Revista Brasileira de Ensino de Fsica, v. 29, n. 2, p.

189-201, (2007)
www.sbfisica.org.br

Ergodic hypothesis in classical statistical mechanics

(Hip
otese erg
odica em mec
anica estatstica cl
assica)

Cesar R. de Oliveira1 and Thiago Werlang2

1

Departamento de Matem
atica, Universidade Federal de S
ao Carlos, S
ao Carlos, SP, Brasil
2
Departamento de Fsica, Universidade Federal de S
ao Carlos, S
ao Carlos, SP, Brasil
Recebido em 1/6/2006; Aceito em 27/9/2006

An updated discussion on physical and mathematical aspects of the ergodic hypothesis in classical equilibrium
statistical mechanics is presented. Then a practical attitude for the justification of the microcanonical ensemble
is indicated. It is also remarked that the difficulty in proving the ergodic hypothesis should be expected.
Keywords: ergodic hypothesis, statistical mechanics, microcanonical ensemble.
Apresenta-se uma discuss
ao atual sobre aspectos fsicos e matem
aticos da hip
otese erg
odica em mec
anica
estatstica de equilbrio. Ent
ao indica-se uma eventual postura para se justificar o ensemble microcan
onico.
Observa-se, tambem, que a dificuldade em se demonstrar a hip
otese erg
odica deveria ser esperada.
Palavras-chave: hip
otese erg
odica, mec
anica estatstica, ensemble microcan
onico.

1.

Introduction

Important physical theories are built on relations

and/or equations obtained through experiments, intuition and analogies. Hypotheses are proposed and experimentally and theoretically tested, then corrections
are proposed and sometimes even revolutions occur.
Outstanding examples are:
1. The Newton equation in classical mechanics
F = dp
dt , which connects the resultant force to
time variation of momentum.
2. The Schrodinger equation is accepted as the one
that dictates nonrelativistic quantum dynamics.
3. General relativity presumes that gravitation is a
curvature of spacetime. Its field equation relates
the curvature of spacetime to the sources of the
gravitational field.
4. The prescription for equilibrium statistical mechanics is a link between microscopic dynamics
and macroscopic thermodynamics via an invariant probability distribution.
It is natural to wonder how to justify such kind of
physical relations by means of first principles; at least
to make them plausible. Among the examples cited
above, the last one is particularly intriguing, since it involves two descriptions of the same physical system, one
1 E-mail:

oliveira@dm.ufscar.br.

Copyright by the Sociedade Brasileira de Fsica. Printed in Brazil.

of them time reversible (the microscopic dynamics) and

the other with irreversible behavior (macroscopic thermodynamics). The justification of such prescription is
one of the most fascinating problems of physics, and
here the so-called ergodic hypothesis intervenes (and it
was the birth of ergodic theory).
In this paper we recall the well-known Boltzmann
and Gibbs proposals for the foundation of classical
(equilibrium) statistical mechanics, review the usual arguments based on the ergodic hypothesis and discuss
the problem, including modern mathematical aspects.
At the end, we point out an alternative attitude for
the justification of the foundations of classical statistical mechanics. Historical aspects and the time arrow
will not be our main concerns (Refs. [12, 14, 18, 22,
23, 38, 40, 41]). Although most researchers accept the
ideas of Boltzmann, there are some opposites, in particular I. Prigogine and his followers (references are easily
found).
Most students approaching statistical mechanics
have little contact with such questions. Having eyes
also for precise statements, we hope this article will be
helpful as a first step to fill out this theoretical gap.
We can not refrain from recommending the nice article
by Prentis [31] on pedagogical experiments illustrating
the foundations of statistical mechanics, as well as the
article by Ma
ne [26] on aspects of ergodic theory via
examples.

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de Oliveira and Werlang

An Appendix summarizes the first steps of integration theory and presents selected theorems of ergodic
theory; it is no more than a quick reference for the readers.

2.

Microcanonical ensemble

In this section a discussion based on intuition will be

presented. Later on some points will be clarified with
mathematical rigor.
2.1.

Micro and macrovariables

Establishing a mechanical model for the thermodynamic macroscopic observables is not a simple task. By
beginning with the Hamilton equations of motion of
classical mechanics
q =

H
,
p

p =

H
,
q

(1)

with a general time-independent hamiltonian

H = H(q, p) and vectors (the so-called microvariables) of (cartesian) positions q = (q1 , , qnN ) and
momenta p = (p1 , , pnN ) coordinates (N denotes
the number of identical particles of the system, and n
the number of degree of freedom of each particle, so
that the dimension of the phase space is 2nN ), one
introduces adequate real functions f : IR defined
on . A thermodynamic description is characterized
by a set of parameters, the so-called thermodynamic
observables which constitute the macrovariables or macroscopic observables of the system. Sometimes such
identification is rather direct, as in the case of the
volume, but usually each thermodynamic quantity is
presumably associated with a function f (which must
be empirically verifiable). Notable exceptions are the
entropy and temperature, which need a probability distribution over phase space in order to be properly
introduced; for instance, in case of a mechanical system
with a well-defined kinetic energy, the temperature is
identified with the phase average of the kinetic energy
with respect to . Such probability distributions are
invariant measures, as discussed ahead. Note, however,
that in general small portions of phase space have a
well-defined temperature, pressure, etc., since their definitions are not clear for situations far from equilibrium
(not considered here).
Usually, only macrovariables are subject to experimental observations and some important observables
do not depend on all microvariables; for example, the
density depends only on the positions of the particles.
Given an initial condition = (q, p) , also called
a microstate, it will be assumed that the Hamiltonian
generates a unique solution (t) := T t = (q(t), p(t)) of
Eq. (1) for all t IR (sufficient conditions can be found
in texts on differential equations), and the set of points

O := {(t) : t IR, (0) = } is the orbit of in phase

space.
It will be assumed that orbits are restricted to bounded (compact) sets in phase space; this is technically
convenient and often a consequence of the presence of
constants of motion as energy, i.e., H((t)) is constant
as function of time and also by constraints (as confining walls). Sometimes this fact will be remembered
by the expression accessible phase space.
The number f ((t)) should describe the value of the
macroscopic observable represented by f , at the instant
of time t, if it is known that at time t = 0 the system
was in the microstate . In principle, different initial
conditions will give different values of the macroscopic observable f , without mentioning different times.
If the system is in (thermodynamic) equilibrium, in a
measurement one should get the same value for each observable, independently of the initial condition and the
instant of time the measurement is performed; its justification is at the root of the foundation of statistical
mechanics. Note also that the notion of macroscopic
equilibrium, from the mechanical (microscopic) point
of view, must be defined and properly related to the
thermodynamic one.
In the physics literature there are three traditional
approaches to deal with the questions discussed in the
last paragraph: 1) time averages, 2) density function
and 3) equal a priori probability. They are not at all
independent, are subject of objections, and will be recalled in the following.
2.2.
2.2.1.

