/************************************************************************* Copyright (c) Sergey Bochkanov (ALGLIB project). >>> SOURCE LICENSE >>> This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation (www.fsf.org); either version 2 of the License, or (at your option) any later version. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. A copy of the GNU General Public License is available at http://www.fsf.org/licensing/licenses >>> END OF LICENSE >>> *************************************************************************/ #pragma warning disable 162 #pragma warning disable 219 using System; public partial class alglib { /************************************************************************* *************************************************************************/ public class odesolverstate { // // Public declarations // public bool needdy { get { return _innerobj.needdy; } set { _innerobj.needdy = value; } } public double[] y { get { return _innerobj.y; } } public double[] dy { get { return _innerobj.dy; } } public double x { get { return _innerobj.x; } set { _innerobj.x = value; } } public odesolverstate() { _innerobj = new odesolver.odesolverstate(); } // // Although some of declarations below are public, you should not use them // They are intended for internal use only // private odesolver.odesolverstate _innerobj; public odesolver.odesolverstate innerobj { get { return _innerobj; } } public odesolverstate(odesolver.odesolverstate obj) { _innerobj = obj; } } /************************************************************************* *************************************************************************/ public class odesolverreport { // // Public declarations // public int nfev { get { return _innerobj.nfev; } set { _innerobj.nfev = value; } } public int terminationtype { get { return _innerobj.terminationtype; } set { _innerobj.terminationtype = value; } } public odesolverreport() { _innerobj = new odesolver.odesolverreport(); } // // Although some of declarations below are public, you should not use them // They are intended for internal use only // private odesolver.odesolverreport _innerobj; public odesolver.odesolverreport innerobj { get { return _innerobj; } } public odesolverreport(odesolver.odesolverreport obj) { _innerobj = obj; } } /************************************************************************* Cash-Karp adaptive ODE solver. This subroutine solves ODE Y'=f(Y,x) with initial conditions Y(xs)=Ys (here Y may be single variable or vector of N variables). INPUT PARAMETERS: Y - initial conditions, array[0..N-1]. contains values of Y[] at X[0] N - system size X - points at which Y should be tabulated, array[0..M-1] integrations starts at X[0], ends at X[M-1], intermediate values at X[i] are returned too. SHOULD BE ORDERED BY ASCENDING OR BY DESCENDING!!!! M - number of intermediate points + first point + last point: * M>2 means that you need both Y(X[M-1]) and M-2 values at intermediate points * M=2 means that you want just to integrate from X[0] to X[1] and don't interested in intermediate values. * M=1 means that you don't want to integrate :) it is degenerate case, but it will be handled correctly. * M<1 means error Eps - tolerance (absolute/relative error on each step will be less than Eps). When passing: * Eps>0, it means desired ABSOLUTE error * Eps<0, it means desired RELATIVE error. Relative errors are calculated with respect to maximum values of Y seen so far. Be careful to use this criterion when starting from Y[] that are close to zero. H - initial step lenth, it will be adjusted automatically after the first step. If H=0, step will be selected automatically (usualy it will be equal to 0.001 of min(x[i]-x[j])). OUTPUT PARAMETERS State - structure which stores algorithm state between subsequent calls of OdeSolverIteration. Used for reverse communication. This structure should be passed to the OdeSolverIteration subroutine. SEE ALSO AutoGKSmoothW, AutoGKSingular, AutoGKIteration, AutoGKResults. -- ALGLIB -- Copyright 01.09.2009 by Bochkanov