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# Untitled Document

6/23/03

On the (Boltzmann) Entropy of Nonequilibrium Systems

S. Goldstein**oldstein@math.rutgers.edu and Joel L. Lebowitz\**\**lebowitz@sakharov.rutgers.edu

Department of Mathematics and Physics

Rutgers University

Piscataway, New Jersey

Abstract: Boltzmann defined the entropy of a macroscopic system in a macrostate $`M`$ as the $`\mathrm{log}`$ of the volume of phase space (number of microstates) corresponding to $`M`$. This agrees with the thermodynamic entropy of Clausius when $`M`$ specifies the locally conserved quantities of a system in local thermal equilibrium (LTE). Here we discuss Boltzmann’s entropy, involving an appropriate choice of macro-variables, for systems not in LTE. We generalize the formulas of Boltzmann for dilute gases and of Resibois for hard sphere fluids and show that for macro-variables satisfying any deterministic autonomous evolution equation arising from the microscopic dynamics the corresponding Boltzmann entropy must satisfy an $``$-theorem.

KEY WORDS: Nonequilibrium entropy, H-Theorem, phase-space volume, macroscopic evolution, microscopic dynamics

PACS NUMBERS: 05.20.-y, 05.20.Dd, 05.20.Jj, 05.70.Ln

Introduction

Thermodynamics associates to isolated equilibrium macroscopic systems with specified thermodynamic parameters $`M`$ an additive, macroscopically well defined, entropy $`S(M)`$. The second law of thermodynamics then asserts that in any temporal change occurring in such isolated systems (due e.g. to the relaxation of some constraint) the new equilibrium state, with parameters $`M^{}`$, must satisfy $`S(M^{})S(M)`$. $`S(M)`$ as well as the second law naturally generalize to an entropy $`S_{\mathrm{loc}.\mathrm{eq}.}(M)=S_{\mathrm{loc}.\mathrm{eq}.}(\{M(𝐱)\})`$ for systems in LTE with particle, momentum and energy densities varying slowly (on a microscopic scale) in space and time. $`S_{\mathrm{loc}.\mathrm{eq}.}(M)`$ increases with time when $`M(𝐱)`$ evolves to $`M_t(𝐱)`$ according to macroscopic hydrodynamical equations . This is reviewed briefly in section 2.

We then discuss in section 3 Boltzmann’s microscopic interpretation of $`S(M)`$ as the $`\mathrm{log}`$ of the volume of phase space associated to $`M`$. This not only provides a formula for computing $`S(M)`$ microscopically, but also explains the origin of the time-asymmetric second law in the time-symmetric microscopic laws . It shows in particular that if there is a deterministic autonomous equation describing the time evolution of a macrostate $`M_t`$ of an isolated system, be it hydrodynamic or kinetic, e.g. the Boltzmann equation, it must give an $`S(M_t)`$ which is monotone non-decreasing in $`t`$.

Boltzmann’s macroscopic formulation leads naturally to a formula for the entropy of dilute gases which may be far from LTE. For such systems the macrostate $`M`$ may be specified by $`f(𝐱,𝐯)`$, the density of gas particles in the six-dimensional one-particle phase space. Boltzmann showed that this entropy, $`S_{\mathrm{gas}}(f_t)`$, increases with time when $`f_t`$ evolves according to the Boltzmann equation ($``$-theorem) . This is discussed in section 4.

In section 5 we give a formula for $`S(f,E)`$, the log of the phase space volume of a general system whose macrostate is specified by $`f(𝐱,𝐯)`$ and the total energy $`E`$. This reduces to $`S_{\mathrm{gas}}(f)`$ for a dilute gas and to $`S_{hs}(f)`$ for a system of hard spheres. $`S_{hs}(f)`$ was found by Resibois  to satisfy an $``$-theorem when $`f`$ evolves according to the (modified) Enskog equation for a system of hard spheres. We note that the general argument given by Boltzmann for the origin of the second law suggests that $`S(f_t,E)`$ should be monotone in time even if $`f_t`$ does not satisfy an autonomous evolution equation. This is discussed further in section 6.

Section 7 consists of some remarks comparing and contrasting Boltzmann’s definition of the entropy of a macroscopic system with other definitions of entropy. We raise, but do not resolve, the question of the appropriate choice of macrostates for general nonequilibrium systems.

The article is written in an informal style describing the ideas and facts (not necessarily in the right historical order) we think important for understanding the notion of the entropy of a macroscopic system, made up of a very large number of atoms or molecules. We restrict ourselves to isolated classical systems, assume familiarity with the basic notions of thermodynamics and statistical mechanics, and omit many details (including units, boundary conditions, etc.). We refer the interested reader to  and references there.

2. Clausius’ Macroscopic Entropy

Rudolf Clausius’ 1865 paper  concludes with his celebrated “two fundamental theorems of the mechanical theory of heat”: 1. The energy of the universe is constant. 2. The entropy of the universe tends to a maximum. These express in succinct form what is generally referred to as the first and second law of thermodynamics; see  for their interesting history.

The first law needs no elaboration. The existence of a conserved energy for isolated systems goes back to Newton for mechanical systems. The experiments of Joule then showed, that thermal phenomena are subject to the same mechanical laws.

The second law, on the other hand, which contains the newly coined word entropy, does need elaboration. Let us quote Lars Onsager : “The second law of thermodynamics forbids perpetual motion of the second kind and implies the existence of a definable entropy for any system in a state that can be reached by a succession of reversible processes. These “thermodynamic” states are typically defined as states of “equilibrium” under specified restraints on composition, energy, and external boundary conditions, in the sense that no spontaneous change can occur in the system as long as the constraints remain fixed.” The implicit “restraints” exclude chemical or nuclear reactions which would change the species present, etc..

As put in the textbooks, e.g. : given an equilibrium system with energy $`E`$ and mole (or particle) numbers $`𝐍`$ in a spatial region $`V`$, with a volume which we shall also denote by $`V`$, there exists a function $`S(E,𝐍,V)`$ such that in a reversible process

$$dS=[dE+pdV\mu _jdN_j]/T$$
$`(1)`$
where $`T`$ is the absolute temperature, $`p`$ the pressure and $`\mu _j`$ the chemical potential of species $`j`$. The terms in the square bracket just give the amount of heat added to the system in a reversible process.

Thermodynamics further states that the entropy of two isolated macroscopic systems, each in equilibrium, with their own energies, mole numbers and volumes, is the sum of their individual entropies, i.e.

$$S_{1,2}(E_1,𝐍_1,V_1.E_2,𝐍_2,V_2)=S_1(E_1,𝐍_1.V_1)+S_2(E_2,𝐍_2,V_2)$$
$`(2)`$
Suppose now that these two systems are permitted to interact and exchange energy over some period of time after which they are again isolated. Then, according to the first law, their new energies $`E_1^{}`$ and $`E_2^{}`$ will satisfy $`E_1^{}+E_2^{}=E_1+E_2`$. If we now wait until each of the systems comes to equilibrium then, according to the second law, their combined new entropy must satisfy the inequality,

$$S_{1,2}^{}=S_1(E_1^{},𝐍_1,V_1)+S_2(E_2^{},𝐍_2,V_2)S_{1,2}=S_1(E_1,𝐍_1,V_1)+S_2(E_2,𝐍_2,V_2).$$
$`(3)`$
Similar inequalities hold when relaxing other constraints. As an extreme example imagine that initially system 1 contained a mixture of hydrogen and oxygen at a low temperature $`T_1`$, with an implicit constraint prohibiting their chemical reaction, while system 2 was at a high temperature $`T_2`$. The final state could now be very hot steam in system 1, with a temperature $`T_1^{}`$ higher than the temperature $`T_2^{}`$ in system 2, e.g. $`T_1^{}>T_2^{}>T_2>T_1`$.

In all cases, if the two systems have come to a joint equilibrium at the end of this period of interaction, with possibly new $`𝐍^{}`$, then $`E_1^{}`$ and $`E_2^{}`$ must be such that the new entropy satisfies

$$S_1^{}(E_1^{},𝐍_1^{},V_1)+S_2^{}(E_2^{},𝐍_2^{},V_2)=S_{1,2}^{}=\underset{U_1,U_2}{sup}\left\{S_1(U_1,𝐍_1^{},V_1)+S_2(U_2,𝐍_2^{},V_2)\right\}$$
$`(4)`$
subject only to energy conservation, $`U_1+U_2=E_1+E_2`$. This implies

$$T_1^{}\left[\frac{S_1}{E_1^{}}(E_1^{},𝐍_1^{},V_1)\right]^1=T_2^{}\left[\frac{S_2(E_2^{},𝐍_2^{},V_2)}{E_2^{}}\right]$$
$`(5)`$
Similar relations hold when there can be an exchange of matter or volume between the systems.

Using the fact that for macroscopic systems surface areas (multiplied by a suitable microscopic length) and surface energies are negligible compared to the corresponding bulk quantities, the additivity of the entropy, expressed by (2), also gives extensivity. That is, for systems uniform in the bulk,

$$S(E,𝐍,V)=Vs(e,𝐧).$$
$`(6)`$
where $`e=E/V`$ and $`𝐧=𝐍/V`$.

The thermodynamic entropy can now be extended to a system in LTE : a system in a volume $`V`$ which can be considered, to a good approximation, as being locally in equilibrium with energy density $`e(𝐱)`$, particle density $`n(𝐱)`$ and hydrodynamic velocity $`𝐮(𝐱)`$: for a precise definition see . For such systems we can, by extension of (6), write

$$S_{\mathrm{loc}.\mathrm{eq}.}(n,𝐮,e)=_Vs(e(𝐱)\frac{1}{2}mn(𝐱)𝐮^2(𝐱),n(𝐱))𝑑𝐱$$
$`(7)`$
where $`m`$ is the mass (per mole) and we consider just one component for simplicity, \[1–12\]. (The “mechanical” energy associated with $`𝐮(𝐱)`$ does not contribute to $`S`$ until it is dissipated and we always take $`_Vn(𝐱)u(𝐱)𝑑𝐱=0`$).

Eq. (7) clearly agrees with (6) when the system is in true equilibrium, $`𝐮=0`$, and $`e`$ and $`n`$ are independent of $`𝐱`$. Furthermore if a LTE state evolves in time according to macroscopic equations then $`S_{\mathrm{loc}.\mathrm{eq}.}`$ must increase (or at least not decrease) as a function of $`t`$. Consider for example an isolated system in LTE (with $`𝐮=0`$ and $`n`$ constant) with an energy density profile $`e_0(𝐱)`$ and corresponding temperature profile $`T_0(𝐱)`$ for which we have, using an extension of (1) to continuous time,

$$\frac{s}{t}=\frac{𝐉}{T}=(𝐉/T)+𝐉(1/T),$$
$`(8)`$
where $`𝐉`$ is the heat flux, $`𝐉/T`$ is the entropy flux, and $`𝐉(1/T)`$ is the entropy production. According to Fourier’s law, $`𝐉=𝒦(T)T`$ so (8) can be written in the more familiar form as

$$C_V(T)\frac{}{t}T(𝐱,t)=[𝒦(T)T],$$
$`(9)`$
where $`C_V(T)=T^1\frac{ds(T)}{dT}`$ is the specific heat and $`𝒦`$ is the heat conductivity. Eq. (9) is to be solved, for $`t>0`$, subject to no heat flux, or $`T=0`$, at the surface of $`V`$. Integrating (8) or (9) then yields

$$\frac{dS_{\mathrm{loc}.\mathrm{eq}.}}{dt}=\frac{d}{dt}_Vs𝑑𝐱=_V𝐉(\frac{1}{T})𝑑𝐱=_V𝒦T^2(\frac{1}{T})^2𝑑𝐱0.$$
$`(10)`$
As $`t\mathrm{}`$, $`T(𝐱,t)\overline{T}`$, for all $`𝐱V`$, with $`\overline{T}`$ determined by energy conservation and $`S_{\mathrm{loc}.\mathrm{eq}.}`$ approaches its maximum (equilibrium) value $`Vs(\overline{e},n)`$.

