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# Thermodynamic versus statistical nonequivalence of ensembles for the mean-field Blume-Emery-Griffiths model

## I Introduction

The microcanonical and canonical ensembles are the two main probability distributions with respect to which the equilibrium properties of statistical mechanical models are calculated. As is well known, the microcanonical ensemble is a statistical mechanical expression of the conservation of the energy for a closed or isolated system whereas the canonical ensemble models a system in thermal interaction with a heat reservoir having a constant temperature Reif (1965); Pathria (1996). Although the two ensembles model two different physical situations, it is widely assumed that the ensembles give equivalent results in the thermodynamic limit; i.e., in the limit in which the volume of the system tends to infinity. The typical argument used to motivate this equivalence is given in the classic text of Landau and Lifshitz Landau and Lifshitz (1991). Although “the canonical distribution is ‘spread’ over a certain range of energies,” “the width of this range …is negligible for a macroscopic body.” The conclusion is that, in the thermodynamic limit, the canonical ensemble can be considered to be an ensemble of fixed mean energy or, in other words, a microcanonical ensemble. The texts Gibbs (1902); Reif (1965); Wannier (1966); Huang (1987); Balian (1991) contain similar arguments.

In order to substantiate the argument of Landau and Lifshitz, it must be proved that the energy per particle converges to a constant in the infinite-volume limit of the canonical ensemble. This convergence can be proved to hold for noninteracting systems such as the perfect gas and for a variety of weakly interacting systems. For general systems, however, neither is this convergence valid nor is the conclusion true concerning ensemble equivalence which this convergence is intended to motivate. In fact, in the past three and a half decades, numerous statistical models have been discovered having microcanonical equilibrium properties that cannot be accounted for within the framework of the canonical ensemble. This lack of correspondence between the microcanonical and canonical ensembles has profound consequences for it implies that one is forbidden to substitute the mean-energy variable for the temperature variable, and vice versa, when parameterizing the equilibrium properties of systems. In such cases of nonequivalence, the questions of determining which of the two ensembles is the more fundamental and which ensemble is the one realized in the laboratory are of fundamental interest.

Until now, the phenomenon of nonequivalent ensembles has been identified and analyzed almost exclusively by determining regions of the mean energy where the microcanonical entropy function is anomalously nonconcave or by determining regions of the mean energy where the heat capacity, calculated microcanonically, is negative. This thermodynamic approach to the problem of nonequivalent ensembles has been propounded by a number of people, including Lynden-Bell and Wood Lynden-Bell and Wood (1968), who in the 1960’s were among the first to observe negative heat capacities in certain gravitational many-body systems (see also Thirring (1970); Hertel and Thirring (1971); Thirring (1983); Lynden-Bell (1999); Padmanabhan (1990); Gross (2001)). More recently, nonconcave anomalies in the microcanonical entropy as well as negative heat capacities have been observed in models of fluid turbulence Gaglioti et al. (1995); Robert and Sommeria (1991); Kiessling and Lebowitz (1997); Ellis et al. (2002) and models of plasmas Smith and O’Neil (1990), in addition to long-range and mean-field spin models, including the mean-field XY model Dauxois et al. (2000) and the mean-field Blume-Emery-Griffiths (BEG) model Barré et al. (2001, 2002).

The existence of such nonconcave anomalies invalidates yet another tacit principle of statistical mechanics which states that the one should always be able to express the microcanonical entropy, the basic thermodynamic function for the microcanonical ensemble, as the Legendre-Fenchel transform of the free energy, the basic thermodynamic function for the canonical ensemble. Indeed, if the microcanonical entropy is to be expressed as the Legendre-Fenchel transform of the canonical free energy, then the former function must necessarily be concave on its domain of definition. Hence, if the microcanonical entropy has nonconcave regions, then expressing it as a Legendre-Fenchel transform is impossible. When this occurs, we say that there is thermodynamic nonequivalence of ensembles.

For the BEG model, the existence of nonconcave anomalies in the microcanonical entropy was shown by Barré, Mukamel and Ruffo via a Landau expansion of this quantity Barré et al. (2001). The aim of the present paper is to extend their study of nonequivalent ensembles by showing how the thermodynamic nonequivalence of the microcanonical and canonical ensembles for this model reflects a deeper level of nonequivalence that takes place at the statistical level of its equilibrium distribution of states. We carry this out via numerical calculations both at the thermodynamic level and at the statistical level, illustrating, in particular, a striking statistical consequence of the nonconcavity of the microcanonical entropy. Namely, we demonstrate that if the microcanonical entropy is nonconcave at a mean-energy value $`u`$—i.e., if thermodynamic nonequivalence of ensembles holds—then nonequivalence of ensembles holds at the statistical level in the following sense: none of the equilibrium statistical distributions of states calculated in the microcanonical ensemble at that value of $`u`$ can be realized in the canonical ensemble. Furthermore, we demonstrate that if the microcanonical entropy is strictly concave at $`u`$—i.e., if thermodynamic equivalence of ensembles holds—then all the statistical distributions of states found in the microcanonical ensemble at that value of $`u`$ can be put in one-to-one correspondence with equivalent distributions of the canonical ensemble.

Our numerical findings illustrate clearly and directly a number of results on equivalence and nonequivalence of ensembles that are valid for a wide class of statistical mechanical systems. These results, derived recently by Ellis, Haven and Turkington, establish different levels of correspondence between microcanonical equilibrium macrostates and canonical equilibrium macrostates in terms of concavity properties of the microcanonical entropy. These results, as well as an overview of applications to turbulence, can be found in their comprehensive paper Ellis et al. (2000). A specific application to a model of geophysical fluid turbulence is treated in their paper Ellis et al. (2002).

The organization of the present paper is as follows. In Section II we introduce the basic thermodynamic functions in the two ensembles, the microcanonical entropy and the canonical free energy. We also motivate the definitions of the sets of equilibrium statistical distributions of states for the two ensembles in the thermodynamic limit. This motivation is based in part on the theory of large deviations, a branch of probability that studies the exponential decay of probabilities and is perfectly suited for analyzing asymptotic properties of the two ensembles. In Section III we discuss the equivalence and nonequivalence of ensembles first at the thermodynamic level and then at the statistical level. In Section IV, we finally present our numerical calculations that illustrate thermodynamic and statistical equivalence and nonequivalence of ensembles for the BEG model. Because our goal is to emphasize the physical ideas, we have omitted almost all mathematical details and have occasionally compromised perfect mathematical accuracy when it benefits the exposition. For complete mathematical details concerning equivalence and nonequivalence of ensembles and the theory of large deviations, the reader is referred to Ellis et al. (2000); Ellis (1985); Dembo and Zeitouni (1998).

## II Thermodynamic ensembles and large deviations principles

### II.1 Microcanonical ensemble

The main quantity characterizing the thermodynamic properties of statistical mechanical systems in the microcanonical ensemble is the entropy function. This quantity is defined in terms of the probability measure of all microstates of a system having the same value of the mean energy Reif (1965); Pathria (1996). To be precise, suppose that the system in question is composed of $`n`$ particles, and denote the microstates of that system by the joint state $`x^n=(x_1,x_2,\mathrm{},x_n)`$, where $`x_i`$ represents the state of the $`i^{\mathrm{th}}`$ particle taking values in some state space $`𝒳`$. The set of all microstates is the $`n`$-fold product $`𝒳^n`$. Moreover, let us denote by $`U(x^n)`$ the energy or Hamiltonian of the system as a function of the microstates $`x^n`$ and by $`u(x^n)`$ the mean energy or energy per particle, defined as

$$u(x^n)=\frac{U(x^n)}{n}.$$
(1)
In terms of this notation the microcanonical entropy function $`s(u)`$ is defined as

$$s(u)=\underset{n\mathrm{}}{lim}\frac{1}{n}\mathrm{ln}P\{u(x^n)du\},$$
(2)
where

$$P\{u(x^n)du\}=_{\{x^n:u(x^n)du\}}P(dx^n)$$
(3)
is the probability measure of all microstates $`x^n`$ lying in the infinitesimal mean-energy ball $`du`$ centered at $`u`$ Ellis et al. (2000). The probability measure $`P(dx^n)`$ in (3) is the a priori measure on $`𝒳^n`$, which is taken to be the uniform measure in accordance with Boltzmann’s equiprobability hypothesis Reif (1965); Pathria (1996). In order for this probability measure to be well defined, the configuration space $`𝒳^n`$ is assumed to be bounded. As we will soon explain, conditioning $`P`$ on the set of configurations $`\{x^n:u(x^n)du\}`$ defines the microcanonical ensemble. We call this set the microcanonical conditioning set.

We find it convenient to re-express the definition of $`s(u)`$ in (2) via the formula

$$P\{u(x^n)du\}e^{ns(u)}.$$
(4)
This is done in order to emphasize the facts that $`P\{u(x^n)du\}`$ has, to a first degree of approximation, the form of an exponential that decays with $`n`$ and that the exponential decay rate is the microcanonical entropy. The heuristic sign “$``$” is used here instead of the approximation sign “$``$” in order to stress that the dominant term describing the asymptotic behavior of $`P\{u(x^n)du\}`$, as $`n\mathrm{}`$, is the exponential function $`e^{ns(u)}`$.

In the theory of large deviations, the exponential asymptotic property of thermodynamic probability measures is referred to as a large deviation principle (LDP). Detailed explanations of this theory are available in a number of references including Dembo and Zeitouni (1998); Ellis (1985, 1995, 1999); Oono (1989). For our purpose it is important to note that an LDP can be formulated not only for the energy per particle, but also for more general macroscopic variables such as the total spin per particle or the vector of occupation numbers. As we point out in the next paragraph, the LDP is the basic tool for deriving the well known variational maximum-entropy principle characterizing the equilibrium macrostates of the associated macroscopic variables in the microcanonical ensemble.

The macroscopic variables that we consider are quantities $`L(x^n)`$ that take values in a space of macrostates $``$, and that are assumed to satisfy an LDP expressed by

$`P\{L(x^n)dL\}`$ $`=`$ $`{\displaystyle _{\{x^n:L(x^n)dL\}}}P(dx^n)`$
$``$ $`e^{ns(L)}.`$
In this formula $`L`$ is an element of $``$, and $`P\{L(x^n)dL\}`$ represents the probability measure of all microstates $`x^n`$ such that $`L(x^n)`$ lies in the infinitesimal ball $`dL`$ with center $`L`$. In addition, we assume that the energy per particle $`u(x^n)`$ can be written asymptotically as a function of $`L(x^n)`$ in the following sense. There exists a bounded, continuous function $`u(L)`$, called the energy representation function, with the property that $`u(x^n)=u(L(x^n))`$ for all microstates $`x^n`$ or, more generally, that

$$|u(L(x^n))u(x^n)|0$$
(6)
uniformly over all microstates $`x^n`$ as $`n\mathrm{}`$. In Section IV we give a concrete example, for the BEG model, of a macroscopic variable $`L(x^n)`$ for which assumptions (II.1) and (6) are valid. In the case of the BEG model, the energy representation will in fact be seen to be exact in the sense that $`u(x^n)=u(L(x^n))`$ for all $`x^n`$ and $`n`$. However, the properties discussed in this paper are valid also for models for which the limit (6) holds.

