diff-grok 1.0.10 → 1.1.0

package/src/solver-tools/lsoda-method.ts

@@ -0,0 +1,136 @@
+/* LSODA library wrapper method.
+
+   Wraps the variable-order Nordsieck-based LSODA solver into the standard SolverMethod interface.
+   Automatically switches between Adams (non-stiff) and BDF (stiff) methods.
+
+   References:
+   [1] Hindmarsh, A.C. "ODEPACK, A Systematized Collection of ODE Solvers."
+   [2] Petzold, L.R. "Automatic Selection of Methods for Solving Stiff and Nonstiff
+       Systems of Ordinary Differential Equations."
+*/
+
+import {ODEs, ERROR_MSG} from './solver-defs';
+import {Callback} from './callbacks/callback-base';
+import {Lsoda} from './lsoda';
+
+/** Wraps an ODEs func into the OdeFunction signature compatible with Lsoda (returns 0). */
+function wrapFunc(f: ODEs['func']): (t: number, y: Float64Array, ydot: Float64Array) => number {
+  return (t, y, ydot) => {
+    f(t, y, ydot);
+    return 0;
+  };
+}
+
+/** Solve initial value problem using the LSODA library method
+ * @param odes initial value problem for ordinary differential equations
+ * @param callback computations control callback
+ * @returns solution of the problem
+ * @example
+ * // Example. Solve the following initial value problem using the LSODA method:
+ * //   dx/dt = x + y - t
+ * //   dy/dt = x * y + t
+ * //   x(0) = 1
+ * //   y(0) = -1
+ * // on [0, 2] with the step 0.01.
+ * import { ODEs, lsoda } from 'diff-grok';
+ *
+ * const task: ODEs = {
+ *   name: 'Example', // name of your model
+ *   arg: {
+ *       name: 't',  // name of the argument
+ *       start: 0,   // initial value of the argument
+ *       finish: 2,  // final value of the argument
+ *       step: 0.01, // solution grid step
+ *   },
+ *   initial: [1, -1], // initial values
+ *   func: (t: number, y: Float64Array, output: Float64Array) => { // right-hand side of the system
+ *     output[0] = y[0] + y[1] - t; // 1-st equation
+ *     output[1] = y[0] * y[1] + t; // 2-nd equation
+ *   },
+ *   tolerance: 1e-7, // tolerance
+ *   solutionColNames: ['x', 'y'], // names of solution functions
+ * };
+ *
+ * try {
+ *   // Solve the problem using the LSODA method
+ *   const solution = lsoda(task);
+ *
+ *   // Print a table with the results
+ *   console.log(task.arg.name, task.solutionColNames[0], task.solutionColNames[1]);
+ *   const length = solution[0].length;
+ *   for (let i = 0; i < length; ++i)
+ *     console.log(solution[0][i], solution[1][i], solution[2][i]);
+ * } catch (err) {
+ *   console.log('Solver failed: ', err instanceof Error ? err.message : 'Unknown problem!');
+ * }
+*/
+export function lsoda(odes: ODEs, callback?: Callback): Float64Array[] {
+  // 1. Extract problem parameters
+  const t0 = odes.arg.start;
+  const t1 = odes.arg.finish;
+  const step = odes.arg.step;
+  const tolerance = odes.tolerance;
+  const dim = odes.initial.length;
+  const mxstep = 50000;
+
+  // 2. Create LSODA solver with dense output enabled
+  const rtol = new Float64Array(dim).fill(tolerance);
+  const atol = new Float64Array(dim).fill(tolerance);
+
+  const solver = new Lsoda(wrapFunc(odes.func), dim, {
+    rtol, atol, itask: 1, dense: true, mxstep,
+  });
+
+  // 3. Integrate through checkpoints, collecting Nordsieck snapshots for dense output.
+  //    Checkpoints are spaced coarsely (up to 1000) so the solver handles adaptive
+  //    stepping internally; mxstep per call stays within bounds.
+  if (callback)
+    callback.onIterationStart();
+
+  let y: ArrayLike<number> = [...odes.initial];
+  let t = t0;
+
+  // Warmup: a tiny initial step bootstraps the BDF method for extremely stiff problems
+  const warmupTout = t0 + Math.min(step, 1.0) * 1e-5;
+  if (warmupTout > t0 && warmupTout < t1) {
+    const wr = solver.solve(y, t, warmupTout);
+    y = wr.y;
+    t = wr.t;
+    if (solver.state <= 0)
+      throw new Error(ERROR_MSG.LSODA_FAILS);
+  }
+
+  const gridPoints = Math.trunc((t1 - t0) / step) + 1;
+  const numCheckpoints = Math.min(gridPoints, 1000);
+  const cpStep = (t1 - t0) / numCheckpoints;
+
+  for (let i = 1; i <= numCheckpoints; i++) {
+    const tout = (i < numCheckpoints) ? t0 + i * cpStep : t1;
+    const result = solver.solve(y, t, tout);
+    y = result.y;
+    t = result.t;
+
+    if (solver.state <= 0)
+      throw new Error(ERROR_MSG.LSODA_FAILS);
+  }
+
+  // 4. Use dense output to interpolate on the uniform output grid
+  const dense = solver.getDenseOutput();
+  const grid = dense.solveOnGrid(t0, t1, step);
+
+  if (callback)
+    callback.onComputationsCompleted();
+
+  // 5. Return solution: [tArr, y0Arr, y1Arr, ...]
+  const rowCount = grid.t.length;
+  const solution = Array<Float64Array>(dim + 1);
+  solution[0] = grid.t;
+  for (let i = 0; i < dim; ++i)
+    solution[i + 1] = grid.y[i];
+
+  // Patch last y values with the exact endpoint from the solver
+  for (let i = 0; i < dim; ++i)
+    solution[i + 1][rowCount - 1] = y[i];
+
+  return solution;
+} // lsoda

