@danielsimonjr/mathts-functions 0.53.0 → 0.54.0

package/dist/index.js

@@ -439,6 +439,7 @@ __export(typed_exports, {
   smaller: () => smaller,
   smallerEq: () => smallerEq,
   solveBVP: () => solveBVP,
+  solveDAE: () => solveDAE,
   solveODESystem: () => solveODESystem,
   solvePDE: () => solvePDE,
   solveParabolicPDE: () => solveParabolicPDE,
@@ -13209,6 +13210,303 @@ function interpState(stepT, stepY, tq) {
   return y0.map((v, i) => v + w * (y1[i] - v));
 }
 
+// src/numeric/solveDAE.ts
+function _arr(v) {
+  return Array.isArray(v) ? v.slice() : [v];
+}
+function _evalArr(fn, t, y, z) {
+  const r = fn(t, y, z);
+  return Array.isArray(r) ? r : [r];
+}
+function _wrms(v, scale4) {
+  let s = 0;
+  for (let i = 0; i < v.length; i++) {
+    const q = v[i] / scale4[i];
+    s += q * q;
+  }
+  return Math.sqrt(s / v.length);
+}
+function _bdfCoeffs(nodes) {
+  const m = nodes.length;
+  const x0 = nodes[0];
+  const c = new Array(m).fill(0);
+  let diag2 = 0;
+  for (let p = 1; p < m; p++) diag2 += 1 / (x0 - nodes[p]);
+  c[0] = diag2;
+  for (let j = 1; j < m; j++) {
+    let val = 1 / (nodes[j] - x0);
+    for (let p = 0; p < m; p++) {
+      if (p === 0 || p === j) continue;
+      val *= (x0 - nodes[p]) / (nodes[j] - nodes[p]);
+    }
+    c[j] = val;
+  }
+  return c;
+}
+function _polyExtrap(times, vals, tnew) {
+  const p = times.length;
+  const n = vals[0].length;
+  const out = new Array(n).fill(0);
+  for (let i = 0; i < p; i++) {
+    let li = 1;
+    for (let m = 0; m < p; m++) {
+      if (m === i) continue;
+      li *= (tnew - times[m]) / (times[i] - times[m]);
+    }
+    for (let d = 0; d < n; d++) out[d] += li * vals[i][d];
+  }
+  return out;
+}
+function _denseSolve(A, b) {
+  const n = b.length;
+  const M = A.map((r) => r.slice());
+  const x = b.slice();
+  for (let k = 0; k < n; k++) {
+    let piv = k;
+    for (let i = k + 1; i < n; i++) if (Math.abs(M[i][k]) > Math.abs(M[piv][k])) piv = i;
+    if (Math.abs(M[piv][k]) < 1e-300) return new Array(n).fill(NaN);
+    [M[k], M[piv]] = [M[piv], M[k]];
+    [x[k], x[piv]] = [x[piv], x[k]];
+    const akk = M[k][k];
+    for (let i = k + 1; i < n; i++) {
+      const factor2 = M[i][k] / akk;
+      for (let j = k; j < n; j++) M[i][j] -= factor2 * M[k][j];
+      x[i] -= factor2 * x[k];
+    }
+  }
+  for (let i = n - 1; i >= 0; i--) {
+    let s = x[i];
+    for (let j = i + 1; j < n; j++) s -= M[i][j] * x[j];
+    x[i] = s / M[i][i];
+  }
+  return x;
+}
+function _solveAlgebraic(g, t, y, zGuess, tol) {
+  const na = zGuess.length;
+  const z = zGuess.slice();
+  for (let iter = 0; iter < 50; iter++) {
+    const g0 = _evalArr(g, t, y, z);
+    if (g0.length !== na) {
+      throw new Error(
+        `solveDAE: the constraint g must return ${na} value(s) (matching z0); got ${g0.length}`
+      );
+    }
+    const J = Array.from({ length: na }, () => new Array(na));
+    for (let j = 0; j < na; j++) {
+      const eps = Math.max(1e-8, 1e-7 * Math.abs(z[j]));
+      const zp = z.slice();
+      zp[j] += eps;
+      const gp = _evalArr(g, t, y, zp);
+      for (let i = 0; i < na; i++) J[i][j] = (gp[i] - g0[i]) / eps;
+    }
+    const dz = _denseSolve(
+      J,
+      g0.map((v) => -v)
+    );
+    if (!dz.every((v) => Number.isFinite(v))) return null;
+    let znorm = 0;
+    let dnorm = 0;
+    for (let i = 0; i < na; i++) {
+      z[i] += dz[i];
+      znorm += z[i] * z[i];
+      dnorm += dz[i] * dz[i];
+    }
+    if (Math.sqrt(dnorm) <= tol * (1 + Math.sqrt(znorm))) {
+      const gCheck = _evalArr(g, t, y, z);