The second law thus manifests itself for LTE by the requirement that the entropy production $`𝐉(1/T)`$ be non-negative, i.e. that $`𝒦(T)0`$. The formula for entropy production generalizes to other macroscopic equations , e.g. to the compressible Navier-Stokes equations which describe the time evolution of $`n(𝐱,t),𝐮(𝐱,t)`$ and $`e(𝐱,t)`$. The Euler equations, on the other hand, conserve $`S_{\mathrm{loc}.\mathrm{eq}.}`$, in the absence of singularities of the flow. They do not give an approach to equilibrium of an isolated system and thus do not provide a description valid for times over which such an approach takes place. In the presence of shocks, however, the solutions are non-unique and the requirement that $`S_{\mathrm{loc}.\mathrm{eq}.}`$ increase picks out the correct evolution.

3. Boltzmann’s Microscopic Entropy

There are many ways to stretch the notion of LTE and apply the second law to processes taking place in systems which are clearly very far from equilibrium, e.g. living organisms . These ad hoc extensions work quite well in the hands of seasoned practitioners  but are far from systematic. It would certainly be desirable to find systematic ways for defining and calculating the entropy, expressed as a function of the appropriate macroscopic variables of systems that are not in LTE. This entropy would be monotone in time and coincide with $`S_{\mathrm{loc}.\mathrm{eq}.}`$ for a system in LTE.

This is exactly what was accomplished by Boltzmann’s microscopic interpretation of the macroscopic Clausius equilibrium entropy $`S(M)`$. This interpretation provides a formula for the computation of $`S(M)`$ from the microscopic Hamiltonian. Even more importantly, it explains the origin of the time-asymmetric second law in the time-reversible dynamics of the atoms and molecules which are the microscopic constituents of macroscopic matter, and shows its applicability to systems not in LTE. We will be very brief here, c.f. \[1–14\].

A very good summary of Boltzmann’s accomplishment is given by this quote from Einstein : “On the basis of the kinetic theory of gases Boltzmann had discovered that, aside from a constant factor, entropy is equivalent to the logarithm of the “probability” of the \[macro\]state under consideration. Through this insight he recognized the nature of the course of events which, in the sense of thermodynamics, are “irreversible”. Seen from the molecular-mechanical point of view, however, all courses of events are reversible. If one calls a molecular-theoretically defined state a microscopically described one, or, more briefly, micro-state, then an immensely large number $`(Z)`$ of states belong to a macroscopic condition. $`Z`$ then is a measure of the probability of a chosen macro-state. This idea appears to be of outstanding importance also because of the fact that its usefulness is not limited to microscopic description on the basis of mechanics.”

Let us make Einstein’s remarks more explicit by considering a classical system of $`N`$ particles in a box $`V`$. Its microstate $`X`$ is given by a point in the $`6N`$ dimensional phase space which specifies everything about the system, e.g. the energy given by its Hamiltonian $`H(X)`$, etc.. When $`N`$ is very large a more appropriate coarse-grained description of the system is provided by its macrostate $`M`$. We can specify $`M`$, for example, by dividing $`V`$ into $`J`$ cubes $`\mathrm{\Delta }_k`$, $`J<<N`$, so that each cube contains a very large number of particles and specifying coarse-grained values of the energy, momentum and number of particles in each $`\mathrm{\Delta }_k`$. Let $`\mathrm{\Gamma }_M`$ be the region of the phase space consisting of all microstates consistent with $`M`$, i.e. the set of all $`X`$ such that the appropriate phase space function $`M(X)=M`$. Let $`|\mathrm{\Gamma }_M|`$ be the volume of $`\mathrm{\Gamma }_M`$ in appropriate units (this is Einstein’s $`Z`$ for a classical system). Boltzmann defined the entropy of a macroscopic system with microstate $`X`$ by

$$S_B(X)=k\mathrm{log}|\mathrm{\Gamma }_{M(X)}|.$$
$`(11)`$
Boltzmann then showed for a gas in an equilibrium macrostate, $`M_{eq}`$, which, for the above choice of $`M`$, corresponds to a uniform density of the macro-variables in $`V`$, that $`S_B`$ agrees (to leading order in $`N`$) with the thermodynamic entropy of Clausius. The same is true for LTE states, i.e. if $`M(X)=\{n(𝐱),𝐮(𝐱),e(𝐱)\}`$ then $`S_B(M)=k\mathrm{log}|\mathrm{\Gamma }_{M(X)}|=S_{\mathrm{loc}.\mathrm{eq},}(n,𝐮,e)`$. This means that if the entropies $`S_B(M)>S_B(M^{})`$ differ by a macroscopic amount, the ratio of their corresponding phase space volumes is exponentially large in $`N`$. Thus if the system contains one mole of material, the ratio of $`|\mathrm{\Gamma }_{M_{eq}}|`$ to $`|\mathrm{\Gamma }_M|`$ for a macrostate $`M`$ in which all the particles are in the left half of the box is of order $`\mathrm{exp}[10^{20}]`$. This is far larger than the ratio of the volume of the known universe to the volume of one proton.

Boltzmann then argued that given this disparity in sizes of $`\mathrm{\Gamma }_M`$ for different $`M`$’s, the time evolved $`M_t=M(X_t)`$ will be such that $`|\mathrm{\Gamma }_M(X_t)|`$ and thus $`S_B(X_t)`$ will typically increase in accord with the second law. By “typically” we mean that for any $`\mathrm{\Gamma }_M`$ (of the kind described above) the relative volume of the set of microstates $`X`$ in $`\mathrm{\Gamma }_M`$ for which the second law is violated by a macroscopic amount, i.e. by an amount proportional to $`N`$, during any fixed time period (not bigger than the age of the universe), goes to zero rapidly (exponentially) in the number of atoms and molecules in the system.

In fact let us consider the case where $`M_t`$ satisfies an autonomous deterministic evolution, e.g. equation (9). This means that if that evolution carries $`M_{t_1}M_{t_2}`$, then the microscopic dynamics $`\mathrm{\Phi }_t`$ carries $`\mathrm{\Gamma }_{M_{t_1}}`$ inside $`\mathrm{\Gamma }_{Mt_2}`$, i.e. $`\varphi _{t_2t_1}\mathrm{\Gamma }_{M_{t_1}}\mathrm{\Gamma }_{M_{t_2}}`$, with negligible error. Now the fact that phase space volume is conserved by the Hamiltonian time evolution (Liouville’s theorem) implies that $`|\mathrm{\Gamma }_{M_{t_1}}||\mathrm{\Gamma }_{M_{t_2}}|`$ and thus by (11) that $`S_B(M_{t_2})S_B(M_{t_1})`$ for $`t_2t_1`$. We have thus derived an “$``$-theorem” for any deterministic evolution of the macro-variables arising from the microscopic dynamics. The explicit form for the rate of change of $`S_B(M_t)`$ (including strict positivity) depends on the detailed macroscopic evolution equation. The fact that $`\mathrm{\Gamma }_{M_{eq}}`$ essentially coincides for large $`N`$ with the whole energy surface $`H(X)=E`$ also explains the evolution towards and persistence of equilibrium in an isolated macroscopic system.

The emergence of definite time-asymmetric behavior in the observed evolution of macroscopic systems, despite the total absence of such asymmetry in the microscopic dynamics, is thus a consequence of the great disparity between microscopic and macroscopic scales, together with the fact (or very reasonable assumption) that what we observe in nature is typical behavior, corresponding to typical initial conditions, c.f. .

4. Going Beyond LTE: Dilute Gases

As is clear from Eq. (11), the choice of the macro-variables $`M`$ is essential for the computation of $`S_B(X)`$. For equilibrium systems or those in LTE these are specified by thermodynamics although there is a large leeway in choosing the sizes of the boxes $`\mathrm{\Delta }_k`$, if we consider only leading terms in $`N`$. They are the locally conserved and hence microscopically slowly varying quantities—precisely those for which one has hydrodynamic type autonomous equations.

To obtain useful quantitative information from the second law for systems not in LTE one has to find appropriate macro-variables $`M`$ for the system under consideration, e.g. those which satisfy autonomous time evolution equations, and for which one can compute $`S_B(M)`$. A paradigmatic example of where this has been achieved is a dilute gas. Following Boltzmann, we refine the $`M`$ considered in the last section for a system of $`N`$ particles in a box $`V`$. This is done by noting that the microstate $`X=\{𝐫_i,𝐯_i\}`$, $`i=1,\mathrm{},N`$, can be considered as a set of $`N`$ points in six dimensional $`\mu `$-space, somewhat analogous to positions $`\{𝐫_i\}`$ in $`VR^3`$. We may then divide up this $`\mu `$-space space into $`\stackrel{~}{J}`$ cells $`\stackrel{~}{\mathrm{\Delta }}_\alpha `$, centered on $`(𝐫_\alpha ,𝐯_\alpha )`$, of volume $`|\stackrel{~}{\mathrm{\Delta }}_\alpha |`$. A macrostate $`\stackrel{~}{M}`$ is then specified by the (coarse grained) number of particles in each $`\stackrel{~}{\mathrm{\Delta }}_\alpha `$,

$$\stackrel{~}{M}=\{N_\alpha \},\alpha =1,\mathrm{},\stackrel{~}{J}<<N.$$
$`(12)`$
For dilute gases one can neglect, for typical configurations, the existence of interactions between the particles, although of course they still play a role in the dynamics now described by a succession of collisions between pairs of particles . Under these conditions the coarse grained energy of the system in the state $`\stackrel{~}{M}`$ is given by

$$\frac{1}{2}m\underset{\alpha }{}N_\alpha 𝐯_\alpha ^2=E$$
$`(13)`$
$$N_\alpha =N$$
$`(14)`$
We do not therefore need to specify the energy separately and the phase space volume associated with such an $`\stackrel{~}{M}`$ is then readily computed to be \[4b\]

$$|\mathrm{\Gamma }_{\stackrel{~}{M}}|=\mathrm{\Pi }_\alpha (N_\alpha !)^1|\stackrel{~}{\mathrm{\Delta }}_\alpha |^{N_\alpha }$$
$`(15)`$
where we do not distinguish between configurations in which particle labels are interchanged. For large enough $`N`$ and a judicious choice of the $`\{\stackrel{~}{\mathrm{\Delta }}_\alpha \}`$ we can, for almost all $`X`$ consistent with (13) and (14), use Stirling’s formula in (15) and obtain

$$S_B(\stackrel{~}{M})k\{\underset{\alpha }{}(\frac{N_\alpha }{|\stackrel{~}{\mathrm{\Delta }}_\alpha |}\mathrm{log}\frac{N_\alpha }{|\stackrel{~}{\mathrm{\Delta }}_\alpha |})|\stackrel{~}{\mathrm{\Delta }}_\alpha |N\}.$$
$`(16)`$
Using $`\stackrel{~}{M}`$ we can associate with a typical $`X`$ a coarse grained density $`f_XN_\alpha /|\stackrel{~}{\mathrm{\Delta }}_\alpha |`$ in $`\mu `$-space, i.e. such that $`N_\alpha =_{\stackrel{~}{\mathrm{\Delta }}_\alpha }𝑑𝐱𝑑𝐯f_X(𝐱,𝐯)`$. Eq. (16) then shows that, up to a constant (depending on $`N`$), the Boltzmann entropy $`S_B(X)`$ is given by the negative of Boltzmann’s $``$-function,

$$S_{\mathrm{gas}}(f)=k_V𝑑𝐱_{R^3}𝑑𝐯f(𝐱,𝐯)\mathrm{log}f(𝐱,𝐯)$$
$`(17)`$
where $`f=f_X`$. (We shall drop the subscript $`X`$ unless we want to emphasize that $`f`$ is associated with a given microstate $`X`$.) The maximum of $`S_{\mathrm{gas}}(f)`$ over all $`f`$ which satisfy the conditions,

$$_V𝑑𝐱_{R^3}𝑑𝐯f(𝐱,𝐯)=N$$
$`(18)`$
$$_V𝑑𝐱_{R^3}𝑑𝐯\frac{1}{2}m𝐯^2f(𝐱,𝐯)=E$$
$`(19)`$
is given by the equilibrium distribution

$$f_{eq}=\frac{N}{V}(2\pi kT/m)^{3/2}\mathrm{exp}[m𝐯^2/2kT]$$
$`(20)`$
where $`kT=2/3(E/N)`$. $`f_{eq}`$ coincides of course with the density $`f_X(𝐱,𝐯)`$ obtained for a typical microstate $`X`$ on the energy surface $`H(X)=E`$ when $`N`$ is macroscopic (with deviations going to zero as $`N\mathrm{}`$).

