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# A Quantitative Clustering Approach to Ultrametricity in Spin Glasses

## Happy Birthday

This paper is to honor Giovanni Jona-Lasinio birthday. We are grateful to him since he has taught to us, as to so many other people in Rome and in other places, a lot of physics and much about the way to love good physics. Thanks, and Happy Birthday!

## I Introduction

The use of clustering methods to qualify the low temperature phase of spin glass systems has been recently advocated in a group of very interesting papers domany . It is indeed well known that the broken phase of mean field spin glasses has a high level of complexity, that translates statically in Parisi spontaneous Replica Symmetry Breaking (RSB) and dynamically in a series of dramatic phenomena that go from a severe critical slowing down $`T<T_c`$ to memory effects, aging phenomena and violations of the fluctuation-dissipation theorem books .

Ultrametricity of states ultra  is one of the key features of the mean field Parisi picture: states of the system turn out to be endowed by an ultrametric distance, and the phase space is organized hierarchically. Do finite dimensional spin glass systems share this properties, and can we find a way to check that? This is an important issue of the persistent debate review  about the physics of the low temperature phase of finite dimensional spin glasses.

Detecting ultrametricity on finite volume systems turns out to be very difficult camapa ; fraric : the introduction of constrained Monte Carlo methods camapa  and the analysis of the dynamical behavior of the system fraric  help only marginally. Finite size effects are very strong, and make the asymptotic potential emergence of a hierarchical structure difficult to observe.

Here we introduce some new analysis techniques and we study the Sherrington-Kirkpatrick (SK) mean field model, where we know that for low $`T`$ a non-trivial ultrametric structure emerges in the infinite volume limit. We will find out that this is a difficult task, sharing all the problems one observes in finite dimensional systems domany ; camapa . Our main points can be summarized in four basic issues:

1. We find that to be of better use the approach based on hierarchical clustering has to be complemented by the use of testing techniques that have been developed in the field of numerical taxonomy jaidub . We discuss some of these techniques and we show how they can be applied to our problem.
2. We discuss the role of the $`Z_2`$ symmetry of the phase space. We find that removing this symmetry (that in this context is accidental) is crucial to get sensible results from quantitative tests. We introduce and discuss the way to remove the symmetry from equilibrium configurations obtained in zero magnetic field.
3. Thanks to these techniques we are able to clarify how a finite volume SK system behaves as far as ultrametricity is concerned, by working out strengths and limitations of the method. We find that on the (medium-large) lattice sizes that we are able to analyze one can establish that a structure is emerging, but that one cannot get a compulsory evidence about this structure being ultrametric. This is exactly the same kind of phenomenon one observes when studying finite dimensional systems domany .
4. We analyze systematically finite size effects (by studying systems on different lattice sizes) and the dependence of our results over $`T`$. Thanks to the quantitative analysis techniques that we introduce we are able to use hierarchical clustering techniques to discuss also quantities that are averaged over the disorder, opening in this way a large information window.

The low temperature mean field behavior of spin glass systems is understood in the framework of the Parisi RSB scheme books . The prototype of mean field spin glass models is the SK fully connected Ising model where coupling constants are *quenched* random variables:

$$_J[\sigma ]=\underset{i,k=1}{\overset{N}{}}\sigma _iJ_{i,k}\sigma _k,$$
(1)
where $`\sigma _i=\pm 1`$ are spin variables and the $`J_{i,k}`$ are distributed according to an even distribution function. For example we can use a Gaussian distribution with $`\overline{J_{ik}}=0`$ (since we want to avoid ferromagnetic effects) and $`\overline{J_{ik}^2}=\frac{1}{N}`$ (to ensure that the energy is extensive). As we have already reminded, the Parisi RSB solution of the SK model, which is believed to be the correct solution of mean field theory at low $`T`$, exhibits an ultrametric organization of the states ultra . This means that in the infinite volume limit for any triple of equilibrium spin configurations $`\alpha ,\beta ,\gamma `$ we have that:

$$q_{\alpha \beta }\mathrm{min}\{q_{\alpha \gamma },q_{\beta \gamma }\},$$

where $`q_{\alpha \beta }`$ is the overlap among configurations $`\alpha `$ and $`\beta `$, defined as

$$q_{\alpha \beta }\frac{1}{N}\underset{i=1}{\overset{N}{}}\sigma _i^\alpha \sigma _i^\beta $$
(2)
(here configurations $`\alpha `$ and $`\beta `$ are independent configurations at equilibrium under the same Hamiltonian, sharing the same quenched realization of the random couplings: they are only coupled by the fact of sharing the same realization of the random Hamiltonian). The overlap $`q_{\alpha \beta }`$ is a similarity index, and the distance is connected to one minus the overlap.

We will analyze in detail the fact that revealing numerically an ultrametrical emerging structure on finite systems is difficult. The question is even more relevant since detecting reliable signs of an ultrametric structure could be crucial in finite dimensional systems, where the behavior of the system in the low $`T`$ phase is not yet understood review .

Clustering jaidub  is a powerful technique for analyzing data (for interesting applications of statistical mechanical ideas to clustering see rogufo ; blwido ; stibia ). Since producing a valid hierarchical clustering is equivalent to show the existence of a true ultrametric structure of the data, this kind of approach can give crucial evidences. We will discuss here what happens in the infinite range mean field SK model, where we know that eventually, in the infinite volume limit, ultrametricity of states will emerge. We believe this is needed to help in interpreting the results obtained in the analysis of finite dimensional models domany . We will see that some important hints do indeed emerge.

In this note we introduce some new ideas relevant for hierarchical cluster as applied to the analysis of disordered and complex systems, and we discuss numerical results obtained from a clustering analysis of equilibrium spin glass configurations, with a particular emphasis on the study of the ultrametric nature of these states. We explain why a detailed analysis requires an appropriate elimination of the spin flip symmetry and we investigate the dependence of our results on the number of degrees of freedom of the system, showing that finite size effects are actually very large.

The paper is organized as follows. In section II we introduce the clustering procedure and we explain the motivations for our precise choice of a given clustering algorithm. In section III we apply this technique to the SK model; we discuss our findings about ultrametricity, also by comparing them with those that one obtains by using standard techniques. Here we will introduce and use quantitative ways to state the significance of the results obtained by clustering (mainly in section III.1). As we said before a more detailed analysis requires a previous elimination of the $`Z_2`$ symmetry, and this is done in section III.2: in section III.3 we will also say a few words about using different clustering schemes. Section IV is dedicated to the clustering of the spins. We report our conclusions in the last section.

## II The Clustering Algorithm

Clustering is a special kind of (potentially very powerful) classification tool. We will give here only the basic informations we need for our analysis, and we advise the reader to look at jaidub  for further details.

Let us consider a sample done of $`M`$ data $`x^\mu `$, where each data point $`x^\mu \{x_1^\mu ,\mathrm{}x_N^\mu \}`$ is a vector in a $`N`$-dimensional space. We want to study the underlying organization of the data, i.e. we want to find out whether the data are organized according to some non-trivial structure. A problem of this type is strictly related to pattern recognition analysis and to Bayes decision theory dudhar : it is of very general interest, since it emerges in many relevant contexts.

The main ingredient for the analysis is the proximity matrix $`d_{\mu \nu }d(x^\mu ,x^\nu )`$. $`d(x^\mu ,x^\nu )`$ is some measure of the dissimilarity of data $`\mu `$ and $`\nu `$. It is such that $`d_{\mu \mu }=0`$ and $`d_{\mu \nu }=d_{\nu \mu }0`$. $`d`$ does not need to be a distance (for example the triangular inequality could not be satisfied) but usually it is one.

By clustering we group the data in sets that can be related among them in different ways. Here we will use the exclusive (each data belongs to exactly one cluster), intrinsic (i.e. based only on the proximity matrix $`d`$) classification known as hierarchical clustering. Hierarchical clustering is a nested sequence of partitions obtained through a classification technique based on one of many possible algorithms. The output of the algorithm can be represented by a hierarchical tree (a so-called dendogram).

A generic (even random) set of data can always be arranged to fit a tree-like structure: this is indeed what clustering does. After doing such (potentially arbitrary) clustering we are left with the relevant question of deciding if the hierarchical structure that has been reconstructed was somehow intrinsic to the data set: this requires an analysis *a posteriori*.

So, in hierarchical clustering we start from a set of data, we group them by some algorithm (that we will specify in the following) building in this way a hierarchical tree. Comparison of this tree and the original data can lead to quantitative conclusions about the presence of a true hierarchical structure in the data.

In the course of a cluster analysis one usually faces two main problems.

* The first important step is the definition of the dissimilarity index $`d_{\mu \nu }`$ which is not always naturally induced from the context (data do not necessarily belong to an Euclidean space).

In our case this is an easy problem. Starting from the usual notion of overlap (2) the distance between two spin configurations can be for example naturally and easily defined as

$$d_{\mu \nu }\frac{1q_{\mu \nu }}{2}.$$
* The second problem is how to update distances among elements. When we fuse elements $`\alpha `$ and $`\beta `$ in element $`\gamma `$ (so joining two smaller clusters in a larger one) we have to define all distances from the new cluster $`\gamma `$ to all other clusters of the system $`\eta `$. This step is crucial since it can play a dramatic role in the structure of the iteration, even if in situation where hierarchical clustering turns out to be natural, i.e. an intrinsic property of the data set, results have to be independent from this issue (there exist alternative approaches which allows to avoid such an explicit choice by means of a priori hypothesis blwido ; giamar ).

The most part of our results has been obtained by the *Ward method* (or *minimum variance method*) ward ; jaidub . The method is based on minimizing the square error, and is empirically known to outperform other hierarchical clustering methods.

When we merge the two clusters that have the smaller distance we define the new distance using the following rule: if $`\rho `$ and $`\sigma `$ merge to form $`\rho ^{}`$, and $`n_\alpha `$ is the number of elements in the cluster $`\alpha `$, then for any other cluster $`\tau `$:

$$d_{\tau \rho ^{}}=\frac{(n_\tau +n_\rho )d_{\tau \rho }+(n_\tau +n_\sigma )d_{\tau \sigma }(n_\rho +n_\sigma )d_{\rho \sigma }}{n_\tau +n_\rho +n_\sigma }.$$
(3)
Let $`𝒞_\alpha `$ stand for one of the clusters of the system and consider the quantity

$$S=\underset{𝒞_\alpha }{}\tau (\alpha ),$$

where the sum is over all the clusters defined in the system and where

$$\tau (\alpha )=\underset{\mu ,\nu 𝒞_\alpha }{}d_{\mu \nu }^2.$$
(4)
The choice of the Ward algorithm ensures that when merging two clusters to form a new one $`S`$ increases of a minimal amount. In other terms this definition of distance is the one induced from the maximum likelihood principle.

This defines the clustering scheme that we will follow. We will discuss next how these ideas can be applied to mean field spin glass models, and how the result can be understood and quantified by testing the cluster validity.

## III Cluster Analysis of the SK Mean Field Spin Glass

As we have said we have decided to analyze numerically the mean field SK model. Since here the infinite volume scenario is under full control we believe this is a crucial step in understanding what one can learn from numerical simulations on finite lattices, and to control the consequences of such results obtained on finite dimensional models domany  where, on the contrary, the theoretical scenario is far from clear.

We have started by generating by an optimized Monte Carlo method a large number of uncorrelated spin configurations on lattices of different sizes and for a number of different realizations of the quenched disorder (on which we eventually average), under the Hamiltonian (1), with quenched random couplings assigned under a Gaussian distribution. We analyze systems with $`N`$, number of spins, equal to $`128`$, $`256`$ and $`512`$ ($`N=512`$ is typical of a medium size numerical simulation, corresponding for example to a linear size of $`8`$ in three dimensions). We thermalize our systems at a set of different values of the temperature typically going from $`0.1T_c`$ (a very low value, that we can reach only thanks the power of parallel tempering PT ; PTREV ), and in all cases we analyze $`20`$ different realizations of the quenched couplings. For all lattice sizes, relevant temperatures and disorder realizations we first thermalize the system. After doing that we record one spin configuration after any new set of $`1000`$ combined full Monte Carlo sweeps and parallel tempering updates of the system. The large “computer time” separation among different configurations guarantees a very high level of statistical independence. Residual possible (very small) correlations would not spoil our analysis but would only make it a bit less effective. We have recorded $`1024`$ such independent spin configuration for each value of the parameters: such configurations are the basic set of objects that we have clustered.

