Three faces of the second law. II. Fokker-Planck formulation

Fluctuation theorem: A critical review

Fluctuation theorem for entropy production is revisited in the framework of stochastic processes. The applicability of the fluctuation theorem to physico-chemical systems and the resulting stochastic thermodynamics were analyzed. Some unexpected limitations are highlighted in the context of jump Markov processes. We have shown that these limitations handicap the ability of the resulting stochastic thermodynamics to correctly describe the state of non-equilibrium systems in terms of the thermodynamic properties of individual processes therein. Finally, we considered the case of diffusion processes and proved that the fluctuation theorem for entropy production becomes irrelevant at the stationary state in the case of one variable systems.

Overdamped stochastic thermodynamics with multiple reservoirs

After establishing stochastic thermodynamics for underdamped Langevin systems in contact with multiple reservoirs, we derive its overdamped limit using timescale separation techniques. The overdamped theory is different from the naive theory that one obtains when starting from overdamped Langevin or Fokker-Planck dynamics and only coincides with it in the presence of a single reservoir. The reason is that the coarse-grained fast momentum dynamics reaches a nonequilibrium state, which conducts heat in the presence of multiple reservoirs. The underdamped and overdamped theory are both shown to satisfy fundamental fluctuation theorems. Their predictions for the heat statistics are derived analytically for a Brownian particle on a ring in contact with two reservoirs and subjected to a nonconservative force and are shown to coincide in the long-time limit.

Transfer entropy in physical systems and the arrow of time

Recent developments have cemented the realization that many concepts and quantities in thermodynamics and information theory are shared. In this paper, we consider a highly relevant quantity in information theory and complex systems, the transfer entropy, and explore its thermodynamic role by considering the implications of time reversal upon it. By doing so we highlight the role of information dynamics on the nuanced question of observer perspective within thermodynamics by relating the temporal irreversibility in the information dynamics to the configurational (or spatial) resolution of the thermodynamics. We then highlight its role in perhaps the most enduring paradox in modern physics, the manifestation of a (thermodynamic) arrow of time. We find that for systems that process information such as those undergoing feedback, a robust arrow of time can be formulated by considering both the apparent physical behavior which leads to conventional entropy production and the information dynamics which leads to a quantity we call the information theoretic arrow of time. We also offer an interpretation in terms of optimal encoding of observed physical behavior.

Intrinsic irreversibility limits the efficiency of multidimensional molecular motors

We consider the efficiency limits of Brownian motors able to extract work from the temperature difference between reservoirs or from external thermodynamic forces. These systems can operate in a variety of modes, including as isothermal engines, heat engines, refrigerators, and heat pumps. We derive analytical results showing that certain classes of multidimensional Brownian motor, including the Smoluchowski-Feynman ratchet, are unable to attain perfect efficiency (Carnot efficiency for heat engines). This demonstrates the presence of intrinsic irreversibilities in their operating mechanism. We present numerical simulations showing that in some cases the loss process that limits efficiency is associated with vortices in the probability current.

Entropy production and thermodynamic power of the squeezed thermal reservoir

We analyze the entropy production and the maximal extractable work from a squeezed thermal reservoir. The nonequilibrium quantum nature of the reservoir induces an entropy transfer with a coherent contribution while modifying its thermal part, allowing work extraction from a single reservoir, as well as great improvements in power and efficiency for quantum heat engines. Introducing a modified quantum Otto cycle, our approach fully characterizes operational regimes forbidden in the standard case, such as refrigeration and work extraction at the same time, accompanied by efficiencies equal to unity.

Thermodynamic aspects of information transfer in complex dynamical systems

From the Horowitz-Esposito stochastic thermodynamical description of information flows in dynamical systems [J. M. Horowitz and M. Esposito, Phys. Rev. X 4, 031015 (2014)], it is known that while the second law of thermodynamics is satisfied by a joint system, the entropic balance for the subsystems is adjusted by a term related to the mutual information exchange rate between the two subsystems. In this article, we present a quantitative discussion of the conceptual link between the Horowitz-Esposito analysis and the Liang-Kleeman work on information transfer between dynamical system components [X. S. Liang and R. Kleeman, Phys. Rev. Lett. 95, 244101 (2005)]. In particular, the entropic balance arguments employed in the two approaches are compared. Notwithstanding all differences between the two formalisms, our work strengthens the Liang-Kleeman heuristic balance reasoning by showing its formal analogy with the recent Horowitz-Esposito thermodynamic balance arguments.