When $`ff_{eq}`$ then $`f`$ and consequently $`S_{\mathrm{gas}}(f)`$ will change in time. The microscopic version of the second law, discussed in section 3, now says that typical $`X\mathrm{\Gamma }_{\stackrel{~}{M}}`$ at the initial time $`t=0`$, will have an $`\stackrel{~}{M}_t=\stackrel{~}{M}(X_t)`$ with the property that $`S_B(\stackrel{~}{M}(X_t))S_B(\stackrel{~}{M}(X_t^{}))`$, for $`tt^{}`$. This means that $`f_{X_t}(𝐱,𝐯)=f_t(𝐱,𝐯)`$ has to be such that $`S_{\mathrm{gas}}(f_t)S_{\mathrm{gas}}(f_t^{})`$, for $`tt^{}`$. This is exactly what happens for a dilute gas for which the time evolution of $`f_t(𝐱,𝐯)`$ is well described by the Boltzmann equation (BE) \[3–5\] which we shall not write out here: see  for a rigorous derivation of the BE under suitable conditions. As shown by Boltzmann, in his famous $``$-theorem, it indeed follows from the BE that $`\frac{d}{dt}S_{\mathrm{gas}}(f_t)0`$, with equality holding only when $`f(𝐱,𝐯)`$ is a local Maxwellian $`\widehat{f}(𝐯;n,𝐮,T)`$,

$$\widehat{f}=n(𝐱)[\frac{2\pi kT(𝐱)}{m}]^{3/2}\mathrm{exp}\left\{\frac{m[𝐯𝐮(𝐱)]^2}{2kT(𝐱)}\right\},$$
$`(21)`$
Eq. (21) defines LTE for a dilute gas with the $`n(𝐱),𝐮(𝐱)`$ and $`e(𝐱)`$ obtained from $`f`$ in the usual way, $`n=_{R^3}f𝑑𝐯,𝐮(𝐱)=𝐯f𝑑𝐯/n`$, $`kT(𝐱)=\frac{2}{3}[e(𝐱)\frac{1}{2}mn(𝐱)𝐮^2(x)]/n(𝐱)`$. When (21) is substituted into (17) we obtain

$$S_{\mathrm{gas}}(\widehat{f})=_V𝑑𝐱s_{\mathrm{gas}}(e,n)$$
$`(22)`$
with

$$s_{\mathrm{gas}}(e,n)=k\left\{\frac{3}{2}n\mathrm{log}(kT)n(\mathrm{log}n1)\right\}+\mathrm{Const}.,$$
$`(23)`$
the Clausius entropy density given in (7), for a gas in LTE. Since $`\widehat{f}`$ is not stationary unless $`n,e`$ and $`𝐮`$ are uniform in the whole box, i.e. $`\widehat{f}=f_{eq}`$, it is expected and partially proven , that starting with an initial $`f_0(𝐱,𝐯)`$, which can be far from a local Maxwellian, $`f_t(𝐱,𝐯)`$ will “rapidly” approach an $`f`$ which is close to $`\widehat{f}(𝐯;n,𝐮,T)`$ and will stay close to it while the local variables $`n,𝐮`$ and $`e`$ change on a slower time scale. As the gradients become smaller this evolution will be hydrodynamic, i.e. $`n,𝐮,e`$ will evolve according to the compressible Navier-Stokes equations, which will then bring the gas to equilibrium with $`S_{\mathrm{loc}.\mathrm{eq}.}`$ increasing with time.

Note that $`f`$ satisfies the requirements for macro-variables discussed in the beginning of this section so that $`S_{\mathrm{gas}}(f)`$ is indeed a useful entropy functional. The non-decrease of $`S_{\mathrm{gas}}(f_t)`$ for $`f_t`$ a solution for the BE is, as already noted, a consequence of Boltzmann’s interpretation of the second law. As put by Boltzmann: “In one respect we have even generalized the entropy principle here, in that we have been able to define the entropy in a gas that is not in a stationary state” \[4b, p. 75\].

It is important to distinguish between $`f_{X_t}(𝐱,𝐯)`$ and another object with the same name, the marginal one-particle (probability) distribution $`F_1(𝐱,𝐯,t)`$ obtained from an $`N`$-particle ensemble density evolving according to the Liouville equation. We mention here an instructive example in which $`F_1(𝐱,𝐯,0)=f_{X_0}(𝐱,𝐯)`$ but $`F_1(𝐱,𝐯,t)f_{X_t}(𝐱,𝐯)`$ so that $`F_1(𝐱,𝐯,t)`$ does not give an adequate description of the macrostate of the system. Consider a macroscopic system of $`N`$ noninteracting point particles, moving among a periodic array of scatterers in a macroscopic volume $`V`$, . Starting with a nonuniform initial density $`f_{X_0}(𝐱,𝐯)`$ the time evolved $`f_{X_t}(𝐱,𝐯)`$ will approach an $`f`$ which depends only on $`|𝐯|`$ and which will have a larger $`S_{\mathrm{gas}}(f)`$. Since, however, $`F_1(𝐱,𝐯,t)`$ evolves according to the one-particle Liouville equation, $`F_1\mathrm{log}F_1d𝐱d𝐯`$ remains constant in time. What is crucial here is that what one might have regarded as the obvious evolution equation for $`f_{X_t}`$ for this system, namely the one-particle Liouville equation, in fact does not describe the evolution of $`f_{X_t}`$ for times after which $`F_1(𝐱,𝐯,t)`$ has developed structure on the microscopic scale. (We note that when the periodicity of the scatterers is on the microscopic scale then for macroscopic times the spatial density profile $`n_{X_t}(𝐱)`$ will satisfy a diffusion equation .)

5. The Boltzmann Entropy of Dense Fluids Not in LTE

As already noted, it is very important for the microscopic derivation of the second law and ipso facto for the increase of $`S_{\mathrm{gas}}(f_{X_t})`$ that the initial microstate $`X_0`$ of the system under consideration be typical of $`\mathrm{\Gamma }_{M_0}`$. Consider now the case when the interaction potential energy between the particles is not negligible so that (19) is just the kinetic energy $`K`$ rather than the total energy $`E`$. The region $`\mathrm{\Gamma }_{\stackrel{~}{M}}`$ will then include phase points with widely differing total energies. The set of microstate $`X`$ of a system with a specified energy, $`H(X)=E`$ will then correspond to a small fraction of $`\mathrm{\Gamma }_{\stackrel{~}{M}(X)}`$ unless $`E`$ is such that almost all of the points in $`\mathrm{\Gamma }_{\stackrel{~}{M}(X)}`$ are also in the energy shell around $`E`$.

This illuminates the example considered by Jaynes : One starts with a nonequilibrium system with energy $`E`$ in which the kinetic energy $`K`$ is larger than what it would be for an equilibrium system with the same energy $`E`$. The system will evolve towards equilibrium with a Maxwellian velocity distribution at temperature $`T_{\mathrm{}}=\frac{2}{3k}K_E`$ where $`K_E`$ is the equilibrium kinetic energy corresponding to $`E`$. Assuming that $`f_0`$ is a Maxwellian with temperature $`T_0`$ we will have $`T_{\mathrm{}}<T_0`$ and so $`S_{\mathrm{gas}}(f_{\mathrm{}})<S_{\mathrm{gas}}(f_0)`$. However, since the microstates corresponding to the initial situation just described are not typical for the macrostates $`\mathrm{\Gamma }_{f_0}`$, this example does not contradict the typical second law behavior of $`S(f_t)`$.

To properly describe non LTE macrostates for dense fluids let us suppose now that both $`f(𝐱,𝐯)`$ and $`E`$ are used to specify the macrostate $`\stackrel{~}{M}`$ for a fluid with Hamiltonian $`H`$

$$H=\frac{1}{2}m𝐯_i^2+\varphi (𝐫_i𝐫_j)$$
$`(24)`$
in which interactions are important. We expect then that the evolution of a typical initial $`X_0\mathrm{\Gamma }_{M_0}`$, with $`H(X_0)=E`$ and $`f_{X_0}(𝐱,𝐯)=f_0(𝐱,𝐯)`$, will indeed be such that $`S_B(\stackrel{~}{M}(X_t))=S_B(f_t,E)`$ will increase with time in an actual system even if there is no autonomous evolution law for $`f_t`$.

To compute $`S_B(f,E)=\mathrm{log}|\mathrm{\Gamma }_{f,E}|`$, let us consider first the case where the macrostate $`\stackrel{~}{M}`$ is specified by both $`f(𝐱,𝐯)`$ and the local energy density $`e(𝐱)`$. The particle, kinetic and potential energy densities $`n(𝐱)`$, $`K(𝐱)`$ and $`\mathrm{\Phi }(𝐱)`$ are determined from $`f`$ and $`e`$,

$$n(𝐱)=_{R^3}f(𝐱,𝐯)𝑑𝐯,K(𝐱)=\frac{1}{2}m𝐯^2f𝑑𝐯,\mathrm{\Phi }(𝐱)=e(𝐱)K(𝐱)$$
$`(25)`$
It is easy to see that the entropy corresponding to $`M`$ can be split into momentum space and configuration space contributions

$$S_B(f,e)=S^{(m)}(f)+S^{(c)}(n,\mathrm{\Phi })$$
$`(26)`$
The momentum contribution $`S^{(m)}`$ can be readily computed along the lines of formulas (15)–(17),

$$S^{(m)}(f)=_V𝑑𝐱_{R^3}𝑑𝐯f(𝐱,𝐯)\mathrm{log}[f(𝐱,𝐯)/n(𝐱)]$$
$`(27)`$
while $`S^{(c)}(n,\mathrm{\Phi })`$ is the configurational local equilibrium entropy corresponding to the density $`n(𝐱)`$ and the potential energy density $`\mathrm{\Phi }(𝐱)`$. $`S^{(c)}`$ is clearly the same as the configurational part of $`S_{\mathrm{loc}.\mathrm{eq}.}`$ computed at the energy density $`e^{}(𝐱)`$ that corresponds to $`\mathrm{\Phi }(𝐱)`$ in LTE, i.e.

$$S^{(c)}(n,\mathrm{\Phi })=S_{\mathrm{loc}.\mathrm{eq}.}(n,0,e^{})\frac{3}{2}k_Vn(𝐱)\mathrm{log}T^{}(𝐱)𝑑𝐱$$
$`(28)`$
where $`T^{}(𝐱)`$ is the temperature corresponding to $`e^{}(𝐱)`$. $`S_{\mathrm{loc}.\mathrm{eq}.}`$ is defined in (7) using the equilibrium $`s(e,n)`$ and the subtracted kinetic term corresponds to the first term on the right side of (23).

We can now obtain $`S_B(f,E)`$ by taking the $`sup`$ of $`S_B(f,e)`$ over all energy densities $`e(𝐱)`$ such that $`_Ve(𝐱)𝑑𝐱=E`$.