Sergey *************************************************************************/ public static void odesolverrkck(double[] y, int n, double[] x, int m, double eps, double h, out odesolverstate state) { state = new odesolverstate(); odesolver.odesolverrkck(y, n, x, m, eps, h, state.innerobj); return; } public static void odesolverrkck(double[] y, double[] x, double eps, double h, out odesolverstate state) { int n; int m; state = new odesolverstate(); n = ap.len(y); m = ap.len(x); odesolver.odesolverrkck(y, n, x, m, eps, h, state.innerobj); return; } /************************************************************************* This function provides reverse communication interface Reverse communication interface is not documented or recommended to use. See below for functions which provide better documented API *************************************************************************/ public static bool odesolveriteration(odesolverstate state) { bool result = odesolver.odesolveriteration(state.innerobj); return result; } /************************************************************************* This function is used to launcn iterations of ODE solver It accepts following parameters: diff - callback which calculates dy/dx for given y and x obj - optional object which is passed to diff; can be NULL One iteration of ODE solver. Called after inialization of State structure with OdeSolverXXX subroutine. See HTML docs for examples. INPUT PARAMETERS: State - structure which stores algorithm state between subsequent calls and which is used for reverse communication. Must be initialized with OdeSolverXXX() call first. If subroutine returned False, algorithm have finished its work. If subroutine returned True, then user should: * calculate F(State.X, State.Y) * store it in State.DY Here State.X is real, State.Y and State.DY are arrays[0..N-1] of reals. -- ALGLIB -- Copyright 01.09.2009 by Bochkanov Sergey *************************************************************************/ public static void odesolversolve(odesolverstate state, ndimensional_ode_rp diff, object obj) { if( diff==null ) throw new alglibexception("ALGLIB: error in 'odesolversolve()' (diff is null)"); while( alglib.odesolveriteration(state) ) { if( state.needdy ) { diff(state.innerobj.y, state.innerobj.x, state.innerobj.dy, obj); continue; } throw new alglibexception("ALGLIB: unexpected error in 'odesolversolve'"); } } /************************************************************************* ODE solver results Called after OdeSolverIteration returned False. INPUT PARAMETERS: State - algorithm state (used by OdeSolverIteration). OUTPUT PARAMETERS: M - number of tabulated values, M>=1 XTbl - array[0..M-1], values of X YTbl - array[0..M-1,0..N-1], values of Y in X[i] Rep - solver report: * Rep.TerminationType completetion code: * -2 X is not ordered by ascending/descending or there are non-distinct X[], i.e. X[i]=X[i+1] * -1 incorrect parameters were specified * 1 task has been solved * Rep.NFEV contains number of function calculations -- ALGLIB -- Copyright 01.09.2009 by Bochkanov Sergey *************************************************************************/ public static void odesolverresults(odesolverstate state, out int m, out double[] xtbl, out double[,] ytbl, out odesolverreport rep) { m = 0; xtbl = new double[0]; ytbl = new double[0,0]; rep = new odesolverreport(); odesolver.odesolverresults(state.innerobj, ref m, ref xtbl, ref ytbl, rep.innerobj); return; } } public partial class alglib { public class odesolver { public class odesolverstate { public int n; public int m; public double xscale; public double h; public double eps; public bool fraceps; public double[] yc; public double[] escale; public double[] xg; public int solvertype; public bool needdy; public double x; public double[] y; public double[] dy; public double[,] ytbl; public int repterminationtype; public int repnfev; public double[] yn; public double[] yns; public double[] rka; public double[] rkc; public double[] rkcs; public double[,] rkb; public double[,] rkk; public