Under assumptions (II.1) and (6) on the macroscopic variable $`L(x^n)`$, it is easily seen that the most probable macrostates $`L`$ for configurations lying in the microcanonical conditioning set $`\{x^n:u(x^n)du\}`$ are those that maximize the entropy function $`s(L)`$ subject to the energy constraint $`u(L)=u`$ Ellis et al. (2000). These constrained maximizers of $`s(L)`$ compose the set $`^u`$ of microcanonical equilibrium macrostates associated with a given mean-energy value $`u`$; in symbols,

$$^u=\{L:L\text{ maximizes }s(L)\text{ with }u(L)=u\}.$$
(7)
The physical importance of equilibrium macrostates in statistical mechanics stems from the fact that any macrostate not in $`^u`$ has an exponentially small probability of being observed given that the energy per particle of the system is fixed at the value $`u`$. This can be seen by introducing the microcanonical probability measure $`P^u`$, which is defined by conditioning the a priori measure $`P`$ on the microcanonical conditioning set Ellis et al. (2000); in symbols, $`P^u(dx^n)=P\{dx^n|u(x^n)du\}`$. Thus for $`L`$ we have

$`P^u\{L(x^n)dL\}`$ $`=`$ $`P\{L(x^n)dL|u(x^n)du\}`$
$`=`$ $`{\displaystyle \frac{P\{\{x^n:L(x^n)dL\}\{x^n:u(x^n)du\}\}}{P\{u(x^n)du\}}}.`$
As shown in Ellis et al. (2000), the LDP’s (4) and (II.1) and the asymptotic relationship (6) yield the LDP

$$P^u\{L(x^n)dL\}e^{nI^u(L)},$$
(9)
where

$$I^u(L)=\{\begin{array}{ccc}s(u)s(L)\hfill & & \text{if }u(L)=u\hfill \\ \mathrm{}\hfill & & \text{otherwise.}\hfill \end{array}$$
(10)
By the general theory of large deviations, $`I^u(L)`$ is nonnegative for any macrostate $`L`$. Hence if $`I^u(L)>0`$, then the microcanonical probability that $`L(x^n)`$ is near $`L`$ goes to $`0`$, as $`n\mathrm{}`$, at the exponential decay rate $`I^u(L)`$. This observation motivates our definition of the set $`^u`$ of microcanonical equilibrium macrostates to be the set of macrostates $`L`$ for which $`I^u(L)`$ attains its minimum of $`0`$, and thus for which $`s(L)`$ is maximized under the constraint $`u(L)=u`$. As a consequence of this definition, we have the following variational formula for the microcanonical entropy:

$$s(u)=\underset{\{L:u(L)=u\}}{sup}s(L)=s(L^u),$$
(11)
where $`L^u`$ is any macrostate contained in $`^u`$.111 Since $`s(L)`$ is nonpositive, $`s(u)`$ is also nonpositive. However, $`s(u)`$ can equal $`\mathrm{}`$. Throughout this paper, we shall restrict ourselves to values of $`u`$ for which $`s(u)>\mathrm{}`$.

### II.2 Canonical ensemble

While the microcanonical ensemble is defined in terms of a fixed value of the mean energy $`u`$, the canonical ensemble is defined in terms of a fixed value of the inverse temperature $`\beta `$. In the canonical ensemble the relevant probability measure on $`𝒳^n`$ is the Gibbs measure

$$P_\beta (dx^n)=\frac{1}{Z_n(\beta )}e^{\beta nu(x^n)}P(dx^n).$$
(12)
In this formula, $`Z_n(\beta )`$ is the $`n`$-particle partition function defined by

$$Z_n(\beta )=_{𝒳^n}e^{\beta nu(x^n)}P(dx^n),$$
(13)
in terms of which we define the canonical free energy

$$\phi (\beta )=\underset{n\mathrm{}}{lim}\frac{1}{n}\mathrm{ln}Z_n(\beta ).$$
(14)
This last quantity plays an analogous role in the asymptotic analysis of the canonical ensemble as the microcanonical entropy plays in the asymptotic analysis of the microcanonical ensemble.

As we did in the case of the microcanonical ensemble, we now state the LDP for $`L(x^n)`$ with respect to the canonical ensemble and then use this principle to define the set of canonical equilibrium macrostates. For any macrostate $`L`$ and any microstates $`x^n`$ satisfying $`L(x^n)dL`$, the continuity of the energy representation function implies that $`u(x^n)`$ is close to $`u(L)`$. Hence, we expect that

$`P_\beta \{L(x^n)dL\}`$ $`=`$ $`{\displaystyle _{\{x^n:L(x^n)dL\}}}P_\beta (dx^n)`$
$`=`$ $`{\displaystyle \frac{1}{Z_n(\beta )}}{\displaystyle _{\{x^n:L(x^n)dL\}}}e^{\beta nu(x^n)}P(dx^n)`$
is close to

$$\frac{1}{Z_n(\beta )}e^{\beta nu(L)}_{\{x^n:L(x^n)dL\}}P(dx^n)=\frac{1}{Z_n(\beta )}e^{\beta nu(L)}P\{x^n:L(x^n)dL\}.$$
(16)
Substituting into this formula the large deviation estimate (II.1) for $`P\{L(x^n)dL\}`$ and the limit (14) relating $`Z_n(\beta )`$ and $`\phi (\beta )`$, we obtain the LDP

$$P_\beta \{L(x^n)dL\}e^{nI_\beta (L)},$$
(17)
where

$$I_\beta (L)=\beta u(L)s(L)\phi (\beta ).$$
(18)
The function $`I_\beta (L)`$ is nonnegative for any macrostate $`L`$. As in the case of the microcanonical ensemble, for any macrostate $`L`$ satisfying $`I_\beta (L)>0`$ the LDP (17) shows that the corresponding canonical probability $`P_\beta \{L(x^n)dL\}`$ converges to 0 exponentially fast. As a result, such macrostates are not observed in the thermodynamic limit. The conclusion that we draw from the LDP (17) is that, with respect to the Gibbsian probability measure $`P_\beta `$, the most probable macrostates are those for which $`I_\beta (L)`$ attains its minimum of 0 or, equivalently, those for which the quantity $`\beta u(L)s(L)`$ is minimized for a fixed value of $`\beta `$. Accordingly, the set $`_\beta `$ of  canonical equilibrium macrostates associated with a fixed value of $`\beta `$ is defined by

$$_\beta =\{L:\beta u(L)s(L)\text{ is minimized}\}.$$
(19)
We end this section by motivating the existence of the limit (14) that defines the canonical free energy $`\phi (\beta )`$. In the definition (13) of $`Z_n(\beta )`$, we first use (6) to replace the energy per particle $`u(x^n)`$ by $`u(L(x^n))`$. Since the macroscopic variable $`L(x^n)`$ takes values in $``$, we can rewrite the resulting expression for $`Z_n(\beta )`$ not as an integral over the set $`𝒳^n`$ of microstates, but as an integral over $``$. Applying the LDP (II.1) for $`P(L(x^n)dL)`$, we obtain

$`Z_n(\beta )`$ $`=`$ $`{\displaystyle _{}}e^{\beta nu(L)}P\{L(x^n)dL\}`$
$``$ $`{\displaystyle _{}}e^{n[\beta u(L)s(L)]}𝑑L`$
$``$ $`\mathrm{exp}\left(n\underset{L}{inf}\{\beta u(L)s(L)\}\right).`$
The last step is a consequence of Laplace’s method, which states that, as $`n\mathrm{}`$, the main exponential contribution to the integral comes from the largest value of the integrand or equivalently the smallest exponent Ellis (1985, 1995). These calculations motivate the variational formula

$`\phi (\beta )`$ $`=`$ $`\underset{L}{inf}\{\beta u(L)s(L)\}`$
$`=`$ $`\beta u(L_\beta )s(L_\beta ),`$
where $`L_\beta `$ is any member of $`_\beta `$. We call this the macrostate representation of $`\phi (\beta )`$. Formula (II.2) can be derived rigorously from the LDP (II.1) using Varadhan’s theorem Ellis et al. (2000).

We denote by $`𝒰`$ the set of mean energy values $`u`$ for which $`s(u)>\mathrm{}`$. Any $`u𝒰`$ is called an admissible value of the mean energy. Using a similar chain of arguments as in the preceding paragraph, one can also write

$`Z_n(\beta )`$ $`=`$ $`{\displaystyle _𝒰}e^{\beta nu}P\{u(x^n)du\}`$
$``$ $`{\displaystyle _𝒰}e^{n[\beta ns(u)]}𝑑u`$
$``$ $`\mathrm{exp}\left(n\underset{u𝒰}{inf}\{\beta us(u)\}\right).`$
This asymptotic formula motivates the fundamental relationship

$$\phi (\beta )=\underset{u𝒰}{inf}\{\beta us(u)\},$$
(23)
which expresses the thermodynamic free energy $`\phi (\beta )`$ as the Legendre-Fenchel transform of the microcanonical entropy $`s(u)`$ Ellis et al. (2000). We call this formula the thermodynamic representation of $`\phi (\beta )`$.

The same formula for $`\phi (\beta )`$ can also be derived by rewriting the infimum over $`L`$ in (II.2) as an infimum over all mean-energy values $`u`$ followed by a constrained infimum over all $`L`$ satisfying $`u(L)=u`$. Using (11), we obtain

$`\phi (\beta )`$ $`=`$ $`\underset{u𝒰}{inf}\underset{\{L:u(L)=u\}}{inf}\{\beta u(L)s(L)\}`$
$`=`$ $`\underset{u𝒰}{inf}\left\{\beta u\underset{\{L:u(L)=u\}}{inf}\{s(L)\}\right\}`$
$`=`$ $`\underset{u𝒰}{inf}\{\beta us(u)\}.`$
In the case where $`s(u)`$ is a strictly concave differentiable function of $`u`$ and $`\beta `$ is in the range of $`s^{}`$, this Legendre-Fenchel transform reduces to the usual differential form of the Legendre transform. This is given by

$$\phi (\beta )=\beta u(\beta )s(u(\beta )),$$
(25)
where $`u(\beta )`$ is the unique solution of the equation $`\beta =s^{}(u)`$.

## III Equivalence and nonequivalence of ensembles

### III.1 Thermodynamic level

The problem of the equivalence or nonequivalence of the microcanonical and canonical ensembles at the thermodynamic level is fundamentally related to the properties of the Legendre-Fenchel transform, and especially its invertibility or noninvertibility properties as a functional transform. Equation (23) expresses $`\phi (\beta )`$ as the Legendre-Fenchel transform of $`s(u)`$. A basic question is whether one can invert this Legendre-Fenchel transform by applying the same transform to $`\phi (\beta )`$ so as to obtain

$$s(u)=\underset{\beta }{inf}\{\beta u\phi (\beta )\}.$$
(26)
We claim that such an inversion of the Legendre-Fenchel transform is valid if and only if $`s(u)`$ is concave on its domain of definition. The sufficiency can be seen by introducing the function

$$s^{}(u)=\underset{\beta }{inf}\{\beta u\phi (\beta )\},$$
(27)
which is concave on its domain of definition and equals the minimal concave function majorizing $`s(u)`$ for all $`u`$ Ellis et al. (2000); Ellis (1985). We call $`s^{}(u)`$ the concave hull of $`s(u)`$ and depict it in Figure 1. It follows that if $`s(u)`$ is concave on its domain of definition, then $`s`$ and $`s^{}`$ coincide. Replacing $`s^{}(u)`$ by $`s(u)`$ in (27) expresses the microcanonical entropy $`s(u)`$ as the Legendre-Fenchel transform of the free energy $`\phi (\beta )`$. Conversely, since any function written as the Legendre-Fenchel transform of another function is automatically concave on its domain of definition, it follows that if $`s(u)`$ is not concave on its domain of definition, then it cannot be written as the Legendre-Fenchel transform of the free energy.