Parallel tempering PT ; PTREV  has been crucial in allowing to bring at thermal equilibrium spin configurations at such low temperature values on acceptable lattice volumes. The method is based on simulating in parallel copies of the system at different temperature $`T`$ values, allowing the different copies to swap $`T`$ among them (with a standard Metropolis weight). This reduces the free energy barriers, always keeping the different copies at Boltzmann equilibrium: tempering can be seen as an annealing where the basic quantity is not energy but free energy.

We have used all standard criteria to check that, when using the Parallel Tempering optimized Monte Carlo scheme, we have really reached thermal equilibrium PTREV : we have checked that our sample dependent overlap probability distributions $`P_J(q)`$ are indeed well symmetric under $`qq`$, we have checked that all copies of the system have visited a number of times all available temperature values, we have checked that the acceptance factor of the temperature acceptance swap has been of order $`0.5`$.

In the rest of this note we will work on clustering these configurations and on using quantitative testing to extract the implications of the hierarchical structure that we obtain.

We first introduce a standard graphical way to get a qualitative feeling about the set of data. We consider the proximity matrix $`𝒫`$, where we have the set of data (in some order to be specified) on the $`x`$ and on the $`y`$ axis, and where we plot with darker colors points with higher overlap: the diagonal constitutes by definition the darkest set of the matrix. In figure 1 we start by showing, on the left, the matrix $`𝒫`$ for a given disorder realization at $`N=512`$ and $`T=0.1T_c`$ (a very low value of $`T`$, the lowest we have analyzed: here the system is basically in its ground state) where configurations have been ordered at random. A clearly random pattern emerges.

We apply the Ward algorithm to these configurations in order to obtain a hierarchical tree (as we have discussed before) 111For clustering we have used the very flexible set of programs developed by P. Kleiweg, available from http:// odur.let.rug.nl/$`\stackrel{~}{}`$kleiweg/clustering/clustering.html . The hierarchical tree that contains the information about the clustering, the so-called dendogram 222In a dendogram longer lines are for farer clusters. In most of our drawings, when we are not interested in analyzing this specific information, we use an appropriate power law deformation of the scale to make the graph more readable and telling. is shown in the upper part of the right side of figure 1. In the lower part of the right hand side of figure 1 we show the matrix obtained by ordering the configurations *as from the dendogram* on the $`x`$ and on the $`y`$ axis. Now the two reflected states appear very clearly (at such a low $`T`$ value there are basically two $`\delta `$ functions at values $`\pm \overline{q}`$, where $`\overline{q}`$ is close to one). We cannot observe any further structure, since $`T`$ is too low (the ideal temperature value for observing hints of ultrametric effects will turn out to be, for our lattice sizes, of the order of $`0.5T_c`$). As we increase the temperature we observe that well defined structures emerge (see figure 2, where we show results for a single sample, with $`N=512`$, at $`T=0.3T_c`$, $`T=0.5T_c`$ and $`T=2.0T_c`$): when we reach the critical temperature $`T_c`$ and we go deeper in the warm phase we obtain *a homogeneous matrix*: here spins are equally likely to be up or down, and as a consequence the overlap between two configurations is zero on average.

We stress that the information about the $`Z_2`$ symmetry is a trivial, well known one, that does not give us further insight: still, it is interesting that the clustering algorithm is able to reconstruct it. We will discuss at length the fact that, on the opposite side, the presence of the symmetry is deeply annoying in that it makes more difficult to get quantitative information about the structure in one of the two $`Z_2`$ sectors, hiding many features of the data, and making interesting predictions impossible.

We also use figure 2 to make a further point. The dendograms, that make possible to visualize the hierarchical structure build from the clustering, do not give much unambiguous information about the underlying structure. The picture from $`T=0.3T_c`$ is not so different, but for some power rescaling of the lengths, from the one at very high $`T`$ ($`T=2.0T_c`$) where we do not expect a non trivial ultrametricity to appear. Clusters at hight $`T`$ are, indeed, more balanced, but one can only get some qualitative feelings about it.

In the following we will work on trying to quantify the qualitative statements about the possible presence of a (maybe hierarchical) definite structure in the low $`T`$ phase.

### III.1 Quantitative Testing

Before discussing our approach toward a quantitative analysis based on hierarchical clustering techniques and aimed to check whether the spin configurations (our original data set) are really organized according to an ultrametric structure, we analyze the system by applying a more standard statistical mechanical approach. Following domany ; camapa  we analyze the probability distribution of the variable

$$k_{\mu \nu \rho }\frac{d_{\mu \nu }d_{\mu \rho }}{d_{\nu \rho }},$$

where we have ordered the three distances to satisfy the condition $`C\{d_{\mu \nu }d_{\mu \rho }d_{\nu \rho }\}`$. This implies that $`K[0,1]`$. In an ultrametric space we would get that $`P(k=K|C)=\delta (k)`$.

On our finite $`N`$ lattices we assume the following dependence of $`P`$ over $`K`$:

$$P(k=K|C)\mathrm{exp}\left\{\frac{K^2}{2\sigma ^2}\right\}\theta (K),$$

where $`\theta ()`$ is the step function. We analyze the behavior of the variance $`\sigma ^2`$ with the size $`N`$. We show our results in figure 3. In the upper plot we select $`T=0.5T_c`$ and we plot $`\sigma `$ as a function of $`N`$. $`\sigma `$ decreases with $`N`$, but very slowly (as we expected from the results of camapa , where even with a tuned up Monte Carlo procedure one finds that similar analysis are very difficult): it is not even easy to get a reasonable fit to a zero limit of $`\sigma `$ (but the very large statistical error allows for it). In the inset of the upper part of the plot we show $`P(k=K|C)`$ for one single sample. In the bottom plot we show how $`\sigma `$ depends on $`T`$ on our largest lattice size, $`N=512`$. Nothing dramatic happens when increasing $`T`$: again, only some qualitative low key effect is taking place.

Now we start with analysis of the results of our cluster reconstruction. We have used our data (spin configurations for a given lattice size and temperature, together with their mutual distances obtained from their mutual overlap) to produce a hierarchical tree, and we want to test if this tree is connected to intrinsic properties of our data (as we have already clarified an ultrametric tree can always be superimposed even to random data). We will adapt standard techniques jaidub  to judge about the validity of the structure we have found and about the statement that data are organized according to an ultrametric structure.

The general procedure testing has a simple structure: given a starting proximity matrix $`𝒫`$, we end our clustering procedure with a particular ordering of elements of $`𝒫`$, i.e. with a particular permutation of $`|P|`$ data. This is what our clustering scheme achieves (transforming the left part of figure 1 in the right bottom matrix). Now we have the problem of deciding if what we did was sensible: we can rephrase this question by saying that we have to choose between the randomness hypothesis ($`H_0`$: all permutations of labels of $`M`$ are equally likely) and the alternative hypothesis ($`H_1`$: the data have some structure that has been at least partially reconstructed by the clustering). In order to check that we:

1. define a variable $`T`$ that we expect to be “small” under the null hypothesis $`H_0`$;
2. assign a confidence level $`\alpha `$ for $`H_1`$ and define a threshold $`t_\alpha `$ by solving the equation

$$P(Tt_\alpha |H_0)=1\alpha ;$$
3. measure from the data the value of $`T`$, that we call $`t^{}`$. If

1. $`t^{}t_\alpha `$ $``$ reject $`H_0`$ at level $`\alpha `$;
    2. $`t^{}<t_\alpha `$ $``$ accept $`H_0`$ at level $`\alpha `$.

$`\alpha `$ is a confidence level, i.e. it is connected to the probability that by accepting $`H_1`$ as true we are not making a mistake.

The first tool that we introduce is based on *Hubert’s $`\mathrm{\Gamma }`$ Statistics* jaidub ; hubsch , and it is useful to validate clustering. This is done by checking the correlation of the data with a structure we define a priori.

We consider our measured distance matrix $`d_{\mu \nu }`$, and we introduce the matrix $`f_{\mu \nu }`$ by

$$f_{\mu ,\nu }=\{\begin{array}{cc}0& \text{if }\mu ,\nu \text{ same cluster}\hfill \\ 1& \text{if not}\hfill \end{array}$$
(5)
We will study the correlations among $`d_{\mu \nu }`$ and $`f_{\mu \nu }`$. Clearly we have also to specify the definition of being in the same cluster. This introduces a parameter that allow to decide how deeply we want to test the clusterization features of the data. We will introduce a threshold, that defines the refinement level that we want to use to check our description.

We then have to define the a priori structure that we will compare to the data. Let us call $`d_{\text{max}}`$ the maximum distance (on the hierarchical tree) among two configurations of our set: we say that two configurations belong to the same cluster if their distance is smaller than a certain fraction of $`d_{\text{max}}`$, say than $`d_{\text{max}}/z`$. We show in the right part of figure 4 how the number of clusters $`N_c`$ depends on $`z`$. At very low $`T`$ we find a linear dependence of $`N_c`$ over $`z`$, while at values of the order of $`\frac{1}{2}T_c`$ $`N_c`$ grows faster than linearly. In figure 4 we also show, for one sample of the quenched disorder, the true distance matrix $`d_{\mu ,\nu }`$ and four different matrices $`f_{\mu ,\nu }`$ obtained with an increasing value of $`z`$ (from the upper left corner going rightward and then to the lower line and rightward again), $`z=`$ $`4`$, $`8`$, $`12`$ and $`16`$. The difference among the structures that we are testing in the different cases is obvious. The careful reader will be able to recognize by eye that the three valley structure implied by the threshold level $`z=4`$ can indeed be found in the raw distance data of the leftmost matrix.

The main ingredient needed for analyzing the Hubert’s $`\mathrm{\Gamma }`$ statistics is the correlation function

$$\mathrm{\Gamma }=\frac{1}{M^2}\underset{\mu =0}{\overset{M}{}}\underset{\nu =0}{\overset{M}{}}\frac{\left(d_{\mu ,\nu }m_D\right)\left(f_{\mu ,\nu }m_F\right)}{s_Ds_F},$$
(6)
where (for $`X=D,F`$, $`x=d,f`$)

$$m_X\frac{1}{M^2}\underset{\mu =0}{\overset{M}{}}\underset{\nu =0}{\overset{M}{}}x_{\mu ,\nu },s_X^2\frac{1}{M^2}\underset{\mu =0}{\overset{M}{}}\underset{\nu =0}{\overset{M}{}}x_{\mu ,\nu }^2m_X^2.$$

Let us say that when looking at the output of the clustering we observe a value of $`\mathrm{\Gamma }`$ equal to $`\mathrm{\Gamma }^{}`$. In order to estimate if this value hints for the hierarchical structure being intrinsic to the data we have used a number of tests. The first test amounts to little more than checking if our procedures are correct: we take as $`H_0`$ the randomness hypothesis, i.e. we compare our ordered distance matrix to a matrix where the configurations are at random. We would find that the configuration is not atypical only if our programming was wrong. We compute an histogram $`P(\mathrm{\Gamma }|H_0)`$, i.e. the distribution of $`\mathrm{\Gamma }`$ under the null hypothesis of randomness, by evaluating

$$\mathrm{\Gamma }(\pi )=\frac{1}{M^2}\underset{\mu =0}{\overset{M}{}}\underset{\nu =0}{\overset{M}{}}\frac{\left(d_{\mu ,\nu }m_D\right)\left(f_{\pi (\mu ),\pi (\nu )}m_F\right)}{s_Ds_F},$$

where the $`\pi `$ are random permutations of the $`M`$ configuration. A cluster is not consistent with the hypothesis $`H_0`$ (in this case the hypothesis that configurations have not been ordered) if it is “unusual”. In order to quantify this statement, we introduce an indicator $`\mathrm{\Delta }`$ defined as

$$\mathrm{\Delta }\frac{\mathrm{\Gamma }^{}\mathrm{\Gamma }}{\sqrt{(\mathrm{\Delta }\mathrm{\Gamma })^2}}$$

where the value of $`\mathrm{\Gamma }`$ that we have observed in our sample and where the averages are taken with respect to the conditioned probability distribution $`P(\mathrm{\Gamma }|H_0)`$. As expected we always find a very high value of $`\mathrm{\Delta }`$ for all reasonable values of the threshold $`z`$ (i.e., say, values of $`z`$ that produce from two to order hundred valleys): $`\mathrm{\Delta }`$ is of order $`10^2`$ and that it is only weakly dependent on the temperature (even at $`T=\mathrm{}`$ this test tells that, yes, we had ordered the configurations, rejecting in this way $`H_0`$ in a very clear cut way, since we are dealing with a large matrix). As expected this procedure gives positive results both on the original set of configurations and after applying the reversing procedure described in section III.2.