An alternative way to compute $`S_B(f,E)`$ is to note that

$$S_B(f,E)=S^{(m)}(f)+S^{(c)}(n,\mathrm{\Phi }_{\mathrm{tot}.})$$
$`(29)`$
where $`S^{(c)}(n,\mathrm{\Phi }_{\mathrm{tot}.})`$ is the (configurational) entropy associated with the macro-variables $`n`$ and $`\mathrm{\Phi }_{\mathrm{tot}.}`$ for

$$\mathrm{\Phi }_{\mathrm{tot}.}=EK(𝐱)𝑑𝐱.$$
$`(30)`$
We now observe that $`S^{(c)}(n,\mathrm{\Phi }_{\mathrm{tot}.})`$ must agree with the configurational entropy of a system with a Hamiltonian

$$H^{}=\frac{m}{2}𝐯_i^2+\varphi (𝐫_i𝐫_j)+u(𝐫_i)$$
$`(31)`$
in equilibrium at energy $`E^{}`$, when we choose $`E^{}`$ and $`u(𝐱)`$ in such a way that the equilibrium density is equal to $`n(𝐱)`$ and the total (coarse grained) internal potential energy has the value $`\mathrm{\Phi }_{\mathrm{tot}.}`$, i.e. $`\varphi (𝐫_i𝐫_j)=\mathrm{\Phi }_{\mathrm{tot}.}`$, where $`\mathrm{\Phi }_{\mathrm{tot}.}`$ is given by (30). Letting then $`S(E^{},N,V;u)`$ be the equilibrium entropy of the system (31) we have

$$S^{(c)}(n,\mathrm{\Phi }_{\mathrm{tot}.})=S(E^{},N,V;u)\frac{3}{2}Nk\mathrm{log}(kT^{}),$$
$`(32)`$
where $`T^{}=\frac{2}{3k}(K_E^{}/N)`$ is the temperature corresponding to the energy $`E^{}`$ and the right hand side is the configurational part of the equilibrium entropy of system (30) at energy $`E^{}`$. (To actually compute $`S(E^{},N.V;u)`$ and find the appropriate $`u(𝐱)`$ for a specified $`n(𝐱)`$ and $`\mathrm{\Phi }`$ we would have to use the canonical or grand canonical ensembles and the corresponding Gibbs entropies, see section 6.)

These considerations simplify for a system of hard spheres where the interactions do not contribute to the energy, i.e. $`E=K`$. The phase space domain for a specified $`f`$ is then just a direct product of the configurational and momentum space regions. The configuration space itself is modified from what it is for a noninteracting system to exclude all microstates $`X`$ such that the distance between any pair of particles is less than $`a`$, the hard sphere diameter. Eq. (32) now assumes the form

$$S_{hs}(f)=S^{(m)}(f)+𝒮_{hs}^{(c)}(n)$$
$`(33)`$
where $`E`$ is specified by $`f`$ and $`𝒮_{hs}^{(c)}(n)`$ is the configurational part of the entropy of an equilibrium system of hard spheres kept at a nonuniform density $`n(𝐱)=_{R^3}f(𝐱,𝐯)𝑑𝐯`$ by some external potential $`u(𝐱)`$.

The entropy function $`S_{hs}(f)`$ in (33) is the same as that used by Resibois  (in a different form) to obtain an $``$-theorem for the modified Enskog equation (MEE). It is generally believed that the MEE, which is a heuristic extension of the BE, accurately describes the evolution of $`f_t(𝐱,𝐯)`$ for a moderately dense hard sphere fluid, say $`na^3.1`$, where $`a`$ is the hard sphere diameter . The remarkable result, proved by Resibois in , is that when $`f_t(𝐱,𝐯)`$ evolves according to the MEE then

$$\frac{d}{dt}S_{hs}(f_t)0$$
$`(34)`$
with equality holding only when $`f=f_{\mathrm{eq}}`$. (This is actually a stronger statement about entropy increase than what is given by the BE where collisions alone do not change $`S_{\mathrm{gas}}(f)`$ when $`f`$ is a local Maxwellian. The reason for this difference is the non-locality of the collisions in the MEE, see . We still have however $`S_{hs}(f)=S_{\mathrm{loq}.\mathrm{eq}.}(e,𝐮,n)`$ when $`f=\widehat{f}(𝐯;n,𝐮,T)`$ and the hydrodynamic variables change slowly in space.)

Resibois was driven to an expression for $`S_{hs}`$ equivalent to (33) by the structure of the MEE and argued that it should have an intrinsic significance. Our identification of $`S_{hs}(f)`$ with the Boltzmann entropy $`S_B(f,E)`$, i.e. as the $`\mathrm{log}`$ of the phase space volume for such a nonequilibrium system, completely justifies Resibois’ intuition. It further shows the necessity of the modification of the original Enskog equation: as we have pointed out repeatedly, any deterministic evolution equation arising from the microscopic dynamics for macro-variables such as $`f`$ must be such that the corresponding Boltzmann entropy satisfies an $``$-theorem for that equation. The unmodified Enskog equation apparently does not have that property .

Let us make the statement about the increase of $`S(f,E)`$ a bit more concrete. Define

$$T_\mathrm{\Phi }(n)=[s^{(c)}(n,\mathrm{\Phi })/\mathrm{\Phi }]^1$$
$`(35)`$
where $`s^{(c)}(n,\mathrm{\Phi })`$ is the configurational entropy per unit volume for a system with Hamiltonian (24) at uniform particle density $`n`$ and uniform potential energy density $`\mathrm{\Phi }`$. $`T_\mathrm{\Phi }(n)`$ is the inverse of the function $`\mathrm{\Phi }(n,T)`$ relating $`\mathrm{\Phi }`$ to the temperature $`T`$ for this system. Similarly

$$s^{(c)}(n,\mathrm{\Phi })/n=\mu _\mathrm{\Phi }(n,T_\mathrm{\Phi })/T_\mathrm{\Phi }=\mu (n,T_\mathrm{\Phi })/T_\mathrm{\Phi }\frac{3}{2}k\mathrm{log}T_\mathrm{\Phi }+\mathrm{const}.$$
$`(36)`$
where $`\mu (n,T)`$ is the chemical potential of such an equilibrium system. (Of course for an equilibrium system $`T_\mathrm{\Phi }=T_K=\frac{m}{3}(𝐯𝐮)^2/k`$ where $`T_K`$ is the kinetic temperature of the system.) Our definitions are motivated by (1), (11) and the structure of $`H`$ in (24).

Turning now to nonequilibrium systems with macro-states given by $`f(𝐱,𝐯)`$ and $`e(𝐱)`$ we have, for $`\mathrm{\Phi }=\mathrm{\Phi }(𝐱)`$,

$$S^{(c)}(n,\mathrm{\Phi })=_V𝑑𝐱s^{(c)}(n(𝐱),\mathrm{\Phi }(𝐱))$$
$`(37)`$
To obtain $`S^{(c)}(n,\mathrm{\Phi }_{\mathrm{tot}.})`$ we have to take the $`sup`$ of $`S^{(c)}(n,\mathrm{\Phi })`$ over all $`\mathrm{\Phi }(𝐱)`$ such that

$$_V\mathrm{\Phi }(𝐱)𝑑𝐱=\mathrm{\Phi }_{\mathrm{tot}.}.$$
$`(38)`$
Using (35) this yields immediately, as might be expected, that the $`sup`$ is achieved when $`T_{\mathrm{\Phi }(𝐱)}(n(𝐱))=\mathrm{const}.`$, which we shall call $`T_{\mathrm{\Phi }_{\mathrm{tot}.}}`$ since its value is determined by the requirement (38).

We are now able, after some manipulations, to obtain

$$\frac{dS(f_t,E)}{dt}=k(\mathrm{log}\frac{f_t}{\stackrel{~}{f}_t})\frac{f_t}{t}𝑑𝐱𝑑𝐯𝑑𝐱[\frac{\mu _\mathrm{\Phi }(n,T_{\mathrm{\Phi }_{\mathrm{tot}.}})}{T_{\mathrm{\Phi }_{\mathrm{tot}.}}}+\frac{\mu _K(n,T_K)}{T_K}]\frac{n(x,t)}{t}$$

$$+𝑑𝐱T_K^1\frac{}{t}K_𝐮(𝐱,t)+T_{\mathrm{\Phi }_{\mathrm{tot}.}}^1\frac{d\mathrm{\Phi }_{\mathrm{tot}.}}{dt}$$
$`(39)`$
where

$$\mu _K=\frac{3}{2}k\mathrm{log}T_K(𝐱,t)+\mathrm{const}.,$$
$`(40)`$
$$T_K(𝐱,t)=\frac{2}{3k}K_𝐮(𝐱,t)/n(𝐱,t),$$

with

$$K_𝐮(𝐱,t)=\frac{m}{2}(𝐯𝐮(𝐱,t))^2f(𝐱,𝐯,t)𝑑𝐯=K(𝐱,t)\frac{m}{2}n(𝐱,t)𝐮^2(𝐱,t)$$

and where

$$\stackrel{~}{f}_t=n(𝐱,t)(2\pi mT_K)^{3/2}\mathrm{exp}[\frac{m}{2}(𝐯𝐮(𝐱,t))^2/kT_K]$$
$`(41)`$
is a local Maxwellian with parameters $`T_K,n,K`$ and $`𝐮`$ computed from $`f_t`$. The first term in (39) corresponds to changes in the entropy due to the redistribution of velocities, while the other terms are as expected from thermodynamics considerations.

Eq. (40) simplifies for a spatially uniform system for which $`𝐮=0`$, $`\frac{n}{t}=0`$ and $`T_K`$ is independent of $`𝐱`$. If, furthermore, $`f_t`$ happens to be a Maxwellian with a temperature $`T_K`$ (a case considered by Jaynes ), then (at that instant)

$$dS(f_t,E)/dt=\frac{dK}{dt}[T_K^1T_{\mathrm{\Phi }_{\mathrm{tot}.}}^1].$$
$`(42)`$
where $`K=E\mathrm{\Phi }_{\mathrm{tot}.}`$ is the total kinetic energy of the system. Our assertion is then that $`dK/dt`$ has the same sign as $`(T_{\mathrm{\Phi }_{\mathrm{tot}.}}T_K)`$, which is certainly expected even in the absence of any deterministic equation for $`f`$.

6. Other Kinetic Equations

The Boltzmann and modified Enskog equations are appropriate for systems in which the interaction between the particles can be represented by a succession of uncorrelated binary encounters or collisions. The extension of these equation to dense, non-hard sphere fluids or to mixtures of hard spheres is not straightforward . We are not aware of any results about $``$-theorems for such equations.

For systems with dominant long range interactions, such as plasmas, the time evolution of $`f_t`$ (where $`f`$ has several components) is determined in suitable regimes of temperature and density by a Vlasov equation combined with Boltzmann, Balescu-Lenard, or Landau collision terms . The Vlasov term describes in a mean-field way the long range interaction between the particles. These interactions contribute to the energy, which is determined entirely by $`f`$, but not directly to the entropy of the system, i.e. the entropy continues to be given (at the level of approximation considered) by $`S_{\mathrm{gas}}(f)`$ in (17). When the short range collisions are neglected, the smooth solutions of the Vlasov equation, like those of the Euler equations, leave the entropy unchanged. The inclusion of the short range collision terms then provides an $``$-theorem for $`S_{\mathrm{gas}}(f_t)`$. This is analogous to what happens when the viscosity terms are added to the Euler equations to yield the Navier-Stokes equations.

Going beyond deterministic equations, there must also be an $``$-theorem when the macro-variables undergo a stochastic Markovian evolution, since, in the thermodynamic limit, the probability of a transition to lower entropy is of much smaller order than the (order unity) probabilities describing the Markov process. However, we know of no examples of such macro-variables. (The small scale stochastic correction to the deterministic evolution of macro-variables will of course fail to obey an $``$-theorem, since the probability of these fluctuations is of the same order as the exponential of the entropy changes.)