+      const res = Math.sqrt(gCheck.reduce((a, v) => a + v * v, 0));
+      return res < 1e-6 ? z : null;
+    }
+  }
+  return null;
+}
+function solveDAE(f, g, tspan, y0, z0, options = {}) {
+  const t0 = tspan[0];
+  const tf = tspan[1];
+  if (!(typeof t0 === "number" && typeof tf === "number")) {
+    throw new Error("solveDAE: tspan must be [t0, T] numbers");
+  }
+  if (!(tf > t0)) {
+    throw new Error("solveDAE: require T > t0 (forward integration)");
+  }
+  const yScalar = !Array.isArray(y0);
+  const zScalar = z0 === void 0 || !Array.isArray(z0);
+  const y0v = _arr(y0);
+  const z0v = z0 === void 0 ? [0] : _arr(z0);
+  const nd = y0v.length;
+  const na = z0v.length;
+  const n = nd + na;
+  const rtol = options.tol ?? 1e-6;
+  const atol = options.atol ?? rtol * 1e-3;
+  const maxOrder = options.maxOrder ?? 2;
+  const maxIter = options.maxIter ?? 1e5;
+  const maxStep = options.maxStep ?? Infinity;
+  const minStepOpt = options.minStep ?? 0;
+  const EPS5 = Number.EPSILON;
+  const newtonTol = options.newtonTol ?? Math.max(10 * EPS5 / rtol, Math.min(0.03, Math.sqrt(rtol)));
+  const span = tf - t0;
+  const yOf = (w2) => w2.slice(0, nd);
+  const zOf = (w2) => w2.slice(nd);
+  const z0consistent = _solveAlgebraic(g, t0, y0v, z0v, newtonTol);
+  if (z0consistent === null) {
+    throw new Error(
+      "solveDAE: could not solve g(t0, y0, z0) = 0 for a consistent z0 \u2014 \u2202g/\u2202z appears singular. The DAE is not semi-explicit index-1 (index-1 requires \u2202g/\u2202z nonsingular)."
+    );
+  }
+  let t = t0;
+  let w = [...y0v, ...z0consistent];
+  const histT = [t];
+  const histW = [w.slice()];
+  const tOut = [t];
+  const yOut = [yOf(w)];
+  const zOut = [zOf(w)];
+  let h;
+  if (options.firstStep !== void 0) {
+    h = Math.abs(options.firstStep);
+  } else {
+    const f0 = _evalArr(f, t0, y0v, z0consistent);
+    const nrm = (v) => Math.sqrt(v.reduce((a, x) => a + x * x, 0) / Math.max(1, v.length));
+    const d0 = nrm(y0v);
+    const d1 = nrm(f0);
+    h = Math.min(d0 < 1e-5 || d1 < 1e-5 ? 1e-3 : 0.01 * (d0 / d1), span);
+  }
+  h = Math.min(h, maxStep);
+  function makeResidual(tNew, c0, histSum) {
+    return (wc) => {
+      const y = yOf(wc);
+      const z = zOf(wc);
+      const fv = _evalArr(f, tNew, y, z);
+      const gv = _evalArr(g, tNew, y, z);
+      if (fv.length !== nd) {
+        throw new Error(`solveDAE: f must return ${nd} value(s) (matching y0); got ${fv.length}`);
+      }
+      if (gv.length !== na) {
+        throw new Error(`solveDAE: g must return ${na} value(s) (matching z0); got ${gv.length}`);
+      }
+      const R = new Array(n);
+      for (let i = 0; i < nd; i++) R[i] = c0 * wc[i] + histSum[i] - fv[i];
+      for (let i = 0; i < na; i++) R[nd + i] = gv[i];
+      return R;
+    };
+  }
+  function newtonMatrix(tNew, wc, c0, residual, R0) {
+    if (options.jacobian) {
+      const { fy, fz, gy, gz } = options.jacobian(tNew, yOf(wc), zOf(wc));
+      const J2 = Array.from({ length: n }, () => new Array(n).fill(0));
+      for (let i = 0; i < nd; i++) {
+        for (let j = 0; j < nd; j++) J2[i][j] = (i === j ? c0 : 0) - fy[i][j];
+        for (let j = 0; j < na; j++) J2[i][nd + j] = -fz[i][j];
+      }
+      for (let i = 0; i < na; i++) {
+        for (let j = 0; j < nd; j++) J2[nd + i][j] = gy[i][j];
+        for (let j = 0; j < na; j++) J2[nd + i][nd + j] = gz[i][j];
+      }
+      return J2;
+    }
+    const J = Array.from({ length: n }, () => new Array(n));
+    for (let col = 0; col < n; col++) {
+      const eps = Math.max(1e-8, 1e-7 * Math.abs(wc[col]));