This discussion motivates the following definitions. We define the two ensembles to be thermodynamically equivalent at $`u`$ if $`s(u)=s^{}(u)`$; in this case we say that $`s`$ is concave at $`u`$. In the opposite case—namely, if $`s(u)s^{}(u)`$—we call the two ensembles thermodynamically nonequivalent at $`u`$.222 The occurrence of a negative heat capacity in the microcanonical ensemble provides a sufficient but not necessary criterion for characterizing the microcanonical and canonical ensembles as being thermodynamically nonequivalent. Indeed, the microcanonical heat capacity calculated at $`u`$ can be positive even if $`s(u)s^{}(u)`$. On the other hand, a negative microcanonical heat capacity at $`u`$ implies necessarily that $`s(u)s^{}(u)`$. If $`s(u)s^{}(u)`$, then $`s`$ is said to be nonconcave at $`u`$. For later reference we say that $`s`$ is strictly concave at $`u`$ if $`s(u)=s^{}(u)`$ and $`s^{}`$ is strictly concave at $`u`$ in the sense that the graph of $`s^{}`$ is not flat around u.

The noninvertibility of the Legendre-Fenchel transform for nonconcave functions has no effect on how $`\phi `$ is to be calculated from $`s`$. The canonical free energy $`\phi (\beta )`$ is always a concave function of the inverse temperature $`\beta `$; regardless of the form of $`s(u)`$, $`\phi (\beta )`$ can always be expressed via the fundamental Legendre-Fenchel relationship (23). As we have just seen, however, $`s(u)`$ can be expressed as the Legendre-Fenchel of $`\phi (\beta )`$ if and only if $`s(u)`$ is concave on its domain of definition. In this sense, the microcanonical ensemble is more fundamental than the canonical ensemble.

This apparent superiority of the microcanonical ensemble over the canonical ensemble does not prevent us from deriving a criterion based entirely on the canonical ensemble for verifying that the two ensembles are thermodynamically equivalent. Indeed, suppose that $`\phi (\beta )`$ is differentiable for all $`\beta `$. Then the Gärtner-Ellis Theorem guarantees that, with respect to the a priori measure $`P`$, the energy per particle $`u(x^n)`$ satisfies the LDP with entropy function $`s(u)`$ given by the Legendre-Fenchel transform of $`\phi (\beta )`$ Dembo and Zeitouni (1998); Ellis (1985). Because $`\phi (\beta )`$ is assumed to be everywhere differentiable, the general theory of these transforms guarantees that $`s(u)`$ is strictly concave on its domain of definition. We conclude that if $`\phi (\beta )`$ is everywhere differentiable, then thermodynamic equivalence of ensembles holds for all admissible values of the mean energy.333 The differentiability of $`\phi (\beta )`$ for all $`\beta `$ also implies that with respect to the canonical ensemble the energy per particle $`u(x^n)`$ converges to the constant value $`\phi ^{}(\beta )`$ in the limit $`n\mathrm{}`$ Ellis (1985). This can be expressed in more physical terms by saying that the absence of a first-order phase transition in the canonical ensemble implies that the ensembles are equivalent at the thermodynamic level. Unfortunately, the converse statement does not hold as the nondifferentiability of $`\phi `$ at some $`\beta `$ corresponds to one of the following: either $`s(u)`$ is not concave over some range of mean-energy values or $`s(u)`$ is concave, but not strictly concave, over some range of mean-energy values (see Figure 1).

In the next subsection we examine the equivalence and nonequivalence of ensembles at a higher level; namely, that of equilibrium macrostates. Among other results we will see that the strict concavity of $`s`$ at some mean-energy value $`u`$ implies a strong form of equivalence that we call full equivalence.

### III.2 Macrostate level

At the level of equilibrium macrostates, the natural questions to consider for characterizing the equivalence or nonequivalence of the microcanonical and canonical ensembles are the following. For every $`\beta `$ and every $`L_\beta `$ in the set $`_\beta `$ of canonical equilibrium macrostates, does there exist a value of $`u`$ such that $`L_\beta `$ lies in the set $`^u`$ of microcanonical equilibrium macrostates? Conversely, for every $`u`$ and every $`L^u^u`$, does there exist a value of $`\beta `$ such that $`L^u_\beta `$? In trying to relate the macrostate level of equivalence and nonequivalence of ensembles with the thermodynamic level of equivalence and nonequivalence, we also ask the following. Are there thermodynamic conditions expressed in terms of properties of $`s(u)`$ or $`\phi (\beta )`$ ensuring a correspondence or a lack of correspondence between the members of $`^u`$ and those of $`_\beta `$? In particular, does equivalence of ensembles at the thermodynamic level implies equivalence of ensembles at the level of equilibrium macrostates?

In Ellis et al. (2000) Ellis, Haven, and Turkington have provided precise answers to these questions expressed in terms of relationships between the solutions of the constrained minimization problem (7) that characterizes the set $`^u`$ of microcanonical equilibrium macrostates and the solutions of the dual unconstrained minimization problem (19) that characterizes the set $`_\beta `$ of canonical equilibrium macrostates. Their main results are summarized in items 1-4 below; they apply in general to any statistical mechanical model that have macroscopic variables $`L(x^n)`$ satisfying an LDP as in (II.1) with an entropy function $`s(L)`$ and that have an energy representation function $`u(L)`$ satisfying (6). In order to simplify the presentation, we consider only mean-energy values $`u`$ lying in the interior of the domain of definition of $`s`$, and we assume that $`s`$ is differentiable at all such $`u`$. The reader is referred to Ellis et al. (2000) for complete proofs of more general results that hold under weaker assumptions.

1. Canonical equilibrium macrostates can always be realized microcanonically. Let $`\beta `$ be given. Then

$$_\beta =\underset{uu(_\beta )}{}^u,$$
(28)
where $`u(_\beta )`$ denotes the set of mean-energy values $`u`$ that can be written as $`u(L)`$ for some $`L_\beta `$. Formula (28) implies that for any macrostate $`L_\beta _\beta `$ there exists $`uu(_\beta )`$ such that $`L_\beta ^u`$.
2. Full equivalence. If $`s`$ is strictly concave at $`u`$, then $`^u=_\beta `$ for $`\beta =s^{}(u)`$.
3. Partial equivalence. If $`s`$ is concave at $`u`$ but not strictly concave, then $`^u_\beta `$ for $`\beta =s^{}(u)`$; i.e., $`^u`$ is a proper subset of $`_\beta `$ which does not coincide with $`_\beta `$. According to items 2 and 3, thermodynamic equivalence of ensembles for some value of $`u`$ implies either full or partial equivalence of ensembles at the level of equilibrium macrostates for that $`u`$.
4. Nonequivalence. If $`s`$ is nonconcave at $`u`$, then $`^u_\beta =\mathrm{}`$ for all $`\beta `$. In other words, if there is thermodynamic nonequivalence of ensembles for some value of $`u`$, then the microcanonical equilibrium macrostates corresponding to that $`u`$ are nowhere realized within the canonical ensemble.

We spend the remainder of this section sketching part of the proof of full equivalence as stated in item 2 and proving nonequivalence as stated in item 4. The crucial insight needed to prove that $`s(u)=s^{}(u)`$ implies $`^u=_\beta `$ with $`\beta =s^{}(u)`$ is provided by a basic result of convex analysis which states that

$$s(v)s(u)+\beta (vu)$$
(29)
for all $`v`$ if and only if $`s(u)=s^{}(u)`$ and $`\beta =s^{}(u)`$. Accordingly, if we suppose that $`s(u)=s^{}(u)`$, then

$$\beta us(u)\beta vs(v)$$
(30)
for all $`v`$. Using the thermodynamic representation of $`\phi (\beta )`$ in (23) and the macrostate representation of $`\phi (\beta )`$ in (II.2), we see that

$`\beta us(u)`$ $``$ $`\underset{v𝒰}{inf}\{\beta vs(v)\}`$
$`=`$ $`\phi (\beta )`$
$`=`$ $`\underset{L}{inf}\{\beta u(L)s(L)\}.`$
Now choose any $`L^u^u`$; by the definition of this set $`u(L^u)=u`$, and $`s(L^u)=s(u)`$. This allows us to write

$$\beta u(L^u)s(L^u)\underset{L}{inf}\{\beta u(L)s(L)\}.$$
(32)
We deduce that $`L^u`$ minimizes $`\beta u(L)s(L)`$ or equivalently that $`L^u_\beta `$. Since $`L^u`$ is an arbitrary element of $`^u`$, it follows that $`^u_\beta `$. One completes the proof that $`^u=_\beta `$ by showing that if $`s`$ is strictly concave at $`u`$, then $`^u`$ is not a proper subset of $`_\beta `$.

To prove the assertion on nonequivalence of ensembles given in item 4, we proceed in a similar fashion. The assumption that $`s`$ is nonconcave at $`u`$ implies that

$`s(u)<s^{}(u)`$ $`=`$ $`\underset{\gamma }{inf}\{\gamma u\phi (\gamma )\}`$
$``$ $`\beta u\phi (\beta )`$
for all $`\beta `$. This can be rewritten as

$$\beta us(u)>\phi (\beta ).$$
(34)
Now choose any $`L^u^u`$ and any $`\beta `$. Since $`u(L^u)=u`$ and $`s(L^u)=s(u)`$, it follows that

$$\beta u(L^u)s(L^u)>\phi (\beta )=\underset{L}{inf}\{\beta u(L)s(L)\}.$$
(35)
This shows that $`L^u`$ is not a minimizer of $`\beta u(L)s(L)`$ and thus that $`L^u_\beta `$. Since $`L^u`$ is an arbitrary element of $`^u`$ and $`\beta `$ is arbitrary, we conclude that $`^u_\beta =\mathrm{}`$ for all $`\beta `$, as claimed.

## IV Illustration of the results for the Blume-Emery-Griffiths model

We now come to the main point of our study which is to illustrate, in the context of a simple spin model, the general results presented in the previous section about macrostate equivalence and nonequivalence of ensembles and the relationship with thermodynamic equivalence and nonequivalence. The model that we consider for this purpose is a slight variant of the mean-field Blume-Emery-Griffiths (BEG) model defined by the following Hamiltonian Blume et al. (1971); Barré et al. (2001):

$$U(x^n)=\underset{i=1}{\overset{n}{}}x_i^2\frac{K}{n}\left(\underset{i=1}{\overset{n}{}}x_i\right)^2.$$
(36)
In this formula $`x_i`$ represents a spin variable at site $`i`$ taking values in the set $`𝒳=\{1,0,+1\}`$, and $`K`$ is a positive real constant. The a priori measure for the model is defined by

$$P(x^n)=\frac{1}{3^n}\text{ for every }x^n𝒳^n.$$
(37)
The macroscopic variable that we use to investigate the equivalence and nonequivalence of the microcanonical and canonical ensembles is the empirical vector $`L(x^n)`$ defined as

$$L(x^n)=(L_1(x^n),L_0(x^n),L_{+1}(x^n)),$$
(38)
where for $`j=1,0,+1`$

$$L_j(x^n)=\frac{1}{n}\underset{i=1}{\overset{n}{}}\delta _{x_i,j}.$$
(39)
In physics, this quantity is often referred to as the one-particle state distribution or statistical distribution; its three components $`L_1(x^n)`$, $`L_0(x^n)`$, and $`L_{+1}(x^n)`$ give the proportion of spins in the microstate $`x^n`$ that take the respective values $`1`$, $`0`$, and $`+1`$. Accordingly, $`L(x^n)`$ takes values in the space $``$ of probability vectors $`L=(L_1,L_0,L_{+1})`$ defined by the conditions $`L_j0`$ for $`j=1,0,+1`$, and $`L_1+L_0+L_{+1}=1`$.