Three approaches
Time averages

A traditional way of introducing time averages of observables follows. Given a phase space function f that
should correspond to a macroscopic physical quantity,
the measurements of the precise values f ((t)) are not
possible since the knowing of detailed positions and momenta of the particles of the system would be necessary;
it is then supposed that the result of a measurement is
the time average of f .
It is also argued that each measurement of a macroscopic observable at time t0 takes, actually, certain
interval of time to be realized; in such interval the microstate (t) changes and so different values of f ((t))
are generated, and the time average
1
t

t0 +t

f (T s ) ds,

(2)

t0

may emerge as constant (i.e., independent of t0 and

t). Next one asserts that the macroscopic interval of
time for the measurement is extremely large from the
microscopic point of view, so that one may take the

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Ergodic hypothesis in classical statistical mechanics

limit t in Eq. (2)

1
t t

f () := lim

t0 +t

f (T s ) ds.

(3)

t0

This limit does not depend on the initial time t0 (see

ahead) and arguing that for such large microscopic intervals of time the system visits all open sets of the
phase space during the measurement process, it sounds reasonable that this limit should coincide with the
average value of f over , defined by
Z
hf i :=
f () d.
(4)

For such integral be meaningful one has to assume that

f is an integrable function (see the Appendix). Summing up, it is expected that
f () = hf i,

Density function

The initial idea is due to Maxwell and was then developed by Gibbs. Consider a huge collection of identical
systems, each with its own initial condition at time t0
(some authors call this collection an ensemble; here
an ensemble will mean a probability distribution, i.e.,
a probability measure as defined in the Appendix); the
typical behavior of such collection would correspond
to equilibrium. This behavior is characterized by an
initial positive density function t0 : IR+ . If t ()
is
R the corresponding density function at time t, then
() d indicates the average number of microstates
A t
that
R will occupy the set A at t (i.e., a probability);
so t () d = 1 due to the normalization of the total probability. The value of an observable f at time t
would be
Z
f () t () d.
(6)

note that if one makes explicit the time derivative and

uses Hamiltonian given by Eq. (1), then it follows that
(7) is exactly the famous Liouville equation. This equation has the immediate solution t = constant, which
is equivalent to the invariance of Lebesgue measure d
(see Proposition 1 and Eq. (8)). By taking this solution for granted, that is, by ignoring all other possible
solutions, it results in the observable value hf i above,
recovering the microcanonical ensemble as well as the
conclusions on equilibrium of the previous subsection.
Note again the introduction of averages, which is related to probability, and the latter becomes the main
ingredient carrying out the micro-macro connection.

(5)

which turns out to be the main version of the ergodic

hypothesis (mathematically there are other equivalent
formulations; see the end of Section 3 and Theorem 4
in the Appendix). Note that if this relation holds, then
f does not depend neither on the initial microstate
(excluding a set of measure zero) nor on the initial
time, and it describes the equilibrium. Since a measurement for the constant function f1 () =R1 must result
the obvious value 1, one assumes that d = 1; so
d = N dqdp, where N denotes a normalization factor,
dq = dq1 dqnN , dp = dp1 dpnN and so d is Lebesgue measure. Often the accessible phase space is
supposed to be compact so that the Lebesgue measure
is normalized and constant functions are integrable.
The assumption that hf i corresponds to the equilibrium value for each observable f is the so-called microcanonical ensemble or microcanonical measure, as discussed in Section 3. Note the prominent role played by
Lebesgue measure in the discussion.
2.2.2.

Frequently the condition for equilibrium is written

in the form
dt ()
= 0;
(7)
dt

2.2.3.

Equal a priori probability

This is the argument for introducing the microcanonical

ensemble frequently invoked in textbooks on statistical
mechanics. It is a variant of (sometimes complementary
to) the previous discussion and, as stated here, the time
evolution does not appear explicitly in the argument,
and it is as follows.
Since there are no clear reason for certain accessible microstates be more probable than others, one
postulates that for an isolated system all microstates
are equally probable (maybe under the influence of Laplaces Principle of Insufficient Reason) [36, 39]. In
symbols, this is equivalent to taking the density function t = constant in Eq. (6), that is, exactly the microcanonical ensemble.
In general, textbooks on statistical mechanics do not
mention if the models considered are ergodic or not (see
Section 3), since the microcanonical ensemble is introduced by means of a postulate instead of a discussion
taking into account the dynamics. Due to the fruitfulness of statistical mechanics with respect to applications, some researchers consider that such discussion
about ergodicity is not necessary. Another reason this
discussion is avoided in textbooks is the high degree of
abstraction that ergodic theory has currently reached,
with a mathematical apparatus beyond the scope of
such textbooks; the consequence is that it is not usually
presented to physicists.
The next step here is to discuss some mathematical
issues related to the ergodic hypothesis (including its
precise definition) and the microcanonical ensemble.

3.

