m}`$ tends to be directed almost perpendicular to the planes, except at very high angles. Therefore, the maximum effective sensitivity of the torque magnetometer is achieved at angles in the region of $`75`$-$`80\text{deg}`$. SQUID measurements performed on the same crystal with $`Hc`$ and $`Hab`$ showed no sign of a PE in the region around $`0.8H_{c2}`$. This is likely due to insufficient sensitivity of the SQUID and field inhomogeneities in the SQUID magnetometer, which, due to the movement of the sample, tend to smear such features.Ravikumar97  However, preliminary ac susceptibility dataPuzniak\_inprep  measured on the same crystal indicate the PE to be present both for $`Hc`$ and $`Hab`$, confirming that the underlying mechanism is a feature for all directions of $`H`$.

In Fig. 4, the $`T`$ dependence of the characteristic fields is shown, for $`77.5\text{deg}`$, which corresponds roughly to the angle where the PE is most visible. The peak amplitude is reduced quickly by increasing $`T`$, and above $`22\text{K}`$ the PE is no longer clearly discernible in the $`\tau (H)`$ data. This is due to the decreased sensitivity of the magnetometernote\_sensH  and due to thermal smearing of the effective disorder potential. The inset shows that the positions of $`H_{\text{on}}`$ and $`H_{\text{max}}`$ relative to $`H_{c2}`$ are approximately constant. It is, therefore, unlikely that they would merge with the upper critical field at some higher temperature. In contrast, $`H_{\text{irr}}`$ shifts to lower fields relative to $`H_{c2}`$ as $`T`$ increases, also likely due to a smearing of the effective pinning landscape by thermal fluctuations. There is no indication that $`H_{\text{irr}}`$ may correspond to a phase transition.

Before discussing the PE in terms of a disorder-induced phase transition of vortex matter, we briefly examine alternative origins of the PE. The possibility that the PE is due to inhomogeneities or extended defects is not likely. A second crystal grown with the same technique, but under slightly different conditions, shows also a PE, in similar fields. The pinning properties of the two crystals for $`H`$ nearly aligned parallel to the $`ab`$ planes are different in a pronounced way.CommentTaka  It therefore seems rather unlikely that the two crystals would have identical structural, non-intrinsic features leading to a similar PE. A further possibility would be a change of the elastic constants of the vortex lattice when $`H`$ approaches $`H_{c2}`$, not associated with a phase transition.Pippard69  However, the specific form of the history effects observed in the PE region are hard to explain without a phase transition. Thermal melting can rather be excluded. Thermal fluctuations should be much less important in MgB2 than in the cuprate superconductors: MgB2 has a Ginzburg number $`Gi=\frac{1}{2}(\gamma k_BT_c/H_c^2(0)\xi _{ab}^3(0))^2`$, a measure of the importance of thermal fluctuations, of the order of $`10^5`$ only, while the cuprates typically have $`Gi10^2`$.Mikitik01  On the other hand, thermal fluctuations should be more important than for example in Nb with $`Gi10^{10}`$,Forgan02  or NbSe2 with $`Gi10^8`$.Eremenko02  A calculation of the melting field $`H_m`$, using Eq. (26) of Ref. Mikitik01,  leads, at $`14\text{K}`$, to $`H_m/H_{c2}0.97`$, much higher than the location of the peak and therefore hardly can account for it,note\_PEmelt  although it was shown that point disorder can shift $`H_m`$ to slightly lower fields.Nishizaki00  Also, a liquid caused by thermal melting should have weaker pinning properties than the solid lattice.

An important fact deduced from the MHL experiments is that the high field phase has got a higher critical current density than the low field phase. This is the case for the transition from a Bragg glass to a highly disordered glassy phase.Giamarchi94  That we indeed observed this phase transition is supported by the pronounced history dependence of $`j_c`$ in the region between onset and maximum of the peak, of a form similar to observations of the PE in NbSe2 and not accountable for by relaxation effects. The location relatively close to $`H_{c2}`$ is expected for a superconductor with low $`Gi`$ and relatively weak disorder.Mikitik01  In NbSe2, a superconductor with comparable, but even lower $`Gi`$, there is conclusive evidence that the PE is indeed due to the transition between a Bragg glass and a highly disordered phase.Marchevsky01  The history effects mark the region of meta-stability, where a macroscopic coexistence of the two phases is possible. Pinning of the phase boundary is directly responsible for the history effects. The location of the PE with respect to $`H_{c2}`$, together with the history effects studied and the observation of a higher critical current density in the high field vortex configuration, thus indicate that the PE in MgB2 marks the transition between the Bragg glass and a highly disordered phase, which may be termed “amorphous” or “pinned liquid”. If the PE observed by Welp et al.Welp02  is of the same origin, the larger separation of the PE from $`H_{c2}`$ in our case indicates that the crystal investigated by us has a higher amount of random point-like disorder. Further investigations of the transition line with controlled tuning of the amount of disorder, as was done in the case of the cuprates, by electron irradiationNishizaki00  and chemical substitution,Angst02Sr124  may help finding a unified description of the phase diagrams of different superconductors.

