hydrology and change - ntua · 3 d. koutsoyiannis, hydrology and change 3 it looks like, recently,...

37
1 Hydrology and Change Demetris Koutsoyiannis Department of Water Resources and Environmental Engineering School of Civil Engineering National Technical University of Athens, Greece ([email protected], www.itia.ntua.gr/dk/) Presentation available online: itia.ntua.gr/1135/ IUGG XXV General Assembly Earth on the Edge: Science for a Sustainable Planet Melbourne, Australia, 27 June - 8 July 2011 Plenary lecture I would like to thank the President and the officers of IUGG for the invitation to present this lecture, which is a great honour for me. I also thank all of you for attending it. Hydrology is my field and its interplay with change is the subject of my talk.

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Page 1: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

1

Hydrology and Change

Demetris Koutsoyiannis

Department of Water Resources and Environmental Engineering School of Civil EngineeringNational Technical University of Athens Greece (dkitiantuagr wwwitiantuagrdk)

Presentation available online itiantuagr1135

IUGG XXV General Assembly

Earth on the Edge Science for a Sustainable Planet

Melbourne Australia 27 June - 8 July 2011

Plenary lecture

I would like to thank the President and the officers of IUGG for the

invitation to present this lecture which is a great honour for me I also

thank all of you for attending it

Hydrology is my field and its interplay with change is the subject of my

talk

2

D Koutsoyiannis Hydrology and Change 2

Images from earthobservatorynasagovIOTDviewphpid=2416earthobservatorynasagovimagesimagerecords4600046209earth_pacific_lrgjpgearthobservatorynasagovimagesimagerecords10001234PIA02647_lrgjpgearthobservatorynasagovimagesimagerecords50005988ISS010-E-14618_lrgjpg

Hydrology is the science of the water on Earth its occurrence

circulation distribution physical and chemical properties andinteraction with the environment and the biosphere

AswanDam

LakeNasser

NileRiver

As illustrated in this slide hydrology is the science of water on Earth Its

domain spans several temporal and spatial scales Of course large

hydrological systems like the Nile River are of huge importance The

image of the Nile also highlights the connection of water with life the

blue colour of the Nile is not seen but it is seen the green of the life it

gives rise to I will refer to the Nile later The spot on the Aswan dam on

the Nile wants to emphasize the strong link of hydrology with

engineering and through this with the improvement of diverse aspects

of our live and civilization The next spot on the Lake Nasser upstream

of the Aswan dam indicates that the intervention of humans on Nature

can really be beautiful

3

D Koutsoyiannis Hydrology and Change 3

It looks like recently our scientific community has been amazed that things changehellip

I hope you can agree that the title of my talk ldquoHydrology and Changerdquo

harmonizes with a large body of literature books conferences scientific

papers and news stories all of which scream about change Changing

planet changing world changing ocean changing climate Has our

scientific community and our society only recently understood that

things change

4

D Koutsoyiannis Hydrology and Change 4Raphaels ldquoSchool of Athensrdquo (1509ndash1510 Apostolic Palace Vatican City enwikipediaorgwikiSchool_of_Athens)

In reality change has been studied very early at the birth time

of science and philosophy All of these Greek philosophers you

see in Raphaels ldquoSchool of Athensrdquo had something to say

about change I will only refer to two of them the central

figure of the painting Aristotle and this lonely figure in front

Heraclitus

5

D Koutsoyiannis Hydrology and Change 5

Heraclitus (ca 540-480 BC)

Πάντα ῥεῖEverything flows Alternative versions

Τὰ ὄντα ἰέναι τε πάντα καὶ μένεινοὐδέν [from Platos Cratylus 401d]

All things move and nothing remains still

Πάντα χωρεῖ καὶ οὐδὲν μένει [ibid 402a]

Everything changes and nothing remains still

Δὶς ἐς τὸν αὐτὸν ποταμὸν οὐκ ἂνἐμβαίης [from Platos Cratylus 402a]

You cannot step twice into the same river

Heraclitus (figured by Michelangelo) in Raphaels School of Athens enwikipediaorgwikiHeraclitus

Heraclitus summarized the dominance of change in a few famous

aphorisms Panta rhei--Everything flows And You cannot step twice

into the same river (the second time you step into it is no longer the

same river) Notice the simple hydrological notions he uses to describe

change Flow and River

6

D Koutsoyiannis Hydrology and Change 6

Aristotle (384-322 BC) in Meteorologica

Change ὅτι οὔτε ὁ Τάναϊς οὔτε ὁ Νεῖλος ἀεὶ ἔρρει ἀλλ ἦν ποτε ξηρὸς ὁ τόπος ὅθεν

ῥέουσιν τὸ γὰρ ἔργον ἔχει αὐτῶν πέρας ὁ δὲ χρόνος οὐκ ἔχει ἀλλὰ μὴν εἴπερκαὶ οἱ ποταμοὶ γίγνονται καὶ φθείρονται καὶ μὴ ἀεὶ οἱ αὐτοὶ τόποι τῆς γῆς ἔνυδροι καὶ τὴν θάλατταν ἀνάγκη μεταβάλλειν ὁμοίως τῆς δὲ θαλάττης τὰ μὲνἀπολειπούσης τὰ δ ἐπιούσης ἀεὶ φανερὸν ὅτι τῆς πάσης γῆς οὐκ ἀεὶ τὰ αὐτὰ τὰμέν ἐστιν θάλαττα τὰ δ ἤπειρος ἀλλὰ μεταβάλλει τῷ χρόνῳ πάντα [I14 353a 16]

Νeither the Tanais [River Don in Russia] nor the Nile have always been flowing but the region in which they flow now was once dry for their life has a bound but time has nothellip But if rivers are formed and disappear and the same places were not always covered by water the sea must change correspondingly And if the sea is receding in one place and advancing in anotherit is clear that the same parts of the whole earth are not always either sea or land but that all changes in course of time

Conservation of mass within the hydrological cycle ὥστε οὐδέποτε ξηρανεῖται πάλιν γὰρ ἐκεῖνο φθήσεται καταβὰν εἰς τὴν αὐτὴν τὸ

προανελθόν [II3 356b 26]

Thus [the sea] will never dry up for [the water] that has gone up beforehand will return to it

κἂν μὴ κατ ἐνιαυτὸν ἀποδιδῷ καὶ καθ ἑκάστην ὁμοίως χώραν ἀλλ ἔν γέ τισιντεταγμένοις χρόνοις ἀποδίδωσι πᾶν τὸ ληφθέν [II2 355a 26]

Even if the same amount does not come back every year or in a given place yet in a certain period all quantity that has been abstracted is returned

Aristotle in Raphaels ldquoSchool of Athensrdquo enwikipediaorgwikiAristotle

I found it amazing that Aristotle had understood the scale and extent of

change much better than some contemporary scholars do Neither the

Tanais nor the Nile have always been flowing but the region in which

they flow now was once dry Rivers are formed and disappear The same

parts of the whole earth are not always either sea or land All changes in

course of time

He also understood and neatly expressed the conservation of mass

within the hydrological cycle

7

D Koutsoyiannis Hydrology and Change 7

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Reinventing change or worrying about it

Data and visualization by Google labs ngramsgooglelabscom (360 billion words in 33 million books published after 1800 see also Mitchel et al 2011)

Worries for change have

receded after 2000

What happened at the beginning of the 20th century

Did the world start to change

Did people understand that things change

Or did people start to dislike change and worry about it

Except one

And what happened in the 1970-1980s

Let us come back to the present and try to investigate our perception of

change in quantified terms To this aim I found the information

provided recently by the Google Labs very useful This information is the

frequency per year of each word or phrase in some millions of books

Here you see that at about 1900 people started to speak about a

ldquochanging worldrdquo and a little later about ldquoenvironmental changerdquo

ldquoDemographic changerdquo ldquoclimate changerdquo and ldquoglobal changerdquo ldquostartrdquo at

1970s and 1980s In my view the intense use of these expressions

reflects worries for change So all worries have receded after 2000

except one climate change

8

D Koutsoyiannis Hydrology and Change 8

An unprecedented disbelief that change is real

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r b

illi

on

)

Why is it necessary to assure people that ldquoclimate change is realrdquowhile no one needs to be assured that ldquoweather change is realrdquo

Data and visualization by Google labs ngramsgooglelabscom

Zero appearances

I have made a lot of searches of this type using Google labs but I do not

have the time to discuss them in detail Anyhow this is the funniest The

statements ldquoclimate change is happeningrdquo ldquo is occurringrdquo ldquo is realrdquo

contain the same truth as ldquoweather change is realrdquo You can speculate

why the former has been in wide use while the latter has not

9

D Koutsoyiannis Hydrology and Change 9

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Is our focus opposite to importance

What does the inflationary use of the term ldquoclimate changerdquo mean given that climate has been in perpetual change

Is ldquoclimate changerdquo a scientific term or a trendy popular slogan of political origin

Who can dispute the unprecedented change in the demographic and energy conditions in the last half century

Werenrsquot these the 20th century determinants and donrsquot they represent the main uncertainty for the future

Data and visualization by Google labs ngramsgooglelabscom

You can also think and speculate whether or not the more frequent use

of a phrase indicates higher importance or the opposite

10

D Koutsoyiannis Hydrology and Change 10

1800 1840 1880 1920 1960 2000

Year

10

8

6

4

2

0

Fre

qu

en

cy (

pe

r b

illi

on

)

zero appearances of ldquofavorablerdquo ldquopositiverdquo and ldquobeneficialrdquo

Is change only negative

Data and visualization by Google labs ngramsgooglelabscom

You can further think whether according to conventional wisdom

change can only be dramatic and catastrophic

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 2: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

2

D Koutsoyiannis Hydrology and Change 2

Images from earthobservatorynasagovIOTDviewphpid=2416earthobservatorynasagovimagesimagerecords4600046209earth_pacific_lrgjpgearthobservatorynasagovimagesimagerecords10001234PIA02647_lrgjpgearthobservatorynasagovimagesimagerecords50005988ISS010-E-14618_lrgjpg

Hydrology is the science of the water on Earth its occurrence

circulation distribution physical and chemical properties andinteraction with the environment and the biosphere