A mathematical digression

There is a series of (interesting) questions, discussed in

the last section, that an attentive reader could ask for
more convincing explanations. For example:

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de Oliveira and Werlang

a precise mechanical, that is, microscopic, definition of macroscopic equilibrium;

the existence of the limit of Eq. (3) defining the
time average f ();
a proof of the validity of Eq. (5);
the choice of a constant density function
t () = constant, etc.
In principle, suitable answers should be given by
ergodic theory, an area of mathematics that was born
precisely with such problems in statistical mechanics.
Note that it is implicitly assumed the original Boltzmann strategy of taking time averages as the equilibrium values of observables. Some general references on
abstract ergodic theory are mentioned in the Appendix;
for works that also discuss the foundations of statistical
mechanics see Refs. [8, 11, 12, 14, 18, 23, 24, 36, 38] and
references there in. In this section some useful theorems
of ergodic theory will be mentioned and their importance to statistical mechanics discussed; except for some
equations, all numbered statements appear in the Appendix.
Concisely, ergodic theory is the mathematical
theory of dynamical systems provided with an invariant measure. The setup of ergodic theory is given by
a general map (a dynamical system) t : , for
each t IR, which gives the time evolution t () of
an initial condition ; the elements of are also
called microstates of the system. It is usually assumed
that the initial time is t = 0 so that 0 () = for all
, and also s+t = s t (as expected for a time evolution). Note that here we assume the time evolution is
reversible, that is, if at time t the microstate of the system is t = t (), then the initial condition is obtained
by t (t ) = t+t () = . In the case of a mechanical system the initial positions can be theoretically
obtained by freezing the system at time t and then
reversing all velocities of the particles; the mechanical
system will be back at its initial position at time 2t.
Another important ingredient is a measure (also called a probability distribution) defined on a suitable
-algebra A of measurable subsets of , and for A A
the positive number (A) represents a probability associated to the event A. It will be tacitly assumed that
() = 1, and the integral of an integrable
function
R
f with respect to will be denoted by f () d().
Note that in our context of statistical mechanics the
-algebra is the Borel one and we have the following
correspondences: , t T t , = (q, p), and
corresponds to the choice of a probability distribution on , for instance, absolutely continuous measures
d() = () d (but there are other measures that have
no density and so can not be written in this way).
The connection of the dynamics with equilibrium
in ergodic theory is via invariant measures, i.e.,
( t (A)) = (A), t, for all suitable A (we will refrain

to underline that a restriction of A to a -algebra has

to be done; the point is that in many occasions there
are sets whose measures are not defined). As an example, suppose the dynamical system t has an equilibrium point 0 , characterized by t (0 ) = 0 , t; if 0
is the probability measure concentrated at 0 , that is,
for each set A one has

1 if 0 A
0 (A) =
,
0 if 0
/A
then 0 is an invariant measure for t . This construction can be carried out similarly to periodic orbits, and
to each periodic orbit an invariant probability measure,
concentrated on it, is associated. Hence, invariant measures are also understood as suitable generalizations of
equilibrium points and periodic orbits of dynamical systems.
If is invariant for t , then it is possible to show
that, for integrable functions f : IR
Z
Z
f ( t ) d() =
f () d( t )

Z
(8)
=
f () d(),

for all t; in physical terms it means that the space

average value of the observable f does not depend on
time, which is expected for macroscopic equilibrium. In
case of an equilibrium point 0 the average of a continuous function f is
Z
f () d0 () = f (0 ),

resulting in a constant value, as expected; in case of a

periodic orbit the integral results in the average value
of f over that orbit (for dissipative systems it is possible that most initial conditions converge to a periodic
orbit, and so this orbit describes the long time behavior of the system). Then, by following the original
formulation of Boltzmann, we present the definition of
macroscopic equilibrium understood here:
Definition The macroscopic equilibria (ensembles) of
a dynamical system t are its invariant measures.
Hence, invariant measures are the objects that can
perform the micro-macro connection via time averages
given by Eqs. (2) and (8) and von Neumann and Birkhoff theorems presented in the Appendix. Not all invariant measures are relevant in each situation; e.g., a
simple pendulum (with some kind of friction, say) has
two equilibrium points, both with null momenta and
with the rod at vertical positions (up and down), but
one of them (up position) is unstable and is not expected to be found in such system. Thus, an important
question is how to select the invariant measure(s) that
will describe the observations of the given dynamical

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Ergodic hypothesis in classical statistical mechanics

system; different invariant measures result in different

values of space averages of functions f , and are also associated to different microscopic initial conditionssee
the paragraph before Theorem 5. Note that this question is closely related to the description of (strange)
attractors in the theory of dynamical systems.
With respect to statistical mechanics, a major remark is that the Lebesgue measure d is invariant under
T t , that is, the natural volume measure d is invariant
under the time evolution generated by the Hamiltonian
Eqs. (1). This result is known as Liouville theorem
and it is also denoted by d(T 1 ) = d. Under the
Hamiltonian time evolution a set in phase space can be
distorted but its volume keeps the same; this is far from
trivial.
Definition Let T t denotes a Hamiltonian flow. The
microcanonical ensemble is the invariant measure d
(see Eq. (5)).
Recall that for a Hamiltonian system the energy is
conserved, that is, given an initial condition (q, p) the
value of the function H(T t (q, p)) = E, t, is constant
under time evolution, so that the motion is restricted
to the surface (manifold) H(q, p) = E; Liouville theorem then implies that on this restricted dynamics the
measure
d|E
,
kHkE
is invariant (under the assumption H 6= 0 in this surface); d|E denotes the Lebesgue measure restricted to
the surface of energy E. The norm of the gradient H
restricted to the same surface is the right correction
to Lebesgue measure that takes into account different
particle speeds in different portions of energy surfaces.
However, it is simpler to proceed using the measure d,
and the interested reader can consider that d denotes
the above restricted measure, and also that denotes
the surface of constant energy; no difficulty will arise.
If there are additional constants of motion, which are
often related to symmetries of the system, then all conserved quantities must be fixed, the motion then takes
place in the intersection of the corresponding surfaces
and the invariant measures must be adapted to each
situation [18].
Another major result is the Birkhoff theorem: if a
measure is invariant under a dynamics t , then the
time averages in Eq. (2) are well defined, except for initial conditions on a set of zero measure (i.e., null probability). Combining with Liouville theorem one gets
that for Hamiltonian systems the limit defining time
averages in Eq. (3) exists a.e. (this means almost everywhere, a short way of saying except on a set of zero
measure) with respect to Lebesgue measure d.
If for the initial condition the time average f ()
does exist, consider another initial time t1 ; then

t1 +t

t1
Z t0 +t
t0

Z
f (T s ) ds =
f (T s ) ds +

t0

f (T s ) ds +

t1
Z t1 +t

f (T s ) ds.

