diff-grok 1.0.10 → 1.2.0

package/src/solver-tools/ab4-method.js.map

@@ -0,0 +1 @@
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package/src/solver-tools/ab4-method.ts

@@ -0,0 +1,395 @@
+/* The Adams-Bashforth-Moulton predictor-corrector method of order 4 (AB4).
+
+   Uses the 4-step Adams-Bashforth formula as predictor and the 3-step
+   Adams-Moulton formula as corrector in PECE mode (Predict-Evaluate-
+   Correct-Evaluate), with Milne's device for local error estimation.
+   Bootstrapping is performed using the Runge-Kutta-Fehlberg 4(5) method.
+
+   References:
+   [1] E. Hairer, S.P. Norsett, G. Wanner, "Solving Ordinary Differential
+       Equations I: Nonstiff Problems", Springer, 2nd ed., 1993.
+   [2] L.F. Shampine, M.K. Gordon, "Computer Solution of Ordinary Differential
+       Equations: The Initial Value Problem", W.H. Freeman, 1975.
+*/
+
+import {ODEs, max, abs, SAFETY, PSHRNK, PSGROW, REDUCE_COEF, GROW_COEF,
+  ERR_CONTR, TINY, ERROR_MSG} from './solver-defs';
+import {Callback} from './callbacks/callback-base';
+
+// Adams-Bashforth 4-step coefficients (pre-divided by 24)
+// y_{n+1} = y_n + h * (AB0*f_n + AB1*f_{n-1} + AB2*f_{n-2} + AB3*f_{n-3})
+const AB0 = 55.0 / 24.0;
+const AB1 = -59.0 / 24.0;
+const AB2 = 37.0 / 24.0;
+const AB3 = -9.0 / 24.0;
+
+// Adams-Moulton 3-step coefficients (pre-divided by 24)
+// y_{n+1} = y_n + h * (AM_NEW*f_{n+1} + AM0*f_n + AM1*f_{n-1} + AM2*f_{n-2})
+const AM_NEW = 9.0 / 24.0;
+const AM0 = 19.0 / 24.0;
+const AM1 = -5.0 / 24.0;
+const AM2 = 1.0 / 24.0;
+
+// Milne error estimation coefficient for the AB4-AM3 pair: 19/270
+const MILNE = 19.0 / 270.0;
+
+// Number of uniformly-spaced history points required for AB4
+const HIST_LEN = 4;
+
+// Fehlberg 4(5) Butcher tableau coefficients (used during bootstrap phase)
+const C2 = 1.0 / 4.0;
+const C3 = 3.0 / 8.0;
+const C4 = 12.0 / 13.0;
+const C6 = 1.0 / 2.0;
+
+const A21 = 1.0 / 4.0;
+const A31 = 3.0 / 32.0;
+const A32 = 9.0 / 32.0;
+const A41 = 1932.0 / 2197.0;
+const A42 = -7200.0 / 2197.0;
+const A43 = 7296.0 / 2197.0;
+const A51 = 439.0 / 216.0;
+const A52 = -8.0;
+const A53 = 3680.0 / 513.0;
+const A54 = -845.0 / 4104.0;
+const A61 = -8.0 / 27.0;
+const A62 = 2.0;
+const A63 = -3544.0 / 2565.0;
+const A64 = 1859.0 / 4104.0;
+const A65 = -11.0 / 40.0;
+
+const B1 = 25.0 / 216.0;
+const B3 = 1408.0 / 2565.0;
+const B4 = 2197.0 / 4104.0;
+const B5 = -1.0 / 5.0;
+
+const RKE1 = 1.0 / 360.0;
+const RKE3 = -128.0 / 4275.0;
+const RKE4 = -2197.0 / 75240.0;
+const RKE5 = 1.0 / 50.0;
+const RKE6 = 2.0 / 55.0;
+
+/** Solve initial value problem using the Adams-Bashforth-Moulton predictor-corrector method of order 4
+ * @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 AB4 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, ab4 } 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 AB4 method
+ *   const solution = ab4(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 ab4(odes: ODEs, callback?: Callback): Float64Array[] {
+  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 hMax = hDataframe * 10;
+  const tolerance = odes.tolerance;
+
+  const rowCount = Math.trunc((t1 - t0) / h) + 1;
+  const dim = odes.initial.length;
+
+  // result arrays
+  const tArr = new Float64Array(rowCount);
+  const yArrs = Array<Float64Array>(dim);
+
+  for (let i = 0; i < dim; ++i)
+    yArrs[i] = new Float64Array(rowCount);
+
+  // method routine
+  let timeDataframe = t0 + hDataframe;
+  let t = t0;
+  let tPrev = t0;
+  let hNext = 0.0;
+  let flag = true;
+  let index = 1;
+  let errmax = 0;
+  let hTemp = 0;
+  let tNew = 0;
+
+  // working buffers
+  const y = new Float64Array(odes.initial);
+  const yPrev = new Float64Array(odes.initial);
+  const dydt = new Float64Array(dim);
+  const yScale = new Float64Array(dim);
+  const yTemp = new Float64Array(dim);
+  const yErr = new Float64Array(dim);
+
+  // AB4-AM3 history: fBuf[0] = f(t_n, y_n), fBuf[3] = f(t_{n-3}, y_{n-3})
+  const fBuf: Float64Array[] = [];
+  for (let i = 0; i < HIST_LEN; ++i)
+    fBuf[i] = new Float64Array(dim);
+  let histCount = 0;
+  let lastH = 0;
+
+  // AB4-AM3 corrector buffers
+  const yCorr = new Float64Array(dim);