7. Concluding Remarks

The entropy of a macroscopic state, defined by Eqs. (1) and (6), is clearly a property of an individual macroscopic system specified by macro-variables $`M`$. We neither have nor need ensembles to observe the time asymmetric evolution of the color profile of a glass of water in which we dissolve a capsule of purple ink. The appropriate choice of $`M`$ for this process is clearly that corresponding to dividing the glass into a suitable large number of little cubes and specifying the coarse grained fraction of ink molecules in each cube as was done in section 3. The exact number of little cubes, as long as it is still small compared to the number of ink molecules, will not affect $`S_B`$ to leading order in the number of molecules. To this order $`S_B`$ will coincide with $`S_{\mathrm{loc}.\mathrm{eq}.}`$. The evolution of $`M_t`$ will be given by the solution to a diffusion equation and $`S_B(M_t)`$ will satisfy the second law.

As argued in section 3, this behavior can be understood fully from Boltzmann’s microscopic interpretation of entropy. This direct explanatory connection between Boltzmann’s entropy and the observed behavior of individual macroscopic systems seems lacking in other definitions of entropy in which probability distributions are a key ingredient. The best known of these is the Gibbs entropy,

$$S_G(\rho )=k_\mathrm{\Gamma }\rho \mathrm{log}\rho dX$$
$`(43)`$
where $`\rho (X)`$ is some given probability (ensemble) density. Clearly if $`\rho =\rho _M`$

$$\rho _M(X)=\{\begin{array}{cc}|\mathrm{\Gamma }_M|^1,\hfill & \text{if }X\mathrm{\Gamma }_M\hfill \\ 0,\hfill & \text{otherwise.}\hfill \end{array}$$
$`(44)`$
then

$$S_G(\rho _M)=k\mathrm{log}|\mathrm{\Gamma }_M|=S_B(M)$$
$`(45)`$
For a system specified by the thermodynamic variables $`M(X)=(E,N,V)`$, $`\rho _M`$ corresponds to the microcanonical ensemble. Using the equivalence of equilibrium ensembles for macroscopic systems, Eq. (45) holds also for the canonical and grandcanonical ensembles, in the thermodynamic limit. In fact $`S_G`$ is of paramount importance both in the mathematical foundations and practical applications of equilibrium statistical mechanics. On the other hand, as is very well known, $`S_G`$, unlike $`S_B`$, does not change in time for an isolated system evolving under Hamiltonian dynamics \[$`S_G(t)=S_G(\rho _t)`$, where $`\rho _t(X)`$ is $`\rho _0(X_t)`$\]. It is therefore inappropriate, we believe, to use $`S_G`$ or quantities like it in “derivations” of the second law without explicitly considering typical behavior. Attempts to remedy this through the use of coarse grained ensembles may be useful mathematically, but conceptually they are just variations on the Boltzmann entropy .

The Boltzmann entropy itself is, as indicated by the use of macro-variables for its very formulation, meaningful only for macroscopic systems. For such systems one can speak of the behavior of the macro-variables $`M`$ as arising from the evolution of a typical microstate in $`\mathrm{\Gamma }_{M_0}`$. It might still be true that a system containing just a few particles exhibits ergodicity, mixing, positive Lyapunov exponents, etc.; this is true e.g. for a particle moving among fixed convex scatterers on a torus (Sinai billiard). But the physical system of one such particle will not exhibit any time asymmetric behavior, corresponding to the diffusion of the purple ink in the glass of water. Unlike the glass of inky water or a very large number of particles moving among such scatterers (see discussion at end of sec. 4) a film of the particle’s motion run backwards will look the same as one run forward.

The situation is different when one considers open systems, e.g. systems in contact with thermal reservoirs . The time evolution of the microstate $`X`$ of such a system is then no longer given by a Hamiltonian since the system is not isolated and $`S_G(\rho _t)`$ need no longer be constant in time. It is in fact reasonable in some cases to treat $`X`$ as a random variable evolving via a stochastic Markovian dynamics. It is then easy to show that when the Markov process has a stationary density $`\overline{\rho }(X)`$ then the relative entropy

$$S_G(\rho _t|\overline{\rho })=k_\mathrm{\Gamma }\rho _t\mathrm{log}(\rho _t/\overline{\rho })𝑑X$$
$`(46)`$
increases monotonically in time.

A different situation, of current interest, in which $`S_G(\rho )`$ is not constant is that of a closed system evolving under a deterministic non-Hamiltonian thermostated dynamics . Starting with an initial density $`\rho (X,0)`$, uniform (or absolutely continuous) with respect to the appropriate Lebesgue measure, the dynamics leads to $`\rho (X,t)\overline{\rho }`$, as $`t\mathrm{}`$, with $`\overline{\rho }`$ singular with respect to Lebesgue measure, ($`\overline{\rho }`$ is generally an SRB measure), and $`S_G(\rho )\mathrm{}`$ decreasing with time in such a way that,

$$\frac{d}{dt}S_G(\rho )\sigma ,$$
$`(47)`$
with $`\sigma >0`$. This $`\sigma `$ is frequently interpreted as an “entropy production” and indeed has, in some cases, a form similar to the hydrodynamic entropy production in a stationary open system in which there are currents. The connection between the steady states of systems evolving under the invented thermostated dynamics and those obtained from more realistic models for which the stationary $`\overline{\rho }`$ is not singular, is still not entirely clear. The same is true for the correct identification of entropy in such systems \[17–23\].

It should be noted that the word entropy is used very widely in contexts other than that of macroscopic physical systems. There is the Shannon information entropy— which is formally similar to $`S_G`$, but is designed for situations which have apparently nothing to do with thermodynamics—the Kolmogorov-Sinai and topological entropies of dynamical systems, etc.. These entropies are clearly very useful and clearly different from the Clausius and Boltzmann entropies. Surprisingly, there are frequently some unexpected deep connections between these different entropies which are very interesting .

Let us finally discuss the choice of appropriate macro-variables $`M`$ in terms of which to describe a particular nonequilibrium system of interest in some microstate $`X`$ which is far from LTE. We do not want to choose too coarse a description: one for which $`X`$ is not typical of $`\mathrm{\Gamma }_{M(X)}`$. This occurred in the example of Jaynes discussed in section 5; the problem could be remedied there by introducing more refined macrostates, given not just by $`f`$ but by $`f`$ and $`E`$. We also do not want to use a description more detailed than is relevant to macroscopic behavior.

What we are after is a useful minimal description via macro-variables $`M`$, adapted to the situation (corresponding to a microstate $`X`$) under consideration. This is always achieved when $`M`$ is such that (1) $`M_{X_t}`$ typically obeys an autonomous deterministic evolution law, such as those corresponding to hydrodynamics, the BE, or the MEE, and (2) $`X`$ is typical in this sense of $`\mathrm{\Gamma }_{M(X)}`$ .

Acknowledgments: We want to thank Raffaello Esposito, Giovanni Gallavotti, Michael Kiessling, Christian Maes, David Ruelle and Roderich Tumulka for useful discussions. J.L. also want to thank Harry Swinney and Constantino Tsallis for their hospitality at the International Workshop on Anomalous Distributions, Nonlinear Dynamics and Nonextensivity, Santa Fe, November, 2002, which prompted this article. Research supported by NSF Grant DMS 01-279-26, and AFOSR Grant AF 49620-01-1-0154.

References

 c.f. H. B. Callen, Thermodynamics, and an Introduction to Thermostatistics, Wiley (1960).

 S. R. de Groot and P. Mazur, Nonequilibrium Thermodynamics, North-Holland (1959).

 For a historical survey see S. G. Brush, The Kind of Motion We Call Heat, North-Holland (1976); M. Klein, The Development of Boltzmann’s Statistical Ideas, in The Boltzmann Equation, ed. E. G. D. Cohen, W. Thirring, Acta Physica Austriaca suppl. X, Vienna, p. 53 (1973).

\[4a\] For a collection of basic papers from the second half of the nineteenth century on the subject (in English translation), see S. G. Brush, Kinetic Theory, 1, 2, Pergamon, Elmsford, N.Y. (1965-1966). The apparently little known 1874 article by W. Thomson, (Lord Kelvin), The Kinetic Theory of the Dissipation of Energy, Proc. Royal Soc. Edinburgh 8, 325-328, (1874), reprinted there, is highly recommended.

\[4b\] L. Boltzmann, Vorlesungen über Gastheorie, 2 vols. Leipzig: Barth, 1896, 1898. This book has been translated into English by S. G. Brush, Lectures on Gas Theory, (Cambridge University Press, London, 1964, reprinted Dover, 1995).

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# Updated reach of CERN LHC and constraints from relic density, 𝑏→𝑠𝛾 and 𝑎_𝜇 in the mSUGRA model

## 1 Introduction

The search for supersymmetric (SUSY) matter is one of the primary objectives of experiments at high energy colliders. SUSY matter may reveal itself through indirect effects, as in contributions to rare decays such as $`bs\gamma `$, $`bs\mathrm{}\overline{\mathrm{}}`$ or $`B_s\mu ^+\mu ^{}`$, or via contributions to electric or magnetic moments such as the dipole electric moment of the electron or neutron or $`(g2)_\mu `$. It is possible that relic SUSY cold dark matter (CDM) has already been detected gravitationally, and recent analyses of WMAP and other data sets indicate that the relic density $`\mathrm{\Omega }_{CDM}h^2=0.1126_{0.0181}^{+0.0161}`$(2$`\sigma `$ CL), with a baryonic density about six times smaller. Both direct and indirect searches for relic SUSY CDM are underway. Detection of a signal in any of these experiments would provide evidence for physics beyond the standard model, but the results may have both supersymmetric as well as non-supersymmetric interpretations.

The definitive discovery of SUSY matter will likely have to come from experiments operating at high energy colliders. Already, negative searches for SUSY by the LEP2 experiments have resulted in significant bounds: for instance, the light chargino $`\stackrel{~}{W}_1`$ must have mass $`m_{\stackrel{~}{W}_1}>103.5`$ GeV, while a SM-like higgs boson must have mass $`m_h>114.1`$ GeV. The reach of the Fermilab Tevatron collider has been examined as well. In the context of the minimal supergravity model (mSUGRA), with parameters

$$m_0,m_{1/2},A_0,\mathrm{tan}\beta ,sign(\mu ),$$
(1)
$`m_{1/2}`$ values of up to 250 GeV (corresponding to $`m_{\stackrel{~}{g}}\stackrel{<}{}600`$ GeV) can be probed with 25 fb-1 for $`m_0\stackrel{<}{}200`$ GeV and small values of $`\mathrm{tan}\beta `$. Then, the best reach is obtained via the clean trilepton channel. The reach is considerably reduced for larger values of $`m_0`$ or for large values of $`\mathrm{tan}\beta `$.

The CERN LHC is expected to begin operating in 2008 with $`pp`$ collisions at $`\sqrt{s}=14`$ TeV. While the initial luminosity is expected to be $`10`$ fb-1 per year, an integrated luminosity of several hundred fb-1 is ultimately anticipated. The reach of the LHC for supersymmetric matter has been evaluated in the mSUGRA model for low and high values of $`\mathrm{tan}\beta `$, for slepton and chargino-neutralino production, and even in the experimentally unfavorable case where the lightest supersymmetric particle (LSP) decays hadronically via $`R`$-parity violating interactions. The LHC reach has also been evaluated for models with non-universal soft terms as given by non-minimal $`SU(5)`$ SUSY GUTs and gaugino mediation models. Finally, the LHC reach has been evaluated for gauge-mediated (GMSB) and anomaly-mediated (AMSB) SUSY breaking models.

In studies evaluating the reach of the LHC, the signal channels have been classified by the number of isolated leptons present in each event. The isolated leptons usually arise as end products of cascade decays of gluinos, squarks or other massive SUSY particles. At large values of the parameter $`\mathrm{tan}\beta `$, the $`b`$ and $`\tau `$ Yukawa couplings become large, so that cascade decays to final states containing $`b`$-jets and $`\tau `$-leptons are enhanced.

In this paper, we update our reach projections for the CERN LHC for several reasons.