+      const wp = wc.slice();
+      wp[col] += eps;
+      const Rp = residual(wp);
+      for (let row2 = 0; row2 < n; row2++) J[row2][col] = (Rp[row2] - R0[row2]) / eps;
+    }
+    return J;
+  }
+  let iter = 0;
+  while (t < tf && iter < maxIter) {
+    iter++;
+    if (t + h > tf) h = tf - t;
+    const minStep = Math.max(minStepOpt, 1e-13 * Math.max(1, Math.abs(t)));
+    const order = Math.max(1, Math.min(maxOrder, histT.length - 1));
+    let accepted = false;
+    let wNew = w;
+    let acceptedTime = t;
+    while (!accepted) {
+      if (h < minStep) {
+        throw new Error(
+          "solveDAE: required step size fell below the minimum \u2014 the Newton iteration is not converging. The system may be higher-index (\u2202g/\u2202z singular) or the tolerance too tight."
+        );
+      }
+      const tNew = t + h;
+      const nodes = [tNew];
+      for (let j = 0; j < order; j++) nodes.push(histT[j]);
+      const coeffs = _bdfCoeffs(nodes);
+      const c0 = coeffs[0];
+      const histSum = new Array(nd).fill(0);
+      for (let j = 1; j <= order; j++) {
+        const cj = coeffs[j];
+        const wj = histW[j - 1];
+        for (let i = 0; i < nd; i++) histSum[i] += cj * wj[i];
+      }
+      const residual = makeResidual(tNew, c0, histSum);
+      let wPred;
+      if (histT.length >= order + 1) {
+        wPred = _polyExtrap(histT.slice(0, order + 1), histW.slice(0, order + 1), tNew);
+      } else {
+        wPred = w.slice();
+        const fn = _evalArr(f, histT[0], yOf(w), zOf(w));
+        for (let i = 0; i < nd; i++) wPred[i] = w[i] + h * fn[i];
+      }
+      const wc = wPred.slice();
+      let converged = false;
+      const scale4 = new Array(n);
+      for (let it = 0; it < 12; it++) {
+        const R0 = residual(wc);
+        const J = newtonMatrix(tNew, wc, c0, residual, R0);
+        const solve2 = _factorSolver(J, n);
+        const dw = solve2(R0.map((v) => -v));
+        if (!dw.every((v) => Number.isFinite(v))) break;
+        for (let i = 0; i < n; i++) {
+          wc[i] += dw[i];
+          scale4[i] = atol + rtol * Math.abs(wc[i]);
+        }
+        if (_wrms(dw, scale4) <= newtonTol) {
+          converged = true;
+          break;
+        }
+      }
+      if (!converged) {
+        h *= 0.5;
+        continue;
+      }
+      for (let i = 0; i < n; i++) scale4[i] = atol + rtol * Math.abs(wc[i]);
+      const errNorm = _wrms(
+        wc.map((v, i) => v - wPred[i]),
+        scale4
+      );
+      if (errNorm <= 1 || h <= minStep) {
+        wNew = wc;
+        acceptedTime = tNew;
+        accepted = true;
+      }
+      const factor2 = errNorm === 0 ? 4 : 0.9 * Math.pow(errNorm, -1 / (order + 1));
+      h *= Math.min(4, Math.max(0.2, factor2));
+      if (h > maxStep) h = maxStep;
+    }
+    w = wNew;
+    t = acceptedTime;
+    histT.unshift(t);
+    histW.unshift(w.slice());
+    if (histT.length > maxOrder + 2) {
+      histT.pop();
+      histW.pop();
+    }
+    tOut.push(t);
+    yOut.push(yOf(w));
+    zOut.push(zOf(w));
+  }
+  if (iter >= maxIter) {
+    throw new Error(
+      "solveDAE: maximum number of steps reached \u2014 try loosening tol or raising maxIter"
+    );
+  }
+  return {
+    t: tOut,
+    y: yScalar ? yOut.map((v) => v[0]) : yOut,
+    z: zScalar ? zOut.map((v) => v[0]) : zOut
+  };
+}
+
 // src/typed/numeric.ts
 var NUMERIC_WASM_THRESHOLD = 16;
 function findRoot(f, a, b, opts) {
@@ -54342,6 +54640,7 @@ export {
   solve,
   solveBVP,
   solveBanded,
+  solveDAE,
   solveODE,
   solveODESystem,
   solvePDE,