For $`L`$ we define the function

$$u(L)=L_{+1}+L_1K(L_{+1}L_1)^2.$$
(40)
The choice of the empirical vector for studying equivalence and nonequivalence of ensembles is dictated by the fact that we can represent the energy per particle

$$u(x^n)=\frac{U(x^n)}{n}=\frac{1}{n}\underset{i=1}{\overset{n}{}}x_i^2K\left(\frac{1}{n}\underset{i=1}{\overset{n}{}}x_i\right)^2$$
(41)
in the form

$`u(x^n)`$ $`=`$ $`{\displaystyle \underset{j𝒳}{}}L_j(x^n)j^2K\left({\displaystyle \underset{j𝒳}{}}L_j(x^n)j\right)^2`$
$`=`$ $`L_{+1}(x^n)+L_1(x^n)K(L_{+1}(x^n)L_1(x^n))^2`$
$`=`$ $`u(L(x^n)).`$
This display, which holds exactly for all $`x^n`$ and $`n`$, verifies assumption (6) for the BEG model with the energy representation function $`u(L)`$ defined in (40). Moreover, one shows either by a combinatorial argument based on Stirling’s approximation Reif (1965); Pathria (1996); Ellis (1985) or from Sanov’s Theorem Dembo and Zeitouni (1998); Ellis (1985) that with respect to the a priori probability measure $`P`$, $`L(x^n)`$ satisfies an LDP of the form (II.1) with the entropy function

$$s(L)=\underset{x𝒳}{}L_x\mathrm{ln}L_x\mathrm{ln}3.$$
(43)
These properties of $`L(x^n)`$ allow us to characterize the equilibrium macrostates with respect to each ensemble as solutions of an appropriate optimization problem. In order to simplify the notation, the components of probability vectors $`L`$ will be written as $`(L_{},L_0,L_+)`$ instead of as $`(L_1,L_0,L_{+1})`$. We first consider the set $`^u`$ of microcanonical equilibrium empirical vectors $`L^u`$ associated with the mean energy $`u`$. According to the definition (7), the equilibrium macrostates $`L^u`$ are characterized as maximizers of $`s(L)`$ over the space $``$ subject to the constraint $`u(L^u)=u`$. Solving this problem necessitates only the maximization of a function of one variable since the normalization constraint on the components of the empirical vector reduces the number of independent components of $`L^u`$ to two, while the microcanonical energy constraint reduces this number by one more. The set $`_\beta `$ of canonical equilibrium empirical vectors parameterized by the inverse temperature $`\beta `$ is defined in (19). The elements $`L_\beta `$ of this set are characterized as maximizers of the quantity $`\beta u(L)s(L)`$ over $``$. In this case, we are faced with an unconstrained two-dimensional maximization problem involving the two components $`L_+`$ and $`L_{}`$.444 Another method for constructing $`_\beta `$ can be based on the determination of the canonical equilibrium value of the total spin per particle. The advantage of this alternate method is that the associated minimization problem is one-dimensional (R. S. Ellis, P. Otto, and H. Touchette, in preparation).

In Figure 2 we present a first set of solutions for $`^u`$ and $`_\beta `$ corresponding to the value $`K=1.1111`$, together with a plot of the derivative of the microcanonical entropy function $`s(u)`$. Because neither of the two optimization problems involved in the definitions of $`^u`$ and $`_\beta `$ could be solved analytically, we provide numerical results obtained using various routines available in the scientific software Mathematica. The top left plot of Figure 2 showing $`s^{}(u)`$ was obtained by calculating an empirical vector $`L^u^u`$, which satisfies $`u(L^u)=u`$ and $`s(L^u)=s(u)`$. The top right and the bottom left plots display, respectively, the canonical and microcanonical equilibrium components of the empirical vector as a function of the parameters $`\beta `$ and $`u`$ defining each of the two ensembles. In the top right plot, the solid curve can be taken to represent the spin $`+1`$ component of the equilibrium empirical vector $`L_\beta `$, while the dashed curve can be taken to represent the spin $`1`$ component of the same equilibrium empirical vector. Since the BEG Hamiltonian satisfies the exchange symmetry $`L_+L_{}`$, the roles of the solid and dashed curves can also be reversed. For $`\beta \beta _c`$, the solid curve represents the common value of $`L_+=L_{}`$. In all cases, the component $`L_0`$ of $`L_\beta `$ is determined by $`L_0=1L_+L_{}`$. The same explanation applies to the bottom left plot of $`L^u`$.

The first series of plots displayed in Figure 2 were designed to illustrate a case where $`s(u)`$ is concave and where, accordingly, we expect equivalence of ensembles. That the equivalence of ensembles holds in this case at the level of the empirical vector can be seen by noting that the solid and dashed curves representing the $`L_+`$ and $`L_{}`$ components of $`L_\beta `$ in the top right plot can be put in one-to-one correspondence with the solid and dashed curves representing the same two components of $`L^u`$ in the bottom left plot. The one-to-one correspondence is defined by the derivative of the microcanonical entropy $`s(u)`$: for a given $`u`$ we have $`L^u=L_{\beta (u)}`$ with $`\beta (u)=s^{}(u)`$. Moreover, since the monotonic function $`s^{}(u)`$ can be inverted to yield a function $`u(\beta )`$ satisfying $`s^{}(u(\beta ))=\beta `$, we have $`L_\beta =L^{u(\beta )}`$ for all $`\beta `$. Thus, the equilibrium statistics of the BEG model in the microcanonical ensemble can be translated unambiguously into equivalent equilibrium statistics in the canonical ensemble and vice versa. In this case, the critical mean energy $`u_c`$ at which the BEG model goes from a high-energy phase of zero magnetization $`m(L)=L_+L_{}`$ to a low-energy phase of nonzero magnetization in the microcanonical ensemble can be calculated from the viewpoint of the canonical ensemble by finding the critical inverse temperature $`\beta _c`$ that determines the onset of the same phase transition in the canonical ensemble. Since the two ensembles are equivalent, both the microcanonical and canonical phase transitions must be of the same order, which in this case is second-order.

In the second series of plots in Figure 3, a case of ensemble nonequivalence corresponding to the value $`K=1.0817`$ is shown. Since in the top left plot $`s^{}(u)`$ is not monotonic, $`s(u)`$ is not concave. As in Figure 1, the open interval $`(u_l,u_h)`$ of mean-energy values is the interval on which $`s(u)s^{}(u)`$; on this interval $`s(u)`$ is nonconcave and $`s^{}(u)`$ is affine with slope $`\beta _c`$. By comparing the top right plot of $`L_\beta `$ and the bottom left plot of $`L^u`$, we see that the elements of $`^u`$ cease to be related to elements of $`_\beta `$ for all mean-energy values $`u`$ in the interval $`(u_l,u_h)`$. In fact, for any $`u`$ in this interval of thermodynamic nonequivalence of ensembles (shaded region) no $`L_\beta `$ exists that can be put in correspondence with an equivalent equilibrium empirical vector contained in $`^u`$. This lack of correspondence agrees with the rigorous results of Ellis, Haven, and Turkington Ellis et al. (2000) reviewed in Section III. Thus, although the equilibrium macrostates $`L^u`$ corresponding to $`u(u_l,u_h)`$ are characterized by a well defined value of the mean energy, it is impossible to assign a temperature to those macrostates from the viewpoint of the canonical ensemble. In other words, the canonical ensemble is blind to all mean-energy values $`u`$ contained in the domain of nonconcavity of $`s(u)`$. By decreasing $`\beta `$ continuously through the critical value $`\beta _c`$, the equilibrium value of the energy per particle associated with the empirical vectors in $`_\beta `$ jumps discontinuously from $`u_l`$ to $`u_h`$ (canonical first-order phase transition). However, outside the range $`(u_l,u_h)`$ we have equivalence of ensembles, and a continuous variation of $`\beta `$ induces a continuous variation of $`u`$.

We can go further in our analysis of the plots of Figure 3 by noting that the phase transition exhibited in the microcanonical ensemble is second-order (continuous) whereas it is first-order (discontinuous) in the canonical ensemble. This provides another clear evidence of the nonequivalence of the two ensembles. Again, because the canonical ensemble is blind to all mean-energy values located in the nonequivalence region, only a microcanonical analysis of the model can yield the critical mean energy $`u_c`$. As for the critical inverse temperature $`\beta _c`$, which signals the onset of the first-order transition in the canonical ensemble, its precise value can be found by calculating the slope of the affine part of $`s^{}(u)`$ or, equivalently, by identifying the point of nondifferentiability of $`\phi (\beta )`$ (see the caption of Figure 1).

A further characterization of $`\beta _c`$ can also be given in terms of the three solutions of the equation $`s^{}(u)=\beta _c`$. In Figure 3, $`u_l`$ is the smallest of these solutions and $`u_h`$ the largest. We denote by $`u_m`$ the intermediate solution of $`s^{}(u)=\beta _c`$. Because

$$s(u_l)=s^{}(u_l),s(u_h)=s^{}(u_h),$$
(44)
and

$$s^{}(u_h)s^{}(u_l)=\beta _c(u_hu_l),$$
(45)
it follows that

$$_{u_l}^{u_h}[\beta _cs^{}(u)]𝑑u=\beta _c(u_hu_l)[s(u_h)s(u_l)]=0.$$
(46)
Rewriting this integral in terms of $`u_m`$, we see that

$$_{u_l}^{u_m}[\beta _cs^{}(u)]𝑑u=_{u_m}^{u_h}[s^{}(u)\beta _c]𝑑u.$$
(47)
This equation expresses the equal-area property of $`\beta _c`$, first observed by Maxwell (see Huang (1987)).

To conclude this section, we present in Figure 4 a final series of plots of $`s^{}(u)`$, $`L_\beta `$, and $`L^u`$ corresponding to $`K=1.0805`$, a slightly smaller value than the one considered in Figure 3. As in Figure 3, there also exists in Figure 4 an open interval $`(u_l,u_h)`$ over which $`s(u)`$ is nonconcave. For $`u(u_l,u_h)`$ we consequently have nonequivalence of ensembles, illustrated by the shaded region in the bottom left plot. As in Figure 3, the nonequivalence of ensembles is associated with a first-order phase transition in the canonical ensemble determined by $`\beta _c`$. The microcanonical phase transition in Figure 4 is also first-order due to the jump in $`s^{}(u)`$ as $`u`$ increases through the critical value $`u_c`$. By contrast, the microcanonical transition is second-order in Figure 3.