In summary, using torque magnetometry, we observed a pronounced, sharp peak effect in single crystalline MgB2. Onset and maximum of the peak are located at about $`0.8H_{c2}`$ and $`0.85H_{c2}`$, with little dependence on the temperature or the direction of the applied field. Peak form, history effects between onset and maximum, as well as the location of the peak are consistent with the peak effect marking a phase transition between the Bragg glass and a highly disordered phase of vortex matter.

We thank J. Roos for useful discussions. This work was supported by the Swiss National Science Foundation, by the European Community (contract ICA1-CT-2000-70018) and by the Polish State Committee for Scientific Research (5 P03B 12421).

Note After submission of this manuscript, we became aware of a reportPissas02  on ac susceptibility measurements for $`Hc`$, coming to similar conclusions.


text:
# The superdeformed excited band of 40Ca

## Abstract

The superdeformed band, recently discovered in 40Ca is analysed in an spherical shell model context. Two major oscillator shells, $`sd`$ and $`pf`$ are necessary to describe it. The yrast band of the fixed 8p-8h configuration fits extremely well with the experimental energies and transition rates of the superdeformed band. The 4p-4h configuration generates a normally deformed band plus a $`\gamma `$-band pattern which are also present in the experimental data.

The existence of excited deformed bands in spherical nuclei is a well documented fact, dating back to the 60’s. A classical example is provided by the four particle four holes and eight particles eight holes states in 16O, starting at 6.05 MeV and 16.75 MeV of excitation energy O16a ; O16b . However, it is only recently that similar bands, of deformed and even superdeformed character, have been discovered in other medium-light nuclei such as 56Ni ni56exp , 36Ar ar36exp  and 40Ca ca40exp  and explored up to high spin. These experiments have been possible thanks to the advent of large arrays of $`\gamma `$ detectors, like Gammasphere or Euroball. One characteristic feature of these bands is that they belong to rather well defined spherical shell model configurations; for instance, the deformed excited band in 56Ni can be associated with the configuration (1f7/2)12 (2p3/2, 1f5/2, 2p1/2)4 while the (super)deformed band in 36Ar has the structure $`(sd)^{16}`$ $`(pf)^4`$. While many approaches are available for the microscopic description of these bands (Cranked Nilsson-Strutinsky, Cranked Hartree-Fock Bogolyuvov, etc.) the interacting shell model is, when affordable, the prime choice. The mean field approach to N=Z nuclei, has problems related to the proper treatment of the proton-neutron pairing in its isovector and isoscalar channels. On the shell model side, the problems come from the size of the valence spaces needed to acomodate the np-nh configurations, from the danger of center of mass contamination and from the occurrence of high level densities in the energy region where some of the members of the excited bands lay.

Prompted by our previous experience in the description of such states in 56Ni and 36Ar we have undertaken to explain the occurrence of deformed and superdeformed bands in 40Ca as reported very recently by Gammasphere experimenters ca40exp . The states we aim to are dominantly core excitations from the $`sd`$-shell to the $`pf`$-shell. The natural valence space would thus comprise both major oscillator shells. However, the inclusion of the 1d5/2 orbit in the valence space produces a huge increase in the size of the basis and massive center of mass effects, thus we were forced to exclude it from the valence space already in the 36Ar calculations and we will proceed equally now, taking a closed core of 28Si. We are aware that this truncation will somehow reduce, although not drastically, the quadrupole coherence of our solutions. Hence, our valence space will consist of the orbits 2s1/2, 1d3/2, 1f7/2, 2p3/2, 1f5/2, 2p1/2. The effective interaction is the same used in ref. ar36exp  denoted $`sdpf.sm`$. In a first step, we keep fixed the number of particles excited from the $`sd`$ to the $`pf`$ orbits. We surmise that the 4p-4h configurations are responsible for the band built on the first excited 0+ state of 40Ca at 3.352 MeV excitation energy and for some related states, while the superdeformed band pertains to the 8p-8h configurations. Indeed, the assumption of a fixed np-nh character for the states is not fully realistic, some mixing being always present. In spite of this, we believe that the np-nh states contain most of the physics relevant to the problem. In a second step we will deal explicitely with some features of the mixing.

