# A short course on mean field spin glasses

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1 A short course on mean field spin glasses Anton Bovier 1 and Irina Kurkova 1 Weierstrass Institut für Angewandte Analysis und Stochastik, Mohrenstrasse 39, Berlin, Germany Laboratoire de Probabilités et Modèles Aléatoires, Université Paris 6, 4, place Jussieu, B.C. 188, 755 Paris, Cedex 5, France 1 Preparation: The Curie-Weiss model The main topic of this lecture series are diordered mean field spin systems. This first section will, however, be devoted to ordered spin systems, and more precisely essentially to the Curie-Weiss model. This will be indispensable to appreciate later the much more complicated Sherrington-Kirkpatrick spin glass. 1.1 Spin systems. In his Ph.D. thesis in 194, Ernst Ising [18, 19] attempted to solve a model, proposed by his advisor Lenz, intended to describe the statistical mechanics of an interacting system of magnetic moments. The setup of the model proceeds again from a lattice, Z d, and a finite subset, Λ Z d. The lattice is supposed to represent the positions of the atoms in a regular crystal. Each atom is endowed with a magnetic moment that is quantized and can take only the two values +1 and 1, called the spin of the atom. This spin variable at site x Λ is denoted by σ x. The spins are supposed to interact via an interaction potential φ(x, y); in addition, a magnetic field h is present. The energy of a spin configuration is then H Λ (σ) σ x (1) x y Λ φ(x, y)σ x σ y h x Λ The spin system with Hamiltonian (1) with the particular choice { J, if x y = 1 φ(x, y) = 0, otherwise () is known as the Ising spin system or Ising model. This model has played a crucial rôle in the history of statistical mechanics.

2 Anton Bovier and Irina Kurkova The essential game in statistical mechanics is to define, once a Hamiltonian is given, a probability measure, called the Gibbs measure, on the space of spinconfiguration. This entails some interesting subtleties related to the fact that we would really do this in infinite volume, but I will not enter into these here. For finite volumes, Λ, we can easily define this probability as µ β,h,λ (σ) exp ( βh Λ(σ)) Z β,h,λ, (3) where Z β,h.λ is a normalizing factor called the partition function, Z β,h,λ σ S Λ exp ( βh Λ (σ)). (4) An interesting fact of statistical mechanics is that the behavior of the partition function as a function of the parameters β and h contains an enormous amount of information. We will call F β,h,λ 1 β ln Z β,h,λ (5) the free energy of the spin system. The importance of the Ising model for modern statistical physics can hardly be overestimated. With certain extensions, some of which we will discuss here, it has become a paradigmatic model for systems of large numbers of interacting individual components, and the applications gained from the insight into this model stretch far beyond the original intentions of Lenz and Ising. 1. Subadditivity and the existence of the free energy The main concern of statistical mechanics is to describe systems in the limit when its size tends to infinity. Hence one of the first questions one asks, is whether quantities defined for finite Λ have limits as Λ Z d. The free energy (5) is defined in such a way that one can expect this limit to exists. Since these questions will recur, it will be useful to see how such a result can be proven. It will be useful to note that we can express the Hamiltonian in the equivalent form Ĥ Λ (σ) = σ x (6) φ(x, y) (σ x σ y ) h x,y Λ x Λ which differs from H Λ only by a constant. Now let Λ = Λ 1 Λ, where Λ i are disjoint volumes. Clearly we have that Z β,λ = exp ( β [H Λ1 (σ) + H Λ (τ)]) σ x,x Λ 1 τ y,y Λ exp β (7) x Λ 1 y Λ φ(x, y)(σ x τ y )