## V Conclusion

We have provided in this paper a simple illustration of the fact that the nonequivalence of the microcanonical and canonical ensembles at the thermodynamic level entails a much more fundamental nonequivalence of these ensembles at the level of equilibrium macrostates. Focusing our attention on the mean-field Blume-Emery-Griffiths (BEG) model, we showed that if the microcanonical entropy $`s`$ is strictly concave at a mean-energy value $`u`$, then the microcanonical equilibrium distributions of states characterizing the equilibrium configurations of the BEG model at the fixed value $`u`$ are realized canonically for inverse temperature $`\beta `$ given by $`\beta =s^{}(u)`$. We also showed that if the microcanonical entropy $`s`$ is nonconcave at $`u`$, then the equilibrium distributions of states calculated microcanonically at the fixed value $`u`$ are nowhere to be found in the canonical ensemble.

This latter case of macrostate nonequivalence is illustrated in Figures 3 and 4 for various values of the parameter $`K`$ entering in the expression of the Hamiltonian of the BEG model. In each case there exists a continuum of nonequivalent equilibrium distributions of states that can be associated with mean-energy values $`u`$ satisfying $`s(u)<s^{}(u)`$, but cannot be associated with values of the inverse temperature $`\beta `$, the controllable parameter of the canonical ensemble. These results make it clear that the microcanonical ensemble is richer than the canonical ensemble, since the latter ensemble skips over the entire range of mean-energy values for which the entropy is nonconcave. As we have seen, this implies the presence of a first-order phase transition in the canonical ensemble.

It should be remarked that although nonequivalent microcanonical equilibrium distributions cannot be associated with any value of the parameter $`\beta `$, one is not prevented from assigning to these distributions a microcanonical inverse temperature equal to the derivative of the microcanonical entropy. While this is a well-defined theoretical possibility, important questions are whether this procedure has any physical significance and whether such a microcanonical analog of inverse temperature can be measured.

We end this paper by discussing another point related to nonequivalent equilibrium macrostates corresponding to mean-energy values at which the microcanonical entropy is nonconcave. In the course of doing our numerical calculations leading to the determination of the sets $`^u`$ and $`_\beta `$, we noticed that the equilibrium distributions of states $`L^u`$ that exist microcanonically but not canonically are metastable macrostates of the canonical ensemble; i.e., they are local but not global minima of the quantity $`\beta u(L)s(L)`$. This was observed to occur when the mean energy $`u`$ associated with these states satisfies $`s^{\prime \prime }(u)<0`$. For $`u`$ satisfying $`s^{\prime \prime }(u)>0`$, we found instead that the macrostates $`L^u`$ in the region of nonequivalence are saddle points of $`\beta u(L)s(L)`$.

At this stage we cannot prove that this phenomenon holds in generality. However, our results lead us to conjecture that it is valid for a wide range of statistical mechanical models that have macroscopic variables satisfying an LDP as in (II.1) with an entropy function $`s(L)`$, and that have an energy representation function $`u(L)`$ satisfying (6). A number of theoretical and computational results found by Eyink and Spohn Eyink and Spohn (1993) and Antoni et al. Antoni et al. (2002), respectively, seem also to support such a conjecture. Besides, we know from the theory of Lagrange multipliers that all the microcanonical equilibrium macrostates are extremal points of the quantity $`\beta u(L)s(L)`$, the global minimizers of which define the canonical equilibrium macrostates. In this context, what remains to be found is then just a way to determine the precise nature of these extremal points based on the properties of $`s(u)`$. Work aimed at elucidating this problem is ongoing Touchette and Ellis (2004).

## Acknowledgments

One of us (H.T.) would like to thank Stefano Ruffo for prompt and courteous replies to many questions related to this work, and André-Marie Tremblay for useful discussions. Alessandro Torcini is also thanked for pointing out Ref. Antoni et al. (2002) to our attention. The research of R.S.E. and B.T. was supported by grants from the National Science Foundation (NSF-DMS-0202309 and NSF-DMS-0207064, respectively) while the research of H.T. was supported by the Natural Sciences and Engineering Research Council of Canada (ESB Scolarships Program) and the Fonds québecois de la recherche sur la nature et les technologies (Graduate Scolarships Program).


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# Generally covariant Quantum Mechanics11footnote 1Presented at the Symmetry 2003 conference in Kiev.

## 1 Problem

In the standard Quantum Mechanics (QM) and the Quantum Field Theory (QFT) the spacetime coordinates are pretty classical variables. Therefore the question about the general covariance of QM and QFT emerges naturally just like in the classical theory:

1. what is the effect of a changing of the spacetime coordinates in QM and QFT when the changing does not form any symmetry transformation?

It is a commonly accepted believe that there are no substantial difficulties if we refer the question to the wave equation. We simply treat the wave equation, and do not say why, in such a manner as if it was a classical equation. The only problem arising is to find the transformation rule $`\psi T_r\psi `$ for the wave function $`\psi `$. This procedure, which on the other hand can be seriously objected, does not solve the above stated problem. The heart of the problem as well as of QM and QFT lies in the Hilbert space of states and just in finding the representation $`T_r`$ of the covariance group in question. The trouble gets its source in the fact that the covariance transformation changes the form of the wave equation such that $`\psi `$ and $`T_r\psi `$ do not belong to the same Hilbert space, which means that $`T_r`$ does not act in the ordinary Hilbert space. This is not compatible with the paradigm worked out in dealing with symmetry groups.

## 2 Resume of the reformulation of the Quantum Mechanics

We have shown that covariance group acts in a Hilbert bundle $`\mathrm{}`$ over the time in the nonrelativistic theory and in a Hilbert bundle $`\mathrm{}`$ over the spacetime $``$ in the relativistic case. The wave functions are the appropriate cross sections of the bundle in question. The exponent $`\xi (r,s,p)`$ in the formula

$$T_rT_s=e^{i\xi (r,s,p)}T_{rs},$$

depends on the point $`p`$ of the base of the bundle in question: that is, $`\xi `$ depends on the time $`t`$ in the nonrelativistic theory and on spacetime point $`p`$ in the relativistic theory if there exists a nontrivial gauge freedom.

Moreover, we argue that the bundle $`\mathrm{}`$ is more appropriate for treating the covariance as well as the symmetry groups then the Hilbert space itself. Namely, we show that from the more general assumption that the representation $`T_r`$ of the Galilean group acts in $`\mathrm{}`$ and has an exponent $`\xi (r,s,t)`$ depending on the time $`t`$ we reconstruct the nonrelativistic Quantum Mechanics. Even more, in the less trivial case of the theory with nontrivial time-dependent gauge describing the spin less quantum particle in the Newtonian gravity we are able to infer the wave equation and prove the equality of the inertial and gravitational masses.

In doing it we apply extensively the classification theory for exponents $`\xi (r,s,t)`$ of $`T_r`$ acting in $`\mathrm{}`$ and depending on the time.

In the presented theory which is slightly more general then the standard one the gauge freedom emerges from the very nature of the fundamental laws of Quantum Mechanics. By this it opens a new perspective in solving the troubles in QFT caused by the gauge freedom.

Interpretation. The physical interpretation ascribed to the cross section $`\psi `$ is as follows. Each experiment is, out of its very nature, a spatiotemporal event. To each act of measurement carried out at the spacetime point $`p_0`$ we ascribe a self-adjoint operator $`Q_{p_0}`$ acting in the Hilbert space $`_{p_0}`$ and ascribe to the spectral theorem for $`Q_{p_0}`$ the standard interpretation. Hence, assuming for simplicity that $`Q_{p_0}`$ is bounded, if $`\varphi _0_{p_0}`$ and $`\lambda _0=\lambda _o(p_0)`$ is a characteristic vector and its corresponding characteristic value of $`Q_{p_0}`$ respectively then we have the following statement. *If the experiment corresponding to* $`Q_p`$ *was performed at the spatiotemporal event* $`p_0`$ *on a system in the state described by the cross section $`\psi `$, then the probability of the measurement value to be $`\lambda _0(p_0)`$ and the system to be found in the state described by $`\varphi `$ such that $`\varphi (p_o)=\varphi _0`$ after the experiment is given by the square of the absolute value of the Borel function $`|f_\psi (p_0,\varphi _0)|^2=|(\varphi _0,\psi _{p_0})|^2`$ induced by the cross section $`\psi `$*. In the nonrelativistic case the above statement is a mere rephrasing of the well established knowledge.

See  for detail treatment, where the theory was proposed.

## 3 Resume of the generalization of the Bargmann’s theory of factors

Our main task was to construct the general classification theory of spacetime dependent exponents $`\xi (r,s,p)`$ of representations acting in $`\mathrm{}`$, see . On the other hand the presented theory can be viewed as a generalization of the Bargmann’s  classification theory of exponents $`\xi (r,s)`$ of representations acting in ordinary Hilbert spaces, which are independent of $`p`$.

Definition. By an *isomorphism* of the Hilbert bundle $`\mathrm{}`$ with the Hilbert bundle $`^{}\mathrm{}^{}`$ we shall mean a Borel isomorphism $`T`$ of $`\mathrm{}`$ on $`^{}\mathrm{}^{}`$ such that for each $`p`$ the restriction of $`T`$ to $`p\times _p`$ has some $`q\times _q^{}`$ for its range and is unitary when regarded as a map of $`_p`$ on $`_q^{}`$. The induced map carrying $`p`$ into $`q`$ is clearly a Borel isomorphism of $``$ with $`^{}`$ and we denote it by $`T^\pi `$. The above defined $`T`$ is said to be an *automorphism* if $`\mathrm{}=^{}\mathrm{}^{}`$. Note that for any automorphism $`T`$ we have $`(T\psi ,T\varphi )_{T^\pi p}=(\psi ,\varphi )_p`$, but in general $`(T\psi ,T\varphi )_p(\psi ,\varphi )_p`$. By this any automorphism $`T`$ is what is frequently called a *bundle isometry*. (We use the Hilbert bundle with the ordinary Borel structure in the total space and with the ordinary manifold structure in the base $``$, see e.g. .)

