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1   /*
2    * Licensed to the Apache Software Foundation (ASF) under one or more
3    * contributor license agreements.  See the NOTICE file distributed with
4    * this work for additional information regarding copyright ownership.
5    * The ASF licenses this file to You under the Apache License, Version 2.0
6    * (the "License"); you may not use this file except in compliance with
7    * the License.  You may obtain a copy of the License at
8    *
9    *      http://www.apache.org/licenses/LICENSE-2.0
10   *
11   * Unless required by applicable law or agreed to in writing, software
12   * distributed under the License is distributed on an "AS IS" BASIS,
13   * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
14   * See the License for the specific language governing permissions and
15   * limitations under the License.
16   */
17  
18  package org.apache.commons.math4.legacy.ode;
19  
20  import org.apache.commons.math4.legacy.core.Field;
21  import org.apache.commons.math4.legacy.core.RealFieldElement;
22  import org.apache.commons.math4.legacy.exception.DimensionMismatchException;
23  import org.apache.commons.math4.legacy.exception.MathIllegalStateException;
24  import org.apache.commons.math4.legacy.exception.MaxCountExceededException;
25  import org.apache.commons.math4.legacy.exception.NoBracketingException;
26  import org.apache.commons.math4.legacy.exception.NumberIsTooSmallException;
27  import org.apache.commons.math4.legacy.exception.util.LocalizedFormats;
28  import org.apache.commons.math4.legacy.linear.Array2DRowFieldMatrix;
29  import org.apache.commons.math4.legacy.ode.nonstiff.AdaptiveStepsizeFieldIntegrator;
30  import org.apache.commons.math4.legacy.ode.nonstiff.DormandPrince853FieldIntegrator;
31  import org.apache.commons.math4.legacy.ode.sampling.FieldStepHandler;
32  import org.apache.commons.math4.legacy.ode.sampling.FieldStepInterpolator;
33  import org.apache.commons.math4.core.jdkmath.JdkMath;
34  import org.apache.commons.math4.legacy.core.MathArrays;
35  
36  /**
37   * This class is the base class for multistep integrators for Ordinary
38   * Differential Equations.
39   * <p>We define scaled derivatives s<sub>i</sub>(n) at step n as:
40   * <div style="white-space: pre"><code>
41   * s<sub>1</sub>(n) = h y'<sub>n</sub> for first derivative
42   * s<sub>2</sub>(n) = h<sup>2</sup>/2 y''<sub>n</sub> for second derivative
43   * s<sub>3</sub>(n) = h<sup>3</sup>/6 y'''<sub>n</sub> for third derivative
44   * ...
45   * s<sub>k</sub>(n) = h<sup>k</sup>/k! y<sup>(k)</sup><sub>n</sub> for k<sup>th</sup> derivative
46   * </code></div>
47   * <p>Rather than storing several previous steps separately, this implementation uses
48   * the Nordsieck vector with higher degrees scaled derivatives all taken at the same
49   * step (y<sub>n</sub>, s<sub>1</sub>(n) and r<sub>n</sub>) where r<sub>n</sub> is defined as:
50   * <div style="white-space: pre"><code>
51   * r<sub>n</sub> = [ s<sub>2</sub>(n), s<sub>3</sub>(n) ... s<sub>k</sub>(n) ]<sup>T</sup>
52   * </code></div>
53   * (we omit the k index in the notation for clarity)
54   * <p>
55   * Multistep integrators with Nordsieck representation are highly sensitive to
56   * large step changes because when the step is multiplied by factor a, the
57   * k<sup>th</sup> component of the Nordsieck vector is multiplied by a<sup>k</sup>
58   * and the last components are the least accurate ones. The default max growth
59   * factor is therefore set to a quite low value: 2<sup>1/order</sup>.
60   * </p>
61   *
62   * @see org.apache.commons.math4.legacy.ode.nonstiff.AdamsBashforthFieldIntegrator
63   * @see org.apache.commons.math4.legacy.ode.nonstiff.AdamsMoultonFieldIntegrator
64   * @param <T> the type of the field elements
65   * @since 3.6
66   */
67  public abstract class MultistepFieldIntegrator<T extends RealFieldElement<T>>
68      extends AdaptiveStepsizeFieldIntegrator<T> {
69  
70      /** First scaled derivative (h y'). */
71      protected T[] scaled;
72  
73      /** Nordsieck matrix of the higher scaled derivatives.