AswanDam

LakeNasser

NileRiver

As illustrated in this slide hydrology is the science of water on Earth Its

domain spans several temporal and spatial scales Of course large

hydrological systems like the Nile River are of huge importance The

image of the Nile also highlights the connection of water with life the

blue colour of the Nile is not seen but it is seen the green of the life it

gives rise to I will refer to the Nile later The spot on the Aswan dam on

the Nile wants to emphasize the strong link of hydrology with

engineering and through this with the improvement of diverse aspects

of our live and civilization The next spot on the Lake Nasser upstream

of the Aswan dam indicates that the intervention of humans on Nature

can really be beautiful

3

D Koutsoyiannis Hydrology and Change 3

It looks like recently our scientific community has been amazed that things changehellip

I hope you can agree that the title of my talk ldquoHydrology and Changerdquo

harmonizes with a large body of literature books conferences scientific

papers and news stories all of which scream about change Changing

planet changing world changing ocean changing climate Has our

scientific community and our society only recently understood that

things change

4

D Koutsoyiannis Hydrology and Change 4Raphaels ldquoSchool of Athensrdquo (1509ndash1510 Apostolic Palace Vatican City enwikipediaorgwikiSchool_of_Athens)

In reality change has been studied very early at the birth time

of science and philosophy All of these Greek philosophers you

see in Raphaels ldquoSchool of Athensrdquo had something to say

about change I will only refer to two of them the central

figure of the painting Aristotle and this lonely figure in front

Heraclitus

5

D Koutsoyiannis Hydrology and Change 5

Heraclitus (ca 540-480 BC)

Πάντα ῥεῖEverything flows Alternative versions

Τὰ ὄντα ἰέναι τε πάντα καὶ μένεινοὐδέν [from Platos Cratylus 401d]

All things move and nothing remains still

Πάντα χωρεῖ καὶ οὐδὲν μένει [ibid 402a]

Everything changes and nothing remains still

Δὶς ἐς τὸν αὐτὸν ποταμὸν οὐκ ἂνἐμβαίης [from Platos Cratylus 402a]

You cannot step twice into the same river

Heraclitus (figured by Michelangelo) in Raphaels School of Athens enwikipediaorgwikiHeraclitus

Heraclitus summarized the dominance of change in a few famous

aphorisms Panta rhei--Everything flows And You cannot step twice

into the same river (the second time you step into it is no longer the

same river) Notice the simple hydrological notions he uses to describe

change Flow and River

6

D Koutsoyiannis Hydrology and Change 6

Aristotle (384-322 BC) in Meteorologica

Change ὅτι οὔτε ὁ Τάναϊς οὔτε ὁ Νεῖλος ἀεὶ ἔρρει ἀλλ ἦν ποτε ξηρὸς ὁ τόπος ὅθεν

ῥέουσιν τὸ γὰρ ἔργον ἔχει αὐτῶν πέρας ὁ δὲ χρόνος οὐκ ἔχει ἀλλὰ μὴν εἴπερκαὶ οἱ ποταμοὶ γίγνονται καὶ φθείρονται καὶ μὴ ἀεὶ οἱ αὐτοὶ τόποι τῆς γῆς ἔνυδροι καὶ τὴν θάλατταν ἀνάγκη μεταβάλλειν ὁμοίως τῆς δὲ θαλάττης τὰ μὲνἀπολειπούσης τὰ δ ἐπιούσης ἀεὶ φανερὸν ὅτι τῆς πάσης γῆς οὐκ ἀεὶ τὰ αὐτὰ τὰμέν ἐστιν θάλαττα τὰ δ ἤπειρος ἀλλὰ μεταβάλλει τῷ χρόνῳ πάντα [I14 353a 16]

Νeither the Tanais [River Don in Russia] nor the Nile have always been flowing but the region in which they flow now was once dry for their life has a bound but time has nothellip But if rivers are formed and disappear and the same places were not always covered by water the sea must change correspondingly And if the sea is receding in one place and advancing in anotherit is clear that the same parts of the whole earth are not always either sea or land but that all changes in course of time

Conservation of mass within the hydrological cycle ὥστε οὐδέποτε ξηρανεῖται πάλιν γὰρ ἐκεῖνο φθήσεται καταβὰν εἰς τὴν αὐτὴν τὸ

προανελθόν [II3 356b 26]

Thus [the sea] will never dry up for [the water] that has gone up beforehand will return to it

κἂν μὴ κατ ἐνιαυτὸν ἀποδιδῷ καὶ καθ ἑκάστην ὁμοίως χώραν ἀλλ ἔν γέ τισιντεταγμένοις χρόνοις ἀποδίδωσι πᾶν τὸ ληφθέν [II2 355a 26]

Even if the same amount does not come back every year or in a given place yet in a certain period all quantity that has been abstracted is returned

Aristotle in Raphaels ldquoSchool of Athensrdquo enwikipediaorgwikiAristotle

I found it amazing that Aristotle had understood the scale and extent of

change much better than some contemporary scholars do Neither the

Tanais nor the Nile have always been flowing but the region in which

they flow now was once dry Rivers are formed and disappear The same

parts of the whole earth are not always either sea or land All changes in

course of time

He also understood and neatly expressed the conservation of mass

within the hydrological cycle

7

D Koutsoyiannis Hydrology and Change 7

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Reinventing change or worrying about it

Data and visualization by Google labs ngramsgooglelabscom (360 billion words in 33 million books published after 1800 see also Mitchel et al 2011)

Worries for change have

receded after 2000

What happened at the beginning of the 20th century

Did the world start to change

Did people understand that things change

Or did people start to dislike change and worry about it

Except one

And what happened in the 1970-1980s

Let us come back to the present and try to investigate our perception of

change in quantified terms To this aim I found the information

provided recently by the Google Labs very useful This information is the

frequency per year of each word or phrase in some millions of books

Here you see that at about 1900 people started to speak about a

ldquochanging worldrdquo and a little later about ldquoenvironmental changerdquo

ldquoDemographic changerdquo ldquoclimate changerdquo and ldquoglobal changerdquo ldquostartrdquo at

1970s and 1980s In my view the intense use of these expressions

reflects worries for change So all worries have receded after 2000

except one climate change

8

D Koutsoyiannis Hydrology and Change 8

An unprecedented disbelief that change is real

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r b

illi

on

)

Why is it necessary to assure people that ldquoclimate change is realrdquowhile no one needs to be assured that ldquoweather change is realrdquo

Data and visualization by Google labs ngramsgooglelabscom

Zero appearances

I have made a lot of searches of this type using Google labs but I do not

have the time to discuss them in detail Anyhow this is the funniest The

statements ldquoclimate change is happeningrdquo ldquo is occurringrdquo ldquo is realrdquo

contain the same truth as ldquoweather change is realrdquo You can speculate

why the former has been in wide use while the latter has not

9

D Koutsoyiannis Hydrology and Change 9

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Is our focus opposite to importance

What does the inflationary use of the term ldquoclimate changerdquo mean given that climate has been in perpetual change

Is ldquoclimate changerdquo a scientific term or a trendy popular slogan of political origin

Who can dispute the unprecedented change in the demographic and energy conditions in the last half century

Werenrsquot these the 20th century determinants and donrsquot they represent the main uncertainty for the future

Data and visualization by Google labs ngramsgooglelabscom

You can also think and speculate whether or not the more frequent use

of a phrase indicates higher importance or the opposite

10

D Koutsoyiannis Hydrology and Change 10

1800 1840 1880 1920 1960 2000

Year

10

8

6

4

2

0

Fre

qu

en

cy (

pe

r b

illi

on

)

zero appearances of ldquofavorablerdquo ldquopositiverdquo and ldquobeneficialrdquo

Is change only negative

Data and visualization by Google labs ngramsgooglelabscom

You can further think whether according to conventional wisdom

change can only be dramatic and catastrophic

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 3: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

3

D Koutsoyiannis Hydrology and Change 3

It looks like recently our scientific community has been amazed that things changehellip

I hope you can agree that the title of my talk ldquoHydrology and Changerdquo

harmonizes with a large body of literature books conferences scientific

papers and news stories all of which scream about change Changing

planet changing world changing ocean changing climate Has our

scientific community and our society only recently understood that

things change

4

D Koutsoyiannis Hydrology and Change 4Raphaels ldquoSchool of Athensrdquo (1509ndash1510 Apostolic Palace Vatican City enwikipediaorgwikiSchool_of_Athens)

In reality change has been studied very early at the birth time

of science and philosophy All of these Greek philosophers you

see in Raphaels ldquoSchool of Athensrdquo had something to say

about change I will only refer to two of them the central

figure of the painting Aristotle and this lonely figure in front

Heraclitus

5

D Koutsoyiannis Hydrology and Change 5

Heraclitus (ca 540-480 BC)

Πάντα ῥεῖEverything flows Alternative versions

Τὰ ὄντα ἰέναι τε πάντα καὶ μένεινοὐδέν [from Platos Cratylus 401d]

All things move and nothing remains still

Πάντα χωρεῖ καὶ οὐδὲν μένει [ibid 402a]

Everything changes and nothing remains still

Δὶς ἐς τὸν αὐτὸν ποταμὸν οὐκ ἂνἐμβαίης [from Platos Cratylus 402a]

You cannot step twice into the same river

Heraclitus (figured by Michelangelo) in Raphaels School of Athens enwikipediaorgwikiHeraclitus

Heraclitus summarized the dominance of change in a few famous

aphorisms Panta rhei--Everything flows And You cannot step twice

into the same river (the second time you step into it is no longer the

same river) Notice the simple hydrological notions he uses to describe

change Flow and River

6

D Koutsoyiannis Hydrology and Change 6

Aristotle (384-322 BC) in Meteorologica

Change ὅτι οὔτε ὁ Τάναϊς οὔτε ὁ Νεῖλος ἀεὶ ἔρρει ἀλλ ἦν ποτε ξηρὸς ὁ τόπος ὅθεν

ῥέουσιν τὸ γὰρ ἔργον ἔχει αὐτῶν πέρας ὁ δὲ χρόνος οὐκ ἔχει ἀλλὰ μὴν εἴπερκαὶ οἱ ποταμοὶ γίγνονται καὶ φθείρονται καὶ μὴ ἀεὶ οἱ αὐτοὶ τόποι τῆς γῆς ἔνυδροι καὶ τὴν θάλατταν ἀνάγκη μεταβάλλειν ὁμοίως τῆς δὲ θαλάττης τὰ μὲνἀπολειπούσης τὰ δ ἐπιούσης ἀεὶ φανερὸν ὅτι τῆς πάσης γῆς οὐκ ἀεὶ τὰ αὐτὰ τὰμέν ἐστιν θάλαττα τὰ δ ἤπειρος ἀλλὰ μεταβάλλει τῷ χρόνῳ πάντα [I14 353a 16]