(9)

t0 +t

R t +t
Rt
Now t01+t f (T s ) ds = t01 f (T s+t ) ds and so for
reasonable (e.g., bounded) functions f this integral, as
Rt
well as t10 f (T s ) ds, are bounded; therefore after dividing by t and taking t both vanish. Hence
Z
1 t1 +t
f () = lim
f (T s ) ds =
t t t
1
Z
1 t0 +t
lim
(10)
f (T s ) ds,
t t t
0
and a.e. the time average does not depend on the initial
time.
The exclusion of sets of measure zero is not just a
mathematical preciosity. For example, for a gas in a
box, consider an initial condition so that the motion
of all particles are perpendicular to two opposite faces
resulting in null pressure on the other faces of the box;
another situation is such that all particles are confined
in a small portion of the box; such initial conditions are
not found in practice and the mathematical formalism
is wise enough to include them in a set of Lebesgue
measure zero for which the results do not apply.
It is outstanding that the volume measure d is
a macroscopic equilibrium for Hamiltonian mechanics
(Liouville theorem), and that merely the existence of
this equilibrium has resulted in well-defined time averages and their independence on the initial time in a
set of full volume. Although apparently we have answered some of the questions proposed at the beginning
of this section, an important point is, however, missing: we are not sure that the microcanonical ensemble
d is the equilibrium to be implemented in statistical
mechanics, that is, why is this the invariant measure
to be considered? This is the wanted justification of
the ergodic hypothesis, a supposition not fully justified
yetas discussed ahead.
An invariant measure with respect to a general
dynamics t is called ergodic (or the pair ( t , ) is ergodic) if for every set A with t (A) = A, one has
either (A) = 0 or ( \ A) = 0, i.e., every invariant
set under the dynamics has zero or full measure. Then
ergodicity means that the only nontrivial (that is, with
nonzero measure) invariant set is just the whole set; in
other words, ergodicity is equivalent to the set be indecomposable under the dynamics ( t , ). If it is clear
what is the invariant measure under consideration, one
also says that the system or the dynamics t is ergodic.
This is just one possible way of defining ergodic measures, and a more detailed discussion is presented in the
Appendixcompare with Definition 3 and Theorem 4.

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de Oliveira and Werlang

A consequence of the Birkhoff theorem is: if ( t , )

is ergodic and f is an integrable function, then for -a.e.
the time averages f () exist, are constant and equal
the space average, that is
Z
f () =
f () d().
(11)

In the context of Hamiltonian dynamics, if (T t , d) is

ergodic, then the time averages f () are constant Lebesgue a.e. and Eq. (5) holds, so that for justifying
the equality between time and space averages one has
to prove that the volume measure d in phase space is
ergodic under the dynamics generated by the Hamiltonian equations: a chief mathematical problem.
Consider now density functions t (see Eq. (6) and
the discussion in Sections 2.2.2 and 2.2.3), that is, the
particular class of measures absolutely continuous with
respect to Lebesgue of the form
d() = t () d.

(12)

Note first that without Liouville theorem the discussion about density functions in Subsection 2.2.2, including condition given by Eq. (7) for equilibrium,
would be incorrect. Indeed, for the average value hf i
of f over at time t we have
Z

Z
t

f (T ) 0 () d

f () 0 (T t ) d(T t )

f () 0 (T t ) d.

(13)

Liouville theorem was applied in the last equality

and the expression t () = 0 (T t ) has been revealed.
As a consequence of another important result of the
abstract ergodic theory, which is stated in Theorem 5,
one has that if (T t , d) is ergodic, then the condition for
in Eq. (12) (i.e., measures defined via density functions) be invariant under T t implies that the (integrable)
function t () = 1, that is, it is necessarily constant.
Again we have an important consequence of the (presupposed) ergodicity of d with respect to the Hamiltonian evolution: the mathematical justification of the
equal a priori probability and the use of the mentioned
trivial solution of Eq. (7). See also the discussions in
Refs. [10, 23, 25].
As a last consequence of the ergodicity of d we remark that it implies that a.e. the orbits O are dense in
the accessible phase space , that is, each orbit intersects every open set of . This property may not hold
for general ergodic measures.
The time is ripe for a precise statement of the
Ergodic hypothesis in statistical mechanics: The
microcanonical ensemble d is ergodic with respect to
the Hamiltonian dynamics.
In the next section we discuss the situation related
to this supposition.

4.

Discussion on the ergodic hypothesis

From the discussion in the preceding section, if the ergodic hypothesis holds, then we have a precise mechanical
definition of macroscopic equilibrium d, the existence
a.e. of time averages of integrable functions f representing macroscopic observables, the equality of such
averages with space averages (i.e., relation (5)) and a
justification of the adoption of the microcanonical ensemble. In summary, the statistical mechanics prescription would be justified.
In this section many aspects related to the ergodic
hypothesis in classical statistical mechanics are discussed. We have tried to cover the main current points,
including some numerical indications.

4.1.

Success and nonergodicity

Before going on, we present an example of a Hamiltonian system that is not ergodic. Consider two independent harmonic oscillators; since the phase space
can be decomposed in two independent parts, one for
each oscillator and both of nonzero d measure, the
pair (T t , d) is not ergodic. The argument easily generalizes to noninteracting systems with finitely many
particles, so that for the ergodicity of (T t , d) the interaction among its particles is fundamental.
For the so-called gas of hard spheres whose particles interact only via elastic collisions, it was recently
demonstrated by Simanyi [35] that elastically colliding
N 2 hard balls, of the same radius and arbitrary
masses, on the flat torus of any finite dimension is ergodic (also mixing, see ahead); the energy is fixed and
the total momentum is zero. This is a generalization of
results by Sinai around 1970 for N = 2. There are some
classes of two-particle mechanical systems, i.e., the Hamiltonian is the sum of the kinetic energy K and the
potential energy U , on the two-dimensional torus studied by Donnay and Liverani [9], whose potential U
is radially symmetric and vanishes outside a disk, for
which ergodicity is also proved. These can be considered the most realistic models in statistical mechanics
where the ergodic hypothesis has been rigorously established. What is then the attitude when other interactions are present? Unfortunately a satisfactory answer
is still missing. Some authors (as in most textbooks)
suggest that the postulate of equal a priori probability
should be invoked and taking the experimental results
as a final confirmation.
Some workers in the area have argued that ergodic theory did not success in explaining the positive
results of statistical mechanics. For instance, Earman
and Redei [10] claim that many models for which statistical mechanics works are likely not ergodic and so
nonergodic properties must be invoked. As an alternative they have proposed that an ergodic-like behavior,