The rest of the (more crucial) testing of the Hubert’s $`\mathrm{\Gamma }`$ statistics has been done on the set of reversed configurations, where the $`Z_2`$ symmetry has been eliminated (see section III.2). We will discuss it later on, after introducing same other important objects and methods.

The second tool we use to establish whether the particular hierarchical structure we find is the correct one is based on the evaluation of the so called *cophenetic correlation coefficient* $`𝒦`$. It is defined as

$$𝒦dd_Cdd_C,$$

where the cophenetic distance $`d_C(\mu ,\nu )`$ is measured on the dendogram (and because of that it is ultrametric by definition). For example, in the case of Ward clustering, it is the quantity defined in (3). A high level of correlation of true distance and cophenetic distance implies that the data have an intrinsic ultrametric organization. On the contrary a low level of correlation suggests that a true ultrametric structure cannot be detected. $`𝒦`$ is a natural measure of the ultrametricity build in our data set.

If we try to analyze our original configuration set without removing the $`Z_2`$ symmetry (each configuration $`𝒞`$ has a corresponding configuration $`𝒞^{}`$ which appears with the same probability) we measure a high value of $`𝒦`$, always higher than $`0.97`$. Interpreting this result as a confirm of the detection of an ultrametric structure would be wrong: the $`Z_2`$ implies a very primitive form of hierarchical organization (states are grouped in two well separated sectors of the phase space) and on finite, medium size volumes, this is what we are measuring.

One way to clarify this issue is to look at figure 5, where we plot, for a given sample of the quenched disorder, at $`N=512`$ and low temperature $`T=0.3T_c`$, both the true distance $`d(i_0,j)`$ and the cophenetic distance $`d_C(i_0,j)`$ as a function of $`j`$ for various values of $`i_0`$. It is clear that the $`Z_2`$ symmetry makes the two distances similar in a trivial way, by designing the same step: this is the reason that makes $`𝒦1`$. The real physical differences are in the wavy behavior of the true distance: it is its difference from the constant behavior of the cophenetic distance that has to be analyzed. This is what we will do in the next section.

We will now apply a spin reversal procedure that allows us to obtain a set of configurations that have, in the infinite volume limit, a positive definite mutual overlap. This is a very useful procedure MAMAZU  that makes our set of configurations equivalent to a set of configurations obtained in an infinitesimal magnetic field (without the drawback of having to keep under control the smallness of the field). Only after doing that we will come back to the evaluation of the cophenetic coefficient $`𝒦`$.

### III.2 The Reversing Procedure and Our Main Results

In the infinite volume limit the question of identifying in our set of configurations two subsets, $`|+`$ and $`|`$ is well posed. After doing that we can flip all signs of the configurations in $`|`$, obtaining in this way a set of configurations with a positive definite overlap.

We use here the approach introduced in MAMAZU . We take one configuration as starting point, $`𝒮`$. We consider now a new configuration, and if its overlap with $`𝒮`$ is negative we flip it. For a third configuration we consider the average overlap with the first two, and we flip it if this is negative. We do that for all configurations. This procedure works quite well, and it can be improved in a number of ways (for example we can repeat it by starting from the new set and considering a different reference configuration and a different order).

In figure 6 we show the $`P_J(q)`$ for several samples, before and after the reversing procedure. It is clear that the procedure works quite well. The main problems are for samples where different valleys are quite similar (we are on finite lattices and there are intrinsic ambiguities that disappear in the thermodynamic limit). A good example of a troublesome samples is the second sample from the top on the right, where the reconstructed $`P_J(q)`$ has, even after our reversal procedure, a long tail at negative $`q`$ values. We have verified (see also MAMAZU ) that when increasing the volume size these spurious effects become smaller.

We have also found that a second effective approach to the separation of the phase space is based on using the same clusterization procedure we will eventually use for analyzing the hierarchical structure. We first use clusterization (based for example on the Ward algorithm) to identify the two $`Z_2`$ subsets. We then flip all spins of all configurations of one of the two, and repeat the clusterization to find a new (hopefully faithful) hierarchical structure. This second approach gives results that are very similar to the ones of the first approach MAMAZU  that we have discussed before: for example the resulting $`P_J(q)`$ are basically indistinguishable.

In the following we will use spin configurations “reversed” using this technique.

In figure 7 we show the proximity matrix for two $`N=512`$ samples (at $`T=0.2T_c`$ and at $`T=0.6T_c`$) ordered according to the output of the clustering procedure (i.e. as from the dendogram) and the corresponding cophenetic matrix implied by the same dendogram.

When the hierarchical, ultrametric structure is intrinsic to the data set the matrices in the bottom line of figure 7 become equal to the ones in the central line. Now that the accidental $`Z_2`$ symmetry has been removed we are able to look at the real, relevant physical effects. We have investigated the issue in a systematic way. We average over $`20`$ different quenched realizations of the disorder, and analyze the system for different lattice volumes as a function of the temperature.

In figures 8.a, 8.b and 8.c we plot $`𝒦`$ as a function of $`\frac{T}{T_c}`$ for $`N=128`$, $`N=256`$ and $`N=512`$. The upper sets of points with smaller errors are from the analysis done before the spin reversal ($`Z`$), the lower sets of points with larger error are from the analysis of the spin reversed configurations ($`R`$). We have already discussed the fake detection of ultrametricity induced by the $`Z_2`$ symmetry. We discuss now the data obtained after removing the symmetry. In no cases a clear evidence for the existence of a true ultrametric structure emerges. $`𝒦`$ is always small, and for $`T<T_c`$ it does not even increase clearly with $`N`$ (finite size effects are very large and uncontrolled). It is interesting that in the set of $`Z`$ data the phase transition is detected quite clearly (but, as we have explained, what we observed is no connected to a hierarchical structure, but only to the usual breaking of the $`Z_2`$ symmetry). At high $`T`$ values, for $`T>T_c`$ the $`Z`$ and the $`R`$ sets of data coincide: here there is one single state.

This analysis shows clearly that on medium size lattices it is impossible to detect more than hints toward a hierarchical structure: in our mean field model we know that ultrametricity will eventually emerge, but very large lattices are needed for that.

In figure 8.d we try a further test to improve the level of our quantitative understanding. We could phrase our goal by saying that we are trying to understand how many valleys we can be sure are present in the phase space (we repeat that since we are studying the mean field Sherrington-Kirkpatrick theory in the Parisi broken phase we know that asymptotically an infinite number of such valleys will emerge). We go back to $`\mathrm{\Gamma }`$ defined in equation 6. At different $`T`$ values we change the threshold value $`z`$ and monitor the number of valleys we are building for a given $`z`$ value (this depends on $`T`$: we have discussed this procedure when commenting figure 4). We measure $`\mathrm{\Gamma }`$ and we plot it versus the average number of valleys per sample (all data are for reversed configurations, except for one set of non-reversed data at $`T=0.5T_c`$ that we plot for sake of comparison). We use the high $`T`$ ($`T=1.9T_c`$) curve as a reference curve, and we consider it as the randomness threshold: if at a given temperature $`T`$ the value of $`\mathrm{\Gamma }`$ is very different than the high $`T`$ value we consider that as evidence for existence of this number of valleys.

Using the hight $`T`$ limit as the reference line looks to us as a sensible choice (we have already discussing that using unordered matrix lines is basically just a check of the correctness of our procedure). If, for example, we select a value of the $`x`$ variable (number of clusters divided by $`M`$) $`x=0.002`$, that in the case of $`N=512`$ assumes the presence of two valleys (after removal of the $`Z_2`$ symmetry) we see that at low $`T`$ the data are quite different from the high $`T`$ ones, suggesting that we are probably already detecting this (quite low) level of organization. When we try a threshold implying a larger number of valleys (already for example for three of four valleys on our larger lattice, $`N=512`$) the data are not far from the high $`T`$ ones, implying a failure in supporting the hypothesis.

We will discuss figure 8.e in the next section.

### III.3 Other Clustering Algorithms

As we have discussed in some detail in section II the cluster reconstruction algorithm is defined by selecting the rule used to join two elements at different levels of the partitioning, an to update the distance matrix after each step of refining the partitioning level.

In our analysis we have used the Ward scheme ward  (that updates the distances as in equation 3): this is believed to be an optimal choice when there is no information *a priori* on the data jaidub .

Basic clustering algorithms are the single link scheme and the *complete link* one. We will not enter here in many details (see jaidub  for further information), but let us say that in the single link scheme one just demands a weak connectivity to merge two subsets, and joins them to form a new cluster as early as possible, while in the complete link scheme the opposite happens, and subsets are joined to form a new cluster “as late as possible”. Both methods have advantages and drawbacks. The crucial observation that we will use now is that when a real hierarchical structure is present all these methods end up to give the same result, and to reconstruct the same classification.

In these two algorithms we have that, if as before $`\rho `$ and $`\sigma `$ merge to form the new cluster $`\rho ^{}`$ for all other clusters $`\tau `$:

$`d_{\tau ,\rho ^{}}=`$ $`\mathrm{min}\{d_{\tau ,\rho },d_{\tau ,\sigma }\}`$ $`\text{(single link)},`$
$`d_{\tau ,\rho ^{}}=`$ $`\mathrm{max}\{d_{\tau ,\rho },d_{\tau ,\sigma }\}`$ $`\text{(complete link)}.`$
The reason for the names is in the graph theory interpretation of the algorithms jaidub . As we have already said it is not difficult to show that if the true distance matrix is actually ultrametric the optimal permutation with respect to these two algorithms is be exactly the same.

In this framework we have introduced a last test of the structure of our data: we check how different are the output of the two algorithms to try to understand if we can detect further hints for an emerging ultrametric structure. We have analyzed 20 samples at several temperatures values, and we show in figure 8.e the average correlation between the two output distance matrices, that is

$$\omega \overline{d_{SL}d_{CL}}.$$

The correlation is very high at low $`T`$, and decreases toward the high $`T`$ value around $`T0.8T_c`$. Again, on medium large lattice sizes we can detect hints toward an emerging ultrametric structure but we cannot in any way get a clear cut answer.

## IV Clustering the Spins

An interesting question (discussed in details in domany ) concerns a possible clustering of the spins of our system. The issue is clearly very relevant in the finite dimensional systems studied in domany  where spatial structures can be very relevant. Here, in mean field, there is no notion of distance, but still spins can be aggregated in different groups that have different degrees of correlation.

We will look for the possible presence of some kind of structure (in this case not hierarchical since there is no reason for this) now in the space of the elementary spins instead than in configuration space. In the analysis of configurations we were considering the $`N\times M`$ data matrix $`\{\sigma _i^\mu \}`$ as representing $`M`$ configurations, where each data point was an $`N`$-dimensional vector. Now we change our point of view; we regard each of the $`N`$ spins as a data point, that is as a vector in a $`M`$-dimensional space. Since we expect highly correlated spins to be in the same cluster, following domany  we define the distance between spin $`i`$ and spin $`j`$ as

$$d_{ij}=1c_{ij}^2,$$

where

$$c_{ij}\sigma _i\sigma _j\frac{1}{M}\underset{\mu =1}{\overset{M}{}}\sigma _i^\mu \sigma _j^\mu $$

is the spin correlation matrix that we can evaluate using our spin configurations generated in a Monte Carlo run.

It is interesting to follow the evolution in temperature of the ordered spin matrix for a given sample: we show it in figure 9. At intermediate temperature values a large group of spin is clearly very correlated: here $`O(N)`$ spins are grouped together. This structure disappears at high $`T`$ values. It is remarkable how this picture is similar to figure 11.d of the second paper of reference domany . This is a severe warning against misleading interpretations of the data analysis: here we are in mean field, and there are no spatial local domains.

## V Conclusions

The configuration space of a $`N`$-spin system is a $`2^N`$-dimensional space and it is very difficult to represent it in order to catch the main physical features 333Only for limited purposes a principal component analysis (PCA) can be adapted to help in this task domany .. We have shown that cluster analysis allows not only to visualize in a physically meaningful way the structure of the configuration space, but also allows for quantitative testing of a priori hypothesis about the structure of the data set.