Νeither the Tanais [River Don in Russia] nor the Nile have always been flowing but the region in which they flow now was once dry for their life has a bound but time has nothellip But if rivers are formed and disappear and the same places were not always covered by water the sea must change correspondingly And if the sea is receding in one place and advancing in anotherit is clear that the same parts of the whole earth are not always either sea or land but that all changes in course of time

Conservation of mass within the hydrological cycle ὥστε οὐδέποτε ξηρανεῖται πάλιν γὰρ ἐκεῖνο φθήσεται καταβὰν εἰς τὴν αὐτὴν τὸ

προανελθόν [II3 356b 26]

Thus [the sea] will never dry up for [the water] that has gone up beforehand will return to it

κἂν μὴ κατ ἐνιαυτὸν ἀποδιδῷ καὶ καθ ἑκάστην ὁμοίως χώραν ἀλλ ἔν γέ τισιντεταγμένοις χρόνοις ἀποδίδωσι πᾶν τὸ ληφθέν [II2 355a 26]

Even if the same amount does not come back every year or in a given place yet in a certain period all quantity that has been abstracted is returned

Aristotle in Raphaels ldquoSchool of Athensrdquo enwikipediaorgwikiAristotle

I found it amazing that Aristotle had understood the scale and extent of

change much better than some contemporary scholars do Neither the

Tanais nor the Nile have always been flowing but the region in which

they flow now was once dry Rivers are formed and disappear The same

parts of the whole earth are not always either sea or land All changes in

course of time

He also understood and neatly expressed the conservation of mass

within the hydrological cycle

7

D Koutsoyiannis Hydrology and Change 7

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Reinventing change or worrying about it

Data and visualization by Google labs ngramsgooglelabscom (360 billion words in 33 million books published after 1800 see also Mitchel et al 2011)

Worries for change have

receded after 2000

What happened at the beginning of the 20th century

Did the world start to change

Did people understand that things change

Or did people start to dislike change and worry about it

Except one

And what happened in the 1970-1980s

Let us come back to the present and try to investigate our perception of

change in quantified terms To this aim I found the information

provided recently by the Google Labs very useful This information is the

frequency per year of each word or phrase in some millions of books

Here you see that at about 1900 people started to speak about a

ldquochanging worldrdquo and a little later about ldquoenvironmental changerdquo

ldquoDemographic changerdquo ldquoclimate changerdquo and ldquoglobal changerdquo ldquostartrdquo at

1970s and 1980s In my view the intense use of these expressions

reflects worries for change So all worries have receded after 2000

except one climate change

8

D Koutsoyiannis Hydrology and Change 8

An unprecedented disbelief that change is real

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r b

illi

on

)

Why is it necessary to assure people that ldquoclimate change is realrdquowhile no one needs to be assured that ldquoweather change is realrdquo

Data and visualization by Google labs ngramsgooglelabscom

Zero appearances

I have made a lot of searches of this type using Google labs but I do not

have the time to discuss them in detail Anyhow this is the funniest The

statements ldquoclimate change is happeningrdquo ldquo is occurringrdquo ldquo is realrdquo

contain the same truth as ldquoweather change is realrdquo You can speculate

why the former has been in wide use while the latter has not

9

D Koutsoyiannis Hydrology and Change 9

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Is our focus opposite to importance

What does the inflationary use of the term ldquoclimate changerdquo mean given that climate has been in perpetual change

Is ldquoclimate changerdquo a scientific term or a trendy popular slogan of political origin

Who can dispute the unprecedented change in the demographic and energy conditions in the last half century

Werenrsquot these the 20th century determinants and donrsquot they represent the main uncertainty for the future

Data and visualization by Google labs ngramsgooglelabscom

You can also think and speculate whether or not the more frequent use

of a phrase indicates higher importance or the opposite

10

D Koutsoyiannis Hydrology and Change 10

1800 1840 1880 1920 1960 2000

Year

10

8

6

4

2

0

Fre

qu

en

cy (

pe

r b

illi

on

)

zero appearances of ldquofavorablerdquo ldquopositiverdquo and ldquobeneficialrdquo

Is change only negative

Data and visualization by Google labs ngramsgooglelabscom

You can further think whether according to conventional wisdom

change can only be dramatic and catastrophic

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 4: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

4

D Koutsoyiannis Hydrology and Change 4Raphaels ldquoSchool of Athensrdquo (1509ndash1510 Apostolic Palace Vatican City enwikipediaorgwikiSchool_of_Athens)

In reality change has been studied very early at the birth time

of science and philosophy All of these Greek philosophers you

see in Raphaels ldquoSchool of Athensrdquo had something to say

about change I will only refer to two of them the central

figure of the painting Aristotle and this lonely figure in front

Heraclitus

5

D Koutsoyiannis Hydrology and Change 5

Heraclitus (ca 540-480 BC)

Πάντα ῥεῖEverything flows Alternative versions

Τὰ ὄντα ἰέναι τε πάντα καὶ μένεινοὐδέν [from Platos Cratylus 401d]

All things move and nothing remains still

Πάντα χωρεῖ καὶ οὐδὲν μένει [ibid 402a]

Everything changes and nothing remains still

Δὶς ἐς τὸν αὐτὸν ποταμὸν οὐκ ἂνἐμβαίης [from Platos Cratylus 402a]

You cannot step twice into the same river

Heraclitus (figured by Michelangelo) in Raphaels School of Athens enwikipediaorgwikiHeraclitus

Heraclitus summarized the dominance of change in a few famous

aphorisms Panta rhei--Everything flows And You cannot step twice

into the same river (the second time you step into it is no longer the

same river) Notice the simple hydrological notions he uses to describe

change Flow and River

6

D Koutsoyiannis Hydrology and Change 6

Aristotle (384-322 BC) in Meteorologica

Change ὅτι οὔτε ὁ Τάναϊς οὔτε ὁ Νεῖλος ἀεὶ ἔρρει ἀλλ ἦν ποτε ξηρὸς ὁ τόπος ὅθεν

ῥέουσιν τὸ γὰρ ἔργον ἔχει αὐτῶν πέρας ὁ δὲ χρόνος οὐκ ἔχει ἀλλὰ μὴν εἴπερκαὶ οἱ ποταμοὶ γίγνονται καὶ φθείρονται καὶ μὴ ἀεὶ οἱ αὐτοὶ τόποι τῆς γῆς ἔνυδροι καὶ τὴν θάλατταν ἀνάγκη μεταβάλλειν ὁμοίως τῆς δὲ θαλάττης τὰ μὲνἀπολειπούσης τὰ δ ἐπιούσης ἀεὶ φανερὸν ὅτι τῆς πάσης γῆς οὐκ ἀεὶ τὰ αὐτὰ τὰμέν ἐστιν θάλαττα τὰ δ ἤπειρος ἀλλὰ μεταβάλλει τῷ χρόνῳ πάντα [I14 353a 16]

Νeither the Tanais [River Don in Russia] nor the Nile have always been flowing but the region in which they flow now was once dry for their life has a bound but time has nothellip But if rivers are formed and disappear and the same places were not always covered by water the sea must change correspondingly And if the sea is receding in one place and advancing in anotherit is clear that the same parts of the whole earth are not always either sea or land but that all changes in course of time

Conservation of mass within the hydrological cycle ὥστε οὐδέποτε ξηρανεῖται πάλιν γὰρ ἐκεῖνο φθήσεται καταβὰν εἰς τὴν αὐτὴν τὸ

προανελθόν [II3 356b 26]

Thus [the sea] will never dry up for [the water] that has gone up beforehand will return to it

κἂν μὴ κατ ἐνιαυτὸν ἀποδιδῷ καὶ καθ ἑκάστην ὁμοίως χώραν ἀλλ ἔν γέ τισιντεταγμένοις χρόνοις ἀποδίδωσι πᾶν τὸ ληφθέν [II2 355a 26]

Even if the same amount does not come back every year or in a given place yet in a certain period all quantity that has been abstracted is returned

Aristotle in Raphaels ldquoSchool of Athensrdquo enwikipediaorgwikiAristotle

I found it amazing that Aristotle had understood the scale and extent of

change much better than some contemporary scholars do Neither the

Tanais nor the Nile have always been flowing but the region in which

they flow now was once dry Rivers are formed and disappear The same

parts of the whole earth are not always either sea or land All changes in

course of time

He also understood and neatly expressed the conservation of mass

within the hydrological cycle

7

D Koutsoyiannis Hydrology and Change 7

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Reinventing change or worrying about it

Data and visualization by Google labs ngramsgooglelabscom (360 billion words in 33 million books published after 1800 see also Mitchel et al 2011)

Worries for change have

receded after 2000

What happened at the beginning of the 20th century

Did the world start to change

Did people understand that things change

Or did people start to dislike change and worry about it

Except one

And what happened in the 1970-1980s

Let us come back to the present and try to investigate our perception of

change in quantified terms To this aim I found the information

provided recently by the Google Labs very useful This information is the

frequency per year of each word or phrase in some millions of books

Here you see that at about 1900 people started to speak about a

ldquochanging worldrdquo and a little later about ldquoenvironmental changerdquo

ldquoDemographic changerdquo ldquoclimate changerdquo and ldquoglobal changerdquo ldquostartrdquo at

1970s and 1980s In my view the intense use of these expressions

reflects worries for change So all worries have receded after 2000

except one climate change

8

D Koutsoyiannis Hydrology and Change 8

An unprecedented disbelief that change is real

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r b

illi

on

)

Why is it necessary to assure people that ldquoclimate change is realrdquowhile no one needs to be assured that ldquoweather change is realrdquo

Data and visualization by Google labs ngramsgooglelabscom

Zero appearances

I have made a lot of searches of this type using Google labs but I do not

have the time to discuss them in detail Anyhow this is the funniest The

statements ldquoclimate change is happeningrdquo ldquo is occurringrdquo ldquo is realrdquo

contain the same truth as ldquoweather change is realrdquo You can speculate

why the former has been in wide use while the latter has not

9

D Koutsoyiannis Hydrology and Change 9

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Is our focus opposite to importance

What does the inflationary use of the term ldquoclimate changerdquo mean given that climate has been in perpetual change