The $`\gamma `$-ray energies obtained in the diagonalizations in the 4p-4h space are gathered in table 1 and compared with the experimental results from ca40exp . The agreement is satisfactory. The most salient aspect of the calculated results is the triaxial character of the solution, with a well developped $`\gamma `$-band based in the second 2+ state of the 4p-4h configuration. The yrast sequence follows nicely the pattern of the experiment (Band 2 in ca40exp ) within 200 keV, except for the highest spin member of the band, J=16+, that comes out clearly too low. The experimental band presents an upbending at J=10+, that the calculation turns out into a slight backbending. The calculated $`\gamma `$-band can be put in correspondence with the experimental states grouped in Band 4.

The B(E2)’s and the quadrupole moments corresponding to the (4p-4h)-yrast states are presented in table 2. The calculations assume harmonic oscillator single particle wave functions with size parameter $`b`$=1.97 fm, extracted from the experimental charge radius of 40Ca. Effective charges $`\delta `$eπ=$`\delta `$eν=0.5 are used. The intrinsic quadrupole moments behave quite regularly up to the backbending regime; from there on, there is not a real intrinsic state. This is manifest in the rapid decrease of the values Q0(t) (the intrinsic quadrupole moment extracted from the B(E2)’s assuming K=0) and in the large difference between Q0(t) and Q0(s) (the intrinsic quadrupole moment extracted from the spectroscopic quadrupole moment, assuming K=0). In the experimental article, a value Q0(t)=0.74$`\pm `$0.14 eb is obtained from the measured fractional Doppler shifts. Our values are somewhat larger but in reasonable agreement with this figure, that corresponds to $`\beta `$=0.27, a typical value for a normally deformed band. The quadrupole properties of the $`\gamma `$-band are gathered in table 3. They are consistent with our picture of an triaxial rotor. Assuming K=2, we can extract also the intrinsic quadrupole moments, that keep approximately constant along the band. The oscillations are much larger than before reflecting a less well defined intrinsic state. Very strong $`\mathrm{\Delta }`$J=1 E2 transitions are calculated between the lower states of the band. At higher spins, the $`\mathrm{\Delta }`$J=2 transitions take over rapidly.

The natural continuation of this study would have been to compute the yrast band of the 8p-8h configuration in the same space and with the same interaction, aiming to the explanation of the experimental superdeformed band. However, the extremely large dimension of the basis ($``$ 109) poses a serious problem. These dimensions are at present tractable with the new versions of the codes ANTOINE and NATHAN antoine , but, to calculate the complete band will demand a huge computational effort. Nevertheless, our experience in the $`pf`$-shell tells us that, to limit the maximum number of particles in the 1f5/2 and 2p1/2 to two, produces results that are already very close to the complete ones. The extra one-particle excitations contribute mainly to the quadrupole coherence while, the two-particle excitations improve the pairing content of the solutions. These are huge calculations too (dim $``$ 3x 108) but nonetheless doable. We have carried out the calculations in the fixed 8p-8h configuration using the interaction $`sdpf.sm`$. The gamma-ray energies along the yrast sequence are compared to the experimental results (Band 1 in ref. ca40exp ) in fig. 1 in the form of a backbending plot. The interaction reproduces very satisfactorily the experimental results. The only difference is the change of slope in the experimental curve at J=10, not reproduced by the calculation, that is probably an effect of the mixing. Notice that the experimental (and the predicted) bands are very regular, showing no backbending, contrary to the situation in 48Cr cr48 . Due to the presence of $`sd`$ particles in pseudo-SU3 orbitals, the alignment process is pushed to higher angular momentum. In fact our calculations predict a slight backbending at J=20 and an unfavoured band termination at J=22,24.