Anomalous free energy changes induced by topology

We report that nontrivial topology of a driven Brownian particle restricted on a ring leads to anomalous behaviors on free energy change. Starting from steady states with identical distribution and current on the ring, free energy changes are distinct and nonperiodic after the system is driven by the same periodic force protocol. We demonstrate our observation in examples through both exact solutions and numerical simulations. The free energy calculated here can be measured in recent experimental systems.

Maximum entropy principle for stationary states underpinned by stochastic thermodynamics

The selection of an equilibrium state by maximizing the entropy of a system, subject to certain constraints, is often powerfully motivated as an exercise in logical inference, a procedure where conclusions are reached on the basis of incomplete information. But such a framework can be more compelling if it is underpinned by dynamical arguments, and we show how this can be provided by stochastic thermodynamics, where an explicit link is made between the production of entropy and the stochastic dynamics of a system coupled to an environment. The separation of entropy production into three components allows us to select a stationary state by maximizing the change, averaged over all realizations of the motion, in the principal relaxational or nonadiabatic component, equivalent to requiring that this contribution to the entropy production should become time independent for all realizations. We show that this recovers the usual equilibrium probability density function (pdf) for a conservative system in an isothermal environment, as well as the stationary nonequilibrium pdf for a particle confined to a potential under nonisothermal conditions, and a particle subject to a constant nonconservative force under isothermal conditions. The two remaining components of entropy production account for a recently discussed thermodynamic anomaly between over- and underdamped treatments of the dynamics in the nonisothermal stationary state.

Stochastic entropy production arising from nonstationary thermal transport

We compute statistical properties of the stochastic entropy production associated with the nonstationary transport of heat through a system coupled to a time dependent nonisothermal heat bath. We study the one-dimensional stochastic evolution of a bound particle in such an environment by solving the appropriate Langevin equation numerically, and by using an approximate analytic solution to the Kramers equation to determine the behavior of an ensemble of systems. We express the total stochastic entropy production in terms of a relaxational or nonadiabatic part together with two components of housekeeping entropy production and determine the distributions for each, demonstrating the importance of all three contributions for this system. We compare the results with an approximate analytic model of the mean behavior and we further demonstrate that the total entropy production and the relaxational component approximately satisfy detailed fluctuation relations for certain time intervals. Finally, we comment on the resemblance between the procedure for solving the Kramers equation and a constrained extremization, with respect to the probability density function, of the spatial density of the mean rate of production of stochastic entropy.

Nonequilibrium potential and fluctuation theorems for quantum maps

We derive a general fluctuation theorem for quantum maps. The theorem applies to a broad class of quantum dynamics, such as unitary evolution, decoherence, thermalization, and other types of evolution for quantum open systems. The theorem reproduces well-known fluctuation theorems in a single and simplified framework and extends the Hatano-Sasa theorem to quantum nonequilibrium processes. Moreover, it helps to elucidate the physical nature of the environment that induces a given dynamics in an open quantum system.

Stochastic thermodynamics of Langevin systems under time-delayed feedback control: Second-law-like inequalities

Response lags are generic to almost any physical system and often play a crucial role in the feedback loops present in artificial nanodevices and biological molecular machines. In this paper, we perform a comprehensive study of small stochastic systems governed by an underdamped Langevin equation and driven out of equilibrium by a time-delayed continuous feedback control. In their normal operating regime, these systems settle in a nonequilibrium steady state in which work is permanently extracted from the surrounding heat bath. By using the Fokker-Planck representation of the dynamics, we derive a set of second-law-like inequalities that provide bounds to the rate of extracted work. These inequalities involve additional contributions characterizing the reduction of entropy production due to the continuous measurement process. We also show that the non-Markovian nature of the dynamics requires a modification of the basic relation linking dissipation to the breaking of time-reversal symmetry at the level of trajectories. The modified relation includes a contribution arising from the acausal character of the reverse process. This, in turn, leads to another second-law-like inequality. We illustrate the general formalism with a detailed analytical and numerical study of a harmonic oscillator driven by a linear feedback, which describes actual experimental setups.