package/dist/numeric/solveDAE.d.ts

@@ -0,0 +1,134 @@
+/**
+ * Semi-explicit index-1 differential-algebraic equation (DAE) solver via BDF.
+ *
+ * Solves the semi-explicit index-1 system
+ *
+ *     y' = f(t, y, z)      (differential variables y)
+ *     0  = g(t, y, z)      (algebraic constraint z)
+ *
+ * on `t ∈ [t0, T]`. "Index-1" means the algebraic Jacobian block `∂g/∂z` is
+ * **nonsingular**, so the constraint `g = 0` locally determines `z` from
+ * `(t, y)`; this is exactly the condition that makes the coupled per-step
+ * Newton system solvable.
+ *
+ * ## Method — variable-step, variable-order (1–2) BDF with a combined Newton step
+ *
+ * The differential derivative is discretised with a Backward Differentiation
+ * Formula (the same BDF family that backs {@link bdfSolve}): on the last `k`
+ * accepted times plus the new time `t_{n+1}`, the interpolating polynomial's
+ * derivative at `t_{n+1}` is `Σ_j c_j·w_{n+1-j}` (variable-step coefficients
+ * `c_j` from the Lagrange-basis derivative, so BDF1/BDF2 work on a non-uniform
+ * grid). Each step then solves the **combined** nonlinear system for the new
+ * `w_{n+1} = (y_{n+1}, z_{n+1})`
+ *
+ *     differential rows:  c_0·y_{n+1} + (history) − f(t_{n+1}, y_{n+1}, z_{n+1}) = 0
+ *     algebraic rows:     g(t_{n+1}, y_{n+1}, z_{n+1}) = 0
+ *
+ * by Newton's method. The Newton (iteration) matrix is the block
+ *
+ *     ⎡ c_0·I − ∂f/∂y     − ∂f/∂z ⎤
+ *     ⎣    ∂g/∂y            ∂g/∂z  ⎦
+ *
+ * (finite-differenced from the residual by default, or built from analytic
+ * blocks supplied via `options.jacobian`) and is LU-solved through the shared
+ * matrix-package factorisation ({@link _factorSolver}). The index-1 condition
+ * (`∂g/∂z` nonsingular) is exactly what makes this matrix nonsingular, so a
+ * **higher-index** input is detected as a singular Jacobian and reported
+ * (it is not silently integrated to garbage).
+ *
+ * Adaptive step size uses a predictor/corrector local-error estimate (the
+ * corrector minus a lower-order extrapolation predictor), scaled by the usual
+ * `atol + rtol·|w|` weights.
+ *
+ * ## Consistent initial values
+ *
+ * The initial algebraic value `z0` is treated as a **guess**: the solver runs
+ * Newton on `g(t0, y0, z0) = 0` to land on the constraint manifold before the
+ * first step (so a slightly-off or omitted `z0` is corrected rather than
+ * silently propagated). If that Newton fails / `∂g/∂z` is singular at `t0`,
+ * the problem is not index-1 and an error is thrown.
+ *
+ * Plain-number state only (the Jacobian and linear solves are numeric).
+ *
+ * @packageDocumentation
+ */
+/** Differential forcing `y' = f(t, y, z)`. Returns the `y'` vector (a scalar is accepted for 1-D y). */
+export type DAEDifferential = (t: number, y: number[], z: number[]) => number[] | number;
+/** Algebraic constraint `0 = g(t, y, z)`. Returns the residual vector (a scalar is accepted for 1-D z). */
+export type DAEConstraint = (t: number, y: number[], z: number[]) => number[] | number;
+/**
+ * Analytic Jacobian blocks of the DAE at `(t, y, z)`, supplied via
+ * {@link SolveDAEOptions.jacobian} in place of the default finite differences.
