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 }