Definition. The function $`rT_r`$ from a group $`G`$ into the set of automorphisms (bundle isometries) of $`\mathrm{}`$ is said to be a *general factor representation* of $`G`$ associated to the action $`G\times r,pr^1p`$ of $`G`$ on $``$ if $`T_r^\pi (p)r^1p`$ for all $`rG`$, and $`T_r`$ satisfy the condition

$$T_rT_s=e^{i\xi (r,s,p)}T_{rs}.$$

Here we give only the summing up

Theorem. (1) On a Lie group $`G`$, every local exponent $`\xi (r,s,p)`$ is equivalent to a canonical local exponent $`\xi ^{}(r,s,p)`$ which, on some canonical neighborhood $`𝔑_0`$, is analytic in canonical coordinates of $`r`$ and $`s`$ and and vanishes if $`r`$ and $`s`$ belong to the same one-parameter subgroup. Two canonical local exponents $`\xi ,\xi ^{}`$ are equivalent if and only if $`\xi ^{}(r,s,p)=\xi (r,s,p)+\mathrm{\Lambda }(r,p)+\mathrm{\Lambda }(s,r^1p)\mathrm{\Lambda }(rs,p)`$ on some canonical neighborhood, where $`\mathrm{\Lambda }(r,p)`$ is a linear form in the canonical coordinates of $`r`$ such that $`\mathrm{\Lambda }(r,sp)`$ does not depend on $`s`$ if $`s`$ belongs to the same one-parameter subgroup as $`r`$. (2) To every canonical local exponent of $`G`$ corresponds uniquely an infinitesimal exponent $`\mathrm{\Xi }(a,b,p)`$ on the Lie algebra $`𝔊`$ of $`G`$, i.e. a bilinear antisymmetric form which satisfies the identity333$`𝒂\mathrm{\Xi }(b,c,p)`$ stands for the diffrential operator $`d/d\tau \mathrm{\Xi }(b,c,(\tau a)p)|_{\tau =0}`$. $`\mathrm{\Xi }([a,a^{}],a^{\prime \prime },p)+\mathrm{\Xi }([a^{},a^{\prime \prime }],a,p)+\mathrm{\Xi }([a^{\prime \prime },a],a^{},p)=𝒂\mathrm{\Xi }(a^{},a^{\prime \prime },p)+𝒂^{\mathbf{}}\mathrm{\Xi }(a^{\prime \prime },a,p)+𝒂^{\mathbf{\prime \prime }}\mathrm{\Xi }(a,a^{},p)`$. The correspondence is linear. (3) Two canonical local exponents $`\xi ,\xi ^{}`$ are equivalent if and only if the corresponding $`\mathrm{\Xi }`$, $`\mathrm{\Xi }^{}`$ are equivalent, i.e.<sup>4</sup><sup>4</sup>4$`\tau \tau a`$ is a one-parameter group generated by $`a𝔊`$. $`\mathrm{\Xi }^{}(a,b,p)=\mathrm{\Xi }(a,b,p)+𝒂\mathrm{\Lambda }(b,p)𝒃\mathrm{\Lambda }(a,p)\mathrm{\Lambda }([a,b],p)`$ where $`\mathrm{\Lambda }(a,p)`$ is a linear form in $`a`$ on $`𝔊`$ such that $`\tau \mathrm{\Lambda }(a,(\tau b)p)`$ is constant if $`a=b`$. (4) There exist a one-to-one correspondence between the equivalence classes of local exponents $`\xi `$ (global in $`p`$) of $`G`$ and the equivalence classes of infinitesimal exponents $`\mathrm{\Xi }`$ of $`𝔊`$.

## 4 The physical motivation

It will be instructive to investigate the problem for the free particle in the flat Galilean spacetime. The set of solutions $`\psi `$ of the Schrödinger equation which are admissible in Quantum Mechanics is precisely given by

$$\psi (\stackrel{}{x},t)=(2\pi )^{3/2}\phi (\stackrel{}{k})e^{i\frac{t}{2m}\stackrel{}{k}\stackrel{}{k}+i\stackrel{}{k}\stackrel{}{x}}\mathrm{d}^3k,$$

where $`p=\mathrm{}k`$ is the linear momentum and $`\phi (\stackrel{}{k})`$ is any square integrable function. The functions $`\phi `$ (wave functions in the ”Heisenberg picture”) form a Hilbert space $``$ with the inner product

$$(\phi _1,\phi _2)=\phi _1^{}(\stackrel{}{k})\phi _2(\stackrel{}{k})\mathrm{d}^3k.$$

The correspondence between $`\psi `$ and $`\phi `$ is one-to-one.

But in general the construction fails if the Schrödinger equation possesses a nontrivial gauge freedom. We explain it.

We need not to use the Fourier transform. What is the role of the Schrödinger equation in the above construction of $``$? In the above construction the Hilbert space $``$ is isomorphic to the space of square integrable functions $`\phi (\stackrel{}{x})\psi (\stackrel{}{x},0)`$ – the set of square integrable space of initial data for the Schrödinger equation. The connection between $`\psi `$ and $`\phi `$ is given by the time evolution $`U(0,t)`$ operator (by the Schrödinger equation):

$$U(0,t)\phi =\psi .$$

The correspondence between $`\phi `$ and $`\psi `$ has all formal properties such as in the above Fourier construction. Denote the space of the initial square integrable data $`\phi `$ on the simultaneity hyperplane $`t(X)=t`$ by $`_t`$. The space of wave functions $`\psi (\stackrel{}{x},t)=U(0,t)\phi (\stackrel{}{x})`$ isomorphic to the Hilbert space $`_0`$ of $`\phi `$’s is called in the common ”jargon” the ”Schrödinger picture”.

However, the connection between $`\phi (\stackrel{}{x})`$ and $`\psi (\stackrel{}{x},t)`$ is not unique in general, if the wave equation possesses a gauge freedom. Namely, consider the two states $`\phi _1`$ and $`\phi _2`$ and ask the question: when the two states are equivalent and by this indistinguishable? The answer is as follows: they are equivalent if

$$|(\phi _1,\phi )|\left|\psi _1^{}(\stackrel{}{x},t)\psi (\stackrel{}{x},t)\mathrm{d}^3x\right|=|(\phi _2,\phi )|$$

$$\left|\psi _2^{}(\stackrel{}{x},t)\psi (\stackrel{}{x},t)\mathrm{d}^3x\right|,$$
(1)
for any state $`\phi `$ from $``$, or for all $`\psi =U\phi `$ ($`\psi _i`$ are defined to be = $`U(0,t)\phi _i`$). Substituting $`\phi _1`$ and then $`\phi _2`$ for $`\phi `$ and making use of the Schwarz’s inequality one gets: $`\phi _2=e^{i\alpha }\phi _1`$, where $`\alpha `$ is any constant555This gives the conception of the ray, introduced to Quantum Mechanics by Hermann Weyl : a physical state does not correspond uniquely to a normed state $`\phi `$, but it is uniquely described by a *ray*, two states belong to the same ray if they differ by a constant phase factor.. The situation for $`\psi _1`$ and $`\psi _2`$ is however different. In general the condition (1) is fulfilled if

$$𝝍_\mathrm{𝟐}\mathbf{=}𝒆^{𝒊𝚲\mathbf{(}𝒕\mathbf{)}}𝝍_\mathrm{𝟏}$$

and the phase factor can depend on time. Of course it has to be consistent with the wave equation, that is, together with a solution $`\psi `$ to the wave equation the wave function $`e^{i\mathrm{\Lambda }(t)}\psi `$ also is a solution to the appropriately gauged wave equation. *A priori* one can not exclude the existence of such a consistent time evolution. This is not a new observation, it was noticed by John von Neumann666J. v. Neumann, Mathematical Principles of Quantum Mechanics, University Press, Princeton (1955). He did not mention about the gauge freedom on that occasion. But the gauge freedom is necessary for the equivalence of $`\psi _1`$ and $`\psi _2=e^{i\mathrm{\Lambda }(t)}\psi _1`$., but it seems that it has never been deeply investigated (probably because the ordinary nonrelativistic Schrödinger equation has a gauge symmetry with constant $`\mathrm{\Lambda }`$). The space of waves $`\psi `$ describing the system cannot be reduced in the above way to any fixed Hilbert space $`_t`$ with a fixed $`t`$. So, the existence of the nontrivial gauge freedom leads to the

Hypothesis. *The two waves $`\psi `$ and $`e^{i\mathrm{\Lambda }(t)}\psi `$ are quantum-mechanically indistinguishable*.

Moreover, we are obliged to use the whole Hilbert bundle $`\mathrm{}:t_t`$ over the time instead of a fixed Hilbert space $`_t`$, with the appropriate cross sections as the waves $`\psi `$.

Consider now an action $`T_r`$ of a group $`G`$ in the space of waves $`\psi `$. From our analysis it follows that it is natural to replace the ordinary postulate:

Classical-like postulate. *The group $`G`$ is a symmetry group if and only if the wave equation is invariant under the transformation $`x^{}=rx,rG`$ of independent variables and the transformation $`\psi ^{}=T_r\psi `$ of the wave function*.

by the more appropriate alternative:

Quantum postulate. *The group $`G`$ is a symmetry group if and only if the transformation $`x^{}=rx,rG`$ of independent variables and the transformation $`\psi ^{}=T_r\psi `$ of the wave function transform the wave equation into a gauge-equivalent one*.

Acceptation of the Quantum postulate gives a new perspective for solving the two very difficult problems :

1. generally covariant formulation of Quantum Mechanics,
2. the troubles in the Quantum Field Theory caused by the gauge freedom.

Moreover, with the help of the Hypothesis we can see that both (a) and (b) are deeply connected .

## 5 Connection to the troubles with the gauge freedom

Now, we return to the problem (b). It should be mentioned at this place that the troubles in QFT generated by the gauge freedom are of general character, and are well known. For example, there do not exist vector particles with helicity = 1, which is a consequence of the theory of unitary representations of the Poincaré group, as was shown by J. Łopuszański . This is apparently in contradiction with the existence of vector particles with helicity = 1 in nature – the photon, which is connected with the electromagnetic four-vector potential. The connection of the problem with the gauge freedom is well known . We omit however the difficulty if we allow the inner product in the ”Hilbert space” to be not positively defined, see , or . Due to , the vector potential (promoted to be an operator valued distribution in QED) cannot be a vector field, if one wants to have the inner product positively defined then together with the coordinate transformation the gauge transformation has to be applied, which breaks the vector character of the potential. Practically it means that any gauge condition which brings the theory into the canonical form such that the quantization procedure can be consequently applied (with the positively defined inner product in the Hilbert space) breaks the four-vector character of the electromagnetic potential, the Coulomb gauge condition is an example. To achieve the Poincaré symmetry of Maxwell equations with such a gauge condition (the Coulomb gauge condition for example), it is impossible to preserve the vector character of the potential – together with the coordinate transformation a well defined (by the coordinate transformation) gauge transformation $`f`$ has to be applied:

$$A_\mu A_\mu ^{}^{}=\frac{x^\nu }{x^\mu ^{}}(A_\nu +_\nu f).$$

This means that the electromagnetic potential can form a generalized ray representation $`T_r`$ of the Poincaré group at most, with the spacetime-dependent factor $`e^{i\xi }`$ if the scalar product is positively defined. One may ask: how possible is it if the Poincaré group is not only a covariance group but at the same time a symmetry group? The solution of this paradox on the grounds of the existing theory is rather obscure. We propose the following solution. The factor $`e^{i\xi }`$ is spacetime independent for the symmetry group but under the assumption that the fundamental space describing the states of a quantum system is the ordinary Hilbert space and the Classical-like postulate is true. But we have presented serious objections to this assumption. Moreover, the nonrelativistic quantum theory can be reconstructed from the more general assumption about the space of quantum mechanical states saying that it compose the space of appropriate cross sections of the Hilbert bundle $`\mathrm{}`$ over time $`t`$. The Schrödinger equation can be uniquely reconstructed from the generalized ray representations of the Galilean group. We watch for also a more fundamental justification of this assumption in the presumption that the time is a purely classical variable in the nonrelativistic quantum mechanics or so to speak a parameter. The most general unitary representation of the locally compact commutative group of the time real line acts in a Hilbert bundle $`\mathrm{}`$ over the time, see Mackey . So, the assumption about the ”classicity” of the time $`t`$ fixes the structure of space of quantum states to be a subset of cross sections of a Hilbert bundle over the time. This is the peculiar property of the Galilean group structure that the whole construction degenerates as if we were started from the ordinary ray representation over the ordinary Hilbert space and the theorem that the pase $`e^{i\xi }`$ is spacetime independent is true in this case, but only accidentally. The generalization to the relativistic case is natural. First we postulate the spacetime coordinates to be classical commutative variables, which leads to the Hilbert bundle $`\mathrm{}`$ over the space-time manifold $``$. The factor of the representation of the Poincaré group acting in the bundle $`\mathrm{}`$ has not to be a constant with respect to space-time coordinates even when it is a symmetry group. This solves the paradox.