74       * <p>(h<sup>2</sup>/2 y'', h<sup>3</sup>/6 y''' ..., h<sup>k</sup>/k! y<sup>(k)</sup>)</p>
75       */
76      protected Array2DRowFieldMatrix<T> nordsieck;
77  
78      /** Starter integrator. */
79      private FirstOrderFieldIntegrator<T> starter;
80  
81      /** Number of steps of the multistep method (excluding the one being computed). */
82      private final int nSteps;
83  
84      /** Stepsize control exponent. */
85      private double exp;
86  
87      /** Safety factor for stepsize control. */
88      private double safety;
89  
90      /** Minimal reduction factor for stepsize control. */
91      private double minReduction;
92  
93      /** Maximal growth factor for stepsize control. */
94      private double maxGrowth;
95  
96      /**
97       * Build a multistep integrator with the given stepsize bounds.
98       * <p>The default starter integrator is set to the {@link
99       * DormandPrince853FieldIntegrator Dormand-Prince 8(5,3)} integrator with
100      * some defaults settings.</p>
101      * <p>
102      * The default max growth factor is set to a quite low value: 2<sup>1/order</sup>.
103      * </p>
104      * @param field field to which the time and state vector elements belong
105      * @param name name of the method
106      * @param nSteps number of steps of the multistep method
107      * (excluding the one being computed)
108      * @param order order of the method
109      * @param minStep minimal step (must be positive even for backward
110      * integration), the last step can be smaller than this
111      * @param maxStep maximal step (must be positive even for backward
112      * integration)
113      * @param scalAbsoluteTolerance allowed absolute error
114      * @param scalRelativeTolerance allowed relative error
115      * @exception NumberIsTooSmallException if number of steps is smaller than 2
116      */
117     protected MultistepFieldIntegrator(final Field<T> field, final String name,
118                                        final int nSteps, final int order,
119                                        final double minStep, final double maxStep,
120                                        final double scalAbsoluteTolerance,
121                                        final double scalRelativeTolerance)
122         throws NumberIsTooSmallException {
123 
124         super(field, name, minStep, maxStep, scalAbsoluteTolerance, scalRelativeTolerance);
125 
126         if (nSteps < 2) {
127             throw new NumberIsTooSmallException(
128                   LocalizedFormats.INTEGRATION_METHOD_NEEDS_AT_LEAST_TWO_PREVIOUS_POINTS,
129                   nSteps, 2, true);
130         }
131 
132         starter = new DormandPrince853FieldIntegrator<>(field, minStep, maxStep,
133                                                          scalAbsoluteTolerance,
134                                                          scalRelativeTolerance);
135         this.nSteps = nSteps;
136 
137         exp = -1.0 / order;
138 
139         // set the default values of the algorithm control parameters
140         setSafety(0.9);
141         setMinReduction(0.2);
142         setMaxGrowth(JdkMath.pow(2.0, -exp));
143     }
144 
145     /**
146      * Build a multistep integrator with the given stepsize bounds.
147      * <p>The default starter integrator is set to the {@link
148      * DormandPrince853FieldIntegrator Dormand-Prince 8(5,3)} integrator with
149      * some defaults settings.</p>
150      * <p>
151      * The default max growth factor is set to a quite low value: 2<sup>1/order</sup>.
152      * </p>
153      * @param field field to which the time and state vector elements belong
154      * @param name name of the method
155      * @param nSteps number of steps of the multistep method
156      * (excluding the one being computed)
157      * @param order order of the method
158      * @param minStep minimal step (must be positive even for backward
159      * integration), the last step can be smaller than this
160      * @param maxStep maximal step (must be positive even for backward
161      * integration)
162      * @param vecAbsoluteTolerance allowed absolute error
163      * @param vecRelativeTolerance allowed relative error
164      */
165     protected MultistepFieldIntegrator(final Field<T> field, final String name, final int nSteps,
166                                        final int order,
167                                        final double minStep, final double maxStep,
168                                        final double[] vecAbsoluteTolerance,
169                                        final double[] vecRelativeTolerance) {
170         super(field, name, minStep, maxStep, vecAbsoluteTolerance, vecRelativeTolerance);
171         starter = new DormandPrince853FieldIntegrator<>(field, minStep, maxStep,
172                                                          vecAbsoluteTolerance,
173                                                          vecRelativeTolerance);
174         this.nSteps = nSteps;
175 
176         exp = -1.0 / order;
177 
178         // set the default values of the algorithm control parameters
179         setSafety(0.9);
180         setMinReduction(0.2);
181         setMaxGrowth(JdkMath.pow(2.0, -exp));
182     }
183 
184     /**
185      * Get the starter integrator.
186      * @return starter integrator
187      */
188     public FirstOrderFieldIntegrator<T> getStarterIntegrator() {
189         return starter;
190     }
191 
192     /**
193      * Set the starter integrator.
