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 * https://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 /*
19 * This is not the original file distributed by the Apache Software Foundation
20 * It has been modified by the Hipparchus project
21 */
22
23 package org.hipparchus.ode;
24
25 import org.hipparchus.exception.MathIllegalArgumentException;
26 import org.hipparchus.exception.MathIllegalStateException;
27 import org.hipparchus.linear.Array2DRowRealMatrix;
28 import org.hipparchus.ode.nonstiff.AdaptiveStepsizeIntegrator;
29 import org.hipparchus.ode.nonstiff.DormandPrince853Integrator;
30 import org.hipparchus.ode.sampling.ODEStateInterpolator;
31 import org.hipparchus.ode.sampling.ODEStepHandler;
32 import org.hipparchus.util.FastMath;
33
34 /**
35 * This class is the base class for multistep integrators for Ordinary
36 * Differential Equations.
37 * <p>We define scaled derivatives s<sub>i</sub>(n) at step n as:
38 * \[
39 * \left\{\begin{align}
40 * s_1(n) &= h y'_n \text{ for first derivative}\\
41 * s_2(n) &= \frac{h^2}{2} y_n'' \text{ for second derivative}\\
42 * s_3(n) &= \frac{h^3}{6} y_n''' \text{ for third derivative}\\
43 * &\cdots\\
44 * s_k(n) &= \frac{h^k}{k!} y_n^{(k)} \text{ for } k^\mathrm{th} \text{ derivative}
45 * \end{align}\right.
46 * \]</p>
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 * \[
51 * r_n = [ s_2(n), s_3(n) \ldots s_k(n) ]^T
52 * \]
53 * (we omit the k index in the notation for clarity)</p>
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.hipparchus.ode.nonstiff.AdamsBashforthIntegrator
63 * @see org.hipparchus.ode.nonstiff.AdamsMoultonIntegrator
64 */
65 public abstract class MultistepIntegrator extends AdaptiveStepsizeIntegrator {
66
67 /** First scaled derivative (h y'). */
68 protected double[] scaled;
69
70 /** Nordsieck matrix of the higher scaled derivatives.
71 * <p>(h<sup>2</sup>/2 y'', h<sup>3</sup>/6 y''' ..., h<sup>k</sup>/k! y<sup>(k)</sup>)</p>
72 */
73 protected Array2DRowRealMatrix nordsieck;
74
75 /** Starter integrator. */
76 private ODEIntegrator starter;
77
78 /** Number of steps of the multistep method (excluding the one being computed). */
79 private final int nSteps;
80
81 /** Stepsize control exponent. */
82 private double exp;
83
84 /** Safety factor for stepsize control. */
85 private double safety;
86
87 /** Minimal reduction factor for stepsize control. */
88 private double minReduction;
89
90 /** Maximal growth factor for stepsize control. */
91 private double maxGrowth;
92
93 /**
94 * Build a multistep integrator with the given stepsize bounds.
95 * <p>The default starter integrator is set to the {@link
96 * DormandPrince853Integrator Dormand-Prince 8(5,3)} integrator with
97 * some defaults settings.</p>
98 * <p>
99 * The default max growth factor is set to a quite low value: 2<sup>1/order</sup>.
100 * </p>
101 * @param name name of the method
102 * @param nSteps number of steps of the multistep method
103 * (excluding the one being computed)
104 * @param order order of the method
105 * @param minStep minimal step (must be positive even for backward
106 * integration), the last step can be smaller than this
107 * @param maxStep maximal step (must be positive even for backward
108 * integration)
109 * @param scalAbsoluteTolerance allowed absolute error
110 * @param scalRelativeTolerance allowed relative error
111 * @exception MathIllegalArgumentException if number of steps is smaller than 2
112 */
113 protected MultistepIntegrator(final String name, final int nSteps,
114 final int order,
115 final double minStep, final double maxStep,
116 final double scalAbsoluteTolerance,
117 final double scalRelativeTolerance)
118 throws MathIllegalArgumentException {
119
120 super(name, minStep, maxStep, scalAbsoluteTolerance, scalRelativeTolerance);
121
122 if (nSteps < 2) {
123 throw new MathIllegalArgumentException(LocalizedODEFormats.INTEGRATION_METHOD_NEEDS_AT_LEAST_TWO_PREVIOUS_POINTS,
124 nSteps, 2, true);
125 }
126
127 starter = new DormandPrince853Integrator(minStep, maxStep,
128 scalAbsoluteTolerance,
129 scalRelativeTolerance);
130 this.nSteps = nSteps;
131
132 exp = -1.0 / order;
133
134 // set the default values of the algorithm control parameters
135 setSafety(0.9);
136 setMinReduction(0.2);
137 setMaxGrowth(FastMath.pow(2.0, -exp));
138
139 }
140
141 /**
142 * Build a multistep integrator with the given stepsize bounds.
143 * <p>The default starter integrator is set to the {@link
144 * DormandPrince853Integrator Dormand-Prince 8(5,3)} integrator with
145 * some defaults settings.</p>
146 * <p>
147 * The default max growth factor is set to a quite low value: 2<sup>1/order</sup>.