On the other hand H. Weyl (pages 272-276 of the Dover ed. of ) showed that the Quantum Kinematics represented by the Heisenberg commutation relations is nothing else but a unitary factor representation of an Abelian group. This Weyl’ construction can be viewed as emerging from the gauge freedom with the constant phase (constant $`\mathrm{\Lambda }`$), i.e. a special case of the Bargmann’ theory, see . This is just the case of the Heisenberg’ analysis of commutation relations for the atom which is determined (in the first approximation) by the Coulomb field of its nuclei charge. That is, the field which is naturally connected with the constant phase gauge freedom. But the general electromagnetic interactions possess the spacetime dependent gauge freedom. So, by the construction our generalization seems to be natural for treating the quantum electromagnetic interactions.

## 6 Connection to the troubles with the position operator

It was shown in section 4 that our generalization with states as cross sections in a Hilbert bundle $`\mathrm{}`$ over the whole spacetime $``$ looses physical sense in the nonrelativistic theory. In this case we have the bundle $`\mathrm{}`$ over the time. It should be noted that we can recover this fact from the more general point of view. Namely, any exponent $`\xi (r,s,p)`$ of a generalized factor representation of the Galilean group acting in $`\mathrm{}`$ is equivalent to a time dependent one: $`\xi (r,s,p)=\xi (r,s,t)`$, such that we can restrict the whole analysis to the bundle $`\mathrm{}`$ over the time. This is a peculiar property of the Galilean group. This is not the case for the Poincaré group of course. The time, being a classical variable, does not posses any quantum mechanical measurement operator. But, contrary to the time, the spacetime coordinates do possess operators in the nonrelativistic theory. In the relativistic case all the spacetime coordinates play the role of the time and do not possess quantum mechanical operators. This is in agreement to the standard problem in construction of the position operator in the relativistic theory, compare e.g.  and .


text:
# Discrete charging of a quantum dot strongly coupled to external leads

(May 18, 2004, version 8.0)

## Abstract

We examine a quantum dot with $`N_{\mathrm{dot}}`$ levels which is strongly coupled to leads for varying number of channels $`N`$ in the leads. It is shown both analytically and numerically that for strong couplings between the dot and the leads, at least $`N_{\mathrm{dot}}N`$ bound states (akin to subradiant states in optics) remain on the dot. These bound states exhibit discrete charging and, for a significant range of charging energies, strong Coulomb blockade behavior as function of the chemical potential. The physics changes for large charging energy where the same (superradiant) state is repeatedly charged.

It is well known that the number of electrons in a weakly coupled quantum dot changes discretely as function of the chemical potential. This phenomenon is the basis for the application of such dots as single electron transistors kastner92 . When the coupling to the external leads is weak, it may be treated as a perturbation and results in a broadening $`\mathrm{\Gamma }=\pi N\nu |V|^2`$ of the states of the uncoupled dot. ($`\nu `$ is the density of states (DOS) in a lead, $`N`$ the number of leads, and $`V`$ is the overlap matrix element between a state in the dot and a typical state of the leads.) Usually, one expects the discrete features of the dot to be lost once $`\mathrm{\Gamma }`$ is larger than the typical level spacing $`\mathrm{\Delta }`$ in the dot. This corresponds to the requirement that the dimensionless conductance through the dot, $`g_{\mathrm{dot}}=\mathrm{\Gamma }/\mathrm{\Delta }`$, should be larger than one.

Electron-electron interaction in the dot results in the Coulomb blockade phenomenon kastner92 . Within the ”orthodox model” alhassid00 , the chemical potential change needed to add an additional electron to a weakly coupled dot is no longer $`\mathrm{\Delta }`$ but rather $`\mathrm{\Delta }+e^2/C`$, where $`C`$ is the capacitance of the dot. For stronger coupling to the leads, suppression of the Coulomb blockade is predicted aleiner02 , and once $`\mathrm{\Gamma }\mathrm{\Delta }`$ only a weak remnant of the discreteness of the dot is expected matveev95 .

In this picture the only relevant condition for the the appearance of discrete features in the dot is $`g_{\mathrm{dot}}<1`$. Nevertheless, one may extrapolate from the Dicke effect dicke53 ; shah98  that a quantum dot strongly coupled to a lead will also show sharp resonances. In an extreme strong coupling limit, we can think of the dot levels as degenerate, analogous to the identical resonances of the atoms in the Dicke effect. These degenerate levels are coupled via the continuum of lead states which is akin to the coupling of the atoms by the radiation field. Indeed, a resonance in a two orbital dot strongly coupled to two leads was seen in Ref. shah94 . The tunneling DOS of a non-interacting two-orbital dot strongly coupled to a single lead tends towards a delta-like peak when $`g_{\mathrm{dot}}\mathrm{}`$ konig98 . It was later shown montambaux99  that when a dot of $`N_{\mathrm{dot}}`$ states is strongly connected to a single lead, $`N_{\mathrm{dot}}1`$ delta-like peaks in the tunneling DOS remain for $`g_{\mathrm{dot}}\mathrm{}`$. The case of two leads connected to a dot with $`N_{\mathrm{dot}}=2`$ shows interesting dependence on the overlap matrix element $`V_{k,i}`$ (i.e., the $`i`$-th level overlap with $`k`$-th lead) silva02 . For identical matrix elements one sharp peak in the local density of states remains, while if one of the four matrix elements has a different sign, no such features are observed.

In this letter we show that in the limit $`g_{\mathrm{dot}}\mathrm{}`$, the relevant parameter in determining the number of bound states in the dot for generic dot-lead coupling is the number of channels $`N`$ of the leads, or equivalently, the dimensionless conductance $`g`$ of the leads. We demonstrate that for $`N`$ channels coupled to a dot, $`N_{\mathrm{dot}}N`$ states remain bound to the dot, except when the coupling matrix elements between leads and dot are independent of either dot level or channel index. For the latter cases, $`N_{\mathrm{dot}}1`$ states remain bound to the dot. Using numerical density-matrix renormalization group (DMRG) as well as analytical arguments, we show that these bound states exhibit discrete charging as well as Coulomb blockade except for very large charging energies. Thus, in order to wash out all discrete features of a dot in the limit of strong coupling, one or more leads of total dimensionless conductance $`g>N_{\mathrm{dot}}`$ must be connected. With increasing coupling strength, a dot coupled to leads will evolve from $`N_{\mathrm{dot}}`$ bound states at very weak coupling, to no bound states at intermediate coupling aleiner02  and finally to $`N_{\mathrm{dot}}g`$ bound states at strong coupling. Criteria for the different regimes and experimental realizations will be discussed. It is interesting to note that the physics discussed here for quantum dots is also closely related to the concept of doorway states in nuclear physics Mahaux .

We consider a dot-lead system described by the Hamiltonian

$$H=H_{\mathrm{dot}}+\underset{k=1}{\overset{N}{}}\left(H_{Lead}^k+H_{Coupling}^k\right).$$
(1)
Here, the dot is represented by the Hamiltonian

$$H_{\mathrm{dot}}=\underset{i=1}{\overset{N_{\mathrm{dot}}}{}}(ϵ_i\mu )a_i^{}a_i+U\underset{i>j}{\overset{N_{\mathrm{dot}}}{}}a_i^{}a_ia_j^{}a_j$$
(2)
in terms of the creation operators $`a_i^{}`$ of an electron in the $`i`$-th single-particle eigenstate of the dot with energy $`ϵ_i`$, charging energy $`U=e^2/C`$ and chemical potential $`\mu `$. For disordered dots its eigenstates and eigenvalues are usually obtained from a random matrix ensemble. The Hamiltonian of the $`k`$-th lead reads

$$H_{Lead}^k=\mu \underset{j=1}{\overset{\mathrm{}}{}}c_j^kc_j^kt\underset{j=1}{\overset{\mathrm{}}{}}c_j^kc_{j+1}^k+h.c.,$$
(3)
where $`c_j^k`$ is the creation operator of an electron on the $`j`$-th site of the $`k`$-th 1D lead, and $`t`$ is the hopping matrix element in the lead. The coupling between the dot and the lead is contained in

$$H_{Coupling}^k=\underset{i=1}{\overset{N_{\mathrm{dot}}}{}}V_{k,i}a_i^{}c_1^k+h.c.,$$
(4)
where the dot is assumed to be attached to the edge of the lead, and the coupling amplitude between the $`i`$-th orbital in the dot and the $`k`$-th lead is given by $`V_{k,i}`$. The $`N`$ one-dimensional leads may also be connected by transverse hopping $`t_{k=1}^{N1}_{j=1}^{\mathrm{}}c_j^kc_j^{k+1}+h.c.`$ in order to turn them into a quasi-one dimensional lead with $`N`$ channels.

We begin with exact-diagonalization results for a non-interacting ($`U=0`$) dot coupled to an external quasi-1D lead of varying width (i.e., number of channels $`N`$). Exact diagonalization can only treat finite systems, and therefore cannot deal with infinite leads. Nevertheless, as long as the level broadening in the dot is much larger than the level spacing in the lead, the description of the system is accurate. Diagonalizing of the Hamiltonian $`H`$ gives the eigenvalues $`\epsilon _m`$ and eigenvectors $`|m`$ of the dot-lead system. The number of electrons on the dot at a given chemical potential is $`n=_{m=1}^{\epsilon _m<0}_{i=1}^{N_{\mathrm{dot}}}|m|a_i^{}a_i|m|^2`$.

In Fig. 1 we present the discrete increases $`\mathrm{\Delta }n(\mu ,N)=_{\mu 0.001t}^{\mu +0.001t}(dn/d\mu ^{})𝑑\mu ^{}`$ in the occupation of a disordered quantum dot with $`N_{\mathrm{dot}}=16`$ orbitals (generated by a random matrix with a Gaussian distribution of width $`0.1t`$) as function of the chemical potential $`\mu `$ and $`N`$, the number of channels connected to the dot. In the absence of dot-lead coupling ($`N=0`$), all increases $`\mathrm{\Delta }n(\mu ,N)>0`$ occur at $`\mu =ϵ_m`$. The integer points on the $`x`$-axis correspond to $`N`$ channels connected to the dot by couplings $`V_{k,i}`$ drawn from a random Gaussian distribution with a zero mean and variance $`t`$. The non-integer values of $`N`$ correspond to increasing logarithmically the values of the coupling of the $`N+1`$ channel to the dot and its transverse hopping to the neighboring channel up to the full strength $`V_{N+1,i}`$ and $`t`$ at integer $`N`$. For integer values of $`N`$ it can be clearly seen that there are $`N_{\mathrm{dot}}N`$ jumps in the occupation of the dot corresponding to the same number of states bound to the dot. As one couples an additional channel to the dot the energies of these states gradually change, until for some intermediate strength of coupling some of the states move abruptly, split, or disappear. At stronger couplings (i.e., close to the next integer $`N`$) the ordered structure of the states reappears, with one less state than for the previous value of $`N`$. Similar behavior is seen when there is no transverse hopping between the channels (i.e., $`N`$ independent 1D leads). If $`V_{k,i}=t`$ is independent of $`i`$ or $`k`$ (i.e., all the couplings to the same lead or orbital are identical) a loss of a bound state occurs only when connecting the first lead to the dot. Attaching additional leads does not change the number of bound states on the dot.

