/************************************************************************* 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 -- 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) { alglib.ap.assert(n>=1, "ODESolverRKCK: N<1!"); alglib.ap.assert(m>=1, "ODESolverRKCK: M<1!"); alglib.ap.assert(alglib.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; maxgrowpow = Math.Pow(odesolvermaxgrow, 5); state.repnfev = 0; // // some preliminary checks for internal errors // after this we assume that H>0 and M>1 // alglib.ap.assert((double)(state.h)>(double)(0), "ODESolver: internal error"); alglib.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; // // Allocate arrays // state.y = new double[n]; state.dy = new double[n]; } } }