148 * </p>
149 * @param name name of the method
150 * @param nSteps number of steps of the multistep method
151 * (excluding the one being computed)
152 * @param order order of the method
153 * @param minStep minimal step (must be positive even for backward
154 * integration), the last step can be smaller than this
155 * @param maxStep maximal step (must be positive even for backward
156 * integration)
157 * @param vecAbsoluteTolerance allowed absolute error
158 * @param vecRelativeTolerance allowed relative error
159 */
160 protected MultistepIntegrator(final String name, final int nSteps,
161 final int order,
162 final double minStep, final double maxStep,
163 final double[] vecAbsoluteTolerance,
164 final double[] vecRelativeTolerance) {
165 super(name, minStep, maxStep, vecAbsoluteTolerance, vecRelativeTolerance);
166
167 if (nSteps < 2) {
168 throw new MathIllegalArgumentException(LocalizedODEFormats.INTEGRATION_METHOD_NEEDS_AT_LEAST_TWO_PREVIOUS_POINTS,
169 nSteps, 2, true);
170 }
171
172 starter = new DormandPrince853Integrator(minStep, maxStep,
173 vecAbsoluteTolerance,
174 vecRelativeTolerance);
175 this.nSteps = nSteps;
176
177 exp = -1.0 / order;
178
179 // set the default values of the algorithm control parameters
180 setSafety(0.9);
181 setMinReduction(0.2);
182 setMaxGrowth(FastMath.pow(2.0, -exp));
183
184 }
185
186 /**
187 * Get the starter integrator.
188 * @return starter integrator
189 */
190 public ODEIntegrator getStarterIntegrator() {
191 return starter;
192 }
193
194 /**
195 * Set the starter integrator.
196 * <p>The various step and event handlers for this starter integrator
197 * will be managed automatically by the multi-step integrator. Any
198 * user configuration for these elements will be cleared before use.</p>
199 * @param starterIntegrator starter integrator
200 */
201 public void setStarterIntegrator(ODEIntegrator starterIntegrator) {
202 this.starter = starterIntegrator;
203 }
204
205 /** Start the integration.
206 * <p>This method computes one step using the underlying starter integrator,
207 * and initializes the Nordsieck vector at step start. The starter integrator
208 * purpose is only to establish initial conditions, it does not really change
209 * time by itself. The top level multistep integrator remains in charge of
210 * handling time propagation and events handling as it will starts its own
211 * computation right from the beginning. In a sense, the starter integrator
212 * can be seen as a dummy one and so it will never trigger any user event nor
213 * call any user step handler.</p>
214 * @param equations complete set of differential equations to integrate
215 * @param initialState initial state (time, primary and secondary state vectors)
216 * @param finalTime target time for the integration
217 * (can be set to a value smaller than {@code initialState.getTime()} for backward integration)
218 * @exception MathIllegalArgumentException if arrays dimension do not match equations settings
219 * @exception MathIllegalArgumentException if integration step is too small
220 * @exception MathIllegalStateException if the number of functions evaluations is exceeded
221 * @exception MathIllegalArgumentException if the location of an event cannot be bracketed
222 */
223 protected void start(final ExpandableODE equations, final ODEState initialState, final double finalTime)
224 throws MathIllegalArgumentException, MathIllegalStateException {
225
226 // make sure NO user events nor user step handlers are triggered,
227 // this is the task of the top level integrator, not the task of the starter integrator
228 starter.clearEventDetectors();
229 starter.clearStepHandlers();
230
231 // set up one specific step handler to extract initial Nordsieck vector
232 starter.addStepHandler(new NordsieckInitializer((nSteps + 3) / 2));
233
234 // start integration, expecting a InitializationCompletedMarkerException
235 try {
236
237 starter.integrate(getEquations(), initialState, finalTime);
238
239 // we should not reach this step
240 throw new MathIllegalStateException(LocalizedODEFormats.MULTISTEP_STARTER_STOPPED_EARLY);
241
242 } catch (InitializationCompletedMarkerException icme) { // NOPMD
243 // this is the expected nominal interruption of the start integrator
244
245 // count the evaluations used by the starter
246 getEvaluationsCounter().increment(starter.getEvaluations());
247
248 }
249
250 // remove the specific step handler
251 starter.clearStepHandlers();
252
253 }
254
255 /** Initialize the high order scaled derivatives at step start.
256 * @param h step size to use for scaling
257 * @param t first steps times
258 * @param y first steps states
259 * @param yDot first steps derivatives
260 * @return Nordieck vector at first step (h<sup>2</sup>/2 y''<sub>n</sub>,
261 * h<sup>3</sup>/6 y'''<sub>n</sub> ... h<sup>k</sup>/k! y<sup>(k)</sup><sub>n</sub>)
262 */
263 protected abstract Array2DRowRealMatrix initializeHighOrderDerivatives(double h, double[] t, double[][] y, double[][] yDot);
264
265 /** Get the minimal reduction factor for stepsize control.
266 * @return minimal reduction factor
267 */
268 public double getMinReduction() {
269 return minReduction;
270 }
271
272 /** Set the minimal reduction factor for stepsize control.
