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This book deals with the various thermodynamic concepts used for the analysis of nonlinear dynamical systems. The most important invariants used to characterise chaotic systems are introduced in a way that stresses the interconnections with thermodynamics and statistical mechanics. Among the subjects treated are: probabilistic aspects of chaotic dynamics; the symbolic dynamics technique; information measures, the maximum entropy principle; general thermodynamic relations; spin systems; fractals and multifractals; expansion rate and information loss; the topological pressure; transfer operator methods; and repellers and escape. The more advanced chapters deal with the thermodynamic formalism for expanding maps, the thermodynamic analysis of chaotic systems with several intensive parameters and phase transitions in nonlinear dynamics.