Stochastic approach to equilibrium and nonequilibrium thermodynamics

We develop the stochastic approach to thermodynamics based on stochastic dynamics, which can be discrete (master equation) and continuous (Fokker-Planck equation), and on two assumptions concerning entropy. The first is the definition of entropy itself and the second the definition of entropy production rate, which is non-negative and vanishes in thermodynamic equilibrium. Based on these assumptions, we study interacting systems with many degrees of freedom in equilibrium or out of thermodynamic equilibrium and how the macroscopic laws are derived from the stochastic dynamics. These studies include the quasiequilibrium processes; the convexity of the equilibrium surface; the monotonic time behavior of thermodynamic potentials, including entropy; the bilinear form of the entropy production rate; the Onsager coefficients and reciprocal relations; and the nonequilibrium steady states of chemical reactions.

Echo states for detailed fluctuation theorems

Detailed fluctuation theorems are statements about the probability distribution for the stochastic entropy production along a trajectory. It involves the consideration of a suitably transformed dynamics, such as the time reversed, the adjoint, or a combination of these. We identify specific, typically unique, initial conditions, called echo states, for which the final probability distribution of the transformed dynamics reproduces the initial distribution. In this case the detailed fluctuation theorems relate the stochastic entropy production of the direct process to that of the transformed one. We illustrate our results by an explicit analytical calculation and numerical simulations for a modulated two-state quantum dot.

Stochastic functionals and fluctuation theorem for multikangaroo processes

We introduce multikangaroo Markov processes and provide a general procedure for evaluating a certain type of stochastic functional. We calculate analytically the large deviation properties. We apply our results to zero-crossing statistics and to stochastic thermodynamics, including the derivation of the fluctuation theorem and the large deviation properties for the stochastic entropy production in a typical solid state device.

Symmetry for the duration of entropy-consuming intervals

We introduce the violation fraction υ as the cumulative fraction of time that a mesoscopic system spends consuming entropy at a single trajectory in phase space. We show that the fluctuations of this quantity are described in terms of a symmetry relation reminiscent of fluctuation theorems, which involve a function Φ, which can be interpreted as an entropy associated with the fluctuations of the violation fraction. The function Φ, when evaluated for arbitrary stochastic realizations of the violation fraction, is odd upon the symmetry transformations that are relevant for the associated stochastic entropy production. This fact leads to a detailed fluctuation theorem for the probability density function of Φ. We study the steady-state limit of this symmetry in the paradigmatic case of a colloidal particle dragged by optical tweezers through an aqueous solution. Finally, we briefly discuss possible applications of our results for the estimation of free-energy differences from single-molecule experiments.

Nonequilibrium heat capacity

Development of steady state thermodynamics and statistical mechanics depends crucially on our ability to extend the notions of equilibrium thermodynamics to nonequilibrium steady states (NESS). The present paper considers the extension of heat capacity. A modified definition is proposed which continues to maintain the same relation to steady state Shannon entropy as in equilibrium, thus providing a thermodynamically consistent treatment of NESS heat capacity.

Nonequilibrium landscape theory of neural networks

The brain map project aims to map out the neuron connections of the human brain. Even with all of the wirings mapped out, the global and physical understandings of the function and behavior are still challenging. Hopfield quantified the learning and memory process of symmetrically connected neural networks globally through equilibrium energy. The energy basins of attractions represent memories, and the memory retrieval dynamics is determined by the energy gradient. However, the realistic neural networks are asymmetrically connected, and oscillations cannot emerge from symmetric neural networks. Here, we developed a nonequilibrium landscape-flux theory for realistic asymmetrically connected neural networks. We uncovered the underlying potential landscape and the associated Lyapunov function for quantifying the global stability and function. We found the dynamics and oscillations in human brains responsible for cognitive processes and physiological rhythm regulations are determined not only by the landscape gradient but also by the flux. We found that the flux is closely related to the degrees of the asymmetric connections in neural networks and is the origin of the neural oscillations. The neural oscillation landscape shows a closed-ring attractor topology. The landscape gradient attracts the network down to the ring. The flux is responsible for coherent oscillations on the ring. We suggest the flux may provide the driving force for associations among memories. We applied our theory to rapid-eye movement sleep cycle. We identified the key regulation factors for function through global sensitivity analysis of landscape topography against wirings, which are in good agreements with experiments.