273 * @param minReduction minimal reduction factor
274 */
275 public void setMinReduction(final double minReduction) {
276 this.minReduction = minReduction;
277 }
278
279 /** Get the maximal growth factor for stepsize control.
280 * @return maximal growth factor
281 */
282 public double getMaxGrowth() {
283 return maxGrowth;
284 }
285
286 /** Set the maximal growth factor for stepsize control.
287 * @param maxGrowth maximal growth factor
288 */
289 public void setMaxGrowth(final double maxGrowth) {
290 this.maxGrowth = maxGrowth;
291 }
292
293 /** Get the safety factor for stepsize control.
294 * @return safety factor
295 */
296 public double getSafety() {
297 return safety;
298 }
299
300 /** Set the safety factor for stepsize control.
301 * @param safety safety factor
302 */
303 public void setSafety(final double safety) {
304 this.safety = safety;
305 }
306
307 /** Get the number of steps of the multistep method (excluding the one being computed).
308 * @return number of steps of the multistep method (excluding the one being computed)
309 */
310 public int getNSteps() {
311 return nSteps;
312 }
313
314 /** Rescale the instance.
315 * <p>Since the scaled and Nordsieck arrays are shared with the caller,
316 * this method has the side effect of rescaling this arrays in the caller too.</p>
317 * @param newStepSize new step size to use in the scaled and Nordsieck arrays
318 */
319 protected void rescale(final double newStepSize) {
320
321 final double ratio = newStepSize / getStepSize();
322 for (int i = 0; i < scaled.length; ++i) {
323 scaled[i] = scaled[i] * ratio;
324 }
325
326 final double[][] nData = nordsieck.getDataRef();
327 double power = ratio;
328 for (double[] nDatum : nData) {
329 power = power * ratio;
330 final double[] nDataI = nDatum;
331 for (int j = 0; j < nDataI.length; ++j) {
332 nDataI[j] = nDataI[j] * power;
333 }
334 }
335
336 setStepSize(newStepSize);
337
338 }
339
340 /** Compute step grow/shrink factor according to normalized error.
341 * @param error normalized error of the current step
342 * @return grow/shrink factor for next step
343 */
344 protected double computeStepGrowShrinkFactor(final double error) {
345 return FastMath.min(maxGrowth, FastMath.max(minReduction, safety * FastMath.pow(error, exp)));
346 }
347
348 /** Specialized step handler storing the first step. */
349 private class NordsieckInitializer implements ODEStepHandler {
350
351 /** Steps counter. */
352 private int count;
353
354 /** Start of the integration. */
355 private ODEStateAndDerivative savedStart;
356
357 /** First steps times. */
358 private final double[] t;
359
360 /** First steps states. */
361 private final double[][] y;
362
363 /** First steps derivatives. */
364 private final double[][] yDot;
365
366 /** Simple constructor.
367 * @param nbStartPoints number of start points (including the initial point)
368 */
369 NordsieckInitializer(final int nbStartPoints) {
370 this.count = 0;
371 this.t = new double[nbStartPoints];
372 this.y = new double[nbStartPoints][];
373 this.yDot = new double[nbStartPoints][];
374 }
375
376 /** {@inheritDoc} */
377 @Override
378 public void handleStep(ODEStateInterpolator interpolator) {
379
380 if (count == 0) {
381 // first step, we need to store also the point at the beginning of the step
382 savedStart = interpolator.getPreviousState();
383 t[0] = savedStart.getTime();
384 y[0] = savedStart.getCompleteState();
385 yDot[0] = savedStart.getCompleteDerivative();
386 }
387
388 // store the point at the end of the step
389 ++count;
390 final ODEStateAndDerivative curr = interpolator.getCurrentState();
391 t[count] = curr.getTime();
392 y[count] = curr.getCompleteState();
393 yDot[count] = curr.getCompleteDerivative();
394
395 if (count == t.length - 1) {
396
397 // this was the last point we needed, we can compute the derivatives
398 setStepStart(savedStart);
399 final double rawStep = (t[t.length - 1] - t[0]) / (t.length - 1);
400 setStepSize(getStepSizeHelper().filterStep(rawStep, rawStep >= 0, true));
401
402 // first scaled derivative
403 scaled = yDot[0].clone();
404 for (int j = 0; j < scaled.length; ++j) {
405 scaled[j] *= getStepSize();
406 }
407
408 // higher order derivatives
409 nordsieck = initializeHighOrderDerivatives(getStepSize(), t, y, yDot);
410
411 // stop the integrator now that all needed steps have been handled
412 throw new InitializationCompletedMarkerException();
413
414 }
415
416 }
417
418 }
419
420 /** Marker exception used ONLY to stop the starter integrator after first step. */
421 private static class InitializationCompletedMarkerException
422 extends RuntimeException {
423
424 /** Serializable version identifier. */
425 private static final long serialVersionUID = -1914085471038046418L;
426
427 /** Simple constructor. */
428 InitializationCompletedMarkerException() {
429 super((Throwable) null);
430 }
431
432 }
433
434 }
435