195

Ergodic hypothesis in classical statistical mechanics

i.e., the validity of Eq. (5) should hold only for a finite set of observables f (see also Eq. [24], where it is
proposed to restrict ergodicity and mixing to suitable
variables). They assert that for each model the equilibrium statistical mechanics predicts values for only
a finite set of observables, and one should investigate
whether the ergodic-like behavior holds only for such
set, which may differ from system to system.
There are some criticisms on the assumption that
the outcome of a measurement can be described by infinite time averages; for example, only results concerning quantities in equilibrium could be obtained in this
way (see Refs. [16] p. 84 and [37] p. 176). Note that in
this work only equilibrium statistical mechanics is considered. Also that sets of Lebesgue measure zero can
be neglected has the opposition of some authors; the
interested reader is referred to Ref. [25].
Another suggestive argument employed for the justification of the microcanonical ensemble comes from
analogies with the second law of thermodynamics. Separate the phase space into a finite number of M
disjoint cells and associate a probability pj of a representative of the microstate
PM be in the j-th cell; then we
have the constrain
j=1 pj = 1. Such separation of
phase space into cells of nonzero volume is usually called a coarse grain partition and associated to each of
them one defines the Gibbs coarse grain entropy
S(pj ) =

M
X

pj ln pj .

j=1

Now impose that the equilibrium is attained for the distribution of pj with maximum entropy under the above
constrain; it is left as an exercise to conclude that such
maximum is obtained for pj = 1/M , for all j, that is,
equal probability. In the formal limit of infinite many
cells (with vanishing sizes) one gets an indication for the
validity of the equal a priori probability. Note, however,
that the microscopic evolution does not enter explicitly
in the argument, as should be expected, and that this
argument only shift the actual problem to another one.
Since the idea of separating the phase space into
finitely many cells was mentioned, it is worth recalling Boltzmann reasoning that led him to the original formulation of the ergodic hypothesis [14] in the
1870s. Under time evolution Boltzmann supposed that
the cells are cyclically permuted; then it became natural to assume that time averages could be performed
by averaging over cells. In the limit of infinite cells one
would get Eq. (5).
There is a clear general uncomfortable reaction in
the literature with respect to the missing proofs of the
ergodic hypothesis for a large class of particle interactions. In our opinion such great difficulty for ergodic proofs should be expected due to the possibility of
coexistence of different phases. More precisely, suppose that (T t , d) is not ergodic; another mathematical

result says that every invariant measure is a convex

combination of ergodic ones (see Theorem 5). In case
d = d1 + (1 )d2 , with 0 < < 1 and (T t , 1 )
and (T t , 2 ) ergodic with 1 2 , then, given an observable f , there are two disjoint sets A1 , A2 with
1 (A1 ) = 1 = 2 (A2 ) and 1 (A2 ) = 0 = 2 (A1 ), so
that by Birkhoff theorem and ergodicity, time averages
of
R f exist for initial conditions Aj and resulting in
f () dj (), j = 1, 2 (see Eq.(11)). That is, there

are two different important equilibrium for the system,

one for each ergodic component 1 , 2 , which one can
interpret as the coexistence of different phases. The
argument generalizes for more than two ergodic measures in the decomposition. From this point of view,
the results of Sinai and Simanyi [35] can be interpreted as a proof of just one phase for the gas of finitely
many hard spheres. This is closely related to a rigorous approach to the description of phase transitions
when one works directly with infinite volume systems,
in which the corresponding thermodynamic limit is taken on probability measures; the reader is referred to
Refs. [19, 15] and references there in, and for an introduction to Gibbs states in dynamical systems see Ref.
[17].
Without going into a detailed discussion of nonequilibrium, we observe that the usual justification why
systems approach to equilibrium under time evolution
[20] is via the property of mixing, which was intuitively
explored by Gibbs (through the well-known example of
stirring a drop of ink in a liquid [23]), but its mathematical definition is due to von Neumann in 1932: ( t , )
is mixing ( invariant) if for any A, B one has
lim ( t (A) B) = (A) (B).

(14)

This expression means that as time increases the portion of a given measurable set A that then resides any
set B is proportional to the measure of B; thus, according to the probability measure , t (A) becomes
uniformly distributed over . If this condition is satisfied then, necessarily, the system is ergodic; in fact,
if t (A) = A and by taking B = A in (14), it follows
that (A) = (A)2 , so that (A) = 0 or (A) = 1,
i.e., ( t , ) is ergodic. Therefore, the natural condition
claimed to assure convergence to equilibrium implies
ergodicity. Although this proof sounds simple today, it
hides a complex set of developments and such implication was not known by Boltzmann and Gibbs, and was
first proved many years after their works on the foundations of statistical mechanics. Certainly, it is usually
harder to show that a system is mixing than its ergodicity (in case such properties hold).
Lombardi [24] argued that although some authors
take a pragmatic position to the microcanonical ensemble [36, 39], in accepting that mixing of d plays
a significant role in the description of the approach to
macroscopic equilibrium d then, according to the preceding paragraph, ergodicity of d comes up again. Ne-

196

de Oliveira and Werlang

vertheless, the necessity of mixing for evolution toward

equilibrium and irreversibility [22] is not consensus [3].
A system that is ergodic but not mixing is the rotation of the circle S. Let t : S S be defined by
t (x) = x + t, mod 2, x [0, 2], for some irrational
number 0 < < 1 (recall that x mod 2 means that for
any integer number n the numbers x and x + n2 are
identified and one picks up the representative in the interval [0, 2)). One can show that t with the Lebesgue
measure dx is ergodic, however it is not mixing; in fact,
for 0 < a 1 set A = [0, a] and B = [, + a], which
are two disjoint intervals in S, then t (A) = [t, a + t]
is a rotation, and occurrences of empty and nonempty intersections with B alternate sequentially, so that
(T t (A) B) has no limit as t . In other words,
the rotation does not spread sets (in order to be mixing)
although it spreads sets in average (the essential difference between ergodicity and mixing is the presence
of the time average in the former).
4.2.