3 Mean field spin glasses 3 If φ(x, y) 0, this implies that and therefore Z β,λ Z β,λ1 Z β,λ (8) F β,λ ( F β,λ1 ) + ( F β,λ ) (9) The property (8) is called subadditivity of the sequence ( F β,λ ). The importance of subadditivity is that it implies convergence, through an elementary analytic fact: Lemma 1. Let a n be a real-valued sequence that satisfies, for any n, m N, a n+m a n + a m (10) Then, lim n n 1 a n exists. If, moreover, n 1 a n is uniformly bounded from below, then the limit is finite. By successive iteration, the lemma has an immediate extension to arrays: Lemma. Let a n1,n,...,n d, n i N be a real-valued array that satisfies, for any n i, m i N, a n1+m 1,...,n d +m d a n1,...,n d + a m1,...m d (11) Then, lim n (n 1 n..., n d ) 1 a n1,...,n d exists. If a n (n 1 n..., n d ) 1 a n1,...,n d b >, then the limit is finite. Lemma can be used straightforwardly to prove convergence of the free energy over rectangular boxes: Proposition 1. If the Gibbs free energy F β,λ of a model satisfies the subadditivity property (9), and if sup σ H Λ (σ)/ Λ C >, then, for any sequence Λ n of rectangles lim Λ n 1 F β,λn = f β (1) n exists and is finite. Obviously this proposition gives the existence of the free energy for Ising s model, but the range of applications of Proposition 1 is far wider, and virtually covers all lattice spin systems with bounded and absolutely summable interactions. To see this, one needs to realize that strict subadditivity is not really needed, as error terms arising, e.g., from boundary conditions can easily be controlled. Further details can be found in Simon s book [8].

4 4 Anton Bovier and Irina Kurkova 1.3 The Curie Weiss model Although the Ising model can be solved exactly in dimensions one (easy) and two (hard), exact solutions in statistical mechanics are rare. To get a quick insight into specific systems, one often introduces exactly solvable mean field models. It will be very instructive to study the simplest of these models, the Curie Weiss model in some detail. All we need to do to go from the Ising model to the Curie-Weiss model is to replace the nearest neighbor pair interaction of the Ising model by another extreme choice, namely the assumption that each spin variable interacts with each other spin variable at any site of the lattice with exactly the same strength. Since then the actual structure of the lattice becomes irrelevant, and we simply take Λ = {1,..., N}. The strength of the interaction should be chosen of order 1/N, to avoid the possibility that the Hamiltonian takes on values larger than O(N). Thus, the Hamiltonian of the Curie Weiss model is H N (σ) = 1 N 1 i,j N σ i σ j h N σ i (13) At this moment it is time to discuss the notion of macroscopic variables in some more detail. So far we have seen the magnetization, m, as a thermodynamic variable. It will be reasonable to define another magnetization as a function on the configuration space: we will call m N (σ) N 1 N i=1 i=1 σ i (14) the empirical magnetization. Here we divided by N to have a specific magnetization. A function of this type is called a macroscopic function, because it depends on all spin variables, and depends on each one of them very little (we will make these notions more rigorous in the next section). Note that the particular structure of the Curie Weiss model entails that the Hamiltonian can be written as a function of this single macroscopic function: H N (σ) = N [m N (σ)] hnm N (σ) NΨ h (m N (σ)) (15) This can be considered as a defining feature of mean field models. Let us now try to compute the free energy of this model. Because of the the interaction term, this problem looks complicated at first. To overcome this difficulty, we do what would appear unusual from our past experience: we go from the ensemble of fixed magnetic field to that of fixed magnetization. That is, we write Z β,h,n = +mh) z m,n (16) m M N e Nβ( m where M N is the set of possible values of the magnetization, i.e.,

5 and Mean field spin glasses 5 M N {m R : σ { 1, 1} N : m N (σ) = m} (17) = { 1, 1 + /N,..., 1 /N, 1} z m,n σ { 1,1} N 1I mn (σ)=m (18) is a micro-canonical partition function. Fortunately, the computation of this micro-canonical partition function is easy. In fact, all possible values of m are of the form m = 1 k/n, where k runs from 0 to N and counts the number of spins that have the value 1. Thus, the computation of z m,n amounts to the most elementary combinatorial problem, the counting of the number of subsets of size k in the set of the first N integers. Thus, ( ) N N! z m,n = (19) N(1 m)/ [N(1 m)/]![n(1 + m)/]! It is always useful to know the asymptotics of the logarithm of the binomial coefficients which gives, to leading order, for m M N, N 1 ln z m,n ln I(m) (0) where I(m) = 1 + m ln(1 + m) + 1 m ln(1 m) (1) is called Cramèr s entropy function and worth memorizing. Note that by its nature it is a relative entropy. Some elementary properties of I are useful to know: First, I is symmetric, convex, and takes its unique minimum, 0, at 0. Moreover I(1) = I( 1) = ln. Its derivative, I (m) = arcth(m), exists in ( 1, 1). While I is not uniformly Lipschitz continuous on [ 1, 1], it has the following property: Lemma 3. There exists C < such that for any interval [ 1, 1] with < 0.1, max x,y I(x) I(y) C ln. 1 We would like to say that lim N N ln z m,n = ln + I(m). But there is a small problem, due to the fact that the relation (0) does only hold on the N-dependent set M N. Otherwise, ln z m,n =. A precise asymptotic statement could be the following: Lemma 4. For any m [ 1, 1], lim ɛ 0 1 lim N N ln m M M : m m <ɛ z m,n = ln + I( m) () Proof. The proof is elementary from properties of z m,n and I(m) mentioned above and is left to the reader.