+ * Each block is a matrix in the usual `[row][col]` convention:
+ * `fy[i][j] = ∂fᵢ/∂yⱼ`, `fz[i][j] = ∂fᵢ/∂zⱼ`, `gy`, `gz` likewise.
+ */
+export interface DAEJacobianBlocks {
+    fy: number[][];
+    fz: number[][];
+    gy: number[][];
+    gz: number[][];
+}
+/** Options for {@link solveDAE}. */
+export interface SolveDAEOptions {
+    /** Relative tolerance for the local-error step control (default `1e-6`). */
+    tol?: number;
+    /** Absolute tolerance (default `tol · 1e-3`). */
+    atol?: number;
+    /** Initial step size (default: chosen from `‖f‖`). */
+    firstStep?: number;
+    /** Minimum step size (a hard floor; the solver throws if it must go below it). */
+    minStep?: number;
+    /** Maximum step size (default: no cap). */
+    maxStep?: number;
+    /** Maximum number of accepted steps (default `1e5`). */
+    maxIter?: number;
+    /** Maximum BDF order, 1 or 2 (default `2`). */
+    maxOrder?: 1 | 2;
+    /** Newton convergence tolerance on the scaled increment (default derived from `tol`). */
+    newtonTol?: number;
+    /**
+     * Analytic Jacobian blocks `(t, y, z) => { fy, fz, gy, gz }`. When given they
+     * replace the default finite-difference Newton matrix (faster + more accurate).
+     */
+    jacobian?: (t: number, y: number[], z: number[]) => DAEJacobianBlocks;
+}
+/**
+ * Solution returned by {@link solveDAE}.
+ *
+ * `y`/`z` are `number[][]` (one state vector per time) when the corresponding
+ * initial value was an array, and unwrapped to `number[]` when it was a scalar.
+ */
+export interface DAESolution {
+    /** Accepted output times, `t[0] = t0`, last entry `= T`. */
+    t: number[];
+    /** Differential state at each time. */
+    y: number[][] | number[];
+    /** Algebraic state at each time. */
+    z: number[][] | number[];
+}
+/**
+ * Solve the semi-explicit index-1 DAE `y' = f(t, y, z)`, `0 = g(t, y, z)` on
+ * `[tspan[0], tspan[1]]` with a variable-step BDF(1–2) integrator and a coupled
+ * Newton solve for `(y, z)` at each step.
+ *
+ * @param f      Differential forcing `f(t, y, z) → y'`.
+ * @param g      Algebraic constraint `g(t, y, z) → 0`.
+ * @param tspan  `[t0, T]` (forward integration; `T > t0`).
+ * @param y0     Initial differential state (scalar or vector).
+ * @param z0     Initial algebraic guess (scalar or vector). Refined to satisfy
+ *               `g(t0, y0, z0) = 0` before the first step. Defaults to `[0]`.
+ * @param options See {@link SolveDAEOptions}.
+ * @returns `{ t, y, z }` — `y`/`z` are unwrapped to `number[]` when the matching
+ *          initial value was a scalar, else `number[][]`.
+ *
+ * @example
+ * // RC circuit: C·V' = i, i·R = Vs − V  (semi-explicit, index-1)
+ * // with C=R=Vs=1, V(0)=0 → V = 1 − e^{−t}, i = e^{−t}
+ * const sol = solveDAE(
+ *   (t, y, z) => [z[0]],                 // V' = i
+ *   (t, y, z) => [z[0] - (1 - y[0])],    // i − (Vs − V) = 0
+ *   [0, 3], 0, 1,
+ * );
+ */
+export declare function solveDAE(f: DAEDifferential, g: DAEConstraint, tspan: [number, number] | number[], y0: number | number[], z0?: number | number[], options?: SolveDAEOptions): DAESolution;
+//# sourceMappingURL=solveDAE.d.ts.map