We have discussed the role of the $`Z_2`$ symmetry of the system, and how its removal is necessary to study the relevant physical phenomena. Our main issue is that quantitative testing is mandatory to make of clustering techniques an useful tool. We have introduced some of these techniques by designing tests such to be useful in our context of a (disordered) statistical mechanics context.

As a crucial benchmark we have analyzed the mean field theory in the low $`T`$ replica broken phase, where we know that eventually, in the infinite volume limit, a hierarchical structure of states emerges. We are able to observe many hints toward the emerging of such structure, but on the lattice sizes where we are able to work these indications cannot be considered as unambiguous. Detecting ultrametricity is very difficult, and demands very large lattice sizes: this turns out to be true in mean field, and we expect it to be probably true also in finite dimensional models, where the existence itself of mean field like states is all to be checked. We believe that the findings and the techniques that we have reported here will be important to use in the finite dimensional context. As many other features (we have in mind for example temperature chaos CHAOS , that is very difficult to detect numerically and emerges only at very high orders in perturbation theory) ultrametricity emerges, already in mean field, only on very large lattices.

We also believe it is important that in this “quantitative” approach to clustering we have been able to introduce a natural way to consider not only sample dependent but also disorder average quantities.

A next step is to apply, by continuing the work of domany , these techniques to finite dimensional disordered systems (defined on very large lattices!) on the one side and to glassy systems on the other side: since here a crucial goal is to try to understand the details of the spatial, time dependent organization of the system, techniques like the ones introduced here could turn out to be very useful.

## Acknowledgments

We acknowledge the precious contribution of Loredana Correale to a first phase of this work. We thank Eytan Domany and Peter Young for many useful conversations that have motivated us toward this problem.


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# “Luttinger” and insulating spin liquids in two dimensions

## 1 - Introduction

A better understanding of the physical properties of highly interacting electrons in two spatial dimensions (2d) is central for high-Tc superconductivity. Soon after the discovery of the high-Tc superconductors, Anderson  suggested that a strongly interacting 2d electron gas should resemble a 1d Luttinger liquid state. This question remains unresolved to this date. Thanks to the high precision of the angular resolved photoemission experiments performed in a variety of materials , we know, at present, important facts concerning the Fermi surface (FS) of the cuprates. The FS’s for underdoped and optimally doped Bi2212 and YBaCuO compounds contain both flat and curved sectors . As a result, they are nearly perfectly nested along certain k-directions. As is well-known, whenever there is a flat FS, the corresponding one-electron dispersion is 1d-like in momentum space.

Originally, the cuprates are Mott insulators which become metallic at very low doping . At half-filling, Hubbard-like models have a square shape FS imposed by electron-hole symmetry. The FS changes as we vary the filling factor and, as soon as it is lightly doped, it acquires nonzero curvature sectors in k-space. In the immediate vicinity of half-filling, there are, at most, isolated curved spots in momentum space. Consequently, in a zeroth order approximation, one may neglect their presence altogether. Following this scheme, several workers investigated the properties of a 2d electron gas in the presence of a totally flat FS . In their approaches, the FS is always kept fixed and never deviates from its original flat form. Besides that, their results conflict with each other. Conventional perturbation theory calculations , parquet method results , as well as one-loop perturbative RG calculations  indicate that, for repulsive interactions, there is never a Luttinger liquid state in 2d. In contrast, applying bosonization methods, Luther was able to map the square FS onto two sets of perpendicular chains . As a result of that, the corresponding electron correlation functions become sums of power law terms with exponents only differing in form from those of a Luttinger liquid . We revisit this problem in this letter.

We report a two-loop field theoretical RG calculation for the electron gas in the presence of the same FS model as used by Dzyaloshinskii and co-workers . The novel aspect of our work, apart from taking into account important higher order corrections, is the fact that we show explicitly how the FS changes its shape due to interactions. As a result, we are able to determine when the FS may suffer a truncation in k-space. To our knowledge, this was never done before in such a systematic and detailed form. Needless to say, to show how the FS is renormalized by interaction is a very intricate many-body problem .

To deal with this here, we calculate how the charge renormalization functions Z and all physical parameter vary along the renormalized FS itself, by means of appropriate RG flow equations for the Fermi energy and coupling functions. We observe that Z is nullified at FS and, as a result, there exists spin-charge separation in 2d. In addition, we explore the existence of nontrivial fixed points which vary continuously along the Fermi surface. Accordingly, we show that the renormalized FS naturally develops a nonzero curvature, if one associates its physical nature to the infrared (IR) stable fixed points. It follows from this that its behavior is regulated by the variation of the anomalous dimension exponent $`\gamma ^{}`$ with respect to the momentum $`p_{||}`$ along FS. When $`1/2\gamma ^{}1`$ the renormalized FS is truncated and develops a charge pseudogap in this region of k-space. The physical system behaves as an insulating spin liquid in this case. In contrast, when $`0<\gamma ^{}<1/2`$ the non-Fermi liquid is metallic and resembles a Luttinger liquid state.

## 2 - Renormalized hamiltonian and electron self-energy

Our starting point is a strongly interacting 2d electron gas in the presence of the flat FS shown schematically in fig. 1. In order to keep a closer contact with well-known works in one-dimensional physics , we split the FS in four patches. However, we expand the bare single-particle energy dispersion in the vicinity of the renormalized (i.e physical) FS. The parametrization of the corresponding interactions is shown schematically in fig.2. If we use this model to calculate physical quantities using a naive perturbation theory, we find divergent results for particular values of the external momenta . We circumvent this problem following the standard field theory procedure of introducing appropriate counterterms in the hamiltonian to render the physical parameters finite in all scattering channels . In this way, the original hamiltonian is rewritten in a more convenient form in terms of the low-energy parameters, which are in turn physically measurable. Thus, we have $`H=H_R+H_C`$, where

$`H_R={\displaystyle \underset{𝐩\sigma }{}}v_{FR}(|p_{}|k_{FR})\psi _{R\sigma }^{}(𝐩)\psi _{R\sigma }(𝐩)`$
$$+\underset{\mathrm{𝐩𝐪𝐤}\sigma }{}(U_{1R}+U_{2R}+U_{3R}+U_{4R})\psi _{R\sigma }^{}(𝐩+𝐪𝐤)\psi _{R,\sigma }^{}(𝐤)\psi _{R,\sigma }(𝐪)\psi _{R,\sigma }(𝐩)$$
(1)
and

$`H_C={\displaystyle \underset{𝐩\sigma }{}}[{\displaystyle \frac{Z(𝐩)}{2m_B}}(k_{FR}^2k_{FB}^2)+(Z(𝐩){\displaystyle \frac{m_R}{m_B}}1)v_{FR}(|p_{}|k_{FR})]\psi _{R\sigma }^{}(𝐩)\psi _{R\sigma }(𝐩)`$
$$+\underset{\mathrm{𝐩𝐪𝐤}\sigma \sigma ^{^{}}}{}(\mathrm{\Delta }U_{1R}^{\sigma \sigma ^{^{}}}+\mathrm{\Delta }U_{2R}^{\sigma \sigma ^{^{}}}+\mathrm{\Delta }U_{3R}^{\sigma \sigma ^{^{}}}+\mathrm{\Delta }U_{4R}^{\sigma \sigma ^{^{}}})\psi _{R\sigma }^{}(𝐩+𝐪𝐤)\psi _{R,\sigma ^{^{}}}^{}(𝐤)\psi _{R,\sigma ^{^{}}}(𝐪)\psi _{R,\sigma }(𝐩)$$
(2)
Here the subscripts “R” and “B” stand for renormalized and bare respectively. Besides, $`Z(𝐩)`$ is the charge renormalization function, which is well-defined only in the following regions of k-space depicted in fig.1: $`\lambda p_{}k_{FR}\lambda `$ and $`\mathrm{\Delta }p_{}\mathrm{\Delta }`$. Finally, the renormalized and bare fields are related to each other by $`\psi _B(𝐩)=Z^{1/2}(𝐩)\psi _R(𝐩)`$, whereas the renormalized and bare couplings are connected by $`_{i=1}^4Z^{1/2}(𝐩_i)U_{iB}=U_{iR}+\mathrm{\Delta }U_{iR}^{\sigma \sigma ^{^{}}}`$. Even if, initially, the couplings are taken to be constants, the renormalization process necessarily forces $`U_{iR}`$ to be momenta dependent all along $`FS`$. The counterterms, for this reason, form a continuum set in momenta space.

Since our model is renormalizable, the counterterms originate naturally from the initial form of the hamiltonian. Here we neglect umklapp processes to start with. Then, the only divergent terms that arise in perturbation theory come from the interaction processes described by the $`U_{1R}`$ and $`U_{2R}`$ couplings as one can most easily verify. In view of this, in a first order approximation, we can disregard the perturbative terms coming from the other two couplings, namely $`U_{3R}`$ and $`U_{4R}`$ and their corresponding counterterms. As a result, the two sets of parallel patches of FS decouple from each other, and there is no ambiguity in locating a particle either at a solid line or at a dashed line patch instead.

We begin by calculating first the electron self-energy in the vicinity of $`p_{}=k_{FR}`$. Using conventional Feynman rules, the diagrams shown in fig.3 produce

$`\mathrm{\Sigma }_R(p_{},p_{})={\displaystyle \frac{\lambda \stackrel{~}{U}_{1R}}{4\pi ^2}}(Z(𝐩)1)p_0+{\displaystyle \frac{Z(𝐩)}{2m_B}}(k_{FR}^2k_{FB}^2)`$
$`+(Z(𝐩){\displaystyle \frac{m_R}{m_B}}1)v_{FR}(p_{}k_{FR}){\displaystyle \frac{(3\mathrm{\Delta }^2p_{}^2)}{256\pi ^4\mathrm{\Delta }^2v_{FR}^2}}(\stackrel{~}{U}_{1R}^2+\stackrel{~}{U}_{2R}^2)(p_0v_{FR}(p_{}k_{FR}))`$
$`\times \left[\mathrm{ln}\left({\displaystyle \frac{\mathrm{\Omega }v_{FR}(p_{}k_{FR})p_0i\delta }{v_{FR}(p_{}k_{FR})p_0i\delta }}\right)+\mathrm{ln}\left({\displaystyle \frac{\mathrm{\Omega }v_{FR}(p_{}k_{FR})+p_0i\delta }{v_{FR}(p_{}k_{FR})+p_0i\delta }}\right)\right]`$ (3)
where $`\stackrel{~}{U}_{iR}(p_{})=𝑑k_{}U_{iR}(p_{},k_{})`$. The parameter $`\lambda `$ is the ultraviolet momentum cutoff with the corresponding energy cutoff given by $`\mathrm{\Omega }=2v_{FR}\lambda `$, and $`2\mathrm{\Delta }`$ is the length of each path along $`FS`$. In general, the renormalized coupling functions depend on three distinct momenta components parallel to the Fermi surface. However, in calculating the Hartree diagram, shown in fig.3(a), the vertex depend only on two different momenta and we naturally arrive at the definition of $`\stackrel{~}{U}_{iR}`$. In contrast, in the sunset diagrams of figs.3(b) and 3(c), the renormalized vertices depend explicitly on three different momenta components along $`FS`$. In whatever way, in two-loop order, the tadpole diagram is in fact the only contribution from the self-energy which produce the renormalization of the Fermi surface. As a result, for simplicity, in a zeroth order approximation, we take $`\stackrel{~}{U}_{iR}\left(p_{}\right)=(2\mathrm{\Delta })U_{iR}`$, neglect the momenta dependence of the vertices and rewrite the renormalized coupling in terms of the corresponding $`\stackrel{~}{U}_{iR}`$’s. For comparison, we show in Appendix 1, how the diagrams $`\mathrm{\Sigma }_R^{(3b)}`$and $`\mathrm{\Sigma }_R^{(3c)}`$ are modified if the full momenta dependence of the renormalized coupling functions are taken into account at all steps.