6 6 Anton Bovier and Irina Kurkova In probability theory, the following formulation of Lemma 4 is known as Cramèr s theorem. It is the simplest so-called large deviation principle [1]: Lemma 5. Let A B(R) be a Borel-subset of the real line. Define a probability measure p N by p N (A) N m M N A z m,n, and let I(m) be defined in (1) Then inf I(m) lim inf m A N lim sup N 1 N ln p N(A) (3) 1 N ln p N (A) inf I(m) m Ā Moreover, I is convex, lower-semi-continuous, Lipschitz continuous on ( 1, 1), bounded on [ 1, 1], and equal to + on [ 1, 1] c. Remark 1. The classical interpretation of the preceding theorem is the following. The spin variables σ i = ±1 are independent, identically distributed binary random variables taking the values ±1 with equal probability. m N (σ) is the normalized sum of the first N of these random variables. p N denotes the probability distribution of the random variable m N, which is inherited from the probability distribution of the family of random variables σ i. It is well known, by the law of large numbers, that p N will concentrate on the value m = 0, as N tends to. A large deviation principle states in a precise manner how small the probability will be that m N take on different values. In fact, the probability that m N will be in a set A, that does not contain 0, will be of the order exp( Nc(A)), and the value of c(a) is precisely the smallest value that the function I(m) takes on the set A. The computation of the canonical partition function is now easy: Z β,h,n = ( ) ( ( )) N m exp Nβ N(1 m)/ + hm m M N and by the preceeding lemma, one finds that: Lemma 6. For any temperature, β 1, and magnetic field, h, (4) 1 lim N βn ln Z ( β,h,n = inf m / + hm β 1 (ln I(m) ) m [0,1] = f(β, h) (5) Proof. We give the simplest proof, which, however, contains some valuable lessons. We first prove an upper bound for Z β,h,n : Z β,h,n N max exp (Nβ ( m ) ( ) m M N + hm) N (6) N(1 m)/ N max (Nβ exp ( m ) m [ 1,1] + hm) + N(ln I(m) J N (m))

7 Mean field spin glasses 7 Hence N 1 ln Z β,h,n (7) ( ( ) ) m N 1 ln N + max β m [ 1,1] + hm + ln I(m) J N (m) ( ( ) ) m ln + sup β + hm I(m) + N 1 O(ln N) m [ 1,1] so that lim sup N N 1 ln Z β,h,n β sup m [ 1,1] ( ) m + hm β 1 I(m) + ln (8) This already looks good. Now all we need is a matching lower bound. It can be found simply by using the property that the sum is bigger than its parts: ( ( )) ( ) m Z β,h,n max exp Nβ m M N + hm N (9) N(1 m)/ We see that we will be in business, up to the small problem that we need to pass from the max over M N to the max over [ 1, 1], after inserting the bound for the binomial coefficient in terms of I(m). In fact, we get that ( ) m N 1 ln Z β,h,n ln + β max m M N + hm β 1 I(m) (30) O(ln N/N) for any N. Now, we can easily check that ( ) max m m M N + hm β 1 I(m) ( ) m + hm β 1 I(m) C ln N/N so that lim inf N sup m [0,1], m m /N 1 βn ln Z β,h,n β 1 ln + sup m [ 1,1] ( ) m + hm β 1 I(m) (31) (3) and the assertion of the lemma follows immediately. The function g(β, m) m / β 1 (ln I(m)) is called the Helmholtz free energy for zero magnetic field, and lim ɛ 0 1 lim N βn ln m: m m <ɛ Z β, m,n = g(β, m) (33)

