001/* 002 * Licensed to the Apache Software Foundation (ASF) under one or more 003 * contributor license agreements. See the NOTICE file distributed with 004 * this work for additional information regarding copyright ownership. 005 * The ASF licenses this file to You under the Apache License, Version 2.0 006 * (the "License"); you may not use this file except in compliance with 007 * the License. You may obtain a copy of the License at 008 * 009 * http://www.apache.org/licenses/LICENSE-2.0 010 * 011 * Unless required by applicable law or agreed to in writing, software 012 * distributed under the License is distributed on an "AS IS" BASIS, 013 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 014 * See the License for the specific language governing permissions and 015 * limitations under the License. 016 */ 017 018package org.apache.commons.math4.legacy.ode; 019 020import org.apache.commons.math4.legacy.core.Field; 021import org.apache.commons.math4.legacy.core.RealFieldElement; 022import org.apache.commons.math4.legacy.exception.DimensionMismatchException; 023import org.apache.commons.math4.legacy.exception.MathIllegalStateException; 024import org.apache.commons.math4.legacy.exception.MaxCountExceededException; 025import org.apache.commons.math4.legacy.exception.NoBracketingException; 026import org.apache.commons.math4.legacy.exception.NumberIsTooSmallException; 027import org.apache.commons.math4.legacy.exception.util.LocalizedFormats; 028import org.apache.commons.math4.legacy.linear.Array2DRowFieldMatrix; 029import org.apache.commons.math4.legacy.ode.nonstiff.AdaptiveStepsizeFieldIntegrator; 030import org.apache.commons.math4.legacy.ode.nonstiff.DormandPrince853FieldIntegrator; 031import org.apache.commons.math4.legacy.ode.sampling.FieldStepHandler; 032import org.apache.commons.math4.legacy.ode.sampling.FieldStepInterpolator; 033import org.apache.commons.math4.core.jdkmath.JdkMath; 034import org.apache.commons.math4.legacy.core.MathArrays; 035 036/** 037 * This class is the base class for multistep integrators for Ordinary 038 * Differential Equations. 039 * <p>We define scaled derivatives s<sub>i</sub>(n) at step n as: 040 * <div style="white-space: pre"><code> 041 * s<sub>1</sub>(n) = h y'<sub>n</sub> for first derivative 042 * s<sub>2</sub>(n) = h<sup>2</sup>/2 y''<sub>n</sub> for second derivative 043 * s<sub>3</sub>(n) = h<sup>3</sup>/6 y'''<sub>n</sub> for third derivative 044 * ... 045 * s<sub>k</sub>(n) = h<sup>k</sup>/k! y<sup>(k)</sup><sub>n</sub> for k<sup>th</sup> derivative 046 * </code></div> 047 * <p>Rather than storing several previous steps separately, this implementation uses 048 * the Nordsieck vector with higher degrees scaled derivatives all taken at the same 049 * step (y<sub>n</sub>, s<sub>1</sub>(n) and r<sub>n</sub>) where r<sub>n</sub> is defined as: 050 * <div style="white-space: pre"><code> 051 * r<sub>n</sub> = [ s<sub>2</sub>(n), s<sub>3</sub>(n) ... s<sub>k</sub>(n) ]<sup>T</sup> 052 * </code></div> 053 * (we omit the k index in the notation for clarity) 054 * <p> 055 * Multistep integrators with Nordsieck representation are highly sensitive to 056 * large step changes because when the step is multiplied by factor a, the 057 * k<sup>th</sup> component of the Nordsieck vector is multiplied by a<sup>k</sup> 058 * and the last components are the least accurate ones. The default max growth 059 * factor is therefore set to a quite low value: 2<sup>1/order</sup>. 060 * </p> 061 * 062 * @see org.apache.commons.math4.legacy.ode.nonstiff.AdamsBashforthFieldIntegrator 063 * @see org.apache.commons.math4.legacy.ode.nonstiff.AdamsMoultonFieldIntegrator 064 * @param <T> the type of the field elements 065 * @since 3.6 066 */ 067public abstract class MultistepFieldIntegrator<T extends RealFieldElement<T>> 068 extends AdaptiveStepsizeFieldIntegrator<T> { 069 070 /** First scaled derivative (h y'). */ 071 protected T[] scaled; 072 073 /** Nordsieck matrix of the higher scaled derivatives. 074 * <p>(h<sup>2</sup>/2 y'', h<sup>3</sup>/6 y''' ..., h<sup>k</sup>/k! y<sup>(k)</sup>)</p> 075 */ 076 protected Array2DRowFieldMatrix<T> nordsieck; 077 078 /** Starter integrator. */ 079 private FirstOrderFieldIntegrator<T> starter; 080 081 /** Number of steps of the multistep method (excluding the one being computed). */ 082 private final int nSteps; 083 084 /** Stepsize control exponent. */ 085 private double exp; 086 087 /** Safety factor for stepsize control. */ 088 private double safety; 089 090 /** Minimal reduction factor for stepsize control. */ 091 private double minReduction; 092 093 /** Maximal growth factor for stepsize control. */ 094 private double maxGrowth; 095 096 /** 097 * Build a multistep integrator with the given stepsize bounds. 098 * <p>The default starter integrator is set to the {@link 099 * 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}