rcommstate rstate; public odesolverstate() { yc = new double[0]; escale = new double[0]; xg = new double[0]; y = new double[0]; dy = new double[0]; ytbl = new double[0,0]; yn = new double[0]; yns = new double[0]; rka = new double[0]; rkc = new double[0]; rkcs = new double[0]; rkb = new double[0,0]; rkk = new double[0,0]; rstate = new rcommstate(); } }; public class odesolverreport { public int nfev; public int terminationtype; }; public const double odesolvermaxgrow = 3.0; public const double odesolvermaxshrink = 10.0; /************************************************************************* Cash-Karp adaptive ODE solver. This subroutine solves ODE Y'=f(Y,x) with initial conditions Y(xs)=Ys (here Y may be single variable or vector of N variables). INPUT PARAMETERS: Y - initial conditions, array[0..N-1]. contains values of Y[] at X[0] N - system size X - points at which Y should be tabulated, array[0..M-1] integrations starts at X[0], ends at X[M-1], intermediate values at X[i] are returned too. SHOULD BE ORDERED BY ASCENDING OR BY DESCENDING!!!! M - number of intermediate points + first point + last point: * M>2 means that you need both Y(X[M-1]) and M-2 values at intermediate points * M=2 means that you want just to integrate from X[0] to X[1] and don't interested in intermediate values. * M=1 means that you don't want to integrate :) it is degenerate case, but it will be handled correctly. * M<1 means error Eps - tolerance (absolute/relative error on each step will be less than Eps). When passing: * Eps>0, it means desired ABSOLUTE error * Eps<0, it means desired RELATIVE error. Relative errors are calculated with respect to maximum values of Y seen so far. Be careful to use this criterion when starting from Y[] that are close to zero. H - initial step lenth, it will be adjusted automatically after the first step. If H=0, step will be selected automatically (usualy it will be equal to 0.001 of min(x[i]-x[j])). OUTPUT PARAMETERS State - structure which stores algorithm state between subsequent calls of OdeSolverIteration. Used for reverse communication. This structure should be passed to the OdeSolverIteration subroutine. SEE ALSO AutoGKSmoothW, AutoGKSingular, AutoGKIteration, AutoGKResults. -- ALGLIB -- Copyright 01.09.2009 by Bochkanov Sergey *************************************************************************/ public static void odesolverrkck(double[] y, int n, double[] x, int m, double eps, double h, odesolverstate state) { ap.assert(n>=1, "ODESolverRKCK: N<1!"); ap.assert(m>=1, "ODESolverRKCK: M<1!"); ap.assert(ap.len(y)>=n, "ODESolverRKCK: Length(Y)=m, "ODESolverRKCK: Length(X)=0 ) { n = state.rstate.ia[0]; m = state.rstate.ia[1]; i = state.rstate.ia[2]; j = state.rstate.ia[3]; k = state.rstate.ia[4]; klimit = state.rstate.ia[5]; gridpoint = state.rstate.ba[0]; xc = state.rstate.ra[0]; v = state.rstate.ra[1]; h = state.rstate.ra[2]; h2 = state.rstate.ra[3]; err = state.rstate.ra[4]; maxgrowpow = state.rstate.ra[5]; } else { n = -983; m = -989; i = -834; j = 900; k = -287; klimit = 364; gridpoint = false; xc = -338; v = -686; h = 912; h2 = 585; err = 497; maxgrowpow = -271; } if( state.rstate.stage==0 ) { goto lbl_0; } // // Routine body // // // prepare // if( state.repterminationtype!=0 ) { result = false; return result; } n = state.n; m = state.m; h = state.h; state.y = new double[n]; state.dy = new double[n]; maxgrowpow = Math.Pow(odesolvermaxgrow, 5); state.repnfev = 0; // // some preliminary checks for internal errors // after this we assume that H>0 and M>1 // ap.assert((double)(state.h)>(double)(0), "ODESolver: internal error"); ap.assert(m>1, "ODESolverIteration: internal error"); // // choose solver // if( state.solvertype!