194      * <p>The various step and event handlers for this starter integrator
195      * will be managed automatically by the multi-step integrator. Any
196      * user configuration for these elements will be cleared before use.</p>
197      * @param starterIntegrator starter integrator
198      */
199     public void setStarterIntegrator(FirstOrderFieldIntegrator<T> starterIntegrator) {
200         this.starter = starterIntegrator;
201     }
202 
203     /** Start the integration.
204      * <p>This method computes one step using the underlying starter integrator,
205      * and initializes the Nordsieck vector at step start. The starter integrator
206      * purpose is only to establish initial conditions, it does not really change
207      * time by itself. The top level multistep integrator remains in charge of
208      * handling time propagation and events handling as it will starts its own
209      * computation right from the beginning. In a sense, the starter integrator
210      * can be seen as a dummy one and so it will never trigger any user event nor
211      * call any user step handler.</p>
212      * @param equations complete set of differential equations to integrate
213      * @param initialState initial state (time, primary and secondary state vectors)
214      * @param t target time for the integration
215      * (can be set to a value smaller than <code>t0</code> for backward integration)
216      * @exception DimensionMismatchException if arrays dimension do not match equations settings
217      * @exception NumberIsTooSmallException if integration step is too small
218      * @exception MaxCountExceededException if the number of functions evaluations is exceeded
219      * @exception NoBracketingException if the location of an event cannot be bracketed
220      */
221     protected void start(final FieldExpandableODE<T> equations, final FieldODEState<T> initialState, final T t)
222         throws DimensionMismatchException, NumberIsTooSmallException,
223                MaxCountExceededException, NoBracketingException {
224 
225         // make sure NO user event nor user step handler is triggered,
226         // this is the task of the top level integrator, not the task
227         // of the starter integrator
228         starter.clearEventHandlers();
229         starter.clearStepHandlers();
230 
231         // set up one specific step handler to extract initial Nordsieck vector
232         starter.addStepHandler(new FieldNordsieckInitializer(equations.getMapper(), (nSteps + 3) / 2));
233 
234         // start integration, expecting a InitializationCompletedMarkerException
235         try {
236 
237             starter.integrate(equations, initialState, t);
238 
239             // we should not reach this step
240             throw new MathIllegalStateException(LocalizedFormats.MULTISTEP_STARTER_STOPPED_EARLY);
241         } catch (InitializationCompletedMarkerException icme) { // NOPMD
242             // this is the expected nominal interruption of the start integrator
243 
244             // count the evaluations used by the starter
245             getEvaluationsCounter().increment(starter.getEvaluations());
246         }
247 
248         // remove the specific step handler
249         starter.clearStepHandlers();
250     }
251 
252     /** Initialize the high order scaled derivatives at step start.
253      * @param h step size to use for scaling
254      * @param t first steps times
255      * @param y first steps states
256      * @param yDot first steps derivatives
257      * @return Nordieck vector at first step (h<sup>2</sup>/2 y''<sub>n</sub>,
258      * h<sup>3</sup>/6 y'''<sub>n</sub> ... h<sup>k</sup>/k! y<sup>(k)</sup><sub>n</sub>)
259      */
260     protected abstract Array2DRowFieldMatrix<T> initializeHighOrderDerivatives(T h, T[] t,
261                                                                                T[][] y,
262                                                                                T[][] yDot);
263 
264     /** Get the minimal reduction factor for stepsize control.
265      * @return minimal reduction factor
266      */
267     public double getMinReduction() {
268         return minReduction;
269     }
270 
271     /** Set the minimal reduction factor for stepsize control.
272      * @param minReduction minimal reduction factor
273      */
274     public void setMinReduction(final double minReduction) {
275         this.minReduction = minReduction;
276     }
277 
278     /** Get the maximal growth factor for stepsize control.
279      * @return maximal growth factor
280      */
281     public double getMaxGrowth() {
282         return maxGrowth;
283     }
284 
285     /** Set the maximal growth factor for stepsize control.
286      * @param maxGrowth maximal growth factor
287      */
288     public void setMaxGrowth(final double maxGrowth) {
289         this.maxGrowth = maxGrowth;
290     }
291 
292     /** Get the safety factor for stepsize control.
293      * @return safety factor
294      */
295     public double getSafety() {
296       return safety;
297     }
298 
299     /** Set the safety factor for stepsize control.
300      * @param safety safety factor
301      */
302     public void setSafety(final double safety) {
303       this.safety = safety;
304     }
305 
306     /** Get the number of steps of the multistep method (excluding the one being computed).
307      * @return number of steps of the multistep method (excluding the one being computed)
308      */
309     public int getNSteps() {
310       return nSteps;
311     }
312 
313     /** Rescale the instance.