In table 4 we have collected the quadrupole properties. The Q0’s extracted from the B(E2)’s and from the spectroscopic quadrupole moments are nearly equal and reasonably constant up to the backbending, supporting the existence of a robust intrinsic state. The calculated Q0 of 172 efm2 is in perfect agreement with the experimental value Q0(t)=1.80$`{}_{0.29}{}^{}{}_{}{}^{+0.39}`$, obtained from the fractional Doppler shifts. This experimental value corresponds to a deformation $`\beta `$$``$0.6, i.e. to a superdeformed shape. The calculation predicts a slight decrease of the deformation with increasing J, while experimentally it seems to remain constant until the highest measured spin state (J=16). This departure may be due to the blocking of the 1d5/2 orbital. Despite that, the calculation at fix particle-hole number contains most of the relevant physics of the superdeformed band in 40Ca. The deformation that our calculation produces is probably the highest ever obtained in a shell model calculation describing a “bona fide” rotational band. As a matter of fact it almost saturates the SU(3) limit of the intrinsic quadrupole moment in these two major shells; Q0=190 efm2, or the –more realistic– quasi-SU(3) one; Q0=180 efm2. At the band termination, the B(E2)’s drop to zero while the spectroscopic quadrupole moments keep constant, reflecting the transition from the collective to the aligned regime.

The next step is the study of the mixing of the different np-nh configurations. Unluckily, in this valence space, this goal is definitely beyond our computational possibilities –even with the truncation adopted above– because it demands the calculation of many states of the same total angular momentum. We try to circumvent these limitations by reducing once more the valence space, eliminating completely the upper $`pf`$-shell orbits. The active orbits will then be 2s1/2, 1d3/2, 1f7/2, 2p3/2. This valence space will be called zbm2, to emphasize its links with the space (1p1/2, 1d5/2, 2s1/2) used in the late 60’s to describe the core excited states of 16O zbm . We have tried to evaluate the effects of this further truncation by comparing the 8p-8h results in the two spaces, with the interaction $`sdpf.sm`$. The the new $`\gamma `$-energies are presented in fig. 2 under the label sm(1).

The yrast band behaves nicely for the lower spins, but is too compressed beyond J=10. The quadrupole collectivity turns out to be a 10$`\%`$ smaller and decreases more rapidly at high spins than it does in the fuller calculation. This suggest that an increase of the quadrupole-quadrupole interaction in the $`pf`$ sector of the interaction could mock the full space results. Therefore, we have increased a 10$`\%`$ the $`qq`$ interaction and repeated the calculations in the zbm2 space. The results for the energies are plotted in fig. 2 (label sm(2)), and we see that the band has now a much better behaviour and the correct span. However, the quadrupole properties remain basically unchanged. We have tried other interactions and/or renormalizations and our conclusion is that any decent interaction produces the same intrinsic state i.e. the quadrupole collectivity has reached saturation in this valence space. In order to increase the deformation and to keep it constant for the higher spins one must enlarge the valence space, this will increase the intrinsic quadrupole moment a 10$`\%`$ upon inclusion of the upper $`pf`$-shell and another 10$`\%`$ upon opening the 1d5/2 orbital. Thus, if we keep the usual effective charges, we have to be aware that the quadrupole coherence in the zbm2 space will always be a 20$`\%`$ smaller than in the full space of the two major shells.

A new interaction has been built recently, specifically for the zbm2 valence space, and used to describe the radii isotope shifts in the Calcium isotopes isoca . It was based on $`sdpf.sm`$ with mostly monopole changes. Following our discussion above, we have increased a ten percent the quadrupole-quadrupole interaction in the $`pf`$ sector of the zbm2 space. In addition, in isoca  an off-diagonal, cross-shell schematic isovector pairing was substracted from the initial interaction to avoid double counting. Here we choose to reduce all the off-diagonal cross-shell matrix elements a 25$`\%`$. It is with this interaction that we shall proceed to study the mixing. The results for the fixed 8p-8h configuration can be found also in fig. 2 with the label sm(3). As expected both the energies and the quadrupole properties are very close to the sm(2) set.