In principle, since this a nonrelativistic system, there should be two scaling parameters in the problem: one for the energy ($`\omega `$) and another one for the momentum ($`\mathrm{\Lambda }`$. By making an appropriate choice of the renormalization prescription, these two parameters do not mix with each other. Here we choose to work with the energy scale $`\omega `$ only. In doing this we implicitly assume that $`\mathrm{\Lambda }0`$ much faster than $`\omega 0`$. Defining the renormalized one-particle irreducible function $`\mathrm{\Gamma }_R^{(2)}(p_{},p_{},p_0;\omega )`$, which is nothing but the inverse of the full single-particle Green’s function, such that $`Re\mathrm{\Gamma }_R^{(2)}(p_{}=k_{FR},p_{},p_0=\omega ;\omega 0)=\omega `$, we find that

$$Z(p_{}=k_{FR},p_{};\omega 0)=1\frac{(3\mathrm{\Delta }^2p_{}^2)}{128\pi ^4\mathrm{\Delta }^2v_{FR}^2}(\stackrel{~}{U}_{1R}^2+\stackrel{~}{U}_{2R}^2)\mathrm{ln}(\frac{\mathrm{\Omega }}{\omega })+\mathrm{},$$
(4)
and

$$\mu _B=\frac{k_{FB}^2}{2m_B}=Z^1(p_{}=k_{FR},p_{};\omega 0)\left(\mu _R+\frac{\lambda \stackrel{~}{U}_{1R}}{4\pi ^2}\right)+\mathrm{},$$
(5)
where we assumed, for simplicity, that the bare and renormalized masses differ only by a multiplicative factor, namely the charge renormalization function, i.e., $`m_B=Z(p_{}=k_{FR},p_{};\omega 0)m_R`$.

## 3 - Curvature and truncation in the renormalized $`FS`$

Using perturbation theory, we calculate next the one-particle irreducible functions $`\mathrm{\Gamma }_{_{iR}}^{\left(4\right)}(p,k,q;\omega )`$, which are essentially the renormalized two-particle interaction. Since our main intention in this work is to analyze the nature of the resulting renormalized $`FS`$, we restrict ourselves to scattering processes with two independent external momenta only. Employing appropriate renormalization group prescriptions such as

$$\mathrm{\Gamma }_{1R}^{\left(4\right)}(p_{},k_{},p_0+k_0=\omega ,k_0p_0=\omega ;\omega 0)=iU_{1R}(p_{},k_{};\omega ),$$
(6)
$$\mathrm{\Gamma }_{2R}^{\left(4\right)}(p_{},k_{},p_0+k_0=\omega ;\omega 0)=iU_{2R}(p_{},k_{};\omega ),$$
(7)
and

$$\mathrm{\Gamma }_{2R\left(\right)}^{\left(4\right)}(p_{},k_{},p_0+k_0=\omega ;\omega 0)=0,$$
(8)
for $`p_{}=k_{}=k_{FR}`$, together with the perturbative expansions for the one-particle irreducible functions, we can relate the corresponding renormalized and bare coupling functions to each other. Following the same approximating scheme as before, with respect the dependence on the momentum component parallel to $`FS`$ in the vertices of the various Feynman diagrams, and taking into account the RG conditions $`\omega \stackrel{~}{U}_{iB}/\omega =0`$, we find the resulting RG equations

$$\beta _{\stackrel{~}{U}_{1R}}=\frac{1}{v_{FR}}\omega \frac{\stackrel{~}{U}_{1R}}{\omega }=\frac{\left(3\mathrm{\Delta }^2p_{}^2\right)}{16\pi ^2v_{FR}^2\mathrm{\Delta }^2}\stackrel{~}{U}_{2R}^2+\frac{\left(17\mathrm{\Delta }^23p_{}^2\right)}{384\pi ^4v_{FR}^3\mathrm{\Delta }^2}\stackrel{~}{U}_{1R}\left(\stackrel{~}{U}_{1R}^2+\stackrel{~}{U}_{2R}^2\right)+\mathrm{},$$
(9)
$$\beta _{\stackrel{~}{U}_{2R}}=\frac{1}{v_{FR}}\omega \frac{\stackrel{~}{U}_{2R}}{\omega }=\frac{\left(3\mathrm{\Delta }^2p_{}^2\right)}{8\pi ^2v_{FR}^2\mathrm{\Delta }^2}\stackrel{~}{U}_{2R}\stackrel{~}{U}_{1R}+\frac{\left(17\mathrm{\Delta }^23p_{}^2\right)}{384\pi ^4v_{FR}^3\mathrm{\Delta }^2}\stackrel{~}{U}_{2R}\left(\stackrel{~}{U}_{1R}^2+\stackrel{~}{U}_{2R}^2\right)+\mathrm{}.$$
(10)
For comparison, we show in Appendix 2 how the RG equations for the corresponding renormalized coupling functions look like if we take into account the full momenta dependence at all stages. Finally, using eq.(5), and following a similar procedure with the renormalized Fermi energy $`\mu _R(p_{},\omega )`$, we get the last RG equation of our interest

$$\beta _{\mu _R}=\frac{1}{\mathrm{\Omega }}\omega \frac{\mu _R}{\omega }=\frac{\left(3\mathrm{\Delta }^2p_{}^2\right)}{128\pi ^4v_{FR}^2\mathrm{\Delta }^2\mathrm{\Omega }}\left(\stackrel{~}{U}_{1R}^2+\stackrel{~}{U}_{2R}^2\right)\left(\mu _R+\frac{\mathrm{\Omega }\stackrel{~}{U}_{1R}}{8\pi ^2v_{FR}}\right)\frac{1}{8\pi ^2}\omega \frac{}{\omega }\left(\frac{\stackrel{~}{U}_{1R}}{v_{FR}}\right)+\mathrm{}.$$
(11)
To determine the fixed points of the model, we calculate next the zeros of these RG equations for both renormalized couplings, and the renormalized Fermi energy. It then turns out that, aside from the usual infrared unstable Fermi liquid fixed point, and yet another nontrivial unstable fixed point, we get two infrared stable nontrivial fixed points which are, as we shall see, associated with non-Fermi liquid phases. For conciseness, we will only present the final expression for these IR stable fixed points

$$\stackrel{~}{U}_{1R}^{}=16\pi ^2v_{FR}^{}\left(\frac{3\mathrm{\Delta }^2p_{}^2}{17\mathrm{\Delta }^23p_{}^2}\right)$$
(12)
$$\stackrel{~}{U}_{2R}^{}=\pm \sqrt{2}\stackrel{~}{U}_{1R}^{}$$
(13)
$$k_{FR}^{}=8\lambda \left(\frac{3\mathrm{\Delta }^2p_{}^2}{17\mathrm{\Delta }^23p_{}^2}\right)$$
(14)
We observe that they depend upon $`p_{}`$ in a essential way. In view of that, the Fermi surface of the system also acquires a $`p_{}`$-structure and deviates slightly from its initial flat form. This FS deformation comes out naturally from the renormalization process. This feature of the fixed points appears only in calculations up to two-loop order or beyond. In fig.4, we show schematically the scaling trajectories in the ($`\stackrel{~}{U}_{1R},\stackrel{~}{U}_{2R}`$) plane.

The nature of the electron liquid associated with the nontrivial fixed points can be inferred by the flow of the charge renormalization function $`Z(p_{},\omega )`$. Since $`\gamma =(\omega /Z)(Z/\omega )`$, in the vicinity of the fixed point, we have that $`Z(p_{},\omega )`$ scales as $`(\omega /\mathrm{\Omega })^{\gamma ^{}(p_{})}`$ with the anomalous dimension being simply $`\gamma `$ evaluated at those fixed point values. Note that it is always positive definite along FS. Calculating $`\gamma ^{}(p_{})`$ explicitly, we find that, indeed, the charge renormalization function vanishes most rapidly at the center of the FS patch (fig.5). This anisotropic suppression of $`Z(p_{},\omega )`$ was also emphasized by Kishine and Yonemitsu within a Wilsonian RG approach .

Another particularly interesting feature is that, although the FS is IR stable within given boundaries, there is no guarantee that the physical FS is well-defined throughout the original patch. The nature of the resulting fermionic system can be determined by the behavior of the corresponding momentum distribution function $`n(𝐩)`$. If $`n(𝐩)`$ has an infinite slope at the renormalized FS, the state is metallic and resembles a Luttinger liquid. If it turns out otherwise that $`n(𝐩)`$ is perfectly smooth at $`k_{FR}`$, the renormalized FS is truncated, and there appears a charge pseudogap at those points. This gapped state depicts an insulating spin liquid instead. To make the argument more quantitative, we use the momentum distribution function calculated for a similar FS in ref. . In that work, it was shown explicitly that, for $`1/2<\gamma ^{}(p_{})<1`$, the FS must be truncated at the corresponding $`p_{}`$ values. Here this condition is fulfilled for $`|(p_{}/\mathrm{\Delta })|0.41`$. After the elimination of the corresponding Fermi surface segments, the remains of the interacting FS are shown in fig.6. This truncation scenario will be discussed in great length elsewhere .

## 4 - Conclusion

In summary, we showed explicitly by a two-loop RG calculation that, even if the initial FS is entirely flat in two spatial dimensions, the true interacting Fermi surface becomes slightly curved as a result of interactions. Using field theoretical methods, we explored the existence of infrared stable nontrivial fixed points, which are associated with the non-Fermi liquid behavior in the low-energy sector. We showed that the fixed points vary continuously with the momentum $`p_{}`$ along the Fermi surface. In addition, we argued that the criterion $`Z(\omega )0`$ as $`\omega 0`$ does not suffice in determining the nature of the resulting non-Fermi liquid state. We called attention to a possible route of physical characterization of those states in terms of the momentum distribution function. For the $`p_{}`$ values, in which the anomalous dimension $`\gamma (p_{})`$ is such that $`1/2\gamma ^{}(p_{})1`$, the renormalized FS suffers a truncation. This takes place, in our case, at the central region of the original FS patches.

Not long ago, a new ARPES data for the high-temperature superconductors $`Bi_2Sr_{2x}La_xCuO_{6\delta }`$ was reported showing some indication of spin-charge separation and “Luttinger” liquid like behavior in the normal state of that compound . That data was, most recently, fitted consistently by a “Luttinger” liquid-like phenomenology . Those workers found that, contrary to what happens in one dimension, the anomalous exponents vary strongly with momentum along the Fermi surface. This is in agreement with the findings of our work. We also note that, in the cuprates, there exists a pseudogap phase with a truncated FS around special k-values in momentum space. In view of that, it is therefore natural to ascribe to those gapped systems an insulating spin liquid nature instead . Again, it is suggestive to associate that result to our work. It is therefore important to explore this scenario further. In a even more general experimental framework, one could also try to apply pressure in a interacting metallic state to move the Fermi surface towards its critical condition inducing, in this way, a new kind of quantum phase transition . This would, certainly, open more possibilities to test the limits of our results.

*Acknowledgements* \- This work was partially supported by the Financiadora de Estudos e Projetos (FINEP) and by the Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) - Brazil.

## Appendix 1

Using conventional Feynman rules, the contributions of the diagrams from figs.3(b) and 3(c) for the self-energy and the non-interacting single-particle Green’s functions associated with our model hamiltonian are

$`\mathrm{\Sigma }_R^{\left(3b\right)}\left(p_{},p_{}=k_{FR}\right)={\displaystyle \frac{1}{64\pi ^4}}{\displaystyle _{D_3}}𝑑k_{}𝑑q_{}\left({\displaystyle \frac{1}{v_{FR}^2}}\right)U_{1R}(k_{},k_{}+p_{}+q_{},q_{})`$
$`\times U_{1R}(p_{},q_{},k_{}+p_{}+q_{})\left(p_0v_{FR}(p_{}k_{FR})\right)`$
$$\times \left[\mathrm{ln}\left(\frac{\mathrm{\Omega }v_{FR}(p_{}k_{FR})p_0i\delta }{v_{FR}(p_{}k_{FR})p_0i\delta }\right)+\mathrm{ln}\left(\frac{\mathrm{\Omega }v_{FR}(p_{}k_{FR})+p_0i\delta }{v_{FR}(p_{}k_{FR})+p_0i\delta }\right)\right]$$
(15)
and

$`\mathrm{\Sigma }_R^{\left(3c\right)}\left(p_{},p_{}=k_{FR}\right)={\displaystyle \frac{1}{64\pi ^4}}{\displaystyle _{D_3}}𝑑k_{}𝑑q_{}\left({\displaystyle \frac{1}{v_{FR}^2}}\right)U_{2R}(k_{}+p_{}+q_{},k_{},q_{})`$
$`\times U_{2R}(p_{},q_{},k_{})\left(p_0v_{FR}(p_{}k_{FR})\right)`$
$`\times \left[\mathrm{ln}\left({\displaystyle \frac{\mathrm{\Omega }v_{FR}(p_{}k_{FR})p_0i\delta }{v_{FR}(p_{}k_{FR})p_0i\delta }}\right)+\mathrm{ln}\left({\displaystyle \frac{\mathrm{\Omega }v_{FR}(p_{}k_{FR})+p_0i\delta }{v_{FR}(p_{}k_{FR})+p_0i\delta }}\right)\right]`$ (16)
where the domain of integration $`D_3`$ is $`\mathrm{\Delta }k_{}\mathrm{\Delta }`$, $`\mathrm{\Delta }q_{}\mathrm{\Delta }`$, and $`\mathrm{\Delta }k_{}+p_{}+q_{}\mathrm{\Delta }`$. If, for simplicity, the coupling functions and the Fermi velocity are considered to be independent of the momenta components parallel to $`FS`$, our results follow immediately.