8 8 Anton Bovier and Irina Kurkova where Z β, m,n = σ { 1,1} N e βhn (σ) 1I mn (σ)=m (34) for h = 0. Thermodynamically, the function f(β, h) is then called Gibbs free energy, and the assertion of the lemma would then be that the Gibbs free energy is the Legendre transform of the Helmholtz free energy. The latter is closely related to the rate function of a large deviation principle for the distribution of the magnetization under the Gibbs distribution. Namely, if we define the Gibbs distribution on the space of spin configurations µ β,h,n (σ) e βh N (σ) Z β,h,n (35) and denote by p β,h,n (A) µ β,h,n ({m N (σ) A}) the law of m N under this distribution, then we obtain very easily Lemma 7. Let p β,h,n be the law of m N (σ) under the Gibbs distribution. Then the family of probability measures p β,h,n satisfies a large deviation principle, i.e. for all Borel subsets of R, inf (g(β, m) hm) + f(β, h) lim inf m A N lim sup N 1 βn ln p β,h,n (A) (36) 1 βn ln p β,h,n (A) inf (g(β, m) hm) + f(β, h) m Ā We see that the thermodynamic interpretation of equilibrium emerges very nicely: the equilibrium value of the magnetization, m(β, h), for a given temperature and magnetic field, is the value of m for which the rate function in Lemma 7 vanishes, i.e., which satisfies the equation g(β, m(β, h)) hm(β, h) = f(β, h) (37) By the definition of f (see (5)), this is the case whenever m(β, h) realizes the infimum in (5). If g(β, m) is strictly convex, this infimum is unique, and, as long as g is convex, it is the set on which g(β,m) m = h. Note that, in our case, g(β, m) is not a convex function of m if β > 1. In fact, it has two local minima, situated at the values ±m β, where m β is defined as the largest solution of the equation m = tanh βm (38) Moreover, the function g is symmetric, and so takes the same value at both minima. As a consequence, the minimizer of the function g(β, m) mh, the magnetization as a function of the magnetic field, is not unique at the value

9 Mean field spin glasses 9 h = 0 (and only at this value). For h > 0, the minimizer is the positive solution of m = tanh(β(m+h)), while for negative h it is the negative solution. Consequently, the magnetization has a jump discontinuity at h = 0, where it jumps by m β. One says that the Curie Weiss model exhibits a first order phase transition. 1.4 A different view on the CW model. We will now have a slightly different look at the Curie-Weiss model. This will be very instructive from the later perspective of the Sherrington-Kirkpatrick model. To get started, we may want to compute the distribution of the spin variables as such. The perspective here is that of the product topology, so we should consider a fixed finite set of indices which without loss we may take to be {1,..., K} and ask for the Gibbs probability that the corresponding spin variables, σ 1,..., σ K take specific values, and then take the thermodynamic limit. To do these computations, it will be useful to make the following choices. The total volume of the system will be denoted K + N, where K is fixed and N will later tend to infinity. We will write ˆσ (σ 1,..., σ K ), and ˇσ (σ K+1,..., σ K+N ). We set σ = (ˆσ, ˇσ). We now re-write the Hamiltonian as This can be written as H K+N (σ) = + + H K+N (σ) = + 1 (N + K) 1 (N + K) 1 N + K K i=1 i,j K i,j>k σ i σ i σ j (39) σ i σ j N+K j=k+1 σ j. K (N + K) (m K(ˆσ)) (40) N (N + K) (m N (ˇσ)) + N N + K K σ i m N (ˇσ). Now the first term in this sum is of order 1/N and can be neglected. Also N/(N + K) 1 + O(1/N). But note that N /(N + K) = N K(1 K/N) N K. Using these approximations, we see that, up to terms that will vanish in the limit N, i=1