Completely integrable ergodic systems

Another source of indications of the prevalence of nonergodic Hamiltonian systems (with respect to d) are
the perturbations of the so-called completely integrable
Hamiltonian systems. Such systems are those that have
as many independent constants of motion (like energy)
as degrees of freedom; a combination of results by Liouville and Arnold [1] shows that the solutions of Hamiltonian equations can be explicitly found (up to evaluation
of certain integrals and inverse functions) and in case
the accessible phase space is compact it can be foliated
by invariant tori (whose dimension coincides with the
number of degrees of freedom) and each orbit are just
rotations in a torus. Hence, in this case the motion is
described in a simple way. Think of the harmonic oscillator with one degree of freedom whose phase space
can be foliated by its orbits, and these orbits are (continuously deformed) one dimensional tori. Most textbook examples of mechanical systems are completely
integrable.
Clearly complete integrable systems with more than
one degree of freedom do not satisfy the ergodic hypothesis. For a long time it was conceived that a small
nonlinear perturbation of an integrable system would
make them ergodic, so that aside from the exceptions of
completely integrable cases, Hamiltonian systems were
ergodic (at least for most compact energy surfaces).
However, in one of the first computer simulations in
physics performed by Fermi, Pasta and Ulam on anharmonic perturbations of a chain of independent harmonic oscillators (so an integrable system) in 1955, indications were found that the resulting systems were
not ergodic. See Ref. [4] for a collection of papers celebrating 50 years of the Fermi-Pasta-Ulam problem and
additional references.
A rigorous approach for the lack of ergodicity of

perturbations of completely integrable systems is one

of the main contents of the KAM theorem [1], named
after Kolmogorov, Arnold and Moser. This theorem
has shown that weak perturbations of integrable systems just slightly distort most of tori (most means of
large Lebesgue measure), which are persistent and the
resulting systems are not ergodic. For a more precise
formulation and Refs. [7, 34]. Although the KAM theorem has nothing to say in the complement set of those
distorted tori, a huge amount of numerical simulations
have revealed chaotic behavior and dense trajectories
in this remaining region of phase space, and even ergodic behavior for some sufficiently large perturbations.
Markus and Meyer [28] have presented an interesting result on generic Hamiltonian systems; generic
means that the set in question is constructed as a countable intersection of open dense sets (and so it is also
dense by Baire theorem). For example, in the interval [0, 1] the set of irrational numbers is generic, while
the set of rational numbers is not. Besides historical
remarks on integrability and ergodicity in Hamiltonian
systems, they have shown that generic (infinitely) differentiable Hamiltonian systems are neither ergodic nor
completely integrable. The proof is actually related to
the KAM theorem.
What about most of the systems of interest to statistical physics? And if one restricts the consideration to
differentiable Hamiltonians H = K + U , that is, to mechanical systems whose Hamiltonian is the sum of the
kinetic energy K and the potential energy U (in suitable phase spaces)? Are the results of Markus-Meyer
adaptable, and how? Note, however, that the results
of Markus and Mayer are in contrast to the result of
Oxtoby and Ulam that a generic set of conservative topological flows is ergodic [30].
Based on numerical simulations some authors suggest that for large perturbations of an integrable Hamiltonian the system can be nonergodic due to a portion
of phase space of very small Lebesgue measure, that is,
the orbits of a large set of initial conditions would be
dense in \ , and with small Lebesgue measure,
so that for most initial conditions time averages would
result in values near the microcanonical average, and
relation (5) would hold for practical purposes. This is
an attractive argument after Markus-Meyer generic result, but a rigorous approach is still missing. Instead of
large perturbations one could think of small perturbations but with large number of particles, which is again
related to Fermi-Pasta-Ulam work; even here the resulting picture indicates a difficult problem as illustrated
in numerical studies [13].
Another possibility is mentioned by Dobrushin [8]:
for a large number of particles it is possible that a lot of
ergodic components are present and so intermixed that
in each finite subvolume it becomes difficult to distinguish those components.

197

Ergodic hypothesis in classical statistical mechanics

5.

A practical attitude

In this section a possible approach for the justification

of the microcanonical ensemble, which does not pass
through ergodicity, is discussed. Certainly, Boltzmann
and Gibbs have considered it in some way. The canonical and grand canonical ensembles will be freely
mentioned.
The idea is simple. Consider all invariant probability distributions in phase space , i.e., invariant measures, that result in a thermodynamics. Then by taking
the limit of infinitely many particles, if one shows that
all these thermodynamics are equivalent (see below),
then would be no other possibility for the microscopicmacroscopic connection. This argument would justify
the usual prescription of equilibrium statistical mechanics. Next this idea will be further detailed.
An invariant measure is said to result in a thermodynamics if Boltzmann heat theorem holds [14]. Given
an invariant probability distribution (which usually depends on the number of particles) one defines mechanically the temperature T , pressure p and internal energy
U . Let V denotes the volume occupied by the system and pdV the (infinitesimal) work it realizes. Since
we are interested in the thermodynamic limit, that is,
for V, N , it is convenient to consider intensive
quantities u = U/N and v = V /N . The thermodynamic limit corresponds to the original question posed
by Boltzmann and is necessary for the validity of the
heat theorem and then the ensemble equivalence (see
ahead).
One says that the heat theorem holds if
1
(du + pdv),
T
is an exact differential ds, which allows the introduction of the entropy s as a function of state (u, v), a
fundamental ingredient. Note that this is an analytic
expression for the second law of thermodynamics. As
a matter of fact, the proper way of taking the thermodynamic limit depends on the ensemble considered
[14, 33], and in some cases different ensembles may correspond to different physical situations; for example,
fixed external boundary conditions can generate new
ensembles.
Now by restricting to these distributions, and also
for the systems one also proves that in the limit
V, N the same entropy function s results (as
well as the same thermodynamic potentials), then the
same thermodynamics is generated without ambiguity.
The ergodic question would be avoided, while the number of particles is asked to be very large. Recall that, in
principle, the ergodic hypothesis does not require the
thermodynamic limit.
We underline that for a large class of particle interactions (including the Lennard-Jones potential, which
is often used to describe molecular interactions) the