Is ldquoclimate changerdquo a scientific term or a trendy popular slogan of political origin

Who can dispute the unprecedented change in the demographic and energy conditions in the last half century

Werenrsquot these the 20th century determinants and donrsquot they represent the main uncertainty for the future

Data and visualization by Google labs ngramsgooglelabscom

You can also think and speculate whether or not the more frequent use

of a phrase indicates higher importance or the opposite

10

D Koutsoyiannis Hydrology and Change 10

1800 1840 1880 1920 1960 2000

Year

10

8

6

4

2

0

Fre

qu

en

cy (

pe

r b

illi

on

)

zero appearances of ldquofavorablerdquo ldquopositiverdquo and ldquobeneficialrdquo

Is change only negative

Data and visualization by Google labs ngramsgooglelabscom

You can further think whether according to conventional wisdom

change can only be dramatic and catastrophic

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 5: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

5

D Koutsoyiannis Hydrology and Change 5

Heraclitus (ca 540-480 BC)

Πάντα ῥεῖEverything flows Alternative versions

Τὰ ὄντα ἰέναι τε πάντα καὶ μένεινοὐδέν [from Platos Cratylus 401d]

All things move and nothing remains still

Πάντα χωρεῖ καὶ οὐδὲν μένει [ibid 402a]

Everything changes and nothing remains still

Δὶς ἐς τὸν αὐτὸν ποταμὸν οὐκ ἂνἐμβαίης [from Platos Cratylus 402a]

You cannot step twice into the same river

Heraclitus (figured by Michelangelo) in Raphaels School of Athens enwikipediaorgwikiHeraclitus

Heraclitus summarized the dominance of change in a few famous

aphorisms Panta rhei--Everything flows And You cannot step twice

into the same river (the second time you step into it is no longer the

same river) Notice the simple hydrological notions he uses to describe

change Flow and River

6

D Koutsoyiannis Hydrology and Change 6

Aristotle (384-322 BC) in Meteorologica

Change ὅτι οὔτε ὁ Τάναϊς οὔτε ὁ Νεῖλος ἀεὶ ἔρρει ἀλλ ἦν ποτε ξηρὸς ὁ τόπος ὅθεν

ῥέουσιν τὸ γὰρ ἔργον ἔχει αὐτῶν πέρας ὁ δὲ χρόνος οὐκ ἔχει ἀλλὰ μὴν εἴπερκαὶ οἱ ποταμοὶ γίγνονται καὶ φθείρονται καὶ μὴ ἀεὶ οἱ αὐτοὶ τόποι τῆς γῆς ἔνυδροι καὶ τὴν θάλατταν ἀνάγκη μεταβάλλειν ὁμοίως τῆς δὲ θαλάττης τὰ μὲνἀπολειπούσης τὰ δ ἐπιούσης ἀεὶ φανερὸν ὅτι τῆς πάσης γῆς οὐκ ἀεὶ τὰ αὐτὰ τὰμέν ἐστιν θάλαττα τὰ δ ἤπειρος ἀλλὰ μεταβάλλει τῷ χρόνῳ πάντα [I14 353a 16]

Νeither the Tanais [River Don in Russia] nor the Nile have always been flowing but the region in which they flow now was once dry for their life has a bound but time has nothellip But if rivers are formed and disappear and the same places were not always covered by water the sea must change correspondingly And if the sea is receding in one place and advancing in anotherit is clear that the same parts of the whole earth are not always either sea or land but that all changes in course of time

Conservation of mass within the hydrological cycle ὥστε οὐδέποτε ξηρανεῖται πάλιν γὰρ ἐκεῖνο φθήσεται καταβὰν εἰς τὴν αὐτὴν τὸ

προανελθόν [II3 356b 26]

Thus [the sea] will never dry up for [the water] that has gone up beforehand will return to it

κἂν μὴ κατ ἐνιαυτὸν ἀποδιδῷ καὶ καθ ἑκάστην ὁμοίως χώραν ἀλλ ἔν γέ τισιντεταγμένοις χρόνοις ἀποδίδωσι πᾶν τὸ ληφθέν [II2 355a 26]

Even if the same amount does not come back every year or in a given place yet in a certain period all quantity that has been abstracted is returned

Aristotle in Raphaels ldquoSchool of Athensrdquo enwikipediaorgwikiAristotle

I found it amazing that Aristotle had understood the scale and extent of

change much better than some contemporary scholars do Neither the

Tanais nor the Nile have always been flowing but the region in which

they flow now was once dry Rivers are formed and disappear The same

parts of the whole earth are not always either sea or land All changes in

course of time

He also understood and neatly expressed the conservation of mass

within the hydrological cycle

7

D Koutsoyiannis Hydrology and Change 7

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Reinventing change or worrying about it

Data and visualization by Google labs ngramsgooglelabscom (360 billion words in 33 million books published after 1800 see also Mitchel et al 2011)

Worries for change have

receded after 2000

What happened at the beginning of the 20th century

Did the world start to change

Did people understand that things change

Or did people start to dislike change and worry about it

Except one

And what happened in the 1970-1980s

Let us come back to the present and try to investigate our perception of

change in quantified terms To this aim I found the information

provided recently by the Google Labs very useful This information is the

frequency per year of each word or phrase in some millions of books

Here you see that at about 1900 people started to speak about a

ldquochanging worldrdquo and a little later about ldquoenvironmental changerdquo

ldquoDemographic changerdquo ldquoclimate changerdquo and ldquoglobal changerdquo ldquostartrdquo at

1970s and 1980s In my view the intense use of these expressions

reflects worries for change So all worries have receded after 2000

except one climate change

8

D Koutsoyiannis Hydrology and Change 8

An unprecedented disbelief that change is real

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r b

illi

on

)

Why is it necessary to assure people that ldquoclimate change is realrdquowhile no one needs to be assured that ldquoweather change is realrdquo

Data and visualization by Google labs ngramsgooglelabscom

Zero appearances

I have made a lot of searches of this type using Google labs but I do not

have the time to discuss them in detail Anyhow this is the funniest The

statements ldquoclimate change is happeningrdquo ldquo is occurringrdquo ldquo is realrdquo

contain the same truth as ldquoweather change is realrdquo You can speculate

why the former has been in wide use while the latter has not

9

D Koutsoyiannis Hydrology and Change 9

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Is our focus opposite to importance

What does the inflationary use of the term ldquoclimate changerdquo mean given that climate has been in perpetual change

Is ldquoclimate changerdquo a scientific term or a trendy popular slogan of political origin

Who can dispute the unprecedented change in the demographic and energy conditions in the last half century

Werenrsquot these the 20th century determinants and donrsquot they represent the main uncertainty for the future

Data and visualization by Google labs ngramsgooglelabscom

You can also think and speculate whether or not the more frequent use

of a phrase indicates higher importance or the opposite

10

D Koutsoyiannis Hydrology and Change 10

1800 1840 1880 1920 1960 2000

Year

10

8

6

4

2

0

Fre

qu

en

cy (

pe

r b

illi

on

)

zero appearances of ldquofavorablerdquo ldquopositiverdquo and ldquobeneficialrdquo

Is change only negative

Data and visualization by Google labs ngramsgooglelabscom

You can further think whether according to conventional wisdom

change can only be dramatic and catastrophic

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 6: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

6

D Koutsoyiannis Hydrology and Change 6

Aristotle (384-322 BC) in Meteorologica

Change ὅτι οὔτε ὁ Τάναϊς οὔτε ὁ Νεῖλος ἀεὶ ἔρρει ἀλλ ἦν ποτε ξηρὸς ὁ τόπος ὅθεν

ῥέουσιν τὸ γὰρ ἔργον ἔχει αὐτῶν πέρας ὁ δὲ χρόνος οὐκ ἔχει ἀλλὰ μὴν εἴπερκαὶ οἱ ποταμοὶ γίγνονται καὶ φθείρονται καὶ μὴ ἀεὶ οἱ αὐτοὶ τόποι τῆς γῆς ἔνυδροι καὶ τὴν θάλατταν ἀνάγκη μεταβάλλειν ὁμοίως τῆς δὲ θαλάττης τὰ μὲνἀπολειπούσης τὰ δ ἐπιούσης ἀεὶ φανερὸν ὅτι τῆς πάσης γῆς οὐκ ἀεὶ τὰ αὐτὰ τὰμέν ἐστιν θάλαττα τὰ δ ἤπειρος ἀλλὰ μεταβάλλει τῷ χρόνῳ πάντα [I14 353a 16]

Νeither the Tanais [River Don in Russia] nor the Nile have always been flowing but the region in which they flow now was once dry for their life has a bound but time has nothellip But if rivers are formed and disappear and the same places were not always covered by water the sea must change correspondingly And if the sea is receding in one place and advancing in anotherit is clear that the same parts of the whole earth are not always either sea or land but that all changes in course of time

Conservation of mass within the hydrological cycle ὥστε οὐδέποτε ξηρανεῖται πάλιν γὰρ ἐκεῖνο φθήσεται καταβὰν εἰς τὴν αὐτὴν τὸ

προανελθόν [II3 356b 26]

Thus [the sea] will never dry up for [the water] that has gone up beforehand will return to it

κἂν μὴ κατ ἐνιαυτὸν ἀποδιδῷ καὶ καθ ἑκάστην ὁμοίως χώραν ἀλλ ἔν γέ τισιντεταγμένοις χρόνοις ἀποδίδωσι πᾶν τὸ ληφθέν [II2 355a 26]

Even if the same amount does not come back every year or in a given place yet in a certain period all quantity that has been abstracted is returned

Aristotle in Raphaels ldquoSchool of Athensrdquo enwikipediaorgwikiAristotle

I found it amazing that Aristotle had understood the scale and extent of

change much better than some contemporary scholars do Neither the

Tanais nor the Nile have always been flowing but the region in which

they flow now was once dry Rivers are formed and disappear The same

parts of the whole earth are not always either sea or land All changes in

course of time

He also understood and neatly expressed the conservation of mass

within the hydrological cycle

7

D Koutsoyiannis Hydrology and Change 7

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Reinventing change or worrying about it

Data and visualization by Google labs ngramsgooglelabscom (360 billion words in 33 million books published after 1800 see also Mitchel et al 2011)