To understand these numerical results we approach the system within the scattering-matrix formalism. For $`N`$ propagating channels in the leads, the dot-lead system can be characterized by the $`N\times N`$ scattering matrix zirnbauer

$$S=\mathrm{𝟏}2\pi i\nu V\frac{1}{EH_{\mathrm{dot}}+i\pi \nu V^{}V}V^{},$$
(5)
where $`V`$ is an $`N\times N_{\mathrm{dot}}`$ matrix describing the coupling of the channels to the $`N_{\mathrm{dot}}`$ orbitals of the dot. The local DOS of the dot is given by $`dn/d\mu =(1/\pi )\mathrm{Im}\mathrm{tr}[\mu H_{\mathrm{dot}}+i\pi \nu V^{}V]^1`$. If, to be specific, we take $`H_{\mathrm{dot}}`$ to be diagonal with random-matrix spectrum, the couplings $`V_{k,i}`$ are essentially independent random Gaussian variables of variance $`v^2`$. We emphasize, however, that our results are not specific to a random-matrix spectrum.

For a weakly-coupled dot, we can compute the S-matrix by first diagonalizing the dot Hamiltonian $`H_{\mathrm{dot}}`$. The broadening of the levels can then be obtained by treating $`i\pi \nu V^{}V`$ in first-order perturbation theory. To understand the opposite limit of strong coupling, we first diagonalize $`i\pi \nu V^{}V`$ and subsequently account for $`H_{\mathrm{dot}}`$ perturbatively. We start by writing $`V^{}=(𝐯_1,𝐯_2,\mathrm{},𝐯_N)`$ where the $`𝐯_i`$ are $`N_{\mathrm{dot}}`$-dimensional vectors. In obvious notation, we can then write $`\pi \nu V^{}V=\pi \nu _{i=1}^N|𝐯_i𝐯_i|`$ which shows that the $`N_{\mathrm{dot}}\times N_{\mathrm{dot}}`$ matrix $`\pi \nu V^{}V`$ has at most rank $`N`$ and generically only $`N`$ nonzero eigenvalues $`\lambda _{\mathrm{}}\pi \nu N_{\mathrm{dot}}v^2`$ with $`\mathrm{}=1,\mathrm{},N`$.

Including $`H_{\mathrm{dot}}`$ perturbatively, we first need to diagonalize $`H_{\mathrm{dot}}`$ in the $`(N_{\mathrm{dot}}N)`$-dimensional degenerate subspace of zero eigenvalues. In the limit $`N_{\mathrm{dot}}N`$, this leads to a random-matrix spectrum of $`N_{\mathrm{dot}}N`$ real eigenvalues $`e_i`$ whose width and level spacing $`\mathrm{\Delta }`$ equal those of the Hamiltonian $`H_{\mathrm{dot}}`$ of the uncoupled dot. Thus, in first-order perturbation theory we find $`N_{\mathrm{dot}}N`$ infinitely sharp resonances in addition to $`N`$ imaginary eigenvalues which lead to an extremely broad background (since $`\lambda N_{\mathrm{dot}}`$) in the local DOS.

In second-order perturbation theory, these resonances acquire a width since $`H_{\mathrm{dot}}`$ couples the sharp resonances to the broad background. The resulting width can be easily estimated to be

$$\mathrm{\Delta }e_i\underset{\mathrm{}=1}{\overset{N}{}}\frac{|i|H_{\mathrm{dot}}|\mathrm{}|^2}{i\lambda _{\mathrm{}}}i\frac{N\mathrm{\Delta }^2}{\pi ^2\nu v^2}i\frac{N^2\mathrm{\Delta }^2}{\pi \mathrm{\Gamma }}.$$
(6)
Here, we used that $`H_{\mathrm{dot}}`$ is a random-matrix Hamiltonian and defined the golden-rule width $`\mathrm{\Gamma }=\pi \nu Nv^2`$ of the eigenstates $`ϵ_i`$ of the uncoupled dot. We assume strong coupling so that $`\pi \nu v^2\mathrm{\Delta }`$ which allows us to neglect the unperturbed energy $`e_i`$ in the denominator. When this width remains small compared to the level spacing, i.e., when $`N^2/\pi g_{\mathrm{dot}}1`$, we find $`N_{\mathrm{dot}}N`$ isolated resonances in both conductance and local DOS even though dot and lead are very strongly coupled, in agreement with our numerical results.

By an analogous argument one finds only one imaginary eigenvalue and hence $`N_{\mathrm{dot}}1`$ sharp resonances in the non-generic cases in which the coupling $`V_{k,i}`$ is independent of either channel $`k`$ or dot level $`i`$. These resonances have a width of order $`\mathrm{\Delta }/\pi g_{\mathrm{dot}}`$. This width is smaller by a factor $`N^2`$ compared to the resonance width in the case of arbitrary dot-lead coupling.

We now turn to the influence of the charging energy $`U`$. We compute the ground state for an interacting dot attached to several 1D leads using an extension of a DMRG method developed for a single 1D lead connected to a dot berkovits03  which will be described in detail elsewhere. As in the single lead case, the essence of the method is similar to the regular DMRG for 1D systems white93 . The main difference is that in every iteration a site is added to each of the leads. Fig. 2 shows the occupation number $`n`$ as function of $`\mu `$ for a $`N_{\mathrm{dot}}=3`$ dot attached to two leads for different values of the dot-lead coupling.

In Fig. 2a, the case of non-identical couplings is presented. The general behavior seen for the non-interacting case is repeated in the interacting case. For weak coupling, there are three discrete jumps in the occupation of the dot separated by $`\mathrm{\Delta }+U`$. As the coupling increases only one discrete jump remains. Thus, the interactions in the dot do not eliminate the bound state. Moreover, interactions shift the position of the remaining jump to higher $`\mu `$ relative to the noninteracting case.

If the couplings are symmetric to all leads the number of bound states is $`N_{\mathrm{dot}}1`$ no matter how many leads are attached. This is illustrated in Fig. 2b, where two discrete jumps remain even for strong coupling. These bound states are separated by a distance of $`\mathrm{\Delta }+U`$ as one expects from two bound states on an interacting dot. Similar Coulomb blockade behavior at strong coupling has been recently seen for the Kondo system schiller03 .

This behavior can be explained by extending the scattering theory above to include $`U`$ within the Hartree approximation. This approximation accounts for $`U`$ by replacing $`e_ie_i+U_{ji}b_j^{}b_j`$ where $`b_j`$ annihilates an electron in the dot state $`e_j`$. The charging of the broad resonances can be neglected as long as we consider chemical potential changes which are small compared to the bandwidth. With this approximation, subsequent resonances are separated by $`\mathrm{\Delta }+U`$.

Remarkably, the behavior changes for very large charging energy $`U\pi \nu N_{\mathrm{dot}}v^2`$ where the superradiant state becomes Coulomb blockaded. In this regime, we observe numerically that the number of Coulomb-blockade steps equals the number of dot states $`N_{\mathrm{dot}}`$, cf. Fig. 3(a). The width of the steps is of order $`\pi \nu N_{\mathrm{dot}}v^2`$, large compared to the step widths of subradiant states at weaker charging energy. Fig. 3(b) shows that the charging steps are due to simultaneous charging of all three dot orbitals which leads to an oscillatory structure in the occupations of the dot states. The origin of these oscillations can be traced by considering the occupations of the strong-coupling super- and subradiant states (i.e., the eigenstates of $`i\pi \nu V^{}V`$) as shown in Fig. 3(c). Clearly, the origin lies in oscillations in the occupation of the superradiant state which, in this case, is a symmetric superposition of all dot orbitals. At the conductance step, one predominantly charges the superradiant state while in between steps, there is a tendency to exchange occupations between the superradiant and a subradiant state.

To understand this behavior, consider the configuration of the dot when $`\mu `$ takes a value on the charging plateau $`n=1`$. In this case, the dot could either charge the superradiant or a subradiant state. In perturbation theory, the dot-lead coupling changes the (many-body) energy of these configurations ($`E_{\mathrm{super}}`$ and $`E_{\mathrm{sub}}`$, respectively) due to virtually exciting an electron from the lead to the superradiant state, if the latter is unoccupied, or by virtually exciting an electron from the dot to the leads, if the superradiant state is occupied. (We neglect virtual processes involving subradiant states since their coupling to the leads is much weaker.) This gives an energy difference $`\mathrm{\Delta }E=E_{\mathrm{super}}E_{\mathrm{sub}}=\frac{W}{2\pi }[\mathrm{ln}(t/|ϵ+U|)\mathrm{ln}(t/|ϵ|)]`$ between the two configurations, where $`ϵ`$ is the energy of the dot state relative to $`\mu `$ and $`W`$ is the width of the superradiant state. (The single-particle level spacing is neglected here.) Thus, for $`|ϵ|<U/2`$ ($`|ϵ|>U/2`$) occupying the superradiant (subradiant) state gives the lower energy so that the charging steps are due to charging of the superradiant state, while somewhere on the plateau the occupations of the superradiant and subradiant states are exchanged. The precise location of this switch is affected by the single-particle level spacing of the dot. This mechanism was considered by Silvestrov and Imry in a different context Silvestrov .

We close with a discussion of possible experimental realizations. Generically, for a semiconductor quantum dot perfectly coupled to leads by quantum point contacts in the sense that there are $`N`$ perfectly transmitting channels, one finds that $`\mathrm{\Gamma }N\mathrm{\Delta }`$, leading to $`N^2\mathrm{\Delta }/\pi \mathrm{\Gamma }N`$. This shows that this situation is not in the strong coupling limit and thus, there are no sharp resonances in agreement with the description of this regime e.g. in Refs. aleiner02 ; matveev95 .

One situation in which the effect discussed here can be observed is when, by a mesoscopic fluctuation or by symmetry, several dot levels bunch together so that their effective level spacing is much smaller than the average $`\mathrm{\Delta }`$. Alternatively, a situation with an anomalously small $`\mathrm{\Delta }`$ can be engineered by a judicious choice of the device. E.g., one can think of a set of $`n`$ quantum dots with weak interdot tunneling whose energy levels can be manipulated into almost degeneracy by a set of external gates. This realizes a situation with $`N_{\mathrm{dot}}=n`$ and strong coupling $`\mathrm{\Gamma }N^2\mathrm{\Delta }`$ to the leads. Finally, one may also think of cases in which leads and “dot” are made from different materials, allowing for an independent manipulation of $`\mathrm{\Gamma }`$ and $`\mathrm{\Delta }`$. For example, when tunneling through a series of identical impurities or a suitable molecule between metallic electrodes, one expects $`\mathrm{\Gamma }`$ to be enhanced by the large DOS in the metallic leads.

Very useful discussions with B. Altshuler, I. Eremin, Y. Gefen, Y. Meir, M. Raikh, A. Schiller, P. Silvestrov, H. Weidenmüller, and J. Weis are gratefully acknowledged, as well as support from the Israel Academy of Science (RB), SFB 290, the “Junge Akademie” (FvO), and the Minerva Foundation (JK). One of us (FvO) thanks the Einstein Center at the Weizmann Institute for hospitality while this work was initiated.