10 10 Anton Bovier and Irina Kurkova µ β,n+k (ˆσ) = Eˇσe β(n K)(m N (ˇσ)) / e βm N (ˇσ) K i=1 σi = Eˇσ e β(n K)(m N (ˇσ)) / ˆσ eβm N (ˇσ) K (41) i=1 σi Qβ,N (dm)e βkm / e βm K i=1 σi Qβ,N (dm)e βkm / K i=1 cosh(βm). Now we know that Q β,n converges to either a Dirac measure on m or the mixture of two Dirac measures on m and m. Thus it follows from (41) That µ β,n+k converges to a product measure. But assume that we did not know anything about Q β. Could we find out about it? First, we write (assuming convergence, otherwise take a subsequence) µ β (ˆσ) = Qβ (dm)e βkm / e βm K i=1 σi Qβ (dm)e βkm / K i=1 cosh(βm) (4) Thus (41) establishes that the Gibbs measure of our model is completely determined by a single probability distribution, Q β, on a scalar random variable. Thus the task of finding the Gibbs measure is reduced to finding this distribution. How could we do this? A natural idea would be to use the Gibbs variational principle that say that the thermodynamic state must minimize the free energy. For this we would just need a representation of the free energy in terms of Q β. To get there, we write the analog of (41) for the partition function. This yields Z β,n+k = Z β,n Q β,n (dm)e βkm / K cosh(βm). (43) Now it is not hard to see that the free energy can be obtained as lim N i=1 1 Kβ ln Z β,n+k Z β,n = f β. Thus we get the desired representation of the free energy f β = 1 Kβ ln Q β,n (dm) exp ( βk ( m / β 1 ln cosh(βm) )). (44) Thus the Gibbs principle states implies that 1 f β = sup Q Kβ ln Q(dm) exp ( βk ( m / β 1 ln cosh(βm) )), (45) where the supremum is taken over all probability measures on R. It is of course not hard to see that the supremum is realized by any probability measure that has support on the minimizer of the function m / β 1 ln cosh(βm).

11 Mean field spin glasses 11 We will see later that a curious analog, with the sup replaced by an inf, of the formula (45) is the key to the solution of the Sherrington-Kirkpatrick model. Should we not have known about the Gibbs principle, we could instead have observed that (44) can only hold for all K, if Q β is supported on the minimizer of the function m / β 1 ln cosh(βm). Remark. An other way to reach the same conclusion is to derive the the consistency relation Q β (dm)m = Qβ (dm)e βkm / [cosh(βm)] K tanh(βm) Qβ (dm)e βkm / [cosh(βm)] k (46) for arbitrary K. But then it is clear that this can hold for all K only if Q β is concentrated on the minimizers of the function mr/ β 1 ln cosh(βm), which happen also to solve the equation m = tanh(βm ) so that in the end all is consistent.

12 1 Anton Bovier and Irina Kurkova Random mean field models The naive analog of the Curie Weiss Hamiltonian with random couplings would be H N [ω](σ) = 1 J ij [ω]σ i σ j (47) N 1 i,j N for, say, J ij some family of i.i.d. random variables. Thus, we must estimate P[max σ H N (σ) CN]. But, P[max H N(σ) CN] P[H N (σ) CN] (48) σ σ S N = σ S N inf = t 0 e tcn Ee t 1 N inf t 0 e tcn σ S N i,j Λ N Λ N J ij[ω]σ iσ j i,j Λ N Λ N Ee t 1 where we assumed that the exponential moments of J ij estimate then shows that, for some constant c, Ee t 1 N Jij[ω]σiσj so N Jij[ω]σiσj exist. A standard e c t N, and P[max H N (σ) CN] N inf σ t 0 e tcn e ct / N e C N c (49) which tends to zero with N. Thus, our Hamiltonian is never of order N, but at best of order N. The proper Hamiltonian for what is called the Sherrington Kirkpatrick model (or short SK-model), is thus HN SK 1 N i,j Λ N Λ N J ij σ i σ j (50) where the random variables J ij = J ji are i.i.d. for i j with mean zero (or at most J 0 N 1/ ) and variance normalized to one for i j and to two for i = j In its original, and mostly considered, form, the distribution is moreover taken to be Gaussian. This model was introduced by Sherrington and Kirkpatrick in 1976 [7] as an attempt to furnish a simple, solvable mean-field model for the then newly discovered class of materials called spin-glasses..1 Gaussian process This point of view consists of regarding the Hamiltonian (50) as a Gaussian random process indexed by the set S N, i.e. by the N-dimensional hypercube. Covariance function cov(h N (σ), H N (σ )) = 1 EJ ij J kl σ i σ j σ N kσ l (51) = 1 N 1 i,j,l,k N 1 i,j N σ i σ iσ j σ j = NR N (σ, σ )