package/src/solver-tools/mrt-method.js

@@ -4,11 +4,73 @@
    [1] https://doi.org/10.1137/S1064827594276424
    [2] https://doi.org/10.1016/S0898-1221(00)00175-9
 */
-import { max, abs, SAFETY, PSHRNK, PSGROW, REDUCE_COEF, GROW_COEF, ERR_CONTR, TINY, EPS, tDerivative, jacobian, ERROR_MSG } from './solver-defs';
+import { max, min, abs, SAFETY, TINY, EPS, tDerivative, jacobian, ERROR_MSG } from './solver-defs';
 import { luDecomp, luSolve, solve1d2d } from './lin-alg-tools';
 // Quantities used in Rosenbrock method (see [1], [2] for more details)
 const D = 1.0 - Math.sqrt(2.0) / 2.0;
 const E32 = 6.0 + Math.sqrt(2.0);
+const TWO_D = 2.0 * D;
+const ONE_MINUS_2D = 1.0 - TWO_D;
+// Adaptive step size control bounds (see MRT.md, Section 6)
+const ALPHA_MAX = 5;
+const ALPHA_MIN = 0.2;
+/** Compute the initial step size using the Hairer-Norsett-Wanner algorithm.
+ *  @param t0    initial time
+ *  @param y0    initial state vector
+ *  @param f     right-hand side function
+ *  @param tol   scalar tolerance (plays the role of rtol)
+ *  @param dim   dimension of the system
+ *  @param p     order of the method (p = 2 for MRT)
+ *  @param tEnd  end of the integration interval (used to cap h0)
+ *  @returns     estimated initial step size
+ */
+function initialStepSize(t0, y0, f, tol, dim, p, tEnd) {
+    const f0 = new Float64Array(dim);
+    const f1 = new Float64Array(dim);
+    const y1 = new Float64Array(dim);
+    const sc = new Float64Array(dim);
+    // Step 1: scale vector (sc[i] = |y0[i]| + TINY)
+    for (let i = 0; i < dim; ++i)
+        sc[i] = Math.abs(y0[i]) + TINY;
+    // Step 2: evaluate the right-hand side at the initial point
+    f(t0, y0, f0);
+    // Step 3: compute scaled norms d0 = ||y0/sc||, d1 = ||f0/sc||
+    let d0 = 0.0;
+    let d1 = 0.0;
+    for (let i = 0; i < dim; ++i) {
+        d0 = Math.max(d0, Math.abs(y0[i]) / sc[i]);
+        d1 = Math.max(d1, Math.abs(f0[i]) / sc[i]);
+    }
+    // Step 4: first guess
+    let h0;
+    if (d0 < 1e-5 || d1 < 1e-5)
+        h0 = 1e-6;
+    else
+        h0 = 0.01 * d0 / d1;
+    // Cap h0 to the integration interval
+    h0 = Math.min(h0, Math.abs(tEnd - t0));
+    // Step 5: explicit Euler probe to estimate the second derivative
+    for (let i = 0; i < dim; ++i)
+        y1[i] = y0[i] + h0 * f0[i];
+    f(t0 + h0, y1, f1);
+    let d2 = 0.0;
+    for (let i = 0; i < dim; ++i)
+        d2 = Math.max(d2, Math.abs(f1[i] - f0[i]) / sc[i]);
+    d2 /= h0;
+    // Step 6: refine using the method order
+    //   h1 = (tol / max(d1, d2))^(1/(p+1))
+    const maxD = Math.max(d1, d2);
+    let h1;
+    if (maxD <= 1e-15)
+        h1 = Math.max(1e-6, h0 * 1e-3);
+    else
+        h1 = Math.pow(tol / maxD, 1.0 / (p + 1));
+    // Step 7: final initial step size
+    h0 = Math.min(100.0 * h0, h1);
+    // Safety: clip to the integration interval
+    h0 = Math.min(h0, Math.abs(tEnd - t0));
+    return h0;
+}
 /** Solve initial value problem the modified Rosenbrock triple (MRT) method
  * @param odes initial value problem for ordinary differential equations
  * @param callback computations control callback
@@ -59,13 +121,15 @@ export function mrt(odes, callback) {
     // operating variables
     const t0 = odes.arg.start;
     const t1 = odes.arg.finish;
-    let h = odes.arg.step;
-    const hDataframe = h;