Thermodynamics of a physical model implementing a Maxwell demon

We present a physical implementation of a Maxwell demon which consists of a conventional single electron transistor (SET) capacitively coupled to another quantum dot detecting its state. Altogether, the system is described by stochastic thermodynamics. We identify the regime where the energetics of the SET is not affected by the detection, but where its coarse-grained entropy production is shown to contain a new contribution compared to the isolated SET. This additional contribution can be identified as the information flow generated by the "Maxwell demon" feedback in an idealized limit.

The potential and flux landscape theory of evolution

We established the potential and flux landscape theory for evolution. We found explicitly the conventional Wright's gradient adaptive landscape based on the mean fitness is inadequate to describe the general evolutionary dynamics. We show the intrinsic potential as being Lyapunov function(monotonically decreasing in time) does exist and can define the adaptive landscape for general evolution dynamics for studying global stability. The driving force determining the dynamics can be decomposed into gradient of potential landscape and curl probability flux. Non-zero flux causes detailed balance breaking and measures how far the evolution from equilibrium state. The gradient of intrinsic potential and curl flux are perpendicular to each other in zero fluctuation limit resembling electric and magnetic forces on electrons. We quantified intrinsic energy, entropy and free energy of evolution and constructed non-equilibrium thermodynamics. The intrinsic non-equilibrium free energy is a Lyapunov function. Both intrinsic potential and free energy can be used to quantify the global stability and robustness of evolution. We investigated an example of three allele evolutionary dynamics with frequency dependent selection (detailed balance broken). We uncovered the underlying single, triple, and limit cycle attractor landscapes. We found quantitative criterions for stability through landscape topography. We also quantified evolution pathways and found paths do not follow potential gradient and are irreversible due to non-zero flux. We generalized the original Fisher's fundamental theorem to the general (i.e., frequency dependent selection) regime of evolution by linking the adaptive rate with not only genetic variance related to the potential but also the flux. We show there is an optimum potential where curl flux resulting from biotic interactions of individuals within a species or between species can sustain an endless evolution even if the physical environment is unchanged. We offer a theoretical basis for explaining the corresponding Red Queen hypothesis proposed by Van Valen. Our work provides a theoretical foundation for evolutionary dynamics.

Stochastic thermodynamics, fluctuation theorems and molecular machines

Stochastic thermodynamics as reviewed here systematically provides a framework for extending the notions of classical thermodynamics such as work, heat and entropy production to the level of individual trajectories of well-defined non-equilibrium ensembles. It applies whenever a non-equilibrium process is still coupled to one (or several) heat bath(s) of constant temperature. Paradigmatic systems are single colloidal particles in time-dependent laser traps, polymers in external flow, enzymes and molecular motors in single molecule assays, small biochemical networks and thermoelectric devices involving single electron transport. For such systems, a first-law like energy balance can be identified along fluctuating trajectories. For a basic Markovian dynamics implemented either on the continuum level with Langevin equations or on a discrete set of states as a master equation, thermodynamic consistency imposes a local-detailed balance constraint on noise and rates, respectively. Various integral and detailed fluctuation theorems, which are derived here in a unifying approach from one master theorem, constrain the probability distributions for work, heat and entropy production depending on the nature of the system and the choice of non-equilibrium conditions. For non-equilibrium steady states, particularly strong results hold like a generalized fluctuation-dissipation theorem involving entropy production. Ramifications and applications of these concepts include optimal driving between specified states in finite time, the role of measurement-based feedback processes and the relation between dissipation and irreversibility. Efficiency and, in particular, efficiency at maximum power can be discussed systematically beyond the linear response regime for two classes of molecular machines, isothermal ones such as molecular motors, and heat engines such as thermoelectric devices, using a common framework based on a cycle decomposition of entropy production.