Worries for change have

receded after 2000

What happened at the beginning of the 20th century

Did the world start to change

Did people understand that things change

Or did people start to dislike change and worry about it

Except one

And what happened in the 1970-1980s

Let us come back to the present and try to investigate our perception of

change in quantified terms To this aim I found the information

provided recently by the Google Labs very useful This information is the

frequency per year of each word or phrase in some millions of books

Here you see that at about 1900 people started to speak about a

ldquochanging worldrdquo and a little later about ldquoenvironmental changerdquo

ldquoDemographic changerdquo ldquoclimate changerdquo and ldquoglobal changerdquo ldquostartrdquo at

1970s and 1980s In my view the intense use of these expressions

reflects worries for change So all worries have receded after 2000

except one climate change

8

D Koutsoyiannis Hydrology and Change 8

An unprecedented disbelief that change is real

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r b

illi

on

)

Why is it necessary to assure people that ldquoclimate change is realrdquowhile no one needs to be assured that ldquoweather change is realrdquo

Data and visualization by Google labs ngramsgooglelabscom

Zero appearances

I have made a lot of searches of this type using Google labs but I do not

have the time to discuss them in detail Anyhow this is the funniest The

statements ldquoclimate change is happeningrdquo ldquo is occurringrdquo ldquo is realrdquo

contain the same truth as ldquoweather change is realrdquo You can speculate

why the former has been in wide use while the latter has not

9

D Koutsoyiannis Hydrology and Change 9

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Is our focus opposite to importance

What does the inflationary use of the term ldquoclimate changerdquo mean given that climate has been in perpetual change

Is ldquoclimate changerdquo a scientific term or a trendy popular slogan of political origin

Who can dispute the unprecedented change in the demographic and energy conditions in the last half century

Werenrsquot these the 20th century determinants and donrsquot they represent the main uncertainty for the future

Data and visualization by Google labs ngramsgooglelabscom

You can also think and speculate whether or not the more frequent use

of a phrase indicates higher importance or the opposite

10

D Koutsoyiannis Hydrology and Change 10

1800 1840 1880 1920 1960 2000

Year

10

8

6

4

2

0

Fre

qu

en

cy (

pe

r b

illi

on

)

zero appearances of ldquofavorablerdquo ldquopositiverdquo and ldquobeneficialrdquo

Is change only negative

Data and visualization by Google labs ngramsgooglelabscom

You can further think whether according to conventional wisdom

change can only be dramatic and catastrophic

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 7: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

7

D Koutsoyiannis Hydrology and Change 7

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Reinventing change or worrying about it

Data and visualization by Google labs ngramsgooglelabscom (360 billion words in 33 million books published after 1800 see also Mitchel et al 2011)

Worries for change have

receded after 2000

What happened at the beginning of the 20th century

Did the world start to change

Did people understand that things change

Or did people start to dislike change and worry about it

Except one

And what happened in the 1970-1980s

Let us come back to the present and try to investigate our perception of

change in quantified terms To this aim I found the information

provided recently by the Google Labs very useful This information is the

frequency per year of each word or phrase in some millions of books

Here you see that at about 1900 people started to speak about a

ldquochanging worldrdquo and a little later about ldquoenvironmental changerdquo

ldquoDemographic changerdquo ldquoclimate changerdquo and ldquoglobal changerdquo ldquostartrdquo at

1970s and 1980s In my view the intense use of these expressions

reflects worries for change So all worries have receded after 2000

except one climate change

8

D Koutsoyiannis Hydrology and Change 8

An unprecedented disbelief that change is real

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r b

illi

on

)

Why is it necessary to assure people that ldquoclimate change is realrdquowhile no one needs to be assured that ldquoweather change is realrdquo

Data and visualization by Google labs ngramsgooglelabscom

Zero appearances

I have made a lot of searches of this type using Google labs but I do not

have the time to discuss them in detail Anyhow this is the funniest The

statements ldquoclimate change is happeningrdquo ldquo is occurringrdquo ldquo is realrdquo

contain the same truth as ldquoweather change is realrdquo You can speculate

why the former has been in wide use while the latter has not

9

D Koutsoyiannis Hydrology and Change 9

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Is our focus opposite to importance

What does the inflationary use of the term ldquoclimate changerdquo mean given that climate has been in perpetual change

Is ldquoclimate changerdquo a scientific term or a trendy popular slogan of political origin

Who can dispute the unprecedented change in the demographic and energy conditions in the last half century

Werenrsquot these the 20th century determinants and donrsquot they represent the main uncertainty for the future

Data and visualization by Google labs ngramsgooglelabscom

You can also think and speculate whether or not the more frequent use

of a phrase indicates higher importance or the opposite

10

D Koutsoyiannis Hydrology and Change 10

1800 1840 1880 1920 1960 2000

Year

10

8

6

4

2

0

Fre

qu

en

cy (

pe

r b

illi

on

)

zero appearances of ldquofavorablerdquo ldquopositiverdquo and ldquobeneficialrdquo

Is change only negative

Data and visualization by Google labs ngramsgooglelabscom

You can further think whether according to conventional wisdom

change can only be dramatic and catastrophic

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 8: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

8

D Koutsoyiannis Hydrology and Change 8

An unprecedented disbelief that change is real

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r b

illi

on

)

Why is it necessary to assure people that ldquoclimate change is realrdquowhile no one needs to be assured that ldquoweather change is realrdquo

Data and visualization by Google labs ngramsgooglelabscom

Zero appearances

I have made a lot of searches of this type using Google labs but I do not

have the time to discuss them in detail Anyhow this is the funniest The

statements ldquoclimate change is happeningrdquo ldquo is occurringrdquo ldquo is realrdquo

contain the same truth as ldquoweather change is realrdquo You can speculate

why the former has been in wide use while the latter has not

9

D Koutsoyiannis Hydrology and Change 9

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Is our focus opposite to importance

What does the inflationary use of the term ldquoclimate changerdquo mean given that climate has been in perpetual change

Is ldquoclimate changerdquo a scientific term or a trendy popular slogan of political origin

Who can dispute the unprecedented change in the demographic and energy conditions in the last half century

Werenrsquot these the 20th century determinants and donrsquot they represent the main uncertainty for the future

Data and visualization by Google labs ngramsgooglelabscom

You can also think and speculate whether or not the more frequent use

of a phrase indicates higher importance or the opposite

10

D Koutsoyiannis Hydrology and Change 10

1800 1840 1880 1920 1960 2000

Year

10

8

6

4

2

0

Fre

qu

en

cy (

pe

r b

illi

on

)

zero appearances of ldquofavorablerdquo ldquopositiverdquo and ldquobeneficialrdquo

Is change only negative

Data and visualization by Google labs ngramsgooglelabscom

You can further think whether according to conventional wisdom

change can only be dramatic and catastrophic

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 9: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

9

D Koutsoyiannis Hydrology and Change 9

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Is our focus opposite to importance

What does the inflationary use of the term ldquoclimate changerdquo mean given that climate has been in perpetual change

Is ldquoclimate changerdquo a scientific term or a trendy popular slogan of political origin

Who can dispute the unprecedented change in the demographic and energy conditions in the last half century

Werenrsquot these the 20th century determinants and donrsquot they represent the main uncertainty for the future

Data and visualization by Google labs ngramsgooglelabscom

You can also think and speculate whether or not the more frequent use

of a phrase indicates higher importance or the opposite

10

D Koutsoyiannis Hydrology and Change 10

1800 1840 1880 1920 1960 2000

Year

10

8

6

4

2

0

Fre

qu

en

cy (

pe

r b

illi

on

)

zero appearances of ldquofavorablerdquo ldquopositiverdquo and ldquobeneficialrdquo

Is change only negative

Data and visualization by Google labs ngramsgooglelabscom

You can further think whether according to conventional wisdom

change can only be dramatic and catastrophic

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 10: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

10

D Koutsoyiannis Hydrology and Change 10

1800 1840 1880 1920 1960 2000

Year

10

8

6

4

2

0

Fre

qu

en

cy (

pe

r b

illi

on

)

zero appearances of ldquofavorablerdquo ldquopositiverdquo and ldquobeneficialrdquo

Is change only negative

Data and visualization by Google labs ngramsgooglelabscom

You can further think whether according to conventional wisdom

change can only be dramatic and catastrophic

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 11: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

11

D Koutsoyiannis Hydrology and Change 11

1800 1840 1880 1920 1960 2000

Year

4

3

2

1

0

Fre

qu

en

cy (

pe

r m

illi

on

)Are we becoming more and more susceptible to scare and pessimism

Pessimism and scare seem to

have started receding in 2000

Data and visualization by Google labs ngramsgooglelabscom

Even removing ldquoclimaterdquo or ldquoclimate changerdquo from our phrases we can

see that our society may like scare and pessimism as testified by the

more and more frequent use of words like ldquoapocalypticrdquo and

ldquocatastrophicrdquo

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 12: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

12

D Koutsoyiannis Hydrology and Change 12

1800 1840 1880 1920 1960 2000

Year

08

06

04

02

0

Fre

qu

en

cy (

pe

r m

illi

on

)Change is tightly linked to uncertainty

Data and visualization by Google labs ngramsgooglelabscom

In any case I think that there is no doubt that the world is changing and

also that the future is uncertain Change is tightly linked to uncertainty

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 13: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

13

D Koutsoyiannis Hydrology and Change 13

Predictability of change

Simple systems ndash Short time horizons

Important but trivial

Complex systems ndash Long time horizons

Most interesting

Change

Predictable(regular)

Unpredictable(random)

Pure randomeg consecutive outcomes of dice

Non-periodiceg acceleration of

a falling body

Periodiceg daily and annual cycles

Structured random

eg climatic fluctuations

This hierarchical chart wants to say that in simple systems the change is

regular The regular change can be periodic or aperiodic Whatever it is

using equations of dynamical systems regular change is predictable at

short time horizons But this type of change is rather trivial More

interesting are the more complex systems at long time horizons where

change is unpredictable in deterministic terms or random Pure

randomness like in classical statistics where different variables are

identically distributed and independent is sometimes a useful model

but in most cases it is inadequate A structured randomness should be

assumed instead As we will see in the next slides the structured

randomness is enhanced randomness expressing enhanced

unpredictability of enhanced multi-scale change

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 14: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

14

D Koutsoyiannis Hydrology and Change 14

What is randomness Common dichotomous view

Natural process are composed of two different usually additive parts or componentsmdashdeterministic (signal) and random (noise)