=0 ) { goto lbl_1; } // // Cask-Karp solver // Prepare coefficients table. // Check it for errors // state.rka = new double[6]; state.rka[0] = 0; state.rka[1] = (double)1/(double)5; state.rka[2] = (double)3/(double)10; state.rka[3] = (double)3/(double)5; state.rka[4] = 1; state.rka[5] = (double)7/(double)8; state.rkb = new double[6, 5]; state.rkb[1,0] = (double)1/(double)5; state.rkb[2,0] = (double)3/(double)40; state.rkb[2,1] = (double)9/(double)40; state.rkb[3,0] = (double)3/(double)10; state.rkb[3,1] = -((double)9/(double)10); state.rkb[3,2] = (double)6/(double)5; state.rkb[4,0] = -((double)11/(double)54); state.rkb[4,1] = (double)5/(double)2; state.rkb[4,2] = -((double)70/(double)27); state.rkb[4,3] = (double)35/(double)27; state.rkb[5,0] = (double)1631/(double)55296; state.rkb[5,1] = (double)175/(double)512; state.rkb[5,2] = (double)575/(double)13824; state.rkb[5,3] = (double)44275/(double)110592; state.rkb[5,4] = (double)253/(double)4096; state.rkc = new double[6]; state.rkc[0] = (double)37/(double)378; state.rkc[1] = 0; state.rkc[2] = (double)250/(double)621; state.rkc[3] = (double)125/(double)594; state.rkc[4] = 0; state.rkc[5] = (double)512/(double)1771; state.rkcs = new double[6]; state.rkcs[0] = (double)2825/(double)27648; state.rkcs[1] = 0; state.rkcs[2] = (double)18575/(double)48384; state.rkcs[3] = (double)13525/(double)55296; state.rkcs[4] = (double)277/(double)14336; state.rkcs[5] = (double)1/(double)4; state.rkk = new double[6, n]; // // Main cycle consists of two iterations: // * outer where we travel from X[i-1] to X[i] // * inner where we travel inside [X[i-1],X[i]] // state.ytbl = new double[m, n]; state.escale = new double[n]; state.yn = new double[n]; state.yns = new double[n]; xc = state.xg[0]; for(i_=0; i_<=n-1;i_++) { state.ytbl[0,i_] = state.yc[i_]; } for(j=0; j<=n-1; j++) { state.escale[j] = 0; } i = 1; lbl_3: if( i>m-1 ) { goto lbl_5; } // // begin inner iteration // lbl_6: if( false ) { goto lbl_7; } // // truncate step if needed (beyond right boundary). // determine should we store X or not // if( (double)(xc+h)>=(double)(state.xg[i]) ) { h = state.xg[i]-xc; gridpoint = true; } else { gridpoint = false; } // // Update error scale maximums // // These maximums are initialized by zeros, // then updated every iterations. // for(j=0; j<=n-1; j++) { state.escale[j] = Math.Max(state.escale[j], Math.Abs(state.yc[j])); } // // make one step: // 1. calculate all info needed to do step // 2. update errors scale maximums using values/derivatives // obtained during (1) // // Take into account that we use scaling of X to reduce task // to the form where x[0] < x[1] < ... < x[n-1]. So X is // replaced by x=xscale*t, and dy/dx=f(y,x) is replaced // by dy/dt=xscale*f(y,xscale*t). // for(i_=0; i_<=n-1;i_++) { state.yn[i_] = state.yc[i_]; } for(i_=0; i_<=n-1;i_++) { state.yns[i_] = state.yc[i_]; } k = 0; lbl_8: if( k>5 ) { goto lbl_10; } // // prepare data for the next update of YN/YNS // state.x = state.xscale*(xc+state.rka[k]*h); for(i_=0; i_<=n-1;i_++) { state.y[i_] = state.yc[i_]; } for(j=0; j<=k-1; j++) { v = state.rkb[k,j]; for(i_=0; i_<=n-1;i_++) { state.y[i_] = state.y[i_] + v*state.rkk[j,i_]; } } state.needdy = true; state.rstate.stage = 0; goto lbl_rcomm; lbl_0: state.needdy = false; state.repnfev = state.repnfev+1; v = h*state.xscale; for(i_=0; i_<=n-1;i_++) { state.rkk[k,i_] = v*state.dy[i_]; } // // update YN/YNS // v = state.rkc[k]; for(i_=0; i_<=n-1;i_++) { state.yn[i_] = state.yn[i_] + v*state.rkk[k,i_]; } v = state.rkcs[k]; for(i_=0; i_<=n-1;i_++) { state.yns[i_] = state.yns[i_] + v*state.rkk[k,i_]; } k = k+1; goto lbl_8; lbl_10: // // estimate error // err = 0; for(j=0; j<=n-1; j++) { if( !state.fraceps ) { // // absolute error is estimated // err = Math.Max(err, Math.Abs(state.yn[j]-state.yns[j])); } else { // // Relative error is estimated // v = state.escale[j]; if( (double)(v)==(double)(0) ) { v = 1; } err = Math.Max(err, Math.Abs(state.yn[j]-state.yns[j])/v); } } // // calculate new step, restart if necessary // if( (double)(maxgrowpow*err)<=(double)(state.eps) ) { h2 = odesolvermaxgrow*h; } else { h2 = h*Math.Pow(state.eps/err, 0.2); } if( (double)(h2)<(double)(h/odesolvermaxshrink) ) { h2 = h/odesolvermaxshrink; } if( (double)(err)>(double)(state.eps) ) { h = h2; goto lbl_6; } // // advance position // xc = xc+h; for(i_=0; i_<=n-1;i_++) { state.yc[i_] = state.yn[i_]; } // // update H // h = h2; // // break on grid point // if( gridpoint ) { goto lbl_7; } goto lbl_6; lbl_7: // // save result // for(i_=0; i_<=n-1;i_++) { state.ytbl[i,i_] = state.yc[i_]; } i = i+1; goto lbl_3; lbl_5: state.repterminationtype = 1; result = false; return result; lbl_1: result = false; return result; // // Saving state // lbl_rcomm: result = true; state.rstate.ia[0] = n; state.rstate.ia[1] = m; state.rstate.ia[2] = i; state.rstate.ia[3] = j; state.rstate.ia[4] = k; state.rstate.ia[5] = klimit; state.rstate.ba[0] = gridpoint; state.rstate.ra[0] = xc; state.rstate.ra[1] = v; state.rstate.ra[2] = h; state.rstate.ra[3] = h2; state.rstate.ra[4] = err; state.rstate.ra[5] = maxgrowpow; return result; } /************************************************************************* ODE solver results Called after OdeSolverIteration returned False. INPUT PARAMETERS: State - algorithm state (used by OdeSolverIteration). OUTPUT PARAMETERS: M - number of tabulated values, M>=1 XTbl - array[0..M-1], values of X YTbl - array[0..M-1,0..N-1], values of Y in X[i] Rep - solver report: * Rep.TerminationType completetion code: * -2 X is not ordered by ascending/descending or there are non-distinct X[], i.e. X[i]=X[i+1] * -1 incorrect parameters were specified * 1 task has been solved * Rep.NFEV contains number of function calculations -- ALGLIB -- Copyright 01.09.2009 by Bochkanov Sergey *************************************************************************/ public static void odesolverresults(odesolverstate state, ref int m, ref double[] xtbl, ref double[,] ytbl, odesolverreport rep) { double v = 0; int i = 0; int i_ = 0; m = 0; xtbl = new double[0]; ytbl = new double[0,0]; rep.terminationtype = state.repterminationtype; if( rep.terminationtype>0 ) { m = state.m; rep.nfev = state.repnfev; xtbl = new double[state.m]; v = state.xscale; for(i_=0; i_<=state.m-1;i_++) { xtbl[i_] = v*state.xg[i_]; } ytbl = new double[state.m, state.n]; for(i=0; i<=state.m-1; i++) { for(i_=0; i_<=state.n-1;i_++) { ytbl[i,i_] = state.ytbl[i,i_]; } } } else { rep.nfev = 0; } } /************************************************************************* Internal initialization subroutine *************************************************************************/ private static void odesolverinit(int solvertype, double[] y, int n, double[] x, int m, double eps, double h, odesolverstate state) { int i = 0; double v = 0; int i_ = 0; // // Prepare RComm // state.rstate.ia = new int[5+1]; state.rstate.ba = new bool[0+1]; state.rstate.ra = new double[5+1]; state.rstate.stage = -1; state.needdy = false; // // check parameters. // if( (n<=0 | m<1) | (double)(eps)==(double)(0) ) { state.repterminationtype = -1; return; } if( (double)(h)<(double)(0) ) { h = -h; } // // quick exit if necessary. // after this block we assume that M>1 // if( m==1 ) { state.repnfev = 0; state.repterminationtype = 1; state.ytbl = new double[1, n]; for(i_=0; i_<=n-1;i_++) { state.ytbl[0,i_] = y[i_]; } state.xg = new double[m]; for(i_=0; i_<=m-1;i_++) { state.xg[i_] = x[i_]; } return; } // // check again: correct order of X[] // if( (double)(x[1])==(double)(x[0]) ) { state.repterminationtype = -2; return; } for(i=1; i<=m-1; i++) { if( ((double)(x[1])>(double)(x[0]) & (double)(x[i])<=(double)(x[i-1])) | ((double)(x[1])<(double)(x[0]) & (double)(x[i])>=(double)(x[i-1])) ) { state.repterminationtype = -2; return; } } // // auto-select H if necessary // if( (double)(h)==(double)(0) ) { v = Math.Abs(x[1]-x[0]); for(i=2; i<=m-1; i++) { v = Math.Min(v, Math.Abs(x[i]-x[i-1])); } h = 0.001*v; } // // store parameters // state.n = n; state.m = m; state.h = h; state.eps = Math.Abs(eps); state.fraceps = (double)(eps)<(double)(0); state.xg = new double[m]; for(i_=0; i_<=m-1;i_++) { state.xg[i_] = x[i_]; } if( (double)(x[1])>(double)(x[0]) ) { state.xscale = 1; } else { state.xscale = -1; for(i_=0; i_<=m-1;i_++) { state.xg[i_] = -1*state.xg[i_]; } } state.yc = new double[n]; for(i_=0; i_<=n-1;i_++) { state.yc[i_] = y[i_]; } state.solvertype = solvertype; state.repterminationtype = 0; } } }