## Appendix 2

Using perturbation theory together with our renormalization group prescriptions, and taking full account of the coupling functions dependence on the momenta components parallel to $`FS`$ the RG equations for $`U_{1R}`$ and $`U_{2R}`$, for general scattering processes, become

$`\omega {\displaystyle \frac{U_{1R}(p_1,p_2,p_3)}{\omega }}={\displaystyle \frac{1}{4\pi ^2}}\{{\displaystyle _{D_1}}dk_{}\left({\displaystyle \frac{1}{v_{FR}}}\right)[U_{1R}(p_1,p_2,k_{})U_{1R}(p_1+p_2k_{},k_{},p_3)`$
$`+U_{2R}(p_1,p_2,k_{})U_{2R}(p_1+p_2k_{},k_{},p_3)]{\displaystyle }_{D_2}dk_{}({\displaystyle \frac{1}{v_{FR}}}\left)\right[U_{1R}(p_1,p_3p_1+k_{},p_3)`$
$`\times U_{1R}(k_{},p_2,p_3p_1+k_{})]\}+{\displaystyle \frac{1}{64\pi ^4}}U_{1R}(p_1,p_2,p_3)`$
$`\times {\displaystyle \underset{i=1}{\overset{4}{}}}\delta _{p_1+p_2,p_3+p_4}{\displaystyle _{D_3}}dk_{}dq_{}\left({\displaystyle \frac{1}{v_{FR}^2}}\right)[U_{1R}(p_i,q_{},k_{}+p_i+q_{})`$
$`\times U_{1R}(k_{},k_{}+p_i+q_{},q_{})+U_{2R}(p_i,q_{},k_{})U_{2R}(k_{}+p_i+q_{},k_{},q_{})]`$ (17)
and

$`\omega {\displaystyle \frac{U_{2R}(p_1,p_2,p_3)}{\omega }}={\displaystyle \frac{1}{4\pi ^2}}\{{\displaystyle _{D_1}}dk_{}\left({\displaystyle \frac{1}{v_{FR}}}\right)[U_{1R}(p_1,p_2,k_{})U_{2R}(p_1+p_2k_{},k_{},p_3)`$
$`+U_{1R}(p_1+p_2k_{},k_{},p_3)U_{2R}(p_1,p_2,k_{})]\}+{\displaystyle \frac{1}{64\pi ^4}}U_{2R}(p_1,p_2,p_3)`$
$`\times {\displaystyle \underset{i=1}{\overset{4}{}}}\delta _{p_1+p_2,p_3+p_4}{\displaystyle _{D_3}}dk_{}dq_{}\left({\displaystyle \frac{1}{v_{FR}^2}}\right)[U_{1R}(p_i,q_{},k_{}+p_i+q_{})`$
$`\times U_{1R}(k_{},k_{}+p_i+q_{},q_{})+U_{2R}(p_i,q_{},k_{})U_{2R}(k_{}+p_i+q_{},k_{},q_{})]`$ (18)
where the domains $`D_1`$, $`D_2`$ and $`D_3`$ are given by

$$D_1=\{\begin{array}{cc}\mathrm{\Delta }k_{}\mathrm{\Delta }\hfill & \\ \mathrm{\Delta }p_1+p_2k_{}\mathrm{\Delta }\hfill & \end{array}$$

$$D_2=\{\begin{array}{cc}\mathrm{\Delta }k_{}\mathrm{\Delta }\hfill & \\ \mathrm{\Delta }p_3p_1+k_{}\mathrm{\Delta }\hfill & \end{array}$$

$$D_3=\{\begin{array}{cc}\mathrm{\Delta }k_{}\mathrm{\Delta }\hfill & \\ \mathrm{\Delta }q_{}\mathrm{\Delta }\hfill & \\ \mathrm{\Delta }p_i+q_{}k_{}\mathrm{\Delta }\hfill & \end{array}$$

Once again if, for simplicity, we neglect the the dependence of the coupling functions with respect the components of the momenta along $`FS`$, consider scattering processes associated with only two independent external momenta and integrate over one of them, our simplified RG equations for the $`\stackrel{~}{U}_{iR}`$’s are readily reproduced.


text:
# Prospects for Higgs Search at DØ

## 1 Introduction

A major goal of experimental high-energy physics in the next decade is to characterize the Higgs sector of the Standard Model. The minimal version of the Standard Model requires a single scalar particle, though many extensions predict additional particles. Fits to the global set of electroweak data provide an indirect upper limit on the mass of a scalar Higgs boson of $`m_H<195\text{GeV}/c^2`$, with a preference for low masses, with the minimum at $`m_H=81\text{GeV}/c^2`$ . Direct searches at LEP have ruled out a scalar Higgs boson $`m_H<114.4\text{GeV}/c^2`$. These results provide a strong motivation to search for Higgs bosons at the Tevatron. This article summarizes the state of the Higgs searches at DØ as of summer 2002.

## 2 The Run II DØ Detector

Both the Tevatron collider and the collider experiments have been significantly upgraded since the last run. The Tevatron was augmented with a new injector, the collision energy was raised from $`1.8`$ to $`1.96\text{TeV}`$, and the bunch spacing decreased from $`3.6\mu \text{s}`$ to $`396\text{ns}`$. The goal for the current collider run is to accumulate $`10`$$`15\text{fb}^1`$ per experiment. By the end of 2002, the peak collider luminosity was over $`3\times 10^{31}\text{cm}^2\text{s}^1`$, beating the record from Run I. As of that date, DØ had recorded about $`50\text{pb}^1`$ of data, at a peak rate of about $`1\text{pb}^1`$ per day. These rates are expected to increase with further collider improvements.

Since Run I, the central tracker of the DØ experiment has been completely replaced. It now consists of a silicon vertex detector with four superlayers surrounded by a 16-layer scintillating fiber tracker, using $`835\mu \text{m}`$ diameter fibers, the whole immersed in a 2T solenoidal magnetic field. Preshower detectors have also been added in front of the calorimeters. The calorimeters themselves are the same as Run I, except that some of the electronics has been replaced to handle the reduced bunch spacing. The muon system has also been significantly upgraded to improve coverage and to allow better triggering in high luminosity environments. The trigger and data acquisition systems were also replaced. As of the end of 2002, all detector components were operating well, except some trigger systems which remain be commissioned.

## 3 Higgs Production at the Tevatron

A comprehensive study of the potential for discovering Higgs at the Tevatron was carried out by the Higgs Working Group (HWG)  based on a parameterized detector simulation that assumed averaged properties of the two detectors. Unlike at the LHC, here there is no single channel in which a significant result can be expected. Rather, we must combine results from all decay modes, and also combine the data from the two experiments. A $`5\sigma `$ discovery for $`m_H=120\text{GeV}/c^2`$ would then be expected to require about $`15\text{fb}^1`$ of data.

The $`ggH`$ mode has the largest cross section (about $`1\text{pb}`$ for $`m_H=120\text{GeV}/c^2`$). However, for a light Higgs $`m_H<140\text{GeV}/c^2`$, the dominant decay mode is $`Hb\overline{b}`$, rendering this mode hopeless against the large backgrounds of $`b\overline{b}`$ production from other sources. In this mass range, one must look for Higgs bosons produced in association with a $`W`$ or $`Z`$ boson, the latter then decaying leptonically (reducing the available cross section by about a factor of 30). For higher mass Higgs bosons, the process $`ggHWW`$ may be feasible. Modes involving Higgs bosons produced with a heavy quark pair ($`b\overline{b}`$ or $`t\overline{t}`$) have spectacular final states, but very small cross sections ($`<10\text{fb}`$). However, some extensions to the Standard Model predict enhancements to the $`Hb\overline{b}`$ and $`H\gamma \gamma `$ modes.

## 4 DØ Status

The DØ experiment has repeated the analyses of the HWG, using the full DØ detector simulation. The conclusions are roughly the same. Work is in progress on applying more sophisticated analysis techniques, such as neural networks, to the problem.

For the $`Hb\overline{b}`$ channels, identifying $`b`$ jets is crucial, both by using displaced vertices and by looking for soft leptons from $`b`$-quark decay. Monte Carlo (MC) simulations show that displaced vertex tagging can have efficiencies as high as $`60\%`$ for high-transverse energy ($`E_T`$) jets, with a fake rate from light quarks on the order of a few percent. The tagging performance depends on the track impact parameter resolution, which has been measured in current data to be $`20\mu \text{m}`$, already close to MC expectations. The work of determining the alignment of the tracking components is still in progress, so this will improve.

For the $`W(e\nu /\mu \nu )H(b\overline{b})`$ channels, one looks for a final state containing exactly one high-$`p_T`$ lepton, large missing $`E_T`$ ($`E\text{/}_T`$), and two $`b`$ jets. The major physics background to these channels is $`Wb\overline{b}`$; other significant backgrounds include $`t\overline{t}`$ and $`WZ`$. An example of the results for the channel is shown in figure 1. Here, we require $`E_T(e)>20\text{GeV}`$, $`E\text{/}_T>20\text{GeV}`$, two tagged $`b`$-jets with $`E_T>15\text{GeV}`$, and for the third jet (if any), $`E_T(j_3)<25\text{GeV}`$. This last requirement rejects $`t\overline{t}`$ background. The resulting $`S/\sqrt{B}`$ of 0.20 for the electron channel is comparable to the expectations from the HWG, but should be improved significantly with the use of more sophisticated, multivariate analysis methods.

For $`Z(ee/\mu \mu )H(b\overline{b})`$, one requires two oppositely charged isolated leptons with a mass consistent with a $`Z`$ boson and two $`b`$ jets. A significance comparable to the $`WH`$ channels is achievable though the overall event rate is lower. The $`\nu \overline{\nu }b\overline{b}`$ channel is also powerful since the branching fraction of a $`Z`$ boson to neutrinos is three times larger than that for any single lepton flavor. For this channel, one requires the $`b`$ jets plus large $`E\text{/}_T`$.

The $`HWW^{}\mathrm{}\mathrm{}\nu \nu `$ channels are important for higher mass Higgses, $`m_H>130\text{GeV}/c^2`$, where the decay $`HWW`$ is significant. Important backgrounds include $`WW`$, $`t\overline{t}`$, $`W/Z`$+jets, and QCD. In our preliminary analysis, we require two electrons with $`E_T>20\text{GeV}`$, $`m(ee)<78\text{GeV}/c^2`$, $`E\text{/}_T>20\text{GeV}`$, and no jets with $`E_T>20\text{GeV}`$. In addition, since the $`W`$ boson pair comes from the decay of a spin-0 particle, spin correlation variables are useful, like the azimuthal angle between the leptons ($`\mathrm{\Delta }\varphi (\mathrm{}\mathrm{})`$) (see figure 2).

## 5 Summary

The DØ experiment is recording physics quality data. Both the detector and the accelerator performance are continually improving. We are studying issues such as the $`b\overline{b}`$ mass resolution, $`b`$-jet tagging efficiency, missing $`E_T`$ resolution, and backgrounds to Higgs processes. We look forwards to seeing exciting results!


text:
# Value Distribution and Potential TheorySupported by NSF grant DMS 0100512 and by the Humboldt Foundation.