* We calculate the sparticle production and cascade decay events using ISAJET v7.64. This version includes a variety of radiative corrections and improvements to the sparticle mass spectrum that were not present in earlier ISAJET versions, including two-loop evolution of all RGEs. ISAJET 7.64 gives good agreement with spectra generated by the Suspect, SoftSUSY and Spheno codes, as compiled by Allanach, Kraml and Porod. In addition, 3-body decay matrix elements are included, so that decay product energy distributions are more accurately modeled.
* We adopt the code CMSJET v4.801 to model the CMS detector. This gives a more accurate portrayal of CMS than the toy detector models used in Ref. .
* We include additional channels to our reach projections, including events containing a reconstructed $`Z\mathrm{}^+\mathrm{}^{}`$ candidate ($`\mathrm{}=e`$ or $`\mu `$), and events containing isolated photons. The photonic events may arise from radiative neutralino decay $`\stackrel{~}{Z}_2\stackrel{~}{Z}_1\gamma `$ which is enhanced in the low $`\mu `$ “hyperbolic branch” or “focus point” (HB/FP) region of parameter space.
* Our parameter space scans extend over a wider range than earlier reach projections. We are motivated to do so to cover the HB/FP region with small $`\mu `$ where SUSY phenomenology can be significantly different. Further, we adopt a higher integrated luminosity value of 100 fb-1 than our earlier studies; this integrated luminosity should be achieved after several years of LHC operation.
* We identify regions of mSUGRA parameter space consistent with recently updated constraints from $`bs\gamma `$, $`(g2)_\mu `$ and $`\mathrm{\Omega }_{\stackrel{~}{Z}_1}h^2`$ calculations as well as the most recent constraints from the LEP2 experiments, and where there should be observable signals at the LHC.

In Sec. 2, we present the details of our computer calculations, cuts and detector simulation. In Sec. 3, we show our results for the LHC reach projections in the $`m_0vs.m_{1/2}`$ plane, and identify parameter regions consistent with all exerimental constraints. We summarize our results in Sec. 4.

## 2 Calculational details

We use the CMSJET (version 4.801) fast MC package for the CMS detector response simulation. Both SM background and signal events were generated using ISAJET 7.64 which has undergone numerous upgrades since ISAJET 7.37 used in our last study. The improvements include the incorporation of matrix elements for the calculation of three body decays of gluinos, charginos and neutralinos, two loop renormalization group evolution of all couplings and soft SUSY breaking parameters, inclusion of 1-loop self energies for third generation fermions, and improved evaluation of $`m_A`$ which, in turn, significantly moves the boundary of the allowed parameter space of the mSUGRA model.

We have computed SM backgrounds from the following sources : $`t\overline{t}`$, QCD $`22`$ including $`c\overline{c}`$ and $`b\overline{b}`$ production, $`W+jets`$ and $`Z+jets`$. Backgrounds from vector boson pair production are negligible to the jetty signals that we consider in this study. For the photonic signal we also included backgrounds from $`W\gamma `$ and $`Z\gamma `$ production, but found these to be negligible after hard cuts. Since the cross section of events with low $`p_T`$ is much larger than that of events with high $`p_T`$, we generated the background events in several bins of $`p_T`$. We followed the division described in . We have also adopted the cuts suggested in this study for $`E_T^{miss}`$, 0 lepton, 1 lepton, 2 $`OS`$ and $`SS`$ lepton, 3 lepton and $`4`$ isolated lepton signals. We regard a lepton or a photon to be isolated if

* it has no charged particle with $`p_T>2`$ GeV in a cone with $`\mathrm{\Delta }R<0.3`$ around the direction of the lepton.
* $`\mathrm{\Sigma }E_T^{cell}`$ in the region with $`0.05<\mathrm{\Delta }R<0.3`$ around the lepton’s direction has to be less than 10% of the lepton transverse energy.

For the convenience of the reader, we present these cuts in this paper. All events have to pass the following pre-cuts:

* $`E_T^{miss}>200`$ GeV;
* Number of jets, $`N_j2`$.

We use a modified UA1-jetfinder routine GLOBJF, implemented in CMSJET, to identify calorimeter jets. A cluster of particles is labeled as a jet if it has transverse momentum $`p_T`$ greater than 40 GeV and $`|\eta |<3`$. Leptons are required to satisfy the following pre-cuts:

* $`p_T>10`$ GeV for the muons, $`p_T>20`$ GeV for the electrons, $`|\eta |<2.4`$ for both muons and electrons.
* Electrons have to be isolated. Muon isolation is not required as part of the pre-cuts. We call an electron or muon non-isolated even if it satisfies the lepton isolation criteria but is part of a jet, or if it is isolated in the calorimeter, but non-isolated in the tracker. Naturally, if it is not isolated in the calorimeter then the lepton is called non-isolated.

The pre-cuts for the photons are:

* $`p_T>20`$ GeV in $`|\eta |<2.4`$.
* photons have to be isolated.

After events pass the pre-cuts, we impose 90% lepton detection efficiency for each lepton.

The events which pass the pre-cuts are divided into signal types according to the number of leptons (or photons for the isolated $`\gamma `$ signal). In the case of the $`E_T^{miss}`$ signal there can be any number of leptons, 0 lepton signal has no leptons, 1 lepton signal has 1 lepton, 2 OS lepton signal has 2 opposite sign leptons, 2 SS lepton signal has 2 same sign leptons, 3 lepton signal has 3 leptons, $`4`$ lepton signal has more than 3 leptons, $`Z\mathrm{}^+\mathrm{}^{}`$ signal has at least 2 OS, same flavor leptons with the invariant mass of this pair within the interval $`(M_Z\mathrm{\Delta }M_Z,M_Z+\mathrm{\Delta }M_Z)`$ ($`\mathrm{\Delta }M_Z`$ is varied during the optimization procedure). Finally, the isolated $`\gamma `$ signal has any number of leptons plus at least one photon (the cut on the number of photons is varied during the optimization procedure). Since muon isolation has not been included as part of the pre-cuts, if we impose the muon isolation during the optimization procedure, the number of events for some signal types can change.

A signal in any channel is considered to be observable if after our optimization procedure described below,

* the number of signal events $`S10`$ for an integrated luminosity of 100 fb-1, and
* $`S5\sqrt{B}`$, where $`B`$ is the corresponding number of background events.

We optimize the signal in each channel by imposing additional cuts. The set of cuts that we examined for this purpose are listed in Table 1. For the optimization of the signal $`Z\mathrm{}^+\mathrm{}^{}`$ signal, we have an additional cut: the invariant mass of the pair of opposite sign same flavor lepton pair has to be in the interval $`(M_Z\mathrm{\Delta }M_Z,M_Z+\mathrm{\Delta }M_Z)`$ and $`\mathrm{\Delta }M_Z`$ is taken to be $`3,6,9,\mathrm{},30`$ GeV. For the case of the isolated photon signal, in addition to the optimization using the cuts in Table 1, we also vary the number of photons which can be $`1,2,3,4,5`$. However, for large values of $`m_0`$ and $`m_{1/2}`$, events with $`N_\gamma ^{iso}>1`$ are generally too rare to pass the requirement of $`S>10`$.

For each mSUGRA point that we analyze, we pass the various signals through each one of the complete set of cuts just discussed. If the signal satisfies our observability criterion for any one of these cut choices, we consider it to be observable.222When more than one cut choices lead to an observable signal, we retain the choice that maximizes the quantity $`S/\sqrt{S+B}`$.

## 3 Results

### 3.1 Reach of the LHC in various channels

Since sparticle masses are largely determined by the parameters $`m_0`$ and $`m_{1/2}`$ the $`m_0M_{1/2}`$ plane is a convenient arena for simultaneously displaying the SUSY reach of future experimental facilities together with regions already excluded by current data. Many previous calculations for the LHC reach are, therefore, presented in this plane (for various choices of other parameters) starting with $`\mathrm{tan}\beta =2`$; this low of a $`\mathrm{tan}\beta `$ value is now largely excluded by the LEP2 bound on $`m_h`$. We begin our presentation with $`\mathrm{tan}\beta =10`$, in Fig. 1. The red-shaded region on the left is excluded because either electroweak symmetry is not properly broken, or $`\stackrel{~}{\tau }_1`$ is the LSP, while that on the right is excluded because radiative electroweak symmetry breaking (REWSB) does not occur. The magenta region in the lower left is excluded by LEP2 bounds on $`m_{\stackrel{~}{W}_1}>103.5`$ GeV, and $`m_h>114.1`$ GeV (for a SM-like light Higgs $`h`$). The maximum reach is shown by the $`E_T^{miss}`$ contour, where the signal events include all isolated lepton possibilities. Also shown for reference are contours of $`m_{\stackrel{~}{g}}=2`$ TeV, and $`m_{\stackrel{~}{q}}=2`$ TeV. The maximum reach in $`m_{1/2}`$ occurs for low $`m_0`$, where squark masses are somewhat lighter than gluinos, so that $`\stackrel{~}{q}\stackrel{~}{q}`$, $`\stackrel{~}{q}\stackrel{~}{g}`$ and $`\stackrel{~}{g}\stackrel{~}{g}`$ production processes all have large rates. Gluinos as heavy as $`3`$ TeV may be detectable at the LHC if squarks are somewhat lighter. As $`m_0`$ increases, squark masses increase, so gluino pair production becomes the dominant sparticle production mechanism. At very large values of $`m_0`$, the squarks (and also sleptons) essentially decouple, and the reach contours flatten out, since $`m_{\stackrel{~}{g}}`$ is roughly constant for each value of $`m_{1/2}`$. The maximal reach for 100 fb-1 of integrated luminosity is $`m_{1/2}700`$ GeV, corresponding to a gluino mass value of $`m_{\stackrel{~}{g}}1800`$ GeV.

The reach for SUSY signals in the individual channels introduced in the last section are shown by the various contours labelled by the corresponding topology in Fig. 1. For low values of $`m_0`$, sleptons and squarks are relatively light, and $`\stackrel{~}{g}\stackrel{~}{g}`$, $`\stackrel{~}{g}\stackrel{~}{q}`$ and $`\stackrel{~}{q}\stackrel{~}{q}`$ production processes all occur at large rates; direct slepton and sneutrino pair production rates are much smaller. However, left-squarks $`\stackrel{~}{q}_L`$ decay frequently into the heavier chargino and heavier neutralinos, which in turn may decay to sleptons. These cascade decays frequently terminate in isolated leptons, which together with leptons from decays from tops and stops in SUSY processes, result in large rates for leptonic signals. For a fixed value of $`m_{1/2}`$, as $`m_0`$ increases, $`\stackrel{~}{g}`$ decay to $`\stackrel{~}{q}_L`$ becomes suppressed, and $`BF(\stackrel{~}{g}\stackrel{~}{q}_R)`$ increases. Since $`\stackrel{~}{q}_Rq\stackrel{~}{Z}_1`$ most of the time, cascade decays then give rise to a higher fraction of $`\overline{)}E_T+jets`$ events, and the leptonic signal from the decay of gluinos is reduced. Furthermore, since squarks become heavier relative to gluinos as $`m_0`$ is increased, the leptonic signal from directly produced $`\stackrel{~}{q}_L`$ also becomes smaller. As $`m_0`$ increases even further, $`\stackrel{~}{g}\stackrel{~}{q}_Rq`$ also becomes suppressed or even forbidden, and $`\stackrel{~}{g}\stackrel{~}{t}_1t`$ (and possibly $`\stackrel{~}{g}b\stackrel{~}{b}_{1,2}`$) dominates. The decays through tops and stops gives rise again to leptonic states due to $`\stackrel{~}{t}_1`$ and $`t`$ leptonic decays. This results in an increased reach at moderate $`m_0`$ values via leptonic modes such as $`SS`$ and $`OS`$ dileptons, and $`3\mathrm{}`$ events. As $`m_0`$ increases even more, $`\stackrel{~}{g}`$ two-body decays become completely forbidden, and three-body decays dominate, and the leptonic reach contours tend to level off.