+    const hDataframe = odes.arg.step;
     const tolerance = odes.tolerance;
-    /** number of solution dataframe rows */
-    const rowCount = Math.trunc((t1 - t0) / h) + 1;
     /** dimension of the problem */
     const dim = odes.initial.length;
+    // compute the initial step size automatically
+    let h = initialStepSize(t0, new Float64Array(odes.initial), f, tolerance, dim, 2, t1);
+    //console.log(`MRT, the problem "${odes.name}", grid step: ${hDataframe}, initial step size: ${h}.`);
+    /** number of solution dataframe rows */
+    const rowCount = Math.trunc((t1 - t0) / hDataframe) + 1;
     const dimSquared = dim * dim;
     /** independent variable values */
     const tArr = new Float64Array(rowCount);
@@ -81,7 +145,6 @@ export function mrt(odes, callback) {
     let flag = true;
     let index = 1;
     let errmax = 0;
-    let hTemp = 0;
     let tNew = 0;
     // 0 BUFFERS & TEMP STRUCTURES
     /** identity matrix */
@@ -195,32 +258,32 @@ export function mrt(odes, callback) {
             for (let i = 0; i < dim; ++i)
                 errmax = max(errmax, abs(yErr[i] / yScale[i]));
             errmax /= tolerance;
-            // processing the error obtained
+            // adaptive step size control (see MRT.md, Section 6)
             if (errmax > 1) {
-                hTemp = SAFETY * h * Math.pow(errmax, PSHRNK);
-                h = max(hTemp, REDUCE_COEF * h);
+                // step rejected: reduce step size, but not below ALPHA_MIN factor
+                h = h * max(ALPHA_MIN, SAFETY * Math.pow(errmax, (-1 / 3)));
                 tNew = t + h;
                 if (tNew == t)
                     throw new Error(ERROR_MSG.MRT_FAILS);
             }
             else {
-                if (errmax > ERR_CONTR)
-                    hNext = SAFETY * h * Math.pow(errmax, PSGROW);
-                else
-                    hNext = GROW_COEF * h;
+                // step accepted: grow step size, but not above ALPHA_MAX factor
+                hNext = h * min(ALPHA_MAX, SAFETY * Math.pow(errmax, (-1 / 3)));
                 t = t + h;
                 for (let i = 0; i < dim; ++i)
                     y[i] = yTemp[i];
                 break;
             }
         } // while (true)
-        // compute lineraly interpolated results and store them in dataframe
+        // compute dense output using Shampine-Reichelt continuous extension
+        const hStep = t - tPrev;
         while (timeDataframe < t) {
-            const cLeft = (t - timeDataframe) / (t - tPrev);
-            const cRight = 1.0 - cLeft;
+            const s = (timeDataframe - tPrev) / hStep;
+            const b1 = s * (1.0 - s) / ONE_MINUS_2D;
+            const b2 = s * (s - TWO_D) / ONE_MINUS_2D;
             tArr[index] = timeDataframe;
             for (let j = 0; j < dim; ++j)
-                yArrs[j][index] = cRight * y[j] + cLeft * yPrev[j];
+                yArrs[j][index] = yPrev[j] + hStep * (b1 * k1[j] + b2 * k2[j]);
             timeDataframe += hDataframe;
             ++index;
         }
@@ -237,7 +300,7 @@ export function mrt(odes, callback) {
     for (let i = 0; i < dim; ++i)
         yArrs[i][rowCount - 1] = y[i];
     // 4. prepare output
-    const solution = Array(dim);
+    const solution = Array(dim + 1);
     // independent variable
     solution[0] = tArr;
     // functions