The final step consists in finding the mixing among the different np-nh configurations. This is a formidable task because the np-nh series is not easy to truncate. In earlier studies np-nh  we have reached the conclusion that, in order to have the correct mixing in a given np-nh configuration, the valence space must contain at least all the configurations up to (np+4)-(nh+4). This is easy to understand, because the pairing interaction mixes configurations that are 2p-2h apart. But the amount of mixing depends also of their relative possition, therefore, if the configurations that are 4p-4h apart are not included, the 2p-2h ones will be too high and will not renormalize the reference states properly. That’s why the zbm2 valence space cannot provide the proper renormalization to the 8p-8h band, because the 10p-10h and 12p-12h configurations cannot develop enough collectivity due to the closure of the 1d5/2 orbit. This has two effects; first, as these configurations lay much too high in energy, they do not mix enough with the 8p-8h ones and the reduced gain in energy has to be compensated with an artificial lowering of the 8p-8h configurations. But even doing that, the absence of mixing with other configurations that have similar of larger quadrupole contents, makes the mixed results unphysically less collective than the unmixed ones. With all these caveats we have tried to get a first glimpse on the mixed results, that we comment now briefly. We have played freely with the $`sd`$-$`pf`$ global monopoles in order to locate the three lower 0+ states of 40Ca close to their experimental values. The structure of the ground state is the expected one; about 60$`\%`$ closed shell, with mainly 2p-2h mixing. The first excited 0+ is dominantly (60$`\%`$) 4p-4h with mainly 6p-6h and 8p-8h mixing. It corresponds to the bandhead of the experimental Band 2. The third one is 60$`\%`$ 8p-8h, and the mixing is dominantly 4p-4h. The 10p-10h and 12p-12h component are –as we had anticipated– completely absent. The calculation of the three lower 0+ is straightforward, however, the calculation of the excited states belonging to the 4p-4h or the 8p-8h bands is not, because these are most often drowned in a sea of other uninteresting states. To overcome this difficulty we select as starting vectors in the Lanczos procedure the eigenstates of the band obtained in the np-nh space. This choice accelerates the convergence of the states we are seeking and makes it possible to keep track of them in case of fragmentation. We have used this method to obtain the mixed superdeformed band, starting with the 8p-8h states. The excitation energies change little, but enough to improve the quality of the agreement with the experimental data of the 8p-8h calculation. (see figure 3). However, the quadrupole moments and transition probabilities get eroded –30$`\%`$ to 50$`\%`$– by the mixing or even completely washed out at the top of the band. As we have discussed above, this is an intrinsic limitation of the valence space that we cannot ovecome.

In conclusion we have performed a study of the many particle many hole configurations in 40Ca, aiming to understand its recently discovered superdeformed excited band. We have shown that the yrast band of the 8p-8h configuration in the $`sd`$-$`pf`$ valence space reproduces very well the experimental results and represents a show-case of superdeformed band described by the spherical shell model.

This work is partly supported by the IN2P3(France) CICyT(Spain) collaboration agreements. AP’s work is supported by MCyT (Spain), grant BFM2000-30.


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# Screened hydrodynamic interaction in a narrow channel

## Abstract

We study experimentally and theoretically the hydrodynamic coupling between Brownian colloidal particles diffusing along a linear channel. The quasi-one-dimensional confinement, unlike other constrained geometries, leads to a sharply screened interaction. Consequently, particles move in concert only when their mutual distance is smaller than the channel width, and two-body interactions remain dominant up to high particle densities. The coupling in a cylindrical channel is predicted to reverse sign at a certain distance, yet this unusual effect is too small to be currently detectable.

Diffusion along narrow channels is encountered in various circumstances, such as transport in porous materials Kargerbook  and penetration through biological ion channels ionchannel . Much attention has been devoted to the correlated motion in so-called single-file systems due to the inability of particles to bypass one another, leading to anomalous diffusion Kargerbook ; singlefile . The anomalous regime, however, sets in only at long enough times when particle collisions become appreciable EPL02 . Yet, if the channel is filled with liquid, the motion of otherwise non-interacting Brownian particles can become correlated at times shorter than the collision time through the flow field that they create. Indeed, when we observed the diffusion of micron-size colloidal particles in a water-filled channel (Fig. 1), the most striking feature was the occasional concerted motion of several close-by particles in a dynamical “train” lasting for a few seconds. In the current Letter we present a quantitative study of this coupling.

When a particle moves through a fluid it creates a flow that affects the velocities of other particles in its vicinity. Recently there has been renewed interest in such hydrodynamic interactions, particularly in confined geometries, due to their role in the behavior of colloidal suspensions and the development of techniques using digital video microscopy sediment ; Lin00 ; Dufresne00 ; Squires00 ; Dufresne01 ; Squires01 . Colloidal particles in a finite container sediment , near a single wall Lin00 ; Dufresne00 ; Squires00 , and between two walls Lin00 ; Dufresne01  were studied. The hydrodynamic interactions in those geometries are always attractive (i.e., creating positive velocity correlations) and long-ranged: in an unbounded fluid the interaction decays with inter-particle distance $`x`$ as $`1/x`$ HappelBrenner ; the one between particles moving near and parallel to a single wall decays as $`1/x^3`$ Pozrikidis ; Dufresne00 ; and for particles moving between and parallel to two walls it decays as $`1/x^2`$ Liron76 . More constrained geometries—perpendicular to the walls in a two-wall configuration Liron76  and along a cylindrical tube Liron78 ; Blake —are essentially different, in that point disturbances should create flows with an exponential spatial decay. Here we demonstrate that confinement in a linear channel indeed sharply screens the hydrodynamic interaction and may even change its sign.