Finally, we show a contour that marks the signal reach for events including $`\overline{)}E_T+jets`$ plus at least one isolated photon. In evaluating this reach, we have only retained physics backgrounds in our calculation. Detector-dependent backgrounds where a jet fakes a photon may be significant.333If we take the probability for a jet to fake a photon to be $`5\times 10^4`$ and assume that the hard scattering events have $`10`$ 30-40 GeV “jets” in them, about one in 500 background events will also appear to have an isolated photon. Assuming that this fake photon background can be estimated by reducing the physics background in the inclusive $`E_T^{miss}`$ channel by 500, we find that this background is somewhat smaller, but of the same order of magnitude as the physics background that we have evaluated. A real evaluation of this detector-dependent background is beyond the scope of our analysis. In most of the parameter space, the additional photon arises from $`h\gamma \gamma `$ decay, where the $`h`$ is produced copiously in sparticle cascade decays, especially from $`\stackrel{~}{Z}_2\stackrel{~}{Z}_1h`$. In these regions, in fact, if we require $`two`$ isolated photons, then we can reconstruct a di-photon invariant mass. This is illustrated in Fig. 2 for the parameter space point $`m_0=m_{1/2}=500`$ GeV, $`A_0=0`$, $`\mathrm{tan}\beta =30`$ and $`\mu >0`$. It is amusing to note that the $`h\gamma \gamma `$ signal should be visible in SUSY events for 100 fb-1 of integrated luminosity. We see that (for these parameters) the highest possible luminosity is needed for the detection of this severely rate-limited, but essentially SM background-free, signal. A detection of $`h`$ in this manner would nicely confirm its detection via $`ggh\gamma \gamma `$, where the signal would be picked out as a small peak above an enormous continuum background. A Higgs signal in the multijet plus $`\gamma \gamma `$ \+ $`E_T^{miss}`$ channel would also suggest the supersymmetric origin of the Higgs production process.

As $`m_0`$ becomes very large, and the region of low $`|\mu |`$ is approached, the radiative decay $`\stackrel{~}{Z}_2\stackrel{~}{Z}_1\gamma `$ becomes enhanced. In this HB/FP region, the isolated photon contour likewise turns up, to reflect the increase in isolated photon activity from neutralino radiative decay.

As we move to larger values of the parameter $`\mathrm{tan}\beta `$, as in Fig. 3 for $`\mathrm{tan}\beta =30`$, the first thing to notice is that the left red-shaded region, where $`\stackrel{~}{\tau }_1`$ is the LSP, has expanded. This is because as $`\mathrm{tan}\beta `$ increases, both the $`\tau `$ (and also $`b`$) Yukawa couplings become non-negligible. This results in a reduction of stau and sbottom soft breaking masses via RGE running, and also in greater $`LR`$ mixing, which again reduces the mass of the lightest eigenstates. The negative results of searches for heavy isotopes of hydrogen (or other elements) results in limits that are many orders of magnitude below their expected relic density in big-bang cosmology, so that this possibility is strongly excluded. Finally, the large values of $`f_b`$ and $`f_\tau `$ together with the reduction of the corresponding sfermion masses relative to the first two generations mentioned above, increases various three body sparticle decays to $`b`$-quarks and $`\tau `$ leptons, at the expense of their first and second generation counterparts. The net effect of this is to enhance sparticle cascade decays to final states containing $`b`$-quarks and $`\tau `$-leptons in the low $`m_0`$ region. This results in a diminution of the reach in isolated lepton channels at low $`m_0`$, as compared with Fig. 1. The large $`b`$ and $`\tau `$ Yukawa couplings hardly affect the $`\overline{)}E_T+jets`$ and $`0\mathrm{}`$ signals, and so the ultimate reach of the LHC changes little in proceeding from $`\mathrm{tan}\beta =10`$ to $`\mathrm{tan}\beta =30`$.

In Fig. 4, we show the $`m_0vs.m_{1/2}`$ plane for $`\mathrm{tan}\beta =45`$ and $`\mu <0`$. The large $`b`$ and $`\tau `$ Yukawa coupling effects are accentuated even more in this figure: a larger region is excluded at low $`m_0`$, and the reach via multi-lepton channels is further diminished for small $`m_0`$ values where squarks and sleptons still play a role in determining cascade decay patterns. However, again, the overall reach in the $`\overline{)}E_T+jets`$ and $`0\mathrm{}`$ channels is hardly affected. If we increase $`\mathrm{tan}\beta `$ much beyond about 50 for $`\mu <0`$, the parameter space begins to close up fast due to a breakdown in REWSB.

In Fig. 5, we show the $`m_0vs.m_{1/2}`$ plane for $`\mathrm{tan}\beta =52`$ and $`\mu >0`$. In this case, the overall reach in the $`\overline{)}E_T+jets`$ and $`0\mathrm{}`$ channels is similar to the cases at lower $`\mathrm{tan}\beta `$. However, in the multi-lepton channels, there is again a suppression of reach at low $`m_0`$. This is because for very high $`\mathrm{tan}\beta `$, $`m_{\stackrel{~}{\tau }_1}`$ is so light that $`\stackrel{~}{W}_1`$ dominantly decays to $`\stackrel{~}{\tau }_1\nu _\tau `$ rather than $`\stackrel{~}{Z}_1W`$, and likewise, $`\stackrel{~}{Z}_2\stackrel{~}{\tau }_1\tau `$ rather that $`\stackrel{~}{Z}_1h`$ or $`\stackrel{~}{Z}_1Z`$. As $`m_0`$ increases, the stau mass increases, and the $`\stackrel{~}{W}_1\stackrel{~}{\tau }_1\nu _\tau `$ decay mode becomes more suppressed, which increases the $`\stackrel{~}{W}_1\stackrel{~}{Z}_1W`$ branching fraction. The subsequent $`W`$ boson decays from $`\stackrel{~}{W}_1\stackrel{~}{Z}_1W`$ lead to hard isolated leptons.

Our projections of the LHC reach, where they can be directly compared, are qualitatively similar to the results in Ref. . Differences between the results can be attributed to the difference in the observability criteria ($`S5\sqrt{S+B}`$ used in Ref. requires a minimum of 25 events to be compared with 10 events in our study, as well as a somewhat larger significance of the signal), and to the use of PYTHIA instead of ISAJET for event simulation.

### 3.2 The LHC reach in light of indirect constraints

A variety of low energy measurements have been used to obtain constraints on the parameter space of the mSUGRA model. These include the measured values of the cold dark matter density, the branching fraction $`BF(bs\gamma )`$, the value of the anomalous magnetic moment of the muon, $`a_\mu =(g2)_\mu /2`$444There is considerable theoretical uncertainty in the SM value of $`a_\mu `$, so that caution must be exercised in interpreting the result of experiment E821. and a lower limit on $`BF(B_s\mu ^+\mu ^{})`$. Unlike collider constraints which are much more direct, constraints from low energy measurements may be considerably more sensitive to details of the model, or to improvements in the theoretical calculation. Within a specific framework (e.g. mSUGRA), however, these indirect constraints exclude certain regions of parameter space, and also suggest other regions where future searches might be focussed.

Neutralino relic density:

Measurements of galactic rotation curves, binding of galactic clusters, and the large scale structure of the universe all point to the need for significant amounts of cold dark matter (CDM) in the universe. In addition, recent measurements of the power spectrum of the cosmic microwave background from WMAP and other data sets lead to

* $`\mathrm{\Omega }_{CDM}h^2=0.1126_{0.009}^{+0.008}`$.

The upper limit derived from this is a true constraint on any stable relic from the Big Bang, such as the lightest neutralino of the mSUGRA model. Regions of mSUGRA parameter space which result in a relic density that violates this bound are excluded. A remarkable feature of the model is that there are regions of the parameter space where the neutralino density lies in the observed range, so that the neutralino makes up almost all the cold dark matter in the universe. We remark, however, that unlike the upper limit above, the corresponding lower limit is flexible, since there may be additional sources of CDM such as axions, or states associated with the hidden sector of the mSUGRA model and/or extra dimensions.

To estimate the relic density of neutralinos in the mSUGRA model, we use the recent calculation in Ref. . All relevant neutralino annihilation and co-annihilation reactions are included along with relativistic thermal averaging, which is important for obtaining the correct neutralino relic density in the vicinity of annihilations through $`s`$-channel resonances.

BF($`bs\gamma `$):

The branching fraction $`BF(bs\gamma )`$ has recently been measured by the BELLE, CLEO and ALEPH collaborations. Combining statistical and systematic errors in quadrature, these measurements give $`(3.36\pm 0.67)\times 10^4`$ (BELLE), $`(3.21\pm 0.51)\times 10^4`$ (CLEO) and $`(3.11\pm 1.07)\times 10^4`$ (ALEPH). A weighted averaging of these results yields $`BF(bs\gamma )=(3.25\pm 0.37)\times 10^4`$. The 95% CL range corresponds to $`\pm 2\sigma `$ away from the mean. To this we should add uncertainty in the theoretical evaluation, which within the SM dominantly comes from the scale uncertainty, and is about 10%. Together, these imply the bounds,

* $`2.16\times 10^4<BF(bs\gamma )<4.34\times 10^4`$.

The evaluation of the SUSY contribution to this decay entails additional theoretical uncertainties, especially when $`\mathrm{tan}\beta `$ is large, so that this range should be relaxed somewhat. In our study, we show contours of $`BF(bs\gamma )`$ of 2, 3, 4 and $`5\times 10^4`$.

The calculation of $`BF(bs\gamma )`$ used here is based upon the program of Ref. . In our calculations, we also implement the running $`b`$-quark mass including SUSY threshold corrections as calculated in ISAJET; these effects can be important at large values of the parameter $`\mathrm{tan}\beta `$. Our value of the SM $`bs\gamma `$ branching fraction yields $`3.4\times 10^4`$, with a scale uncertainty of 10%.

Muon anomalous magnetic moment

The muon anomalous magnetic moment $`a_\mu =(g2)_\mu /2`$ has been recently measured to high precision by the E821 experiment: $`a_\mu =11659204(7)(5)\times 10^{10}`$. The most challenging parts of the SM calculation are the hadronic light-by-light and vacuum polarization (HVP) contributions and their uncertainties. Presently these results are in dispute. In the case of the HVP the use of tau decay data can reduce the error, but the interpretation of these data is somewhat controversial. Thus, the deviation of the measurement from the SM depends on which prediction is taken into account. According to the recent analysis by Hagiwara et al.:

* $`11.5<\delta a_\mu \times 10^{10}<60.7`$.

A different assessment of the theoretical uncertainties using the procedure described in Ref. gives,

* $`16.7<\delta a_\mu \times 10^{10}<49.1`$.

Yet another determination has recently been made by Narison, includes additional scalar meson loops. This, using $`e^+e^{}hadrons`$ data to evaluate hadronic vacuum polarization contributions, yields

* $`3.9<\delta a_\mu \times 10^{10}<52.1`$,

while using $`\tau `$-decay data results in

* $`26.7<\delta a_\mu \times 10^{10}<30.1`$.

The latter may include additional systematic uncertainties from how isospin breaking effects are incorporated.

In view of the theoretical uncertainty, we only present contours of $`\delta a_\mu `$, as calculated using the program developed in , and leave it to the reader to decide the extent of the parameter region allowed by the data.

$`B_s\mu ^+\mu ^{}`$ decay

The branching fraction of $`B_s`$ to a pair of muons has been experimentally bounded by CDF:

* $`BF(B_s\mu ^+\mu ^{})<2.6\times 10^6`$.