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package/src/solver-tools/mrt-method.ts

@@ -5,14 +5,102 @@
    [2] https://doi.org/10.1016/S0898-1221(00)00175-9
 */
 
-import {ODEs, max, abs, SAFETY, PSHRNK, PSGROW, REDUCE_COEF, GROW_COEF,
-  ERR_CONTR, TINY, EPS, tDerivative, jacobian, ERROR_MSG} from './solver-defs';
+import {ODEs, max, min, abs, SAFETY, TINY, EPS, tDerivative, jacobian, ERROR_MSG} from './solver-defs';
 import {Callback} from './callbacks/callback-base';
 import {luDecomp, luSolve, solve1d2d} from './lin-alg-tools';
 
 // Quantities used in Rosenbrock method (see [1], [2] for more details)
 const D = 1.0 - Math.sqrt(2.0) / 2.0;
 const E32 = 6.0 + Math.sqrt(2.0);
+const TWO_D = 2.0 * D;
+const ONE_MINUS_2D = 1.0 - TWO_D;
+
+// Adaptive step size control bounds (see MRT.md, Section 6)
+const ALPHA_MAX = 5;
+const ALPHA_MIN = 0.2;
+
+/** Compute the initial step size using the Hairer-Norsett-Wanner algorithm.
+ *  @param t0    initial time
+ *  @param y0    initial state vector
+ *  @param f     right-hand side function
+ *  @param tol   scalar tolerance (plays the role of rtol)
+ *  @param dim   dimension of the system
+ *  @param p     order of the method (p = 2 for MRT)
+ *  @param tEnd  end of the integration interval (used to cap h0)
+ *  @returns     estimated initial step size
+ */
+function initialStepSize(
+  t0: number,
+  y0: Float64Array,
+  f: (t: number, y: Float64Array, out: Float64Array) => void,
+  tol: number,
+  dim: number,
+  p: number,
+  tEnd: number,
+): number {
+  const f0 = new Float64Array(dim);
+  const f1 = new Float64Array(dim);
+  const y1 = new Float64Array(dim);
+  const sc = new Float64Array(dim);
+
+  // Step 1: scale vector (sc[i] = |y0[i]| + TINY)
+  for (let i = 0; i < dim; ++i)
+    sc[i] = Math.abs(y0[i]) + TINY;
+
+  // Step 2: evaluate the right-hand side at the initial point
+  f(t0, y0, f0);
+
+  // Step 3: compute scaled norms d0 = ||y0/sc||, d1 = ||f0/sc||
+  let d0 = 0.0;
+  let d1 = 0.0;
+
+  for (let i = 0; i < dim; ++i) {
+    d0 = Math.max(d0, Math.abs(y0[i]) / sc[i]);
+    d1 = Math.max(d1, Math.abs(f0[i]) / sc[i]);
+  }
+
+  // Step 4: first guess
+  let h0: number;
+
+  if (d0 < 1e-5 || d1 < 1e-5)
+    h0 = 1e-6;
+  else
+    h0 = 0.01 * d0 / d1;
+
+  // Cap h0 to the integration interval
+  h0 = Math.min(h0, Math.abs(tEnd - t0));
+
+  // Step 5: explicit Euler probe to estimate the second derivative
+  for (let i = 0; i < dim; ++i)
+    y1[i] = y0[i] + h0 * f0[i];
+
+  f(t0 + h0, y1, f1);
+
+  let d2 = 0.0;
+
+  for (let i = 0; i < dim; ++i)
+    d2 = Math.max(d2, Math.abs(f1[i] - f0[i]) / sc[i]);
+
+  d2 /= h0;
+
+  // Step 6: refine using the method order
+  //   h1 = (tol / max(d1, d2))^(1/(p+1))
+  const maxD = Math.max(d1, d2);
+  let h1: number;
+
+  if (maxD <= 1e-15)
+    h1 = Math.max(1e-6, h0 * 1e-3);
+  else
+    h1 = Math.pow(tol / maxD, 1.0 / (p + 1));
+
+  // Step 7: final initial step size
+  h0 = Math.min(100.0 * h0, h1);
+
+  // Safety: clip to the integration interval
+  h0 = Math.min(h0, Math.abs(tEnd - t0));
+
+  return h0;
+}
 