The experimental system consists of an aqueous suspension of silica colloidal spheres (density 2.2 g/cm3) confined in long narrow grooves (see Fig. 1 and inset of Fig. 4). The grooves were printed on a polydimethysiloxane substrate from a master pattern fabricated lithographically on a Si wafer (Stanford Nanofabrication Facility). A drop of suspension was enclosed between the polymer mold and a cover slip with a spacer ($``$100 $`\mu `$m), so that the top of the groove was open to a layer of fluid. Digital video microscopy was used to extract time-dependent two-dimensional trajectories of the spheres (time resolution 0.033 s). Details of sample preparation and data analysis were described elsewhere EPL02 ; JCP02 .

We studied samples of three different parameter sets, i.e., different values of sphere radius $`a`$, channel width $`w`$, channel depth $`h`$, and channel length $`L`$; see Table 1 and Fig. 1. (Spheres of sample 1 were manufactured by Duke Scientific and those of samples 2 and 3 by Bangs Laboratory.) The ratio $`a/w`$ ranges between $`0.26`$ and $`0.37`$; it is always larger than 1/4, such that spheres cannot bypass one another. (Higher ratios pose a difficulty in loading the spheres into the channel.) The linear packing fraction $`\eta `$ was determined as $`\eta =2Na/l`$, where $`l`$ is the length of the channel section in the field of view ($`l=106\mu `$m for sample 1 and $`220\mu `$m for samples 2 and 3), and $`N`$ is the number of spheres in that section.

Studies of the equilibrium structure and single-particle dynamics of sample 1 were previously reported JCP02 ; EPL02 . These experiments show that the colloidal motion is tightly confined to the center of the groove, with transverse fluctuations of less than $`0.2a`$. The particle pair-potential consists of a short-ranged (screened electrostatic) repulsion, extending to surface–surface separations of $`0.2`$ $`\mu `$m, followed by a weak attractive well of $`0.3k_\mathrm{B}T`$ ($`k_\mathrm{B}T`$ being the thermal energy) at a separation of $`0.3`$ $`\mu `$m. At the range of the dynamic coupling reported here the pair-potential is practically zero JCP02 . We thus neglect in the current study any transverse motion and direct interactions.

We choose to characterize the coupling by the collective and relative diffusion of particle pairs, i.e., the fluctuations of their center of mass and mutual distance. We define the collective diffusivity, $`D^+`$, and the relative one, $`D^{}`$, as

$$D^\pm (x)=[\mathrm{\Delta }x_1(t)\pm \mathrm{\Delta }x_2(t)]^2/4t,$$
(1)
where $`\mathrm{\Delta }x_i`$ is the displacement of particle $`i`$ during time $`t`$ and $`x`$ is the short-time average distance between the centers of the two spheres. The coefficients have been defined such that, in the absence of coupling, they both reduce to the self-diffusivity of a single particle, $`D_\mathrm{s}`$. In our data analysis $`D^\pm (x)`$ were calculated from the histogram of short-time ($`t<0.2`$ s) trajectories, i.e., the slope of the mean-square displacements, $`[1/4N(x)]_{i=2}^{N(x)}[\mathrm{\Delta }x_i(t)\pm \mathrm{\Delta }x_{i1}(t)]^2`$, as a function of $`t`$, where $`N(x)`$ is the number of nearest-neighbor pairs whose mutual distance $`x`$ falls in the range $`(x\delta x/2,x+\delta x/2)`$. (We took $`\delta x=0.22a`$ for all samples.) The tracking time $`t`$ must be kept sufficiently short, so that the spheres do not cross over to the anomalous subdiffusion regime EPL02 , and their diffusion distance remains smaller than $`\delta x`$, so $`x`$ can be assumed constant. We verified that, within experimental error, the measured slopes were constant at least in the range $`t=0.1`$–0.5 s.

Figure 2 shows the measured collective and relative diffusivities for the various samples. The diffusivities sharply decay to $`D_\mathrm{s}`$ for inter-particle distances larger than about twice the channel width. Moreover, the coupling is practically insensitive to changes in density up to high values of $`\eta `$, implying that three-body and higher terms remain negligible. At $`\eta =0.61`$ sample 1 exhibits a considerable shift of the entire curves towards lower diffusivity, i.e., a decrease in $`D_\mathrm{s}`$ ft\_Ds1 . These observations are in essential contrast with the case of less confined geometries, where the hydrodynamic interaction is long-ranged with significant many-body effects sediment .