package/dist/numeric/solveDAE.d.ts.map

@@ -0,0 +1 @@
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package/dist/numeric/solveODE.d.ts

@@ -54,6 +54,23 @@ interface ODEOptions {
  * Forcing function type for ODE
  */
 type ForcingFunction = (t: MathNumericType, y: MathNumericType | MathArray) => MathNumericType | MathArray;
+/**
+ * Return a solver for `A·x = b` reused across the 3–6 right-hand sides a single stiff step solves
+ * against the same iteration matrix (W for Rosenbrock, E for RODAS).
+ *
+ * Small systems (n < {@link LU_ROUTE_THRESHOLD}) use the allocation-light inline elimination.
+ * Large systems factor `A` **once** with the matrix `lu()` primitive (per
+ * project-two-decomposition-layers-prefer-matrix) and solve each RHS with `luSolve` — one O(n³)
+ * factorisation instead of the old inline's re-factorisation per RHS.
+ *
+ * Numerics are unchanged on the small path (identical inline code) and, on the large path, the
+ * matrix `lu()` uses the same partial-pivoting strategy and elimination arithmetic, so results
+ * match to rounding (well within the solver's `tol`). The one edge case — a singular iteration
+ * matrix — made the inline solve emit NaN/Inf (division by zero), which fails the embedded error
+ * test and rejects the step (h is then reduced); the matrix `lu()` throws "singular" instead, so
+ * we catch it and return a NaN vector to preserve that step-rejection behaviour.
+ */
+export declare function _factorSolver(A: number[][], n: number): (b: number[]) => number[];
 /**
  * Rosenbrock stiff ODE solver — the linearly-implicit ode23s method (Shampine & Reichelt),
  * L-stable, with an embedded error estimate for adaptive stepping. Unlike the explicit RK23/RK45

package/dist/numeric/solveODE.d.ts.map

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package/dist/typed/numeric.d.ts

@@ -11,6 +11,7 @@
  * @packageDocumentation
  */
 export { solveParabolicPDE, type SolveParabolicPDEOptions, type ParabolicPDESolution, type ParabolicBC, type SpaceCoefficient, type BoundaryDatum, type ParabolicSource, } from '../numeric/solveParabolicPDE.js';
+export { solveDAE, type SolveDAEOptions, type DAESolution, type DAEDifferential, type DAEConstraint, type DAEJacobianBlocks, } from '../numeric/solveDAE.js';
 type f64 = number;
 type i32 = number;
 /**

package/dist/typed/numeric.d.ts.map

@@ -1 +1 @@
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package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@danielsimonjr/mathts-functions",
-  "version": "0.53.0",
+  "version": "0.54.0",
   "description": "Mathematical functions for MathTS - arithmetic, algebra, trigonometry, statistics, and more",
   "author": "Daniel Simon Jr.",
   "license": "MIT",