standard microcanonical, canonical and grand canonical distributions generate the same thermodynamics
[33]; however, it is worth mentioning that the important cases of Coulomb and gravitational potentials are
not included in such proofs.
Maybe, for a given system the choices of distributions that result in a thermodynamics should be restricted on physical grounds, e.g., suitable boundary
conditions. Whether only those standard distributions should be considered seems an interesting question.
The existence of other possibilities, as coexistence of
different thermodynamics for some parameter values of
the system and the nonequivalence of ensembles, also
opens the door for descriptions of different phases.
Note that this practical attitude is the acceptance
of the classical approach by Boltzmann and Gibbs, but
with one simple additional ingredient: the idea that the
equivalence of ensembles could be enough to justify the
recipe of statistical mechanics.

6.

Conclusions

In statistical mechanics the microscopic information is

not available, and the description of macroscopic states
by probability measures is compatible with that. At
equilibrium such probability measures should be invariant with respect to the dynamics, and the (invariant)
microcanonical ensemble plays a key role in classical
statistical mechanics.
Ergodicity seems the plausible argument for the justification of the adoption of microcanonical ensemble
for Hamiltonian systems with strong interaction among
its particles; the canonical and grand canonical ensembles would be justified by means of equivalence of ensembles [33], that is, by proving they generate the same
thermodynamics as the microcanonical one. The lack of
proofs of the validity of the ergodic hypothesis for most
classes of (mechanical) models in statistical mechanics
creates suspicions and debates on its validity, which is
reinforced by the rigorous established generic lack of ergodicity for differentiable Hamiltonians. However, besides the arguments at the end of Subsection 4.2, there
are two extreme possibilities: first, there are situations
one has noninteracting particles, for which nonergodicity is evident, and, second, the particle interaction is
so that the nonergodicity indicates a richer behavior as
the coexistence of phases.
Due to the discussion in Section 2.2 and the difficulties in proving the ergodic hypothesis, it is hard not
taking a pragmatic position and employing the microcanonical ensemble, as has actually been done since the
first days of statistical mechanics. This includes the alternative attitude presented in Section 5; note, however,
that this approach may be criticized since it does not
explain why such ensemble choices work. Surely, more
mathematical and physical investigations are necessary.
We mention very interesting related questions we

198
have not dealt with: the problem of irreversibility; the
evolution toward equilibrium and the arrow of time;
Kinchin approach [18, 2] to the ergodic question; ergodicity and phase transitions of systems with an infinite number of degrees of freedom [19, 15]. Note that
in order to discuss situations far from equilibrium one
should go a step further the ideas presented above, in
particular for estimating the increase of entropy, and so
on.
Finally, we mention a personal view expressed by
G. Gallavotti; in his opinion, despite the lack of proper mathematical tools Boltzmann understood many
points related to the ergodic hypothesis better than we
do now.

Acknowledgments
We thank the anonymous referee for valuable suggestions. C.R. de O. thanks the partial support by CNPq.
T.W. thanks a scholarship by FAPESP.

Appendix
A short discussion on ergodic theory
The (mathematical) ergodic theory can be considered
a branch of dynamical systems, particularly of those
that preserve a measure. After a discussion of (Lebesgue) integration theory, some abstract results related
to ergodicity are presented. It is expected that this collection of results and ideas could clarify many of the
statements in the main body of this article. Details of
the traditional subject of measure and integration can
be found, for instance, in Refs. [6, 32], and of ergodic
theory in Refs. [5, 14, 26, 27, 29, 42].
Measure and integration
Measure theory is a generalization of the concept of
length, area, etc., as well as of probability and density.
For example, in the case of the real line IR the natural
length of an interval (a, b) is (b a), its so-called Lebesgue measure, and one tries to extend this notion to
all subsets of IR (generalized lengths can also be considered, e.g., (b2 a2 ), resulting in other measures).
However, by using the Axiom of Choice it is possible to
construct subsets of IR for which their Lebesgue measure depends on the way the set is decomposed. So,
clearly such sets can not be considered with a welldefined length, and one says they are not measurable.
A consequence of this remark is that each measure must
be defined on a specific domain of measurable sets, called a -algebra; and the theory gets rather involved.
Definition 1 A -algebra in a set is a collection A
of subsets of (and each element of A is called a measurable set) so that
1. and belong to A.

de Oliveira and Werlang

2. If A A then \ A A.
3. If A1 , A2 , A3 ,

j=1 Aj A.

are elements of A,

then

The Borel -algebra B in a topological space is the

smallest -algebra that contains all open sets; in this
case each measurable set is also called a Borel set.
Definition 2 A (positive) measure on a -algebra A
is a function : A [0, ] (in some cases infinity is
allowed) so that if A1 ,A2 , A3 , are
Ppairwise disjoint
elements of A, then
j=1 Aj =
j=1 (Aj ).
From the definitions a series of properties of measures follows. For example: () = 0; if A1 , A2 are
measurable sets with (A1 ) < and A2 A1 , then
(A1 \ A2 ) = (A1 ) (A2 ).
A measure is finite if () < and finite if
=
j=1 Aj with (Aj ) < , j. A measure is a
probability measure if () = 1. A Borel measure is one
defined on the Borel sets. Here all considered measures
are Borel and -finite.
In open subsets of IRn and differentiable manifolds it
is possible to introduce Lebesgue measure on the Borel
sets by extending the notion of length, area, and so on,
from the respective definitions on intervals, rectangles,
etc. (Lebesgue measure is, in fact, a slight generalization of this construction, but this is not important
here).
Sets of measure zero play a very important role in
the theory, particularly in applications. If (A) is interpreted as a probability of the occurrence of the events
(points) of A, then if (A) = 0 with A 6= there are
events that are not expected to occur; it is related to the
famous expression possible but improbable events. A
shorthand notation for a property that holds except on
a set of measure zero is -a.e. (almost everywhere).
As an illustration, consider a gas with 1023 molecules in a box at certain temperature; a possibility is all
molecules moving parallel to each other giving nonzero
pressure to just two sides of the box; however, such particular situation is improbable and is not expected to
be found in practice, so the whole set of such configurations must have zero measure.
With a measure at hand it is possible to integrate
certain positive functions f : [0, ) with respect
to ; for instance if f = A is the characteristic function
of the measurable set A, that is, A () = 1 if A
and zero otherwise, then one defines
Z
Z
f d =
f () d() := (A),