Efficiency at maximum power for classical particle transport

We derive the explicit analytic expression for efficiency at maximum power in a simple model of classical particle transport.

Nonadiabatic entropy production for non-Markov dynamics

We extend the definition of nonadiabatic entropy production given for Markovian systems by Esposito and Van den Broeck [Phys. Rev. Lett. 104, 090601 (2010)], to arbitrary non-Markov ergodic dynamics. We also introduce a notion of stability characterizing non-Markovianity. For stable non-Markovian systems, the nonadiabatic entropy production satisfies an integral fluctuation theorem, leading to the second law of thermodynamics for transitions between nonequilibrium steady states. This quantity can also be written as a sum of products of generalized fluxes and forces, thus being suitable for thermodynamics. On the other hand, the generalized fluctuation-dissipation relation also holds, clarifying that the conditions for it to be satisfied are ergodicity and stability instead of Markovianity. We show that in spite of being counterintuitive, the stability criterion introduced in this work may be violated in non-Markovian systems even if they are ergodic, leading to a violation of the fluctuation theorem and the generalized fluctuation-dissipation relation. Stability represents then a necessary condition for the above properties to hold and explains why the generalized fluctuation-dissipation relation has remained elusive in the study of non-Markov systems exhibiting nonequilibrium steady states.

The energy pump and the origin of the non-equilibrium flux of the dynamical systems and the networks

The global stability of dynamical systems and networks is still challenging to study. We developed a landscape and flux framework to explore the global stability. The potential landscape is directly linked to the steady state probability distribution of the non-equilibrium dynamical systems which can be used to study the global stability. The steady state probability flux together with the landscape gradient determines the dynamics of the system. The non-zero probability flux implies the breaking down of the detailed balance which is a quantitative signature of the systems being in non-equilibrium states. We investigated the dynamics of several systems from monostability to limit cycle and explored the microscopic origin of the probability flux. We discovered that the origin of the probability flux is due to the non-equilibrium conditions on the concentrations resulting energy input acting like non-equilibrium pump or battery to the system. Another interesting behavior we uncovered is that the probabilistic flux is closely related to the steady state deterministic chemical flux. For the monostable model of the kinetic cycle, the analytical expression of the probabilistic flux is directly related to the deterministic flux, and the later is directly generated by the chemical potential difference from the adenosine triphosphate (ATP) hydrolysis. For the limit cycle of the reversible Schnakenberg model, we also show that the probabilistic flux is correlated to the chemical driving force, as well as the deterministic effective flux. Furthermore, we study the phase coherence of the stochastic oscillation against the energy pump, and argue that larger non-equilibrium pump results faster flux and higher coherence. This leads to higher robustness of the biological oscillations. We also uncovered how fluctuations influence the coherence of the oscillations in two steps: (1) The mild fluctuations influence the coherence of the system mainly through the probability flux while maintaining the regular landscape topography. (2) The larger fluctuations lead to flat landscape and the complete loss of the stability of the whole system.

Entropy production in full phase space for continuous stochastic dynamics

Total entropy production and its three constituent components are described both as fluctuating trajectory-dependent quantities and as averaged contributions in the context of the continuous Markovian dynamics, described by stochastic differential equations with multiplicative noise, of systems with both odd and even coordinates with respect to time reversal, such as dynamics in full phase space. Two of these constituent quantities obey integral fluctuation theorems and are thus rigorously positive in the mean due to Jensen's inequality. The third, however, is not and furthermore cannot be uniquely associated with irreversibility arising from relaxation, nor with the breakage of detailed balance brought about by nonequilibrium constraints. The properties of the various contributions to total entropy production are explored through the consideration of two examples: steady-state heat conduction due to a temperature gradient, and transitions between stationary states of drift diffusion on a ring, both in the context of the full phase space dynamics of a single Brownian particle.