We now turn to a theoretical estimate of the hydrodynamic coupling. The Reynolds number of the system is of order $`10^6`$. We need, in principle, to calculate the Stokes flow due to the motion of two particles, subject to no-slip boundary conditions at the surfaces of the channel and particles HappelBrenner ; ft\_slip . This is technically very hard and, furthermore, we seek a description of more general applicability. We resort to three simplifications: (i) The actual geometry of a partially open, rectangular channel is replaced by an effective cylinder, of diameter $`2R=\gamma w`$, where $`\gamma `$ is a geometrical prefactor of order 1, to be treated as a fitting parameter. We expect to obtain one value of $`\gamma `$ for a square cross-section (samples 1 and 2), and another for a rectangular one (sample 3). Because of the open top of the actual channel, we also expect the effective cylinder to be significantly wider, i.e., $`\gamma >1`$. (ii) The particle motion is assumed to be restricted to the central axis of the channel. (As has been noted above, this is a good approximation in our case.) (iii) The particle size is assumed to be much smaller than both the channel width, $`aR`$, and the inter-particle distance, $`ax`$. This requirement, though not strictly fulfilled in practice, allows us to treat the effect of one particle on the flow near the other and near the walls as if it were exerting a point force on the fluid, i.e., to consider merely the fundamental solution (Green’s function) of the Stokes flow in the channel. (This is sometimes referred to as the stokeslet approximation Pozrikidis .)

The displacement fluctuations of a particle pair are used to define a two-particle diffusion tensor, $`\mathrm{\Delta }x_i(t)\mathrm{\Delta }x_j(t)=2D_{ij}(x)t,i,j=1,2`$, which can be decomposed into a self-diffusion term and a coupling one: $`D_{ij}=\delta _{ij}D_\mathrm{s}+(1\delta _{ij})D_\mathrm{c}(x)`$. The two eigenvalues, $`D^\pm =D_\mathrm{s}\pm D_\mathrm{c}(x)`$, are the collective and relative diffusivities of the pair as defined in Eq. (1). Usually particles entrain one another and $`D_\mathrm{c}>0`$, i.e., the hydrodynamic interaction enhances the collective mode and suppresses the relative one.

To leading order in $`a/R`$ and $`a/x`$, the flow field induced by the motion of one particle in the vicinity of the other is that of a point force. This fluid velocity per unit force is the change in the mobility of the entrained particle. Thus $`D_\mathrm{c}(x)k_\mathrm{B}TG(x)`$, where $`G`$ is the $`xx`$ component of the Stokes-flow Oseen tensor (Green’s function) in a channel. Using the diffusivity in an unbounded fluid, $`D_0=k_\mathrm{B}T/(6\pi \mu a)`$ ($`\mu `$ being the fluid viscosity), we define two rescaled coupling diffusivities,

$$\mathrm{\Delta }^\pm (\xi )\frac{D^\pm (\xi )D_\mathrm{s}}{(a/R)D_0},\xi x/R,$$
(2)
which are experimentally measurable and, within our far-field approximation, parameter-free (apart from the unknown geometrical factor $`\gamma `$).

We now substitute the known solution for the Oseen tensor at the center of a cylindrical tube Liron78 ; Blake  to obtain

$`\mathrm{\Delta }^\pm (\xi )=\pm (3/4){\displaystyle \underset{n=1}{\overset{\mathrm{}}{}}}[a_n\mathrm{cos}(\beta _n\xi )+b_n\mathrm{sin}(\beta _n\xi )]\mathrm{e}^{\alpha _n\xi }`$
$`\{\begin{array}{c}\pm 3/(2\xi ),\xi 1\hfill \\ \pm (3/4)[a_1\mathrm{cos}(\beta _1\xi )+b_1\mathrm{sin}(\beta _1\xi )]\mathrm{e}^{\alpha _1\xi },\xi 1\hfill \end{array}`$ (5)
In Eq. (5) $`u_n=\alpha _n+i\beta _n`$ are the complex roots of the equation $`u[J_0^2(u)+J_1^2(u)]=2J_0(u)J_1(u)`$, and $`(a_n+ib_n)=2\{\pi [2J_1(u_n)Y_0(u_n)u_n(J_0(u_n)Y_0(u_n)+J_1(u_n)Y_1(u_n))]u_n\}/J_1^2(u_n)`$ \[$`J_k`$ and $`Y_k`$ being the Bessel functions of the first and second (Neumann) kind\]. The coupling as a function of distance is depicted in Fig. 3. For $`\xi 1`$ the particles are insensitive to the walls and the coupling approaches the algebraic $`1/\xi `$ dependence as in an unbounded fluid HappelBrenner . Yet, for $`\xi >1`$ the confined geometry becomes manifest; the sum is dominated by its first term and the interaction decays exponentially with distance. (The coefficients of this term are $`a_10.0370`$, $`b_113.8`$, $`\alpha _14.47`$, and $`\beta _11.47`$.)