13 Mean field spin glasses 13 where R N (σ, σ ) N 1 N i=1 σ iσ i is usually called the overlap between the two configurations σ and σ. Hamming distance d HAM (σ, σ ) #(i N : σ i σ i ), namely R N (σ, σ ) = (1 N 1 d HAM (σ, σ )). More general class: cov(h N (σ), H N (σ )) = Nξ(R N (σ, σ )) (5) normalized such that ξ(1) = 1. p-spin SK-models, which are obtained by choosing ξ(x) = x p. H p SK N (σ) = 1 N p 1 1 i 1,...,i p N J i1...i p σ i1... σ ip (53) As we will see later, the difficulties in studying the statistical mechanics of these models is closely linked to the understanding of the extremal properties of the corresponding random processes. While Gaussian processes have been heavily analyzed in the mathematical literature (see e.g. [, 1]), the known results were not enough to recover the heuristic results obtained in the physics literature. This is one reason why this particular field of mean-field spin-glass models has considerable intrinsic interest for mathematics.. The generalized random energy models Further classes of models: Use different distances! Lexicographic distance: d N (σ, τ) N 1 (min(i : σ i τ i ) 1) (54) is analogous to the overlap R N (σ, τ). The corresponding Gaussian processes are then characterized by covariances given by cov(h N (σ), H N (τ)) = NA(d N (σ, τ)) (55) where A can be chosen to be any non-decreasing function on [0, 1], and can be thought of as a probability distribution function. The choice of the lexicographic distance entails some peculiar features. First, this distance is an ultrametric, i.e. for any three configurations σ, τ, ρ, d N (σ, τ) = min (d N (σ, ρ), d N (τ, ρ)) (56)

14 14 Anton Bovier and Irina Kurkova 3 The simples example: the REM We set H N (σ) = NX σ (57) where X σ, σ S N, are N i.i.d. standard normal random variables. 3.1 Ground-state energy and free energy Lemma 8. The family of random variables introduced above satisfies both almost surely and in mean. lim max N 1/ X σ = ln (58) N σ S N Proof. Since everything is independent, [ ] ( P max X σ u = 1 1 σ S N π u ) N e x / dx (59) and we just need to know how to estimate the integral appearing here. This is something we should get used to quickly, as it will occur all over the place. It will always be done using the fact that, for u > 0, then (for x > ln N/ ln ) Thus 1 u e u / ( 1 u ) u N (x) = N ln + N π u N (x) u e x / dx 1 u e u / (60) e z / dx = e x (61) x ln(n ln ) + ln 4π N ln + o(1/ N) (6) N ln [ ] P max X σ u N (x) = ( 1 N e x) N e e x (63) σ S N In other terms, the random variable u 1 N (max σ S N X σ ) converges in distribution to a random variable with double-exponential distribution Next we turn to the analysis of the partition function. Z β,n N e β NXσ (64) σ S N A first guess would be that a law of large numbers might hold, implying that Z β,n EZ β,n, and hence lim Φ 1 β,n = lim N N N ln EZ β,n = β, a.s. (65) Holds only for small enough values of β!

15 Mean field spin glasses 15 Theorem 1. In the REM, where β c = ln. lim EΦ β,n = N { β, for β β c β (66) c + (β β c )β c, for β β c Proof. We use the method of truncated second moments. We will first derive an upper bound for EΦ β,n. Note first that by Jensen s inequality, E ln Z ln EZ, and thus On the other hand we have that EΦ β,n β (67) E d dβ Φ β,n = N 1/ E E σx σ e β NXσ (68) Z β,n N 1/ E max σ S N X σ β ln (1 + C/N) for some constant C. Combining (67) and (68), we deduce that EΦ β,n inf β 0 0 { β, for β β 0 β 0 + (β β 0 ) (69) ln (1 + C/N), for β β 0 It is easy to see that the infimum is realized (ignore the C/N correction) for β 0 = ln. This shows that the right-hand side of (66) is an upper bound. It remains to show the corresponding lower bound. Note that, since d dβ Φ β,n 0, the slope of Φ β,n is non-decreasing, so that the theorem will be proven if we can show that Φ β,n β / for all β < ln, i.e. that the law of large numbers holds up to this value of β. A natural idea to prove this is to estimate the variance of the partition function One would compute EZβ,N = E σ E σ Ee β N(X σ+x σ ) = N e Nβ + σ σ σ e Nβ (70) = e Nβ [ (1 N ) + N e Nβ] where all we used is that for σ σ X σ and X σ are independent. The second term in the square brackets is exponentially small if and only if β < ln. For such values of β we have that