Pn
and extends it linearly, that is, for f =
j=1 aj Aj ,
aj IR, Aj measurable, 1 j n (the so-called simple functions), then
Z
n
X
f () d() :=
aj (Aj ).

j=1

199

Ergodic hypothesis in classical statistical mechanics

Functions f that can be approximated by simple functions fn in a pointwise way are called measurable functions, and their integrals are defined by the corresponding limit
Z
Z
f d := lim

fn d.

For not necessarily positive functions, consider

its positive f+ () = max{0, f ()} and negative
f () = max{0, f ()} parts, so that f = f+ f
and define
Z
Z
Z
f d :=
f+ d
f d.

If both integrals in this difference is finite one says that

f is integrable (or -integrable if one wishes to specify
the measure) and the space of such functions is denoted by L1 () (sometimes complex-valued functions are
allowed).
Fix a set and a -algebra A. Given two measures
, on A, then is absolutely continuous with respect
to , denoted by , if (A) = 0 in case (A) = 0.
and are equivalent if and . An interesting way of generating a measure from another given
measure is by means of densities d() = () d(),
that is
Z
Z
f d =
f d,

for some positive -integrable function (the density)

: [0, ).
Theorem 1 (Radon-Nikodym) if, and
only if, there exists a density as above so that
d() = () d().
Two measures and are mutually singular if there
exist a measurable set A so that (A) = 0 = ( \ A),
which is denoted by . Note that if , then the
concepts of a.e. and a.e. apply to really different
situations!
Basic concepts of ergodic theory
Let be a compact metric space and t : be a
flow, that is t is a continuous and invertible map for
each t IR (identified with time), 0 = , ,
t+s = t s , t, s IR. A Borel measure is invariant for the flow t if ( t A) = (A), A B and
t IR. The existence of invariant measures in this case
is assured by Krylov-Bogolioubov theorem.
Proposition 1 The measure is invariant under the
flow t if, and only if, for all continuous function
f : IR one has
Z
Z
f ( t ()) d() =
f () d(), t.
X

The presence of an invariant measure implies the

existence of time averages
Z
1 t
f ( s ) ds, as t ,
t 0
of certain functions f : IR. This is the main content of theorems usually denominated ergodic theorems. Here two of such results will be stated, von
Neumann Mean Ergodic Theorem and Birkhoff Pointwise Ergodic Theorem, both proved around 1931. The
interested reader in a rather complete treatment of ergodic theorems and their variants are referred to Ref.
[21].
Theorem 2 (von Neumann) Let f : IR be a
function so that its square |f |2 is integrable and an
invariant measure for the flow t . Then there exists a
function f : IR so that |f|2 is integrable and
2
Z Z t
1

s
() d() = 0. (15)

lim
f
(
)
ds

t t 0
Theorem 3 (Birkhoff ) Let be an invariant measure for the flow t . If f : IR is integrable, then
Rt
i f () := limt 1t 0 f ( s ) ds exists -a.e. and
the function f is also integrable.
ii f ( t ) = f () -a.e., that is, f is constant
over orbits.
R
R
iii f () d() = f () d().
The proof of Theorem 2 is much simpler than the
proof of Birkhoff theorem 3, but the former gives no
information on the existence of time averages of individual initial conditions , since an integral is present
before the limit t . Item ii in Birkhoff theorem
should be expected. Item iii says that space average
of f coincides with time average of f , and an important particular case is when the latter is constant.
Definition 3 If for each integrable f the time average
f is constant a.e., then the pair ( t , ) is called
ergodic. Note that this implies
Z
f () =
f ( 0 ) d( 0 ), a.e.,

that is, the equality of space and time averages.

If the flow t is fixed, it is also common to say that
the invariant measure is ergodic. Under the conditions of Krylov-Bogolioubov result mentioned above, it
is possible to show that ergodic measures exist. It is
worth considering f = B in case is ergodic
Z
1 t

B ( s ) ds = (B), a.e.,
B () = lim
t t 0
that is, t visits each set B with frequency equal to
the measure of B.

200

de Oliveira and Werlang

There is a number of characterizations of ergodicity, and we mention some of them ahead. A measurable set A is invariant if t (A) = A and -invariant if
( t AA) = 0, t IR (recall that AB = (A \ B)
(B \ A) is the symmetric difference between the sets
A and B), and a measurable function f is invariant if
f t = f a.e.; for simplicity, in what follows invariant measures are supposed to be probability measures.
Theorem 4 Let be an invariant probability measure
for t . The following assertions are equivalent:
i) ( t , ) is ergodic.

which clarifies that every invariant measure can be written in terms of ergodic measures. In case only two ergodic measures 1 , 2 are present, this decomposition
reduces to convex combinations 1 + (1 )2 , with
0 1. The ergodic measures are the building
blocks of invariant measures.

References
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ii) Every invariant measurable function is constant

a.e.
iii) Every -invariant set A A has measure 0 or
1.
iv) Every invariant set A A has measure 0 or 1.

[3] J. Bricmont, Physicalia Magazine 17, 159 (1995).

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The condition in item iv) of Theorem 4 is called

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to different values of time averages and over different

sets of initial conditions.
Theorem 5 Let . If is invariant and ergodic, then = .
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has the following decomposition

Z
Z Z
f d =
f (y)d (y) d(),

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Z
(B) =
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