The sharp screening beyond the confinement length is unique to the linear geometry and is caused by the boundary conditions at the channel walls. We may visualize the boundary conditions as replaced by an infinite series of image forces transverse to the channel axis, accompanying the moving particle Pozrikidis . At distances larger than the channel width the images cancel the effect of the actual force. Small oscillations on top of the exponential decay make the coupling change sign at $`\xi 2.14`$ (Fig. 3, inset). This is a very peculiar effect, implying that for large distances the particles inhibit each other’s motion rather than aid it. Physically, this arises from flow rolls that form along the channel Blake . Unfortunately, as seen in Fig. 3, even if the effect still exists in our partially open channel, it is far too small to be currently detectable ft\_negative .

In Fig. 4 we have replotted the experimental data of Fig. 2, scaled according to Eq. (2), with $`\gamma =2.44`$ for the square cross-section (samples 1 and 2) and $`\gamma =2.72`$ for the rectangular one (sample 3). The data for different channel widths, sphere sizes, and densities collapse onto two universal curves for the collective and relative diffusivities. The collapse confirms that the observed coupling is well described by a two-body hydrodynamic interaction within a first-order approximation in $`a/w`$. Moreover, considering our crude approximations, the agreement between the universal curve and Eq. (5) is remarkable. The stokeslet approximation thus provides a surprisingly reasonable description of the hydrodynamic interaction even for relatively large particles and short inter-particle distances. We can further use the fitted $`\gamma `$ to calculate the expected self-diffusivity which, at the same level of approximation HappelBrenner , is given by $`D_\mathrm{s}D_0(12.10444a/R),R=\gamma w/2`$. This yields for samples 1, 2 and 3 $`D_\mathrm{s}0.16`$, $`0.045`$ and $`0.040`$ $`\mu `$m2/s, respectively. Although these values are not far off the measured (low-density) ones—0.11, 0.036 and 0.028 $`\mu `$m2/s—the differences, compared to the good agreement in Fig. 4, indicate that the self-diffusivity is more sensitive than the two-particle coupling to higher orders in $`a/w`$ ft\_Ds2 .

A small but systematic discrepancy between the calculation and experiment is seen in Fig. 4 as the distance becomes very small. This deviation naturally marks the breakdown of the $`xa`$ assumption. The observed trend can be understood by considering the extreme case of two particles in contact. The relative diffusivity then vanishes, hence $`\mathrm{\Delta }^{}D_\mathrm{s}/(D_0a/R)`$, whereas the collective one becomes equal to twice the self-diffusivity of a rigid “train” of two touching particles, $`2D_2`$. Since, evidently, $`D_2<D_\mathrm{s}`$, we have $`\mathrm{\Delta }^+(2D_2D_\mathrm{s})/(D_0a/R)<|\mathrm{\Delta }^{}|`$, in accord with the observed asymmetry.

Another important consequence of the screened coupling is that concerted motion of neighboring particles becomes appreciable at a sharply defined density, comparable to $`1/R`$; this dynamic clustering will be studied in more detail in a future publication. Our results suggest that a tube-stokeslet approximation \[i.e., Eq. (5)\] should give a good estimate of the hydrodynamic interaction in any linear geometry, provided that the particles are repelled from the walls and one has an estimate for the geometrical factor $`\gamma `$. Although we have discussed only freely diffusing particles, since mobilities are proportional to diffusivities, the same conclusions apply to driven motion as well Zheng , and should also bear upon motion and patterning in microfluidic systems microfluid .

###### Acknowledgements.

We thank Stuart Rice for generous laboratory support, and David Andelman, Cristian Huepe, Leo Kadanoff, Detlef Lohse, Tom Witten, and Wendy Zhang for helpful comments. The experimental work was supported by the National Science Foundation \[DMR-9870437 (POWRE) and CHE-9977841\] and the NSF MRSEC program at the University of Chicago (DMR-9808595). HD was also supported by the NSF (DMR-9975533 and DMR-0094569), and the David and Lucile Packard Foundation (99-1465).