Randomness is cancelled out at large scales and does not produce change only an exceptional forcing can produce a long-term change

My view (explained in Koutsoyiannis 2010)

Randomness is none other than unpredictability

Randomness and determinism coexist and are not separable

Deciding which of the two dominates is simply a matter of specifying the time horizon and scale of the prediction

At long time horizons (where length depends on the system) all is random

Heraclitus (Fragment 52) Αἰών παῖς ἐστι παίζων πεσσεύων παιδός ἡ βασιληίηTime is a child playing throwing dice the ruling power is a childs

Vs Einstein (in a letter to Max Born in 1926)I am convinced that He does not throw dice

This die is from 580 BC (photo from the Kerameikos Ancient Cemetery Museum Athens)

But what is randomness According to the common dichotomous view

natural process are composed of two different usually additive parts or

componentsmdashdeterministic (signal) and random (noise) Such

randomness is cancelled out at large scales and does not produce

change In this view only an exceptional forcing can produce a long-

term change

My view (which I explain in a recent paper in HESS) is different from this

Randomness is none other than unpredictability Randomness and

determinism coexist and are not separable Deciding which of the two

dominates is simply a matter of specifying the time horizon and scale of

the prediction At long time horizons all is random

This view has been initially proposed by Heraclitus who said that Time

is a child playing throwing dice I illustrate his aphorism with a picture

of a die from his epoch (580 BC) As you can see in this case there is not

much change in the dice themselves for several millennia

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 15: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

15

D Koutsoyiannis Hydrology and Change 15

Contemplating the change in riversFrom mixing and turbulence to floods and droughts

Flood in the Arachthos River Epirus Greece under the medieval Bridge of Arta in December 2005

The bridge is famous from the legend of its building transcribed in a magnificent poem (by an anonymous poet) see enwikisourceorgwikiBridge_of_Arta elwikisourceorgwikiΤο_γιοφύρι_της_Άρτας

Let us now return to rivers and flows The photo is from a flood in a

famous medieval bridge close to my homeland Several phenomena can

help us contemplate the change From mixing and turbulence to floods

and droughts

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 16: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

16

D Koutsoyiannis Hydrology and Change 16

Turbulence macroscopic motion at millisecond scale Laboratory measurements of nearly isotropic

turbulence in Corrsin Wind Tunnel (section length 10 m cross-section 122 m by 091 m) at a high-Reynolds-number (Kang et al 2003)

Measurements by X-wire probes Sampling rate of 40 kHz here aggregated at 0833 kHzmdasheach point is the average of 48 original values

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Data downloaded from wwwmejhuedumeneveaudatasetsActivegridM20H1m20h1-01zip

When I meet God I am going to ask him two questions Why relativity And why turbulence I really believe he will have an answer for the first(attributed to Werner Heisenberg or in different versions to Albert Einsteinor to Horace Lamb)

Let us start with turbulence Turbulence is a very complex phenomenon

according to this saying attributed to Heisenberg or to Einstein even

God may not have answers about it My view is quite different

Turbulence is Godrsquos dice game and He wants us to be aware that He

plays His dice game without having to wait too much we can see it even

in time scales of milliseconds We can see it visually just looking at any

flow but nowadays we can also take quantified measurements at very

fine time scales In the graph each measurement represents the average

velocity every 12 milliseconds from an experiment performed by a

group of very kind scientists cited on the slide who made the data

available on line at the address seen in the slide Each value is in fact the

average of 48 original data values Averages at time scales of 01 and 1

second are also plotted

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 17: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

17

D Koutsoyiannis Hydrology and Change 17

Turbulence vs pure randomness

Pure random processes assuming independence in time (white noise) have been effective in modelling microscopic motion (eg in statistical thermodynamics)

Macroscopic random motion is more complex

In pure randomness change vanishes at large scales

In turbulence change occurs at all scales

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

Turbulence

Pure randomness(same mean and std)

To understand the change encapsulated in turbulence we can compare

our graph of turbulent velocity measurements with pure random noise

with the same statistical characteristics at the lowest time scale The

differences are substantial At scales 01 and 1 second the pure

randomness does not produce any change In turbulence change is

evident even at these scales

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 18: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

18

D Koutsoyiannis Hydrology and Change 18

A river viewed at different time scalesmdashfrom seconds to millions of years

Next second the hydraulic characteristics (water level velocity) will change due to turbulence

Next day the river discharge will change (even dramatically in case of a flood)

Next year The river bed will change (erosion-deposition of sediments)

Next century The climate and the river basin characteristics (eg vegetation land use) will change

Next millennia All could be very different (eg the area could be glacialized)

Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if things remained static These changes are not predictable Most of these changes can be mathematically modelled in a stochastic

framework admitting stationarity

So contemplating the flow in a river and the river itself we may

imagine several changes Next second the hydraulic characteristics like

water level and velocity will change due to turbulence Next day the

river discharge will changemdasheven dramatically in the case of a flood

Next year The river bed will change because of erosion and deposition

of sediments Next century The climate and the river basin

characteristics such as vegetation and land use will change Next

millennia All could be very different for example the area could be

glacialized Next millions of years The river may have disappeared

None of these changes will be a surprise Rather it would be a surprise if

things remained static Nonetheless these changes are not predictable

And amazingly as we will see most of these changes can be

mathematically modelled in a stochastic framework admitting

stationarity Here we should distinguish the term ldquochangerdquo from

ldquononstationarityrdquo which has been recently been used in statements like

ldquoa nonstationary worldrdquo The world is neither stationary nor

nonstationary The world is real and unique It is our models that can be

stationary or nonstationary as the latter terms need the notion of an

ensemble (eg of simulations) to apply

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 19: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

19

D Koutsoyiannis Hydrology and Change 19

The Roda Nilometer and over-centennial change

The Roda Nilometer as it stands today water entered and filled the Nilometer chamber up to river level through three tunnels

In the centre of the chamber stands a marble octagonal column with a Corinthian crown the column is graded and divided into 19 cubits (a cubit is slightly more than half a meter) and could measure floods up to about 92 m

A maximum level below the 16th mark could portend drought and famine a level above the 19th mark meant catastrophic flood (Credit Aris Georgakakos)

Are these changes just imagination or speculation Certainly not The

information abounds on the earthrsquos crust and that is why Aristotle was

able to understand the extent of change In addition we have records of

quantified change The longest instrumental record is that of the water

level of the Nile River It was taken at the Roda Nilometer near Cairo and

extends for more than six centuries As you see the measurements

were taken at a robust structure much more elaborate than todayrsquos

measuring devices

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 20: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

20

D Koutsoyiannis Hydrology and Change 20

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Nile River annual minimum water level (663 values)

The Nilometer record vs a pure random processes

A real-world process

A ldquorouletterdquo process

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year

Min

imum

roule

tte w

heel outc

om

e

Annual

30-year average

Each value is the minimum of m = 36 roulette wheel outcomes The value of m was chosen so that the standard deviation be equal to the Nilometer series

Nilometer data Beran (1994) and libstatcmueduSberan (here converted into meters)

The upper graph shows the annual minimum water level of the Nile for

663 years from 622 to 1284 AD May I repeat that it is not a proxy but

an instrumental record Apart from the annual values 30-year averages

are also plotted These we commonly call climatic values Due to the

large extent of the Nile basin these reflect the climate evolution of a

very large area in the tropics and subtropics Notice that around 780 AD

the climatic value was 15 meters while at 1110 AD it was 4 meters 25

times higher

In the lower panel we can see a simulated series from a roulette wheel

which has equal variance as the Nilometer Despite equal ldquoannualrdquo

variability the roulette wheel produces a static ldquoclimaterdquo

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 21: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

21

D Koutsoyiannis Hydrology and Change 21

Hurstrsquos (1951) seminal paper

The motivation of Hurst was the design of the High Aswan Dam on the Nile River

However the paper was theoretical and explored numerous data sets of diverse fields

Hurst observed that Although in random events groups of high or low values do occur their tendency to occur in natural events is greater This is the main difference between natural and random events

Obstacles in the dissemination and adoption of Hurstrsquos finding

Its direct connection with reservoir storage

Its tight association with the Nile

The use of a complicated statistic (the rescaled range)

The first who noticed this behaviour and in particular the difference of

pure random processes and natural processes was the British

hydrological engineer Hurst who worked in Egypt His motivation was

the design of the High Aswan Dam on the Nile River This is the first

page of his seminal paper He gave the emphasis on the clustering or

grouping of similar events in natural processes

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 22: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

22

D Koutsoyiannis Hydrology and Change 22

Kolmogorov (1940)

Kolmogorov studied the stochastic process that describes the behaviourto be discovered a decade later in geophysics by Hurst

The proof of the existence of this process is important because several researches ignorant of Kolmogorovrsquos work regarded Hurstrsquos finding as inconsistent with stochastics and as numerical artefact

Kolmogorovrsquos work did not become widely known

The process was named by Kolmogorov ldquoWienerrsquos Spiralrdquo (Wienersche Spiralen) and later ldquoSelf-similar processrdquo or ldquofractional Brownian motionrdquo(Mandelbrot and van Ness 1968) here it is called the Hurst-Kolmogorov (HK) process

Strikingly earlier the Soviet mathematician and physicist Kolmogorov a

great mind of the 20th century who gave the probability theory its

modern foundation and also studied turbulence had proposed a

mathematical process that has the properties to be discovered 10 years

later by Hurst in natural processes Here we call this the Hurst-

Kolmogorov (or HK) process although it is more widely known with

other names

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 23: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

23

D Koutsoyiannis Hydrology and Change 23

The climacogram A simple statistical tool to quantify the change across time scales Take the Nilometer time series x1 x2 x663 and calculate the sample estimate of

standard deviation σ(1) where the superscript (1) indicates time scale (1 year)

Form a time series at time scale 2 (years)

x(2)1 = (x1 + x2)2 x(2)

2 = (x3 + x4)2 x(2)331 = (x661 + x662)2

and calculate the sample estimate of standard deviation σ(2)

Form a time series at time scale 3 (years)

x(3)1 = (x1 + x2 + x3)3 x(3)

221 = (x661 + x662 + x663)3

and calculate the sample estimate of standard deviation σ(3)

Repeat the same procedure up to scale 66 (110 of the record length) and calculate σ(66)

The climacogram is a logarithmic plot of standard deviation σ(k) vs scale k If the time series xi represented a pure random process the climacogram would be a

straight line with slope ndash05 (the proof is very easy)