Nonequilibrium thermodynamics of stochastic systems with odd and even variables

The total entropy production of stochastic systems can be divided into three quantities. The first corresponds to the excess heat, while the second two comprise the housekeeping heat. We denote these two components the transient and generalized housekeeping heat and we obtain an integral fluctuation theorem for the latter, valid for all Markovian stochastic dynamics. A previously reported formalism is obtained when the stationary probability distribution is symmetric for all variables that are odd under time reversal, which restricts consideration of directional variables such as velocity.

Stochastic thermodynamics under coarse graining

A general formulation of stochastic thermodynamics is presented for open systems exchanging energy and particles with multiple reservoirs. By introducing a partition in terms of "mesostates" (e.g., sets of "microstates"), the consequence on the thermodynamic description of the system is studied in detail. When microstates within mesostates rapidly thermalize, the entire structure of the microscopic theory is recovered at the mesostate level. This is not the case when these microstates remain out of equilibrium, leading to additional contributions to the entropy balance. Some of our results are illustrated for a model of two coupled quantum dots.

Infinite family of second-law-like inequalities

The probability distribution function for an out of equilibrium system may sometimes be approximated by a physically motivated "trial" distribution. A particularly interesting case is when a driven system (e.g., active matter) is approximated by a thermodynamic one. We show here that every set of trial distributions yields an inequality playing the role of a generalization of the second law. The better the approximation is, the more constraining the inequality becomes: this suggests a criterion for its accuracy, as well as an optimization procedure that may be implemented numerically and even experimentally. The fluctuation relation behind this inequality, a natural and practical extension of the Hatano-Sasa theorem, does not rely on the a priori knowledge of the stationary probability distribution.

Local kinetic interpretation of entropy production through reversed diffusion

The time reversal of stochastic diffusion processes is revisited with emphasis on the physical meaning of the time-reversed drift and the noise prescription in the case of multiplicative noise. The local kinematics and mechanics of free diffusion are linked to the hydrodynamic description. These properties also provide an interpretation of the Pope-Ching formula for the steady-state probability density function along with a geometric interpretation of the fluctuation-dissipation relation. Finally, the statistics of the local entropy production rate of diffusion are discussed in the light of local diffusion properties, and a stochastic differential equation for entropy production is obtained using the Girsanov theorem for reversed diffusion. The results are illustrated for the Ornstein-Uhlenbeck process.

Irreversible thermodynamics in multiscale stochastic dynamical systems

This work extends the results of a recently developed theory of a rather complete thermodynamic formalism for discrete-state, continuous-time Markov processes with and without detailed balance. We investigate whether and in what way the thermodynamic structure is invariant in a multiscale stochastic system, that is, whether the relations between thermodynamic functions of state and process variables remain unchanged when the system is viewed at different time scales and resolutions. Our results show that the dynamics on a fast time scale contribute an entropic term to the internal energy function u(S)(x) for the slow dynamics. Based on the conditional free energy u(S)(x), we can then treat the slow dynamics as if the fast dynamics is nonexistent. Furthermore, we show that the free energy, which characterizes the spontaneous organization in a system without detailed balance, is invariant with or without the fast dynamics: The fast dynamics is assumed to reach stationarity instantaneously on the slow time scale; it has no effect on the system's free energy. The same cannot be said for the entropy and the internal energy, both of which contain the same contribution from the fast dynamics. We also investigate the consequences of time-scale separation in connection to the concepts of quasi-stationarity and steady adiabaticity introduced in the phenomenological steady-state thermodynamics.

Nonequilibrium thermodynamics and Nose-Hoover dynamics

We show that systems driven by an external force and described by Nose-Hoover dynamics allow for a consistent nonequilibrium thermodynamics description when the thermostatted variable is initially assumed in a state of canonical equilibrium. By treating the "real" variables as the system and the thermostatted variable as the reservoir, we establish the first and second law of thermodynamics. As for Hamiltonian systems, the entropy production can be expressed as a relative entropy measuring the system-reservoir correlations established during the dynamics.

Three faces of the second law. I. Master equation formulation

We propose a formulation of stochastic thermodynamics for systems subjected to nonequilibrium constraints (i.e. broken detailed balance at steady state) and furthermore driven by external time-dependent forces. A splitting of the second law occurs in this description leading to three second-law-like relations. The general results are illustrated on specific solvable models. The present paper uses a master equation based approach.