## 1. Introduction

Classical value distribution theory studies the following question: Let $`f`$ be a meromorphic function in the plane. What can one say about solutions of the equation $`f(z)=a`$ as $`a`$ varies? The subject was originated in 1880-s with two theorems of Picard (Theorems 1 and 4 below). An important contribution was made by E. Borel in 1897, who gave an “elementary proof” of Theorem 1, which opened a way to many generalizations. Borel’s result (Theorem 12 below) also gives an extension of Picard’s theorem to holomorphic curves $`𝐂𝐏^n`$. In 1925, R. Nevanlinna (partially in cooperation with F. Nevanlinna) created what is called now the Nevanlinna Theory of meromorphic functions, which was subject of intensive research . A good elementary introduction to the subject is . Griffiths and King  extended Nevanlinna theory to non-degenerate holomorphic maps $`f:𝐂^nY`$, where $`Y`$ is a compact complex manifold of dimension $`n`$. In modern times the emphasis has shifted to two multi-dimensional generalizations: holomorphic curves in complex manifolds and quasiregular mappings between real Riemannian manifolds. This survey is restricted to a rather narrow topic: generalizations of Picard’s theorem that are obtained with potential-theoretic methods. Some other applications of potential theory to value distribution can be found in . Recent accounts of other methods in the theory of holomorphic curves are .

We begin with Picard’s Little Theorem:

###### Theorem 1

Every entire function which omits two values in $`𝐂`$ is constant.

To prove this by contradiction, we suppose that $`f`$ is a non-constant entire function which omits $`0`$ and $`1`$. Then $`u_0=\mathrm{log}|f|`$ and $`u_1=\mathrm{log}|f1|`$ are non-constant harmonic functions in the plane satisfying

$$|u_0^+u_1^+|c,u_0u_1c,$$
(1.1)
where $``$ stands for the pointwise $`sup`$, $`u^+=u0`$, and $`c`$ is a constant. There are several ways to obtain a contradiction from (1.1). They are based on rescaling arguments that permit to remove the $`c`$ terms in (1.1). To be specific, one can find sequences $`z_k𝐂,r_k>0`$ and $`A_k+\mathrm{}`$ such that $`A_k^1u_j(z_k+r_kz)v_j(z),k\mathrm{},|z|<1,j=0,1,`$ where $`v_j`$ are harmonic functions satisfying

$$v_0^+=v_1^+,v_0v_10,v_j(0)=0,$$
(1.2)
and $`v_j0`$. This gives a contradiction with the uniqueness theorem for harmonic functions. The idea to base a proof of Picard’s theorem on (1.2) comes from the paper  (the main result of this paper is described in Section 3 below). Two versions of the rescaling argument (existence of appropriate $`z_k,r_k`$ and $`A_k`$) are given in  and , respectively. The second version has an advantage that it uses only one result from potential theory, Harnack’s inequality. Thus Picard’s theorem can be derived from two facts: Harnack’s inequality and the uniqueness theorem for harmonic functions. This makes the argument suitable for generalizations.

## 2. Quasiregular maps of Riemannian manifolds

We recall that a non-constant continuous map $`f`$ between regions in $`𝐑^n`$ is called $`K`$-quasiregular if it belongs to the Sobolev class $`W_{\mathrm{loc}}^{1,n}`$ (first generalized derivatives are locally $`L^n`$-summable), and in addition

$$f^{}^nKJ_f\text{almost everywhere},$$
(2.1)
where $`J`$ is the Jacobian determinant and $`K1`$ is a constant. The standard references are . If $`n=2`$, every quasiregular map can be factored as $`g\varphi `$, where $`g`$ is analytic and $`\varphi `$ a quasiconformal homeomorphism. It follows that Picard’s Theorems 1 and 4 (below) extend without any changes to quasiregular maps of surfaces. For the rest of this section we assume that $`n3`$, and that all manifolds are connected. The weak smoothness assumption $`fW_{\mathrm{loc}}^{1,n}`$ is important: if we require more smoothness, the maps satisfying (2.1) will be local homeomorphisms (and even global homeomorphisms if the domain is $`𝐑^n`$). A fundamental theorem of Reshetnyak says that all quasiregular maps are open and discrete, that is they have topological properties similar to those of analytic functions of one complex variable. Several other results about analytic functions have non-trivial extension to quasiregular mappings. One of the striking results in this area is Rickman’s generalization of Picard’s theorem :

###### Theorem 2

A $`K`$-quasiregular map $`𝐑^n𝐑^n`$ can omit only a finite set of points whose cardinality has an upper bound in terms on $`n`$ and $`K`$.

Even more surprising is that when $`n=3`$, the number of omitted values can indeed be arbitrarily large, as Rickman’s example in  shows.

It turns out that the method of proving Picard’s theorem outlined in Section 1, extends to the case of quasiregular maps. One has to use a non-linear version of potential theory in $`𝐑^n`$ which is related to quasiregular maps in the same way as logarithmic potential theory to analytic functions. This relation between quasiregular maps and potential theory was discovered by Reshetnyak. He singled out a class of functions (which are called now $`A`$-harmonic functions), that share many basic properties (such as the maximum principle and Harnack’s inequality) with ordinary harmonic functions, and such that $`uf`$ is $`A`$-harmonic whenever $`u`$ is $`A`$-harmonic and $`f`$ quasiregular. In particular, $`\mathrm{log}|xa|`$ is $`A`$-harmonic on $`𝐑^n\backslash \{a\}`$, so if $`f`$ omits the value $`a`$, then $`\mathrm{log}|fa|`$ satisfies Harnack’s inequality (with constants depending on $`K`$ and $`n`$). If $`m`$ values are omitted by $`f`$ we can obtain relations, similar to (1.2),

$$v_1^+=\mathrm{}=v_m^+,v_iv_j0,v_j(0)=0,$$
(2.2)
for certain $`A`$-harmonic functions $`v_j0,j=1,\mathrm{},m.`$ Rickman’s example mentioned above shows that such relations (2.2) are indeed possible with any given $`m>1`$, which is consistent with the known fact that $`A`$-harmonic functions do not have the uniqueness property. However, an upper bound for $`m`$ can be deduced from (2.2) using Harnack’s inequality. This gives a pure potential-theoretic proof of Rickman’s theorem . Notice that this proof does not depend on the deep result that quasiregular maps are open and discrete. Lewis’s paper  which uses nothing but Harnack’s inequality opened a path for further generalizations of Rickman’s theorem. The strongest result in this direction was obtained by Holopainen and Rickman . For simplicity, we state it only in the special case of quasiregular maps whose domain is $`𝐑^n`$.

###### Theorem 3

Let $`Y`$ be an orientable Riemannian manifold of dimension $`n`$. If there exists a $`K`$-quasiregular map $`𝐑^nY`$, then the number of ends of $`Y`$ has an upper bound that depends only on $`K`$ and $`n`$.

A more general result, with $`𝐑^n`$ replaced by a Riemannian manifold subject to certain conditions, is contained in .

Notice that there are no restrictions on $`Y`$ in this theorem. Conditions of Theorem 3 will be satisfied if $`Y`$ is a compact manifold with finitely many points removed, so a $`K`$-quasiregular map from $`𝐑^n`$ to a compact $`n`$-dimensional manifold can omit at most $`N(K,n)`$ points.

Now we turn to the second theorem of Picard mentioned in the Introduction:

###### Theorem 4

If there exists a non-constant holomorphic map $`f:𝐂S`$ from the complex plane to a compact Riemann surface $`S`$, then the genus of $`S`$ is at most $`1`$.

First extensions of this result to quasiregular maps in dimension $`n>2`$ were obtained by Gromov in 1981 \[6, Ch. 6\] who proved that the fundamental group of a compact manifold of dimension $`n`$ which receives a quasiregular map from $`𝐑^n`$ cannot be too large. Gromov applied a geometric method, based on isoperimetric inequalities, which goes back to Ahlfors’s approach in dimension $`2`$. The strongest result in this direction is the following theorem from : If a compact manifold $`Y`$ of dimension $`n2`$ receives a quasiregular map from $`𝐑^n`$, then the fundamental group of $`Y`$ is virtually nilpotent and has polynomial growth of degree at most $`n`$.

We notice that unlike this last result, Theorem 3 has nothing to do with the fundamental group of $`Y`$: removing a finite set from a compact manifold does not change its fundamental group. Recently, Bonk and Heinonen  applied potential-theoretic arguments, somewhat similar to those outlined above, to obtain new topological obstructions to the existence of quasiregular maps:

###### Theorem 5

If $`Y`$ is a compact manifold of dimension $`n`$ which receives a $`K`$-quasiregular map from $`𝐑^n`$, then the dimension of the de Rham cohomology ring of $`Y`$ is bounded by a constant that depends only on $`n`$ and $`K`$.

This result implies that for every $`K>1`$ there exist simply connected compact manifolds $`Y`$ such that there are no $`K`$-quasiregular maps $`𝐑^nY`$. The question whether there exists a compact simply connected manifold $`Y`$ such that there are no quasiregular maps $`𝐑^nY`$ (with any $`K`$) remains open.

For a compact manifold $`Y`$, the natural objects to pull back via $`f`$ are differential forms rather then functions. According to the “non-linear Hodge theory” , each cohomology class of $`Y`$ can be represented by a $`p`$-harmonic form, which satisfies a non-linear elliptic PDE. Such forms and their pullbacks to $`𝐑^n`$ play a similar role to the $`A`$-harmonic functions above.

It is natural to conjecture that the theorem of Bonk–Heinonen remains valid if the requirement that $`Y`$ is compact is dropped. Such a generalization would also imply Theorem 3.

## 3. Holomorphic curves in projective varieties

Here we return to the classical logarithmic potential theory, which allows more precise quantitative estimates.

Points in the complex projective space $`𝐏^n`$ are represented by their homogeneous coordinates $`z=(z_0:\mathrm{}:z_n)`$. Let $`Y𝐏^n`$ be an arbitrary projective variety. We consider divisors $`D`$ on $`Y`$ which are the zero sets of homogeneous forms $`P(z_0,\mathrm{},z_n)`$ restricted to $`Y`$. The degree of $`D`$ is defined as the homogeneous degree of $`P`$. Suppose that $`q`$ of such divisors $`D_j`$ of degrees $`d_j`$ are given, and they satisfy the condition that for some integer $`m<q1`$ every $`m+1`$ of these divisors on $`Y`$ have empty intersection. We are going to study the distribution of preimages of divisors $`D_j`$ under a holomorphic map $`f:𝐂Y`$ whose image is not contained in $`D_j`$. To such a map correspond $`n+1`$ entire functions without common zeros: $`f=(f_0,\mathrm{},f_n)`$. Thus we are interested in the distribution of zeros of entire functions $`P_jf=P_j(f_0,\mathrm{},f_n)`$.

We introduce the subharmonic functions

$$u=f=\sqrt{|f_0|^2+\mathrm{}+|f_n|^2}\text{and}u_j=\mathrm{log}|P_jf|/d_j.$$

The assumption on intersections of $`D_j`$ easily implies that

$$|\underset{jI}{}u_ju|c\text{for every}I\{1,\mathrm{},q\},\text{such that}\mathrm{card}I=m+1.$$
(3.1)
This relation is a generalization of (1.1). The rescaling procedure mentioned in Section 1 permits to remove the constant $`c`$ in (3.1) and obtain subharmonic functions $`v_1,\mathrm{},v_q`$ and $`v`$ in a disc which satisfy

$$\underset{jI}{}v_j=v,I\{1,\mathrm{},q\},\mathrm{card}I=m+1,$$
(3.2)
and such that $`v`$ is not harmonic.

If $`f`$ omits $`q=2m+1`$ divisors in $`Y`$, then all $`v_j`$ in (3.2) will be harmonic (while $`v`$ is not!) and it is easy to obtain a contradiction. Indeed, let $`E_j=\{z:v_j(z)=v(z)\}`$. Then (3.2) with $`q=2m+1`$ implies that for some $`I`$ of cardinality $`m+1`$, the intersection $`_{jI}E_j`$ has positive area. It follows by the uniqueness theorem that all $`v_j`$ for $`jI`$ are equal. Applying (3.2) with this $`I`$ we obtain that $`v=v_j`$ for $`jI`$, so $`v`$ is harmonic, which gives a contradiction. Thus we obtain the following generalization of Picard’s theorem proved by V. Babets in 1983 for the case $`Y=𝐏^n,m=n`$, and under a stronger restriction on the intersection of divisors .