314      * <p>Since the scaled and Nordsieck arrays are shared with the caller,
315      * this method has the side effect of rescaling this arrays in the caller too.</p>
316      * @param newStepSize new step size to use in the scaled and Nordsieck arrays
317      */
318     protected void rescale(final T newStepSize) {
319 
320         final T ratio = newStepSize.divide(getStepSize());
321         for (int i = 0; i < scaled.length; ++i) {
322             scaled[i] = scaled[i].multiply(ratio);
323         }
324 
325         final T[][] nData = nordsieck.getDataRef();
326         T power = ratio;
327         for (int i = 0; i < nData.length; ++i) {
328             power = power.multiply(ratio);
329             final T[] nDataI = nData[i];
330             for (int j = 0; j < nDataI.length; ++j) {
331                 nDataI[j] = nDataI[j].multiply(power);
332             }
333         }
334 
335         setStepSize(newStepSize);
336     }
337 
338 
339     /** Compute step grow/shrink factor according to normalized error.
340      * @param error normalized error of the current step
341      * @return grow/shrink factor for next step
342      */
343     protected T computeStepGrowShrinkFactor(final T error) {
344         return RealFieldElement.min(error.getField().getZero().add(maxGrowth),
345                              RealFieldElement.max(error.getField().getZero().add(minReduction),
346                                            error.pow(exp).multiply(safety)));
347     }
348 
349     /** Specialized step handler storing the first step.
350      */
351     private final class FieldNordsieckInitializer implements FieldStepHandler<T> {
352 
353         /** Equation mapper. */
354         private final FieldEquationsMapper<T> mapper;
355 
356         /** Steps counter. */
357         private int count;
358 
359         /** Saved start. */
360         private FieldODEStateAndDerivative<T> savedStart;
361 
362         /** First steps times. */
363         private final T[] t;
364 
365         /** First steps states. */
366         private final T[][] y;
367 
368         /** First steps derivatives. */
369         private final T[][] yDot;
370 
371         /** Simple constructor.
372          * @param mapper equation mapper
373          * @param nbStartPoints number of start points (including the initial point)
374          */
375         FieldNordsieckInitializer(final FieldEquationsMapper<T> mapper, final int nbStartPoints) {
376             this.mapper = mapper;
377             this.count  = 0;
378             this.t      = MathArrays.buildArray(getField(), nbStartPoints);
379             this.y      = MathArrays.buildArray(getField(), nbStartPoints, -1);
380             this.yDot   = MathArrays.buildArray(getField(), nbStartPoints, -1);
381         }
382 
383         /** {@inheritDoc} */
384         @Override
385         public void handleStep(FieldStepInterpolator<T> interpolator, boolean isLast)
386             throws MaxCountExceededException {
387 
388 
389             if (count == 0) {
390                 // first step, we need to store also the point at the beginning of the step
391                 final FieldODEStateAndDerivative<T> prev = interpolator.getPreviousState();
392                 savedStart  = prev;
393                 t[count]    = prev.getTime();
394                 y[count]    = mapper.mapState(prev);
395                 yDot[count] = mapper.mapDerivative(prev);
396             }
397 
398             // store the point at the end of the step
399             ++count;
400             final FieldODEStateAndDerivative<T> curr = interpolator.getCurrentState();
401             t[count]    = curr.getTime();
402             y[count]    = mapper.mapState(curr);
403             yDot[count] = mapper.mapDerivative(curr);
404 
405             if (count == t.length - 1) {
406 
407                 // this was the last point we needed, we can compute the derivatives
408                 setStepSize(t[t.length - 1].subtract(t[0]).divide(t.length - 1));
409 
410                 // first scaled derivative
411                 scaled = MathArrays.buildArray(getField(), yDot[0].length);
412                 for (int j = 0; j < scaled.length; ++j) {
413                     scaled[j] = yDot[0][j].multiply(getStepSize());
414                 }
415 
416                 // higher order derivatives
417                 nordsieck = initializeHighOrderDerivatives(getStepSize(), t, y, yDot);
418 
419                 // stop the integrator now that all needed steps have been handled
420                 setStepStart(savedStart);
421                 throw new InitializationCompletedMarkerException();
422             }
423         }
424 
425         /** {@inheritDoc} */
426         @Override
427         public void init(final FieldODEStateAndDerivative<T> initialState, T finalTime) {
428             // nothing to do
429         }
430     }
431 
432     /** Marker exception used ONLY to stop the starter integrator after first step. */
433     private static final class InitializationCompletedMarkerException
434         extends RuntimeException {
435 
436         /** Serializable version identifier. */
437         private static final long serialVersionUID = -1914085471038046418L;
438 
439         /** Simple constructor. */
440         InitializationCompletedMarkerException() {
441             super((Throwable) null);
442         }
443     }
444 }