16 16 Anton Bovier and Irina Kurkova [ P ln Z ] [ β,n EZ β,n > ɛn Zβ,N = P < e ɛn or Z ] β,n > e ɛn EZ β,n EZ β,n [ ( ) Zβ,N P 1 > ( 1 e ɛn ) ] EZ β,n EZ β,n /(EZ β,n ) 1 (1 e ɛn ) N + N e Nβ (1 e ɛn ) (71) which is more than enough to get (65). But of course this does not correspond to the critical value of β claimed in the proposition! Instead of the second moment of Z one should compute a truncated version of it, namely, for c 0, Z β,n (c) E σ e β NX σ 1I Xσ<c N (7) An elementary computation using (60) shows that, if c > β, then ( ) E Z / β,n (c) = e β N 1 e Nβ (1 + O(1/N) πn(c β) (73) so that such a truncation essentially does not influence the mean partition function. Now compute the mean of the square of the truncated partition function (neglecting irrelevant O(1/N) errors): where E Z β,n (c) = (1 N )[E Z β,n (c)] + N Ee β NX σ 1I Xσ<c N ) (74) e βn, if β < c E e β NX σ 1I Xσ<c N = c N N ecβn (β c), otherwise, (75) πn Combined with (73) this implies that, for c/ < β < c, N E e β NX σ 1I Xσ<c N ( E Z N,β ) = e N(c β) N( ln c )/ (β c) N (76) Therefore, for all c < ln, and all β < c, E [ Zβ,N (c) E Z ] β,n (c) e Ng(c,β) (77) E Z β,n (c) with g(c, β) > 0. Thus Chebyshev s inequality implies that

17 and so, in particular, Mean field spin glasses 17 [ P Z β,n (c) E Z β,n (c) > δe Z ] β,n (c) δ e Ng(c,β) (78) lim N 1 N E ln Z 1 β,n (c) = lim N N ln E Z β,n (c) (79) for all β < c < ln = β c. But this implies that for all β < β c, we can chose c such that 1 lim N N ln EZ 1 β,n lim N N ln E Z β,n (c) = β (80) This proves the theorem. 3. Fluctuations and limit theorems Theorem 1. Let P denotes the Poisson point process on R with intensity measure e x dx. Then, in the REM, with α = β/ ln, if β > ln, and e N[β ln ln ]+ α [ln(n ln )+ln 4π] Z β,n D e αz P(dz) (81) N (Φ β,n EΦ β,n ) D ln e αz P(dz) E ln e αz P(dz). (8) Proof. Basically, the idea is very simple. We expect that for β large, the partition function will be dominated by the configurations σ corresponding to the largest values of X σ. Thus we split Z β,n carefully into Z x N,β E σ e β NX σ 1I {Xσ u N (x)} (83) and Z β,n Zβ,N x. Let us first consider the last summand. We introduce the random variable W N (x) = Z β,n Zβ,N x = N NXσ 1I {Xσ>u N (x)} (84) σ S N e β It is convenient to rewrite this as (we ignore the sub-leading corrections to u N (x) and only keep the explicit part of (6)) W N (x) = N NuN (u 1 N σ S N e β (Xσ)) 1I {u 1 N (Xσ)>x} = e N(β ln ln ) α [ln(n ln )+ln 4π] (85) 1 N (Xσ) 1I {u 1 σ S N e αu 1 C(β, N) σ S N e αu N (Xσ)>x} (86) 1 N (Xσ) 1I {u 1 N (Xσ)>x} (87)