###### Theorem 6

Let $`Y`$ be a projective variety. If a holomorphic map $`𝐂Y`$ omits $`2m+1`$ divisors, such that the intersection of any $`m+1`$ of them is empty, then $`f`$ is constant.

Notice that dimension of $`Y`$ is not mentioned in this theorem. A more careful analysis of (3.2) and more sophisticated rescaling techniques yield a quantitative result of the type of the Nevanlinna’s Second Main Theorem. To state it, we recall the definitions of Nevanlinna theory. If $`\mu `$ is the Riesz measure of $`u`$, then the Nevanlinna characteristic can be defined as

$$T(r,f)=_0^r\mu (\{z:|z|t\}\frac{dt}{t}\mathrm{log}f(0).$$

Let $`n(r,D_j)`$ be the number of zeros (counting multiplicity) of the entire function $`P_j(f_0,\mathrm{},f_n)`$ in the disc $`\{z:|z|r\}`$, and

$$N(r,D_j,f)=_0^rn(t,D_j)\frac{dt}{t},$$
(3.3)
supposing for simplicity that $`g_j(0)0,j=1,\mathrm{},q`$. The following version of the Second Main Theorem was conjectured by Shiffmann in 1978 and proved in :

###### Theorem 7

Let $`Y`$ be a projective variety, and $`q`$ divisors $`D_j`$ of degrees $`d_j`$ in $`Y`$ satisfy the intersection condition of Theorem 6. Let $`f:𝐂Y`$ be a holomorphic map whose image is not contained in $`_jD_j`$. Then

$$(q2m)T(r,f)\underset{j=1}{\overset{q}{}}\frac{1}{d_j}N(r,D_j,f)+o(T(r,f)),$$

when $`r\mathrm{}`$ avoiding a set of finite logarithmic measure.

This theorem is stated in  only for the case $`Y=𝐏^n,m=n`$ but the same proof applies to the more general statement. When $`m=n=1`$ we obtain a rough form of the Second Main Theorem of Nevanlinna; with worse error term, and more importantly, without the ramification term. A corollary from Theorem 7 is the defect relation:

$$\underset{j}{}\delta (D_j,f)2m,\text{where}\delta (D_j,f)=1\underset{r\mathrm{}}{lim\; sup}\frac{N(r,D_j,f)}{d_jT(r,f)}.$$
(3.4)
The key result of potential theory used in the proof of Theorem 7 is of independent interest :

###### Theorem 8

Suppose that a finite set of subharmonic functions $`\{w_j\}`$ in a region in the plane has the property that the pointwise minima $`w_iw_j`$ are subharmonic for every pair. Then the pointwise minimum of all these functions is subharmonic.

This is derived in turn from the following:

###### Theorem 9

Let $`G_1,G_2,G_3`$ be three pairwise disjoint regions, and $`\mu _1,\mu _2,\mu _3`$ their harmonic measures. Then there exist Borel sets $`E_jG_j`$ such that $`\mu _j(E_j)=1,j=1,2,3,`$ and $`E_1E_2E_3=\mathrm{}.`$

For regions in $`𝐑^2`$ (the only case needed for theorems 7 and 8) this is easy to prove: just take $`E_j`$ to be the set of accessible points from $`G_j`$ and notice that at most two points can be accessible from all three regions . It is interesting that Theorem 9 holds for regions in $`𝐑^n`$ for all $`n`$, but the proof of this (based on advanced stochastic analysis rather then potential theory) is very hard .

We notice that the number $`2`$ in Picard’s Theorem 1, as well as in Theorem 7, thus admits an interpretation which seems to be completely different from the common one: with our approach it has nothing to do with the Euler characteristic of the sphere or its canonical class, but comes from Theorem 9. Recently, Siu  gave a proof of a result similar to Theorem 7 (with $`Y=𝐏^n,m=n`$) using different arguments which are inspired by “Vojta’s analogy” between Nevanlinna theory and Diophantine approximation. However Siu’s proof gives a weaker estimate $`em2.718m`$ instead of $`2m`$ in (3.4), and his assumptions on the intersection of divisors are stronger than those in Theorem 7.

The constant $`2m`$ in (3.4) is best possible. Moreover, one can give a rather complete characterization of extremal holomorphic curves of finite lower order. We recall that the lower order of a holomorphic curve is

$$\lambda =\underset{r\mathrm{}}{lim\; inf}\frac{\mathrm{log}T(r,f)}{\mathrm{log}r}.$$

###### Theorem 10

 Let $`D_1,\mathrm{},D_q`$ be divisors and $`f`$ a curve satisfying all the hypotheses of Theorem 7. Suppose in addition that $`f`$ has finite lower order and that equality holds in the defect relation $`(\text{3.4})`$. Then
$`(i)`$ $`2\lambda `$ is an integer, and $`\lambda 1`$,
$`(ii)`$ $`T(r,f)=r^\lambda \mathrm{}(r)`$, where $`\mathrm{}(r)`$ is a slowly varying function in the sense of Karamata: $`\mathrm{}(cr)/\mathrm{}(r)1,r\mathrm{}`$ uniformly with respect to $`c[1,2]`$,
$`(iii)`$ All defects are rational: $`\delta (D_j,f)=p_j/\lambda `$, where $`p_j`$ are integers whose sum is $`2m\lambda `$.

When $`m=n=1`$, this result was conjectured by F. Nevanlinna . After long efforts, mainly by A. Pfluger, A. Edrei, W. Fuchs and A. Weitsman, D. Drasin finally proved F. Nevanlinna’s conjecture in . The potential-theoretic method presented here permitted to give a simpler proof of Drasin’s theorem, and then to generalize the result to arbitrary dimension, as well as to obtain a stronger result in dimension $`1`$ which is discussed in the next section. The proof of Theorem 10, is based on the following result about subharmonic functions:

###### Theorem 11

Suppose that $`v,v_1,\mathrm{},v_q,q2m+1`$ are subharmonic functions in the plane, which satisfy $`(\text{3.2})`$, and in addition $`v(z)|z|^\lambda ,z𝐂`$, and $`v(0)=0.`$ Then the function

$$h=\underset{j=1}{\overset{q}{}}v_j2mv$$

is subharmonic. If $`h`$ is harmonic, then $`2\lambda `$ is an integer and

$$v(re^{it})=c|r|^\lambda |\mathrm{cos}\lambda (t\alpha )|,$$

where $`c>0`$ and $`\alpha `$ is a real constant.

## 4. Functions with small ramification

We recall the definition of the ramification term in Nevanlinna theory. Suppose that the image $`f(𝐂)`$ of a holomorphic curve $`f:𝐂𝐏^n`$ is not contained in any hyperplane. This means that $`f_0,\mathrm{},f_n`$ in the homogeneous representation of $`f`$ are linearly independent. Let $`n_1(r,f)`$ be the number of zeros in the disc $`\{z:|z|r\}`$ of the Wronski determinant $`W(f_0,\mathrm{},f_n)`$, and $`N_1(r,f)`$ the averaged counting function of these zeros as in (3.3). If $`n=1`$, then $`n_1`$ counts the number of critical points of $`f`$. The Second Main Theorem of Cartan  says that for every holomorphic curve $`f`$ whose image does not belong to a hyperplane, and every finite set of hyperplanes $`\{a_1,\mathrm{},a_q\}`$ in general position, we have

$$(qn1+o(1))T(r,f)+N_1(r,f)\underset{j=1}{\overset{q}{}}N(r,f,a_j),$$
(4.1)
when $`r\mathrm{}`$ avoiding a set of finite measure. This implies the defect relation

$$\underset{j=1}{\overset{q}{}}\delta (a_j,f)+\theta (f)n+1,\text{where}\theta (f)=\underset{r\mathrm{}}{lim\; sup}\frac{N_1(r,f)}{T(r,f)},$$

and $`\delta (a,f)`$ was defined in (3.4). So, if $`n=1`$, and the sum of deficiencies equals $`2`$, then $`\theta (f)=0`$. The work of F. Nevanlinna  mentioned in Section 3 actually suggests something stronger than he conjectured: that the weaker assumption $`\theta (f)=0`$ for functions of finite lower order implies all conclusions (i)-(iii) of Theorem 10. This stronger result was proved in . It follows that for functions of finite lower order the conditions $`\theta (f)=0`$ and $`\delta (a,f)=2`$ are in fact equivalent. There is some evidence that this result might have the following extension to holomorphic curves in $`𝐏^n`$:

Conjecture Let $`f`$ be a holomorphic curve of finite lower order, whose image is not contained in any hyperplane. If $`N_1(r)=o(T(r,f)),r\mathrm{}`$, then $`\lambda `$ is a rational number and assertion $`(ii)`$ of Theorem 10 holds.

This is not known even under a stronger assumption that the sum of deficiencies is $`n+1`$.

## 5. Cartan’s conjecture

According to a philosophical principle of Bloch and Valiron , to theorems about entire functions should correspond theorems about families of functions in the unit disc, in the same way as Landau’s theorem corresponds to Picard’s theorem. One can supplement Theorem 6 with an explicit estimate of derivative of a holomorphic map from the unit disc to projective space that omits $`2m+1`$ hypersurfaces satisfying the intersection condition of Theorem 6. To prove such generalization of Landau’s theorem, one replaces the use of the uniqueness theorem for harmonic functions by the corresponding quantitative result as in .

In 1887 Borel proved an extension of Picard’s theorem, from which Theorem 6 and many other similar results (see, for example, ) can be derived:

###### Theorem 12

(Borel) If $`f_1,\mathrm{},f_p`$ are entire functions without zeros, that satisfy

$$f_1+f_2+\mathrm{}+f_p=0,$$
(5.1)
then there is a partition of the set $`J=\{f_1,\mathrm{},f_p\}`$ into classes $`I`$, such that for every $`I`$, all functions in $`I`$ are proportional and their sum is zero.

When $`p=3`$ it is equivalent to the Picard’s Little Theorem. The question is what kind of normality criterion corresponds to Theorem 12 in the same way as Montel’s criterion corresponds to Picard’s theorem. The following conjecture was stated by H. Cartan in his thesis  (see also  for a comprehensive discussion of this conjecture).

Conjecture A Let $`F`$ be an infinite sequence of $`p`$-tuples $`f=(f_1,\mathrm{},f_p)`$ of holomorphic functions in the unit disc, such that each $`f_j`$ has no zeros, and $`(\text{5.1})`$ is satisfied.

Then there exists an infinite subsequence $`F^{}`$ of $`F`$ and a partition of the set $`J=\{1,\mathrm{},p\}`$ into classes $`I`$, such that for $`f`$ in $`F^{}`$ and every class $`I`$ we have:

$`()`$ there exists $`jI`$ such that for every $`iI`$ the ratios $`f_i/f_j`$ are uniformly bounded on compact subsets of the unit disc, and $`_{iI}f_i/f_j0`$ uniformly on compact subsets of the unit disc.

One obtains this statement by replacing “proportional” by “have bounded ratio” and “equals zero” by “tends to zero” in the conclusions of Borel’s theorem. When $`p=3`$, Conjecture A is equivalent to Montel’s theorem.

Let us call a subset $`IJ=\{1,\mathrm{},p\}`$ having the property $`()`$ a C-class of the sequence $`F^{}`$. Cartan proved in  that under the hypotheses of Conjecture A there exists an infinite subsequence $`F^{}`$, such that either the whole set $`J`$ constitutes a single C-class, or there are at least $`2`$ disjoint C-classes in $`J`$. This result implies that Conjecture A is true for $`p=4`$, which corresponds to holomorphic curves in $`𝐏^2`$ omitting four lines. Indeed, it follows from $`()`$ that each C-class contains at least two elements, so if there are two disjoint C-classes they have to be a partition of the set $`J`$ of four elements. For $`p5`$, Cartan’s result falls short of proving his conjecture because the union of the two C-classes whose existence is asserted might not coincide with the whole set $`\{1,\mathrm{},p\}`$.

It turns out that Conjecture A is wrong as originally stated, beginning from $`p=5`$ (that is in dimensions $`3`$). A simple counterexample was constructed in ). Nevertheless a small modification of the statement is valid in dimension $`3`$:

Conjecture B Under the assumptions of Conjecture A its conclusions hold is the disc $`\{z:|z|<r_p\}`$, where $`r_p<1`$ is a constant that depends only on $`p`$.

This was proved in  when $`p=5`$, that is for holomorphic curves in $`𝐏^3`$ omitting $`5`$ planes.