In real world processes the slope is different from ndash05 designated as H ndash 1 where His the so-called Hurst coefficient (0 lt H lt 1)

The scaling law σ(k) = σ(1) k1 ndash H defines the Hurst-Kolmogorov (HK) process

High values of H (gt 05) indicate enhanced change at large scales else known as long-term persistence or strong clustering (grouping) of similar values

The mathematics to describe the HK process are actually very simple as

shown in this slide and the calculations can be made in a common

spreadsheet

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 24: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

24

D Koutsoyiannis Hydrology and Change 24

-06

-05

-04

-03

-02

-01

0

01

0 05 1 15 2

Log(scale in years)

Log

(sta

ndard

devia

tio

n in

m)

RealityWhite noise (Roulette)MarkovHurst-Kolmogorov theoreticalHurst-Kolmogorov adapted for bias

The climacogram of the Nilometertime series

The Hurst-Kolmogorov process seems consistent with reality

The Hurst coefficient is H = 089(Similar H values are estimated from the simultaneous record of maximum water levels and from the modern 131-year flow record of the Nile flows at Aswan)

Essentially the Hurst-Kolmogorov behaviour depicted in the climacogram manifests that long-term changes are much more frequent and intense than commonly perceived and simultaneously that the future states are much more uncertain and unpredictable on long time horizons than implied by pure randomness

Bia

s The classical statistical estimator of standard deviation was used which however is biased for HK processes

0

2

4

6

8

600 700 800 900 1000 1100 1200 1300

Year AD

Min

imum

wate

r le

vel (m

)

Annual

30-year average

Let us see this applied to the Nilometer time series The -05 slope

corresponds to white noise (a pure random process) The reality departs

substantially from this and is consistent with the HK behaviour with H =

089 Essentially the Hurst-Kolmogorov behaviour manifests that long-

term changes are much more frequent and intense than commonly

perceived and simultaneously that the future states are much more

uncertain and unpredictable on long time horizons than implied by pure

randomness Unfortunately in literature the high value of H is typically

interpreted as long-term or infinite memory This is a bad and incorrect

interpretation and the first who pointed this out was the late Vit Klemes

back in 1974 (later he became the president of IAHS) So a high value of

H indicates enhanced multi-scale change and has nothing to do with

memory

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 25: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

25

D Koutsoyiannis Hydrology and Change 25

The climacogram of the turbulent velocity time series The simple-scaling HK process

is appropriate for scales gt 50 ms but not for scales smaller than that

For small scales a smoothing effect reduces variability (in comparison to that of the HK process)

A Hurst-Kolmogorov process with Smoothing (HKS) is consistent with turbulence measurements at the entire range of scales

The HKS process in addition to the Hurst coefficient involves a smoothing parameter (α) and can be defined by

[σ(k)]2 = [σ(1)]2 (α2 ndash 2H + k2 ndash 2H)

5

75

10

125

15

175

20

225

0 5000 10000 15000 20000 25000 30000

Time (ms)

Velo

city (

ms

)

12 ms 01 s 1 s

01

1

10

1 10 100 1000 10000

Scale (ms)

Sta

nd

ard

de

via

tio

n o

f ve

locity (

ms

)

DataPure random (H = 05)Standard HK process (H = 067)HKS procees (HK with smoothing)HKS adapted for bias

Smoothing

effect

Statistical

bias

The fitted curve (H = 23) is suggestive of the Kolmogorovrsquos ldquo53Prime Law for high frequencies it yields a power spectrum with slope ndash53 this turns to 1 ndash 2H = ndash13 for low frequencies

Coming back to the turbulent velocity time series we observe that its

climacogram shows a structure more complex than the simple HK

process Again there is significant departure from the pure random

process For all time scales the slope is milder than -05 and

asymptotically suggests a Hurst coefficient of 23

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 26: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

26

D Koutsoyiannis Hydrology and Change 26

Are reconstructions of past hydroclimatic behavioursconsistent with the perception of enhanced change

Lake Victoria is the largest tropical lake in the world (68 800 km2) and is the headwater of the White Nile

The contemporary record of water level (covering a period of more than a century) indicates huge changes

Reconstructions of water level for past millennia from sediment cores (Stager et al 2011) suggest that the lake was even dried for several centuries

13 00014 00015 00016 00017 00018 00019 00020 000

high

low

dry

Years before present

dry

From Sutcliffe and Petersen (2007)

Adapted from Stager et al (2011)

These two examples the Nilometer and the turbulence gave us an idea

of enhanced change and enhanced uncertainty over long time scales

Here there is another example from hydrology Lake Victoria is the

largest tropical lake in the world and is also associated with the Nile The

contemporary record of water level (from a recent paper in

Hydrological Sciences Journal) covers a period of more than a century

and indicates huge changes

Reconstructions of water level for past millennia from sediment coresmdash

from a brand new study cited in the slidemdashsuggest that the lake was

even dried for several centuries at about 14 and 16 thousand years

before present

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 27: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

27

D Koutsoyiannis Hydrology and Change 27

Co-evolution of climate with tectonics and life on Earth over the last half billion years

-80

-60

-40

-20

00

20

40

60

80

100

120

050100150200250300350400450500550

Veizer dO18 Isotopes Short Gaussian Smooth

Veizer dO18 Isotopes Long Polyfit Smooth

Millions of Years

Cretaceous Hothouse

Permian-Pangea Hothouse

Eocene Maximum

Antarctic Glaciation

Recent Ice Ages

Mini-Jurassic Ice Age

Carboniferous Ice AgeOrdovician Ice Age

Snowball Earth

Devonian Warm Period

Te

mp

era

ture

dif

fere

nce

fro

m l

ate

st v

alu

e

Palaeoclimate temperature estimates based on δ18O adapted from Veizer et al (2000)

Millions of years before present

Of course all these examples reflect changes of the climate on Earth

This graph depicts perhaps the longest palaeoclimate temperature

reconstruction and is based on the 18O isotope It goes back to more

than half a billion years The change has been prominent Today we are

living in an interglacial period of an ice age We can observe that in the

past there were other ice ages where glacial and integlacial periods

alternated as well as ages with higher temperatures free of ice The

graph also shows some landmarks providing links of the co-evolution of

climate with tectonics (Pangaea) and life on Earth

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 28: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

28

D Koutsoyiannis Hydrology and Change 28

Temperature change on Earth based on observations and proxies

-45

-43

-41

-39

-37

-35

012345678910

δ1

Thousand Years BP

Taylor Dome

-50

-48

-46

-44

-42

-40

-38

-36

-34

-32

-30

0102030405060708090100

δ1

Thousand Years BP

GRIP

-2

-15

-1

-05

0

05

1

15

1850 1870 1890 1910 1930 1950 1970 1990 2010

δT

Year

CRU amp NSSTC

-15

-1

-05

0

05

1

0 200 400 600 800 1000 1200 1400 1600 1800

δT

Year

Moberg amp Lohle

-10

-5

0

5

10

15

050100150200250300350400450500

δΤ

Million Years BP

Veizer

-12

-10

-8

-6

-4

-2

0

2

4

6

0100200300400500600700800

T (

oC

)

Thousand Years BP

EPICA

0

1

2

3

4

5

05101520253035404550

δ1

Million Years BP

Zachos

-15

-1

-05

0

05

1

05001000150020002500

δ1

Thousand Years BP

Huybers

From Markonis and Koutsoyiannis (2011)

These eight graphs depict 10 data series related to the evolution of the

climate specifically temperature on Earth The first graph is made from

instrumental records over the last 160 years and satellite observations

over the last 30 years The last panel is that of the previous slide The

red squares provide the links of the time period of each proxy with the

one before

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 29: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

29

D Koutsoyiannis Hydrology and Change 29

Wh

ite N

oise

slop

e =

-05

Slope = -008

01

1

1E-01 1E+00 1E+01 1E+02 1E+03 1E+04 1E+05 1E+06 1E+07 1E+08

Scale (years)

Sta

nd

ard

de

via

tio

n (

arb

itra

ry u

nit

s)

NSSTCCRU

LohleMobergTaylor

GRIPEPICAHuybersZachos

Veizer

orbital forcing

(anti-peristence)

10-1 100 101 102 103 104 105 106 107 108

A combined climacogram of all 10 temperature observation sets and proxies

From Markonis and Koutsoyiannis (2011)

This slope supports an HK behaviourwith H gt 092

The orbital forcing is evident for scales between 104

and 105 years

The HK behaviourextends over all scales

The actual climatic variability at the scale of 100 million years equals that of 3 years of a pure random climate

Enhanced change

Common perception

Pure random change

Now if we superimpose the climacograms of the 10 time series after

appropriate translation of the logarithm of standard deviation but

without modifying the slopes we get this impressive overview for time

scales spanning almost 9 orders of magnitudemdashfrom 1 month to nearly

100 million years First we observe that the real-climate climacogram

departs spectacularly from that of pure randomness Second the real

climate is approximately consistent with an HK model with a Hurst

coefficient greater than 092 Third there is a clear deviation of the

simple scaling HK law for scales between 10 and 100 thousand years

exactly as expected due to the Milancovich cycles acting at these time

scales Overall the actual climatic variability at the scale of 100 million

years equals that of about 25-3 years of a pure random climate This

dramatic effect should make us understand the inappropriateness of

classical statistical thinking for climate It should also help us understand

what enhanced change and enhanced unpredictability are My PhD

student Yiannis Markonis and I are preparing a publication of this with

further explanations (hopefully it will be published somewhere)

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 30: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

30

D Koutsoyiannis Hydrology and Change 30

Clustering in time in other geophysical processes Earthquakes

Megaquakes

Cluster 2

Megaquakes

Cluster 1

Low seismicity

Cluster 1 The graph adapted from Kerr (2011) shows megaquakeclusters as well as a low seismicity cluster

But the characteristics of the HK behaviour are not limited to hydrology

and climate This graph adapted from a recent article in the Science

Magazine but with my own interpretation shows how mega-

earthquakes and periods of low seismicity cluster in time That is the HK

behaviour is universal

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 31: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

31

D Koutsoyiannis Hydrology and Change 31

Images are snapshots from videos depicting cosmological simulations timemachinegigapanorgwikiEarly_Universe Di Matteo et al (2008)

