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We explore a simple model for diffusion by considering a simple", StyleBox[" ", FontSlant->"Italic"], "model for the unbiased, ", ButtonBox["one-dimensional random walk", BaseStyle->"Hyperlink", ButtonData:>{ URL["http://mathworld.wolfram.com/RandomWalk1-Dimensional.html"], None}], ". Diffusion is the process by which a quantity (like particles, heat, or \ momentum) moves from a region of high concentration to low concretionary by a \ multi-step random process. We also briefly introduce the concept of entropy, \ introduced by Rudolf Clausius in 1865." }], "Text"] }, Closed]], Cell[CellGroupData[{ Cell["Jacob Bernoulli", "Section"], Cell[GraphicsData["CompressedBitmap", "\<\ eJycvTuMHcmSJegV33uTZFW97p5diqmmmGKKqewABFahWFrXYIGZByx2MW+0 FlscZYUnPrFEilRLpFgiVYoUKbZaG+Fun2PHzW9yt4CsTN5P3LgRbmbHjh0z /9//9X/81//j//zX//Hf/su/3v/n//6v//d//W//5W/3/9v/9d+Ph+YfSvnh 3fHz/9yX8+8/S7H/bX/++uuvf/7yyy/15/379/p7+fPdu3dl/fP5+fn8q/6c T5+Pzuejx//Px+T5stTHVnyMnvv+12/1uSU8d/xM8vDT01N9WH5P5x/zjefk W+hT+in1cPPowMfPRKdt/5rboY+/6pkufgIzfkq51v9v4ZPhTBY6Of2xN7WL hM+9fAlmfK59x8nOGa6p/NSXtwtun/P4+KgHWeVpfYg+d7Zz+snO4Na3as/N +Fx53Y5xrC14k37e8btc5FLAad28O3J8WTRlosfO133Pe9v59jc1/ZJwZ7uD 21pTkxIzQrMqP5x2V47Xnb9mM0T71+7rNJ52PSgbE57OK1lPyXO2dHiZJIuo N481uThreobxdXaZJ/tO9SSucSWHNY3H25JTvCYLax8ZxZq8uH7alnza7GYQ 37HJY2AaslTjYxMt3/P38bORwcSDL6MDTdUkZjSSUh9zJzTdODG48SX7tr4Q rsmzV7nHtBD8EvvnZ0s1Mwzxp6cJlOOOwbq3gKQm4q569jWf3Kx0+fnqlZ8p 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FontSlant->"Italic"], "(0,2) = 1/2, since there are four possible paths after two steps and two \ possible ways of reaching ", StyleBox["x", FontSlant->"Italic"], " = 0. (Notice that, for ", StyleBox["n", FontSlant->"Italic"], " even, only even positions can be populated, and, for ", StyleBox["n", FontSlant->"Italic"], " odd, only odd positions can be populated.)" }], "Text"], Cell[TextData[{ "Now, let's consider an arbitrary number of ", StyleBox["n", FontSlant->"Italic"], " ", "steps. " }], "Text"], Cell[TextData[{ "After ", StyleBox["n", FontSlant->"Italic"], " steps, the total number of steps to the right, ", Cell[BoxData[ FormBox[ RowBox[{ SubscriptBox["n", "R"], ","}], TraditionalForm]]], " and the total number of steps to the left, ", Cell[BoxData[ FormBox[ RowBox[{ SubscriptBox["n", "L"], ","}], TraditionalForm]]], "must satisfy, ", StyleBox["n ", FontSlant->"Italic"], " = ", Cell[BoxData[ FormBox[ SubscriptBox["n", "R"], TraditionalForm]]], " + ", Cell[BoxData[ FormBox[ SubscriptBox["n", "L"], TraditionalForm]]], ".In order to reach location ", StyleBox["j", FontSlant->"Italic"], ", the difference between right and left directed steps must satisfy, ", StyleBox["j = ", FontSlant->"Italic"], Cell[BoxData[ FormBox[ SubscriptBox["n", "R"], TraditionalForm]]], " \[Dash] ", Cell[BoxData[ FormBox[ SubscriptBox["n", "L"], TraditionalForm]]], ", or ", StyleBox["j = ", FontSlant->"Italic"], "2 ", Cell[BoxData[ FormBox[ SubscriptBox["n", "R"], TraditionalForm]]], " \[Dash] ", StyleBox["n", FontSlant->"Italic"], ". For example, if ", StyleBox["j", FontSlant->"Italic"], " = \[Dash]3", StyleBox[" ", FontSlant->"Italic"], "after 15 steps, we must have ", Cell[BoxData[ FormBox[ SubscriptBox["n", "R"], TraditionalForm]]], " = 6 and ", Cell[BoxData[ FormBox[ SubscriptBox["n", "L"], TraditionalForm]]], "= 9. It doesn't really matter what order the right and left steps