 /** Solve initial value problem the modified Rosenbrock triple (MRT) method
  * @param odes initial value problem for ordinary differential equations
@@ -61,19 +149,22 @@ const E32 = 6.0 + Math.sqrt(2.0);
 export function mrt(odes: ODEs, callback?: Callback): Float64Array[] {
   /** right-hand side of the IVP solved */
   const f = odes.func;
-
   // operating variables
   const t0 = odes.arg.start;
   const t1 = odes.arg.finish;
-  let h = odes.arg.step;
-  const hDataframe = h;
+  const hDataframe = odes.arg.step;
   const tolerance = odes.tolerance;
 
-  /** number of solution dataframe rows */
-  const rowCount = Math.trunc((t1 - t0) / h) + 1;
-
   /** dimension of the problem */
   const dim = odes.initial.length;
+
+  // compute the initial step size automatically
+  let h = initialStepSize(t0, new Float64Array(odes.initial), f, tolerance, dim, 2, t1);
+
+  //console.log(`MRT, the problem "${odes.name}", grid step: ${hDataframe}, initial step size: ${h}.`);
+
+  /** number of solution dataframe rows */
+  const rowCount = Math.trunc((t1 - t0) / hDataframe) + 1;
   const dimSquared = dim * dim;
 
   /** independent variable values */
@@ -93,7 +184,6 @@ export function mrt(odes: ODEs, callback?: Callback): Float64Array[] {
   let flag = true;
   let index = 1;
   let errmax = 0;
-  let hTemp = 0;
   let tNew = 0;
 
   // 0 BUFFERS & TEMP STRUCTURES
@@ -241,18 +331,16 @@ export function mrt(odes: ODEs, callback?: Callback): Float64Array[] {
         errmax = max(errmax, abs(yErr[i] / yScale[i]));
       errmax /= tolerance;
 
-      // processing the error obtained
+      // adaptive step size control (see MRT.md, Section 6)
       if (errmax > 1) {
-        hTemp = SAFETY * h * errmax**PSHRNK;
-        h = max(hTemp, REDUCE_COEF * h);
+        // step rejected: reduce step size, but not below ALPHA_MIN factor
+        h = h * max(ALPHA_MIN, SAFETY * errmax ** (-1 / 3));
         tNew = t + h;
         if (tNew == t)
           throw new Error(ERROR_MSG.MRT_FAILS);
       } else {
-        if (errmax > ERR_CONTR)
-          hNext = SAFETY * h * errmax**PSGROW;
-        else
-          hNext = GROW_COEF * h;
+        // step accepted: grow step size, but not above ALPHA_MAX factor
+        hNext = h * min(ALPHA_MAX, SAFETY * errmax ** (-1 / 3));
         t = t + h;
 
         for (let i = 0; i < dim; ++i)
@@ -262,15 +350,17 @@ export function mrt(odes: ODEs, callback?: Callback): Float64Array[] {
       }
     } // while (true)
 
-    // compute lineraly interpolated results and store them in dataframe
+    // compute dense output using Shampine-Reichelt continuous extension
+    const hStep = t - tPrev;
     while (timeDataframe < t) {
-      const cLeft = (t - timeDataframe) / (t - tPrev);
-      const cRight = 1.0 - cLeft;
+      const s = (timeDataframe - tPrev) / hStep;
+      const b1 = s * (1.0 - s) / ONE_MINUS_2D;
+      const b2 = s * (s - TWO_D) / ONE_MINUS_2D;
 
       tArr[index] = timeDataframe;
 
       for (let j = 0; j < dim; ++j)
-        yArrs[j][index] = cRight * y[j] + cLeft * yPrev[j];
+        yArrs[j][index] = yPrev[j] + hStep * (b1 * k1[j] + b2 * k2[j]);
 
       timeDataframe += hDataframe;
       ++index;
@@ -294,7 +384,7 @@ export function mrt(odes: ODEs, callback?: Callback): Float64Array[] {
     yArrs[i][rowCount - 1] = y[i];
 
   // 4. prepare output
-  const solution = Array<Float64Array>(dim);
+  const solution = Array<Float64Array>(dim + 1);
 
   // independent variable
   solution[0] = tArr;