If $`\mathrm{tan}\beta \stackrel{<}{}2025`$ SUSY contributions to this decay are small and do not lead to new constraints on the parameter space. If $`\mathrm{tan}\beta `$ is large, the important SUSY contribution to this decay is mediated by the neutral states in the Higgs sector of supersymmetric models. While this branching fraction is very small within the SM ($`BF_{SM}(B_s\mu ^+\mu ^{})3.4\times 10^9`$), the amplitude for the Higgs-mediated decay of $`B_s`$ roughly grows as $`\mathrm{tan}^3\beta `$, 555The $`\mathrm{tan}^3\beta `$ growth obtains if the tree-level value of $`m_b`$ is fixed. For large values of $`\mathrm{tan}\beta `$, the radiative correction to $`m_b`$ is important resulting in a deviation from the $`\mathrm{tan}^3\beta `$ growth. and hence can completely dominate the SM contribution if $`\mathrm{tan}\beta `$ is large. In our analysis we use the results from the last paper in Ref.  to delineate the region of mSUGRA parameters excluded by the CDF upper limit on its branching fraction.

In Fig. 6, we again show the $`m_0vs.m_{1/2}`$ plot for $`\mathrm{tan}\beta =10`$, $`A_0=0`$ and $`\mu >0`$. This time, we exhibit contours for the low energy observables mentioned above, as mapped out in Ref. . A $`\chi ^2`$ analysis of the indirect constraints was performed in Ref. , which helped to identify regions of parameter space allowed by all the combined indirect constraints. Several regions emerge in the $`m_0vs.m_{1/2}`$ plane where the relic density can be within the WMAP range. At low $`m_0`$ and low $`m_{1/2}`$, neutralino annihilation through $`t`$-channel sleptons can occur with a high rate. Much of this so-called “bulk” region is largely excluded by the LEP2 Higgs bound (shown as the red contour), and in addition, $`BF(bs\gamma )`$, though in the acceptable range, is below its experimental central value. In this region, sparticles are very light, and a SUSY discovery by the CERN LHC should be easy.

One of the remaining regions allowed by relic density constraint is the very narrow strip adjacent to the “$`\stackrel{~}{Z}_1`$ not LSP” region at low $`m_0`$, where stau co-annihilation is important. We see that the reach of the LHC apparently covers much of the stau co-annihilation strip, up to $`m_{1/2}1400`$ GeV for 100 fb-1 of integrated luminosity. To determine the LHC reach needed to completely explore the stau co-annihilation strip, we show the relic density for fixed $`m_{1/2}`$ values $`vs.`$ $`m_0`$ in Fig. 7. In frame a), it is evident that the stau co-annihilation corridor yields a relic density in accord with WMAP results for $`m_{1/2}\stackrel{<}{}900`$ GeV. Thus, the LHC would completely explore the stau co-annihilation corridor for $`\mathrm{tan}\beta =10`$.

The other region allowed by relic density constraint occurs at very large $`m_0`$ where $`\mu `$ becomes small: the HB/FP region.666 The entire HB/FP region is not shown here: over part of this region, the evaluation of the $`\mu `$ parameter using ISAJET 7.64 is numerically unstable. This is corrected in ISAJET v7.65. Here, the growing higgsino component of the neutralino allows for efficient annihilation into vector boson pairs. For very small $`\mu `$ values, then neutralino-chargino co-annihilation becomes important. In this FP/HB region squarks are very heavy, and as $`m_{1/2}`$ increases, $`m_{\stackrel{~}{g}}`$ increases as well so that strongly interacting sparticle production cross sections decrease. Since $`\mu `$ is small, the light charginos and neutralinos are significantly higgsino-like, and can only be produced via electroweak interactions. We see that the reach of the LHC is limited to $`m_{1/2}700`$ GeV. For even higher $`m_{1/2}`$ values, and staying in the HB/FP region, one enters an area that is not accessible to LHC experiments, at least via the general purpose search strategies described here, even though the light charginos and neutralinos are expected to have masses less than 250-500 GeV. It would be interesting to examine whether it is possible to devise search strategies that exploit specific characteristics of the FP/HB region to extend the LHC reach. For instance, in the small $`|\mu |`$ region, decays of gluinos into third generation fermions are enhanced resulting in events with hard $`b`$ and $`t`$ quarks from the decay of heavy gluinos. Whether it is possible to extend the LHC reach in these event topologies merits further investigation.

Next, we show the contours for the same low energy observables as in Fig. 6, but for $`\mathrm{tan}\beta =30`$, $`A_0=0`$ and $`\mu >0`$ in Fig. 8. The larger value of $`\mathrm{tan}\beta `$ causes the values $`a_\mu `$ and $`BF(bs\gamma )`$ to deviate more from their SM values at low $`m_0`$ and $`m_{1/2}`$; the bulk region of relic density annihilation is disfavored by $`BF(bs\gamma )`$. This leaves only the stau co-annihilation corridor and the HB/FP region as phenomenologically viable. The LHC reach contour remains similar to that for $`\mathrm{tan}\beta =10`$. Again, we see that if SUSY has parameters in this plane, then LHC should see it unless $`m_{1/2}>700`$ GeV with SUSY in the HB/FP region. In particular, the LHC should be able to cover the stau co-annihilation corridor for $`\mathrm{tan}\beta =30`$, since it yields a relic density $`\mathrm{\Omega }_{\stackrel{~}{Z}_1}h^2<0.129`$ for $`m_{1/2}\stackrel{<}{}1050`$ GeV, while the LHC reach for low $`m_0`$ extends to $`m_{1/2}1400`$ GeV.

Fig. 9 illustrates the impact of the low energy observables, this time for $`\mathrm{tan}\beta =45`$ and $`\mu <0`$. The LHC reach is similar to the lower $`\mathrm{tan}\beta `$ cases, but now the low $`m_0`$ and $`m_{1/2}`$ bulk region is firmly excluded by both $`a_\mu `$ and $`BF(bs\gamma )`$, which are large negative, and large positive, respectively. We see, however, that a new region of low relic density has opened up: the $`\stackrel{~}{Z}_1\stackrel{~}{Z}_1A,Hf\overline{f}`$ annihilation corridor, where annihilation takes place especially through the very broad $`A`$ width. In fact, we see that although the $`A`$ annihilation corridor extends to very large $`m_{1/2}`$ values, the region allowed by WMAP is almost entirely accessible to LHC searches. A modest additional integrated luminosity beyond 100 fb-1 assumed in this study should cover this entire region. In addition, the stau co-annihilation corridor remains consistent with WMAP constraints up to $`m_{1/2}`$ values as high as 1200 GeV as shown in frame c) of Fig. 7, so that LHC should be able to completely explore this region. Finally, the HB/FP region can again be explored up to $`m_{1/2}700`$ GeV at the LHC.

In Fig. 10, we show the same low energy contours in the $`m_0vs.m_{1/2}`$ plane, but now for $`\mathrm{tan}\beta =52`$ and $`\mu >0`$. In this case, the low $`m_0`$ and $`m_{1/2}`$ bulk region is largely excluded because $`BF(bs\gamma )<2\times 10^4`$. The WMAP constraints again restrict us to either the stau co-annihilation region at low $`m_0`$, or the HB/FP region at large $`m_0`$. We can see from Fig. 7d that the stau co-annihilation corridor extends to $`m_{1/2}1870`$ GeV, which is somewhat beyond the reach of the LHC for 100 fb-1 of integrated luminosity. Models with these high parameter values suffer from considerable fine-tuning, since the $`\mu `$ parameter, which has been invoked as a measure of fine-tuning, is beyond 1600 GeV for $`m_{1/2}>1400`$ GeV, so that $`\mu ^2/M_Z^2`$ is large. In the HB/FP region, the LHC reach, via these channels, again cuts off at $`m_{1/2}700`$ GeV: once again, it would be worth exploring whether the SUSY signal can be picked up in other channels. If we increase $`\mathrm{tan}\beta `$ beyond 52, then the $`A,H`$-annihilation funnel re-enters the figure. In Ref. , it is shown that this annihilation funnel can reach $`m_{1/2}`$ values as high as 1400 GeV for $`m_03.5`$ TeV and $`\mathrm{tan}\beta =56`$. Thus, in this case, the LHC will not be able to access the complete $`A,H`$ annihilation funnel.

## 4 Conclusions

We have updated our assessment of the SUSY reach of the CERN LHC via $`E_T^{miss}`$ and multilepton channels, and presented new results for the reach in channels with isolated photons or leptonically decaying $`Z`$ bosons. We work within the framework of the mSUGRA model, and use ISAJET v7.64 together with the CMSJET fast detector simulation to model the CMS detector, and assume an integrated luminosity of 100 fb-1. Our results are presented over an expanded mSUGRA model parameter space to include the reach in the so-called HB/FP region at very large $`m_0`$, This region, together with the stau coannihilation corridor, and the annihilation funnel where LSPs annihilate via the $`A`$ or $`H`$ resonances, are strongly preferred by the recent data of the WMAP collaboration. The overall LHC reach turns out to be quite insensitive to $`\mathrm{tan}\beta `$. We find that experiments at the LHC will probe $`m_{1/2}\stackrel{<}{}1400`$ GeV for low $`m_0`$, and $`m_{1/2}700`$ for large $`m_0`$ in the HB/FP region. These values correspond to $`m_{\stackrel{~}{g}}3000`$ GeV and $`1800`$ GeV, respectively.

We have also presented the reach in a variety of multi-lepton channels. The reach in these individual channels is, in general, sensitive to $`\mathrm{tan}\beta `$. We also show the reach in a channel including reconstructed $`Z^0\mathrm{}\overline{\mathrm{}}`$ decays, and channels including isolated photons. The isolated photon signals may contain $`h\gamma \gamma `$ events at a low, but observable rate. Indeed the SUSY event sample may contain SM background-free $`h\gamma \gamma `$ events, though a very high integrated luminosity will be needed to identify the rate-limited $`h`$ signal. In the HB/FP region, the photonic channels also have a slight enhancement from radiative neutralino decays $`\stackrel{~}{Z}_2\stackrel{~}{Z}_1\gamma `$. For $`m_{1/2}\stackrel{<}{}800(400)`$ GeV and small (large) values of $`m_0`$, there should be observable signals in all these channels if new physics discovered at the LHC is to be interpreted as supersymmetry as realized in the mSUGRA model.

We have also examined the reach of the LHC in light of the recent assessment of direct (from LEP2) and indirect constraints on the mSUGRA model. The indirect constraints include the neutralino relic density $`\mathrm{\Omega }_{\stackrel{~}{Z}_1}h^2`$ from recent WMAP analyses together with accelerator measurements of $`BF(bs\gamma )`$, $`a_\mu =(g2)_\mu `$ and the bound on $`BF(B_s\mu ^+\mu ^{})`$ (this bound is hardly constraining for the parameter planes that we have examined). For large values of $`\mathrm{tan}\beta `$, experimental values of $`BF(bs\gamma )`$ and $`a_\mu `$ disfavor negative values of the $`\mu `$ parameter unless $`m_0`$ and $`m_{1/2}`$ are also large, but for $`\mathrm{tan}\beta 10`$, values of $`m_0`$ and $`m_{1/2}`$ $`\stackrel{>}{}400500`$ GeV are perfectly acceptable. For $`\mu >0`$, $`m_0`$ would have to be rather small so that the relic density is either in the bulk annihilation region or in the stau coannihilation strip, or $`m_0`$ would have to be very large, in the HB/FP region. The CERN LHC can definitely explore all the bulk annihilation region, and can explore all the stau co-annihilation corridor unless $`\mathrm{tan}\beta `$ is very high. The LHC can explore the HB/FP region up to $`m_{1/2}700`$ GeV via the conventional SUSY search channels. However, the HB/FP region appears to extend indefinitely to large $`m_{1/2}`$ and $`m_0`$ values, ultimately well beyond the LHC reach. For large $`\mathrm{tan}\beta `$, the $`A,H`$ annihilation funnel enters the $`m_0vs.m_{1/2}`$ plane. The LHC with 100 fb-1 ought to be able to detect SUSY over this entire region, except for the case of very large $`\mathrm{tan}\beta 56`$ with $`\mu >0`$.

## Acknowledgments

We thank M. Drees for comments on the manuscript. This research was supported in part by the U.S. Department of Energy under contracts number DE-FG02-97ER41022 and DE-FG03-94ER40833.