18 18 Anton Bovier and Irina Kurkova where α β/ ln (88) and C(b, N) is defined through the last identity. The key to most of what follows relies on the famous result on the convergence of the extreme value process to a Poisson point process (for a proof see, e.g., [1]): Theorem. Let P N be point process on R given by P N σ S N δ u 1 N (Xσ) (89) Then P N converges weakly to a Poisson point process on R with intensity measure e x dx. Clearly, the weak convergence of P N to P implies convergence in law of the right-hand side of (85), provided that e αx is integrable on [x, ) w.r.t. the Poisson point process with intensity e x. This is, in fact, never a problem: the Poisson point process has almost surely support on a finite set, and therefore e αx is always a.s. integrable. Note, however, that for β ln the mean of the integral is infinite, indicating the passage to the low-temperature regime. Lemma 9. Let W N (x), α be defined as above, and let P be the Poisson point process with intensity measure e z dz. Then C(β, N)W N (x) D x e αz P(dz) (90) Next we show that the contribution of the truncated part of the partition function is negligible compared to this contribution. For this it is enough to compute the mean values so that EZ x β,n e Nβ / u N (x) β N dz π e z e (u N (x) β N) / e Nβ / π(β N un (x)) N e x(α 1) α 1 = ex(α 1) α 1 e N(β ln ln ) α [ln(n ln )+ln 4π] 1 C(β, N) (91) C(β, N)EZβ,N x ex(α 1) α 1 which tends to zero as x, and so C(β, N)EZβ,N x converges to zero in probability. The assertions of Theorem 1 follow.

19 Mean field spin glasses The Gibbs measure A nice way to do this consists in mapping the hypercube to the interval (0, 1] via N S N σ r N (σ) 1 (1 σ i ) i 1 (0, 1] (9) i=1 Define the pure point measure µ β,n on (0, 1] by µ β,n σ S N δ rn (σ)µ β,n (σ) (93) Our results will be expressed in terms of the convergence of these measures. It will be understood in the sequel that the space of measures on (0, 1] is equipped with the topology of weak convergence, and all convergence results hold with respect to this topology. Let us introduce the Poisson point process R on the strip (0, 1] R with intensity measure 1 dy e x dx. If (Y k, X k ) denote the atoms of this process, define a new point process M α on (0, 1] (0, 1] whose atoms are (Y k, w k ), where e αx k w k (94) R(dy, dx)e αx for α > 1. With this notation we have that: Theorem 3. If β > ln, with α = β/ ln, then D µ β,n µβ M α (dy, dw)δ y w (95) (0,1] (0,1] Proof. With u N (x) defined in (6), we define the point process R N on (0, 1] R by R N δ (rn (σ),u 1 N (Xσ)) (96) σ S N A standard result of extreme value theory (see [1], Theorem 5.7.) is easily adapted to yield that R N D R, as N (97) Note that µ β,n (σ) = eαu 1 N (Xσ) σ eαu 1 1 N (Xσ) = e αu (98) N (Xσ) RN (dy, dx)e αx Since R N (dy, dx)e αx < a.s., we can define the point process M α,n ) (99) δ( exp(αu 1 (Xσ )) r N (σ), N σ S RN (dy,dx) exp(αx) N

20 0 Anton Bovier and Irina Kurkova on (0, 1] (0, 1]. Then µ β,n = M α,n (dy, dw)δ y w (100) The only non-trivial point in the convergence proof is to show that the contribution to the partition functions in the denominator from atoms with u N (X σ ) < x vanishes as x. But this is precisely what we have shown to be the case in the proof of part of Theorem 1. Standard arguments then imply that first M α,n D Mα, and consequently, (95). The measure µ β is in fact closely related to a classical object in probability theory, the α-stable Lévy subordinator. To see this, denote by Z α (t) t + 0 e αx R(dy, dx). (101) Clearly, the probability distribution function associated to the measure µ β satisfies, for t [0, 1], t µ β (dx) = Z α(t) Z α (1). (10) 0 Lemma 10. For any 0 < α < 1, the stochastic process Z α (t) is the α-stable levy process (subordinator) with Lévy measure y 1/α 1 dy. Proof. There are various ways to prove this result. Note first that the process has independent, identically distributed increments. It is then enough, e.g. to compute the Laplace transform of the one-dimensional distribution, i.e. one shows that ( ) Ee λzα(t) = exp (e λy 1)y 1/α 1 dy. (103) 0 This can be done by elementary calculus and is left to the reader. Let us note that is is not difficult to show that the process 1 N (Xσ) 1I rn (σ) t (104) σ S N e αu converges in the Skorokhod J 1 -topology to the α-stable Lévy subordinator. Hence the distribution function of the measures µ β,n to µ β can be interpreted in the sense of the corresponding convergence of their distribution functions a stochastic processes on Skorokhod space.

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