Cosmological evolution from uniformity to clustering

200 million years after the Bing Bang

300 million light years

Uniformity Maximum uncertainty at small scales

Clustering Enhanced uncertainty at large scales

Void Black hole and galaxy cluster

7 billion

years later

Tim

e

and since it is universal we should find it in the big picture of the

universe itself These snapshots taken from videos depicting

cosmological simulation indicate how the universe evolved from the

initial uniform soup to clustered structures where the clusters are

either voids or stars galaxies and black holes

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 32: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

32

D Koutsoyiannis Hydrology and Change 32

Fre

qu

en

cy(p

er

tho

usa

nd

) 22

23

24

25

26

27

28

29

and

05

1

15

2

25

3

35you we one two

0

005

01

015

1800 1850 1900 1950 2000

boy girl

Year

Clustering and change in human related processes

Data from Google labs ngramsgooglelabscom

Even the use of neutral words like ldquoandrdquo ldquoyourdquo ldquowerdquo etc is subject to spectacular change through the years

Moreover the HK behaviour is not a characteristic of the physical

universe only but also of mental universes constructed by humans

Here I return to the Google Labs to examine frequencies of simple and

unsophisticated words I chose very neutral and ingenuous words like

ldquoandrdquo ldquoyourdquo ldquowerdquo ldquoonerdquo ldquotwordquo ldquoboyrdquo ldquogirlrdquo One might expect that

the frequency of using these words should be static not subject to

change But the reality is impressively different as shown in these

graphs

The most neutral and less changing seems to be the world ldquotwordquo so let

us examine it further

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 33: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

33

D Koutsoyiannis Hydrology and Change 33

The climacogram of the frequency of a very neutral word ldquotwordquo

085

09

095

1

105

11

115

12

1800 1850 1900 1950 2000

Year

Fre

qu

en

cy (

pe

r th

ou

san

d)

two actual

average

99 prediction limits (classical statistics)

001

01

1 10 100Scale (years)

Sta

nd

ard

de

via

tio

n o

f fr

eq

ue

ncy

(pe

r th

ou

san

d)

DataPure random (H = 05)HKS procees adapted for bias (H = 099)Markov process adapted for bias (ρ = 089)

The pure random approach is a spectacular failure

The climacogram is almost flat

This indicates an HKS process with H close to 1

Even a Markov (AR1) model with high autocorrelation can match this climacogram

The two models (HKS and Markov) are indistinguishable in this case (the available record is too short)

A detailed plot will again reveal change different from pure randomness

The climacogram will indicate that the change is consistent with the HK

behaviour with a Hurst coefficient very close to 1

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 34: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

34

D Koutsoyiannis Hydrology and Change 34

Seeking an explanation of long-term change Entropy

Definition of entropy of a random variable z (adapted from Papoulis 1991)

Φ[z] = E[ndashln[ f(z)l(z)]] = ndashint-infin f(z) ln [f(z)l(z)] dz [dimensionless]

where f(z) the probability density function with int-infin f(z) dz = 1 and l(z) a Lebesgue density (numerically equal to 1 with dimensions same as in f(z))

Definition of entropy production for the stochastic process z(t) in continuous time t (from Koutsoyiannis 2011)

Φ΄[z(t)] = dΦ[z(t)] dt [units T-1]

Definition of entropy production in logarithmic time (EPLT)

φ[z(t)] = dΦ[z(t)] d(lnt) equiv Φ΄[z(t)] t [dimensionless]

Note 1 Starting from a stationary stochastic process x(t) the cumulative

(nonstationary) process z(t) is defined as z(t) = int0

tx(τ) dτ consequently the

discrete time process xiΔ = z(iΔ) ndash z((i ndash 1)Δ) represents stationary intervals

(for time step Δ in discrete time i) of the cumulative process z(t)

Note 2 For any specified t and any two processes z1(t) and z2(t) an inequality relationship between entropy productions such as Φ΄[z1(t)] lt Φ΄[z2(t)] holds also true for EPLTs eg φ[z1(t)] lt φ[z2(t)]

infin

infin

Is there a physical explanation of this universal behaviour In my

opinion yes and it relies on entropy Entropy is none other than a

measure of uncertainty and its maximization means maximization of

uncertainty When time is involved the quantity that we should

extremize is entropy production a derivative of entropy

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 35: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

35

D Koutsoyiannis Hydrology and Change 35

Extremizing entropy production (EPLT)

0

05

1

15

2

0001 001 01 1 10 100 1000

t

φ (t )Markov unconditional

Markov conditional

HK unconditional+conditional

As t rarr 0 the EPLT is maximized by a Markov process

As t rarr 0 the EPLT is minimized by an HK

processAs t rarr infin the EPLT is minimized by a Markov process

As t rarr infin the EPLT is maximized by an HKprocess

The conditional EPLT corresponds to the case where the past has been observed

The solutions depicted are generic valid for any Gaussian process independent of μ and σ and depended on ρ only (the example is for ρ = 0543)mdashsee Koutsoyiannis (2011)

The HK process has constant EPLT = H where H is the Hurst coefficientmdashthe exponent of the power law H = frac12 + frac12 ln(1 + ρ)ln 2

As this graph depicts the HK process appears to extremize entropy

production and the Hurst coefficient has a clear physical meaning It is

the entropy production in logarithmic time The details can be found in

my recent paper in Physica A

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 36: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

36

D Koutsoyiannis Hydrology and Change 36

Concluding remarks

The world exists only in change

Change occurs at all time scales

Change is hardly predictable in deterministic terms

Humans are part of the changing Naturemdashbut change is hardly controllable by humans (fortunately)

Hurst-Kolmogorov dynamics is the key to perceive multi-scale change and model the implied uncertainty and risk

Hydrology has greatly contributed in discovering and modelling changemdashhowever lately following other geophysical disciplines it has been affected by 19th-century myths of static or clockwork systems deterministic predictability (cf climate models) and elimination of uncertainty

A new change of perspective is thus needed in which change and uncertainty are essential parts

Both classical physics and quantum physics are indeterministicKarl Popper (in his book ldquoQuantum Theory and the Schism in Physicsrdquo)

The future is not contained in the present or the pastW W Bartley III (in Editorrsquos Foreward to the same book)

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001

Page 37: Hydrology and Change - NTUA · 3 D. Koutsoyiannis, Hydrology and Change 3 It looks like, recently, our scientific community has been amazed that things change… I hope you can agree

37

D Koutsoyiannis Hydrology and Change 37

General references Beran J Statistics for Long-memory Processes Chapman and Hall New York 1994

Di Matteo T J Colberg V Springe L Hernquist and D Sijacki Direct cosmological simulations of the growth of black holes and galaxies The Astrophysical Journal 676 (1) 33-53 2008

Hurst H E Long term storage capacities of reservoirs Trans Am Soc Civil Engrs 116 776ndash808 1951

Kang H S S Chester and C Meneveau Decaying turbulence in an active-grid-generated flow and comparisons with large-eddy simulation J Fluid Mech 480 129-160 2003

Kerr R A More megaquakes on the way That depends on your statistics Science 332 (6028) 411 DOI 101126science3326028411 2011

Kolmogorov A N Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum Dokl Akad Nauk URSS 26 115ndash118 1940

Koutsoyiannis D A random walk on water Hydrology and Earth System Sciences 14 585ndash601 2010

Koutsoyiannis D Hurst-Kolmogorov dynamics as a result of extremal entropy production Physica A Statistical Mechanics and its Applications 390 (8) 1424ndash1432 2011

Mandelbrot B B and J W van Ness Fractional Brownian Motion fractional noises and applications SIAM Review 10 422-437 1968

Markonis I and D Koutsoyiannis Combined Hurst-Kolmogorov and Milankovitch dynamics in Earthrsquos climate 2011 (in preparation)

Michel J-B Y K Shen A P Aiden A Veres M K Gray The Google Books Team J P Pickett D Hoiberg D Clancy P Norvig J Orwant S Pinker M A Nowak and E L Aiden Quantitative analysis of culture using millions of digitized books Science 331 (6014) 176-182 2011

Papoulis A Probability Random Variables and Stochastic Processes 3rd ed McGraw-Hill New York 1991

Stager J C D B Ryves B M Chase and F S R Pausata Catastrophic Drought in the Afro-Asian Monsoon Region During Heinrich Event Science DOI 101126science1198322 2011

Sutcliffe J V and G Petersen Lake Victoria derivation of a corrected natural water level series Hydrological Sciences Journal 52 (6) 1316-1321 2007

Paleoclimate data references [GRIP] Dansgaard W S J Jonhsen H B Clauson D Dahl-Jensen N S Gundestrup C U Hammer C S Hvidberg J P Steffensen A E Sveinbjornsdottir J

Jouzel and G Bond Evidence for general instability in past climate from a 250-kyr ice-core record Nature 364 218-220 1993

[EPICA] Jouzel J et al EPICA Dome C Ice Core 800KYr Deuterium Data and Temperature Estimates IGBP PAGESWorld Data Center for Paleoclimatology Data Contribution Series 2007-091 NOAANCDC Paleoclimatology Program Boulder CO USA 2007

[Huybers] Huybers P Glacial variability over the last two million years an extended depth-derived age model continuous obliquity pacing and the Pleistocene progression Quaternary Science Reviews 26(1-2) 37-55 2007

[Lohle] Lohle C A 2000-Year Global Temperature reconstruction based on non-treering proxies Energy amp Environment 18(7-8) 1049-1058 2007

[Moberg] Moberg A D Sonechkin K Holmgren N Datsenko and W Karleacuten Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data Nature 433 (7026) 613 ndash 617 2005

[Taylor Dome] Steig E J D L Morse E D Waddington M Stuiver P M Grootes P A Mayewski M S Twickler and S I Whitlow Wisconsinan and holoceneclimate history from an ice core at Taylor Dome Western Ross Embayment Antarctica Geografiska Annaler Series A Physical Geography 82 213ndash235 2000

[Veizer] Veizer J D Ala K Azmy P Bruckschen D Buhl F Bruhn G A F Carden A Diener S Ebneth Y Godderis T Jasper C Korte F Pawellek O Podlahaand H Strauss 87Sr86Sr d13C and d18O evolution of Phanerozoic seawater Chemical Geology 161 59-88 2000

[Zachos] Zachos J M Pagani L Sloan E Thomas and K Billups Trends rhythms and aberrations in global climate 65 Ma to present Science 292(5517) 686-693 2001