are \ taken. As long as there are 6 right steps and 9 left steps, ", StyleBox["j", FontSlant->"Italic"], " = \[Dash]3 after 15 steps. The probability for any of these possible paths \ must be equal to (probability of moving ", Cell[BoxData[ FormBox[ SuperscriptBox[ RowBox[{"right", ")"}], SubscriptBox["n", "R"]], TraditionalForm]]], "\[Cross] (probability of moving ", Cell[BoxData[ FormBox[ SuperscriptBox[ RowBox[{"left", ")"}], SubscriptBox["n", "L"]], TraditionalForm]]], " = ", Cell[BoxData[ FormBox[ RowBox[{ FormBox[ SuperscriptBox[ RowBox[{"(", RowBox[{"1", "/", "2"}], ")"}], SubscriptBox["n", "R"]], TraditionalForm], SuperscriptBox[ RowBox[{"(", RowBox[{"1", "/", "2"}], ")"}], SubscriptBox["n", "L"]]}], TraditionalForm]]], " = ", Cell[BoxData[ FormBox[ SuperscriptBox[ RowBox[{"(", RowBox[{"1", "/", "2"}], ")"}], "n"], TraditionalForm]]], "." }], "Text"], Cell[TextData[{ "How many paths are there for a given (", StyleBox["j", FontSlant->"Italic"], ", ", StyleBox["n", FontSlant->"Italic"], ")?" }], "Text"], Cell[TextData[{ "If there were ", StyleBox["n ", FontSlant->"Italic"], "distinct elements of the list of steps (", StyleBox["i.e.", FontSlant->"Italic"], " {+1, -1, -1, +1, -1, +1, -1, -1, +1, -1, -1, +1, -1, -1, +1}), then there \ would be ", StyleBox["n", FontSlant->"Italic"], "! = ", StyleBox["n", FontSlant->"Italic"], " (", StyleBox["n ", FontSlant->"Italic"], " \[Dash] 1) (", StyleBox["n", FontSlant->"Italic"], " \[Dash] 2) \[Ellipsis] ways of re-arranging these elements, However, the \ members within the group of all right steps and the group of all left steps \ are identical. 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He explained that physical processes always increase the disorder \ of the system (and of the universe.) The increase in entropy sets the \ direction of time and defines the ", ButtonBox["second law of thermodynamics", BaseStyle->"Hyperlink", ButtonData:>{ URL["http://scienceworld.wolfram.com/physics/SecondLawofThermodynamics.\ html"], None}], ". In this section, we will examine and measure the disorder of our \ collection of random walkers." }], "Text"], Cell[TextData[{ "Imagine that we start ", StyleBox["nWalkers", FontWeight->"Bold"], " at ", StyleBox["x", FontSlant->"Italic"], " = 0. What is the probability that they will re-occur back at the origin? \ ", StyleBox["Answer:", FontSlant->"Italic"], " ", Cell[BoxData[ FormBox[ SuperscriptBox[ RowBox[{"(", RowBox[{"P", "(", RowBox[{"n", ",", " ", "0"}], ")"}], ")"}], "nWalkers"], TraditionalForm]]], "." }], "Text"], Cell["\<\ For two walkers and 10 steps, the probability that both will return to 0 \ after 10 steps is 6%,... \ \>", "Text"], Cell[BoxData[ RowBox[{ RowBox[{ RowBox[{"prob", "[", RowBox[{"10", ",", "0"}], "]"}], "^", "2"}], " ", "//", " ", "N"}]], "Input", CellLabel->"In[53]:="], Cell[BoxData[ RowBox[{"ListPlot", "[", RowBox[{ RowBox[{"Table", "[", RowBox[{ RowBox[{"Log", "[", RowBox[{"10", ",", RowBox[{"prob", "[", RowBox[{"n", ",", "0"}], "]"}]}], "]"}], ",", RowBox[{"{", RowBox[{"n", ",", "2", ",", "200", ",", "2"}], "}"}]}], "]"}], ",", RowBox[{"AxesLabel", "\[Rule]", RowBox[{"{", RowBox[{"\"\\"", ",", "\"\\""}], "}"}]}]}], "]"}]], "Input", CellLabel->"In[54]:="], Cell[TextData[{ "The number of times that two particles will meet (at any location) after ", StyleBox["n", FontSlant->"Italic"], " steps is", " " }], "Text"], Cell[BoxData[ RowBox[{ RowBox[{"probCollide", "[", "n_", "]"}], " ", ":=", " ", RowBox[{"Sum", "[", RowBox[{ RowBox[{ RowBox[{"prob", "[", RowBox[{"n", ",", "x"}], "]"}], " ", RowBox[{"prob", "[", RowBox[{"n", ",", "x"}], "]"}]}], ",", " ", RowBox[{"{", RowBox[{"x", ",", " ", RowBox[{"-", "n"}], ",", " ", "n"}], "}"}]}], "]"}]}]], "Input", CellLabel->"In[55]:="], Cell[BoxData[ RowBox[{"probCollide", "[", "10", "]"}]], "Input", CellLabel->"In[56]:="], Cell[BoxData[ RowBox[{"ListPlot", "[", RowBox[{ RowBox[{"Table", "[", RowBox[{ RowBox[{"probCollide", "[", "n", "]"}], ",", RowBox[{"{", RowBox[{"n", ",", "1", ",", "100"}], "}"}]}], "]"}], ",", RowBox[{"AxesOrigin", "\[Rule]", RowBox[{"{", RowBox[{"0", ",", "0"}], "}"}]}], ",", RowBox[{"AxesLabel", "\[Rule]", RowBox[{"{", RowBox[{"\"\\"", ",", "\"\\""}], "}"}]}]}], "]"}]], "Input", CellLabel->"In[57]:="], Cell[TextData[{ "The total number of times a collision will occur (after ", StyleBox["n", FontSlant->"Italic"], " steps)", " is equal to" }], "Text"], Cell[BoxData[ RowBox[{ RowBox[{"numCollide", "[", "n_", "]"}], " ", ":=", " ", RowBox[{"Sum", "[", RowBox[{ RowBox[{"probCollide", "[", "i", "]"}], ",", " ", RowBox[{"{", RowBox[{"i", ",", " ", "1", ",", " ", "n"}], "}"}]}], "]"}]}]], "Input", CellLabel->"In[58]:="], Cell[BoxData[ RowBox[{"numCollide", "[", "2", "]"}]], "Input", CellLabel->"In[59]:="], Cell[BoxData[ RowBox[{"ListPlot", "[", RowBox[{ RowBox[{"Table", "[", RowBox[{ RowBox[{"{", RowBox[{"n", ",", RowBox[{"numCollide", "[", "n", "]"}]}], "}"}], ",", RowBox[{"{", RowBox[{"n", ",", "1", ",", "100", ",", "5"}], "}"}]}], "]"}], ",", RowBox[{"AxesOrigin", "\[Rule]", RowBox[{"{", RowBox[{"0", ",", "0"}], "}"}]}], ",", RowBox[{"PlotStyle", "\[Rule]", RowBox[{"PointSize", "[", "0.02`", "]"}]}], ",", RowBox[{"AxesLabel", "\[Rule]", RowBox[{"{", RowBox[{"\"\\"", ",", "\"\\""}], "}"}]}]}], "]"}]], "Input", CellLabel->"In[60]:="], Cell[TextData[{ "This scales like ", Cell[BoxData[ FormBox[ SqrtBox["n"], TraditionalForm]]], ". So two random walkers (in one-dimension) will collide many, many times as \ they wander!" }], "Text"], Cell["\<\ With 100 walkers and 10 steps, the probability of returning to the original \ position is \ \>", "Text"], Cell[BoxData[ RowBox[{ RowBox[{ RowBox[{"prob", "[", RowBox[{"10", ",", "0"}], "]"}], "^", "100"}], " ", "//", " ", "N"}]], "Input", CellLabel->"In[61]:="], Cell["Requiring many times \"longer than the age of the universe.\"", "Text"], Cell[CellGroupData[{ Cell["Entropy", "Subsubsection"], Cell[TextData[{ "Entropy is a measure of the disorder of the distribution of random walkers. \ It is defined as ", StyleBox["S", FontSlant->"Italic"], "(", StyleBox["t", FontSlant->"Italic"], ") = \[Dash] ", Cell[BoxData[ FormBox[ RowBox[{"\[Integral]", RowBox[{ RowBox[{"P", "(", RowBox[{"x", ",", "t"}], ")"}], " ", RowBox[{"Log", "[", RowBox[{"P", "(", RowBox[{"x", ",", "t"}], ")"}], "]"}], RowBox[{"\[DifferentialD]", "x"}]}]}], TraditionalForm]]], ", where ", StyleBox["P", FontSlant->"Italic"], "(", StyleBox["x,t", FontSlant->"Italic"], ") is the probability of a walker being at cell ", StyleBox["x", FontSlant->"Italic"], " at time ", StyleBox["t", FontSlant->"Italic"], ". Initially, all of the walkers are located at ", StyleBox["x", FontSlant->"Italic"], " = 0 with probability of 100%, The entropy is zero. As the probability \ become more uniform in ", StyleBox["x", FontSlant->"Italic"], ", then the entropy will increase. ", "According to the ", StyleBox["ergodic hypothesis, ", FontSlant->"Italic"], "all of the available states of a system in equilibrium will be occupied \ with equal probability. For our random walkers, ", StyleBox["x", FontSlant->"Italic"], " can range from -\[Infinity]", " to +\[Infinity] with equal probability as ", StyleBox["t", FontSlant->"Italic"], " \[Rule] \[Infinity]. Therefore, our entropy calculation below is really \ only valid for a limited time when there are enough walkers within each cell \ in order to estimate the probability as the ratio, ", StyleBox["P", FontSlant->"Italic"], "(", StyleBox["x", FontSlant->"Italic"], ",", StyleBox["t", FontSlant->"Italic"], ") \[TildeTilde] (# of walkers within grid box ", StyleBox["x", FontSlant->"Italic"], ")/(total number of walkers)." }], "Text"], Cell[TextData[{ "(You can show that the diffusion equation implies that entropy ", StyleBox["must always increase. ", FontSlant->"Italic"], "A question remains: the diffusion equation is valid only as the number of \ walkers \[Rule] \[Infinity]. For a finite number of walkers, fluctuations \ from the average are large, and sometimes these fluctuations lead to a \ momentary ", StyleBox["decrease", FontSlant->"Italic"], " in entropy.)" }], "Text"], Cell["\<\ We can compute the entropy evolution of our random-walker simulation easily\ \[Ellipsis]\ \>", "Text"], Cell[BoxData[ RowBox[{ RowBox[{"{", RowBox[{"nWalkers", ",", " ", RowBox[{"Plus", " ", "@@", " ", RowBox[{"grid", "\[LeftDoubleBracket]", RowBox[{"1", ",", "All"}], "\[RightDoubleBracket]"}]}], ",", RowBox[{"Plus", " ", "@@", " ", RowBox[{"grid", "\[LeftDoubleBracket]", RowBox[{"500", ",", "All"}], "\[RightDoubleBracket]"}]}]}], "}"}], " ", RowBox[{"(*", " ", StyleBox[ RowBox[{"Notice", ":", " ", RowBox[{ "our", " ", "\"\\"", " ", "begins", " ", "to", " ", "be", " ", "too", " ", "small", " ", "to", " ", "record", " ", "all", " ", "of", " ", "the", " ", RowBox[{"walkers", "."}]}]}], FontColor->RGBColor[0, 1, 0]], " ", "*)"}]}]], "Input", CellLabel->"In[62]:="], Cell[BoxData[ RowBox[{ RowBox[{"entropyGrid", " ", "=", " ", RowBox[{"Table", "[", RowBox[{ RowBox[{"Plus", " ", "@@", " ", RowBox[{"(", RowBox[{ RowBox[{ RowBox[{"If", "[", RowBox[{ RowBox[{"#", " ", ">", " ", "1"}], ",", RowBox[{"-", RowBox[{"N", "[", RowBox[{ RowBox[{"(", RowBox[{"#", "/", "nWalkers"}], ")"}], " ", RowBox[{"Log", "[", RowBox[{"(", RowBox[{"#", "/", "nWalkers"}], ")"}], "]"}]}], "]"}]}], ",", "0"}], "]"}], "&"}], " ", "/@", " ", RowBox[{"grid", "\[LeftDoubleBracket]", RowBox[{"t", ",", "All"}], "\[RightDoubleBracket]"}]}], ")"}]}], ",", " ", RowBox[{"{", RowBox[{"t", ",", " ", "1", ",", " ", "500"}], "}"}]}], "]"}]}], ";"}]], "Input", CellLabel->"In[63]:="], Cell[BoxData[ RowBox[{"ListPlot", "[", RowBox[{"entropyGrid", ",", RowBox[{"AxesLabel", "\[Rule]", RowBox[{"{", RowBox[{"\"\\"", ",", RowBox[{"\"\\"", "<>", RowBox[{"ToString", "[", "nWalkers", "]"}], "<>", "\"\< Walkers\>\""}]}], "}"}]}], ",", RowBox[{"Joined", "\[Rule]", "True"}], ",", RowBox[{"PlotRange", "\[Rule]", RowBox[{"{", RowBox[{"0", ",", "4"}], "}"}]}]}], "]"}]], "Input", CellLabel->"In[64]:="] }, Closed]], Cell[CellGroupData[{ Cell["Entropy with only 10 Walkers", "Subsubsection"], Cell[TextData[{ "When there is a large number of walkers, entropy (practically) always \ increases. 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