+  const fPred = new Float64Array(dim);
+
+  // RKF45 stage buffers (bootstrap)
+  const k1 = new Float64Array(dim);
+  const k2 = new Float64Array(dim);
+  const k3 = new Float64Array(dim);
+  const k4 = new Float64Array(dim);
+  const k5 = new Float64Array(dim);
+  const k6 = new Float64Array(dim);
+
+  // store initial f-value
+  f(t, y, fBuf[0]);
+  histCount = 1;
+
+  // 1. SOLUTION AT THE POINT t0
+  tArr[0] = t0;
+  for (let i = 0; i < dim; ++i)
+    yArrs[i][0] = y[i];
+
+  // 2. COMPUTE NUMERICAL SOLUTION FOR THE POINTS FROM THE INTERVAL (t0, t1)
+  while (flag) {
+    // compute derivative
+    f(t, y, dydt);
+
+    // check whether to go on computations
+    if (callback)
+      callback.onIterationStart();
+
+    // compute scale vector
+    for (let i = 0; i < dim; ++i)
+      yScale[i] = abs(y[i]) + h * abs(dydt[i]) + TINY;
+
+    // check end point
+    if (t + h > t1) {
+      h = t1 - t;
+      flag = false;
+    }
+
+    // if step size changed, history is invalid (AB4 needs uniform spacing)
+    if (histCount > 1 && h !== lastH) {
+      histCount = 1;
+      f(t, y, fBuf[0]);
+    }
+
+    // adaptive step loop
+    while (true) {
+      if (histCount < HIST_LEN) {
+        // BOOTSTRAP PHASE: RKF45 single step to build up history
+
+        // Stage 1: k1 = f(t, y)
+        f(t, y, k1);
+
+        // Stage 2: k2 = f(t + C2*h, y + h*A21*k1)
+        for (let i = 0; i < dim; ++i)
+          yTemp[i] = y[i] + h * A21 * k1[i];
+        f(t + C2 * h, yTemp, k2);
+
+        // Stage 3: k3 = f(t + C3*h, y + h*(A31*k1 + A32*k2))
+        for (let i = 0; i < dim; ++i)
+          yTemp[i] = y[i] + h * (A31 * k1[i] + A32 * k2[i]);
+        f(t + C3 * h, yTemp, k3);
+
+        // Stage 4: k4 = f(t + C4*h, y + h*(A41*k1 + A42*k2 + A43*k3))
+        for (let i = 0; i < dim; ++i)
+          yTemp[i] = y[i] + h * (A41 * k1[i] + A42 * k2[i] + A43 * k3[i]);
+        f(t + C4 * h, yTemp, k4);
+
+        // Stage 5: k5 = f(t + h, y + h*(A51*k1 + A52*k2 + A53*k3 + A54*k4))
+        for (let i = 0; i < dim; ++i)
+          yTemp[i] = y[i] + h * (A51 * k1[i] + A52 * k2[i] + A53 * k3[i] + A54 * k4[i]);
+        f(t + h, yTemp, k5);
+
+        // Stage 6: k6 = f(t + C6*h, y + h*(A61*k1 + A62*k2 + A63*k3 + A64*k4 + A65*k5))
+        for (let i = 0; i < dim; ++i)
+          yTemp[i] = y[i] + h * (A61 * k1[i] + A62 * k2[i] + A63 * k3[i] + A64 * k4[i] + A65 * k5[i]);
+        f(t + C6 * h, yTemp, k6);
+
+        // 4th-order solution
+        for (let i = 0; i < dim; ++i)
+          yTemp[i] = y[i] + h * (B1 * k1[i] + B3 * k3[i] + B4 * k4[i] + B5 * k5[i]);
+
+        // Error estimate: difference between 4th and 5th order solutions
+        for (let i = 0; i < dim; ++i)
+          yErr[i] = h * (RKE1 * k1[i] + RKE3 * k3[i] + RKE4 * k4[i] + RKE5 * k5[i] + RKE6 * k6[i]);
+
+        // estimating error
+        errmax = 0;
+        for (let i = 0; i < dim; ++i)
+          errmax = max(errmax, abs(yErr[i] / yScale[i]));
+        errmax /= tolerance;
+
+        // processing the error obtained
+        if (errmax > 1) {
+          hTemp = SAFETY * h * errmax**PSHRNK;
+          h = max(hTemp, REDUCE_COEF * h);
+          tNew = t + h;
+          if (tNew == t)
+            throw new Error(ERROR_MSG.AB4_FAILS);
+          // step size changed, reset history if needed
+          if (histCount > 1) {
+            histCount = 1;
+            f(t, y, fBuf[0]);
+          }
+        } else {
+          // step accepted
+          t = t + h;
+
+          for (let i = 0; i < dim; ++i)
+            y[i] = yTemp[i];
+
+          // shift history and store new f-value
+          for (let j = Math.min(histCount, HIST_LEN - 1); j > 0; --j)
+            fBuf[j].set(fBuf[j - 1]);
+          f(t, y, fBuf[0]);
+          histCount++;
+          lastH = h;
+
+          // during bootstrap, keep h constant for uniform spacing
+          hNext = h;
+          if (hNext > hMax)
+            hNext = hMax;
+
+          break;
+        }
+      } else {
+        // AB4-AM3 PHASE: Predictor-Corrector (PECE)
+
+        // Predict (Adams-Bashforth 4-step)
+        for (let i = 0; i < dim; ++i) {
+          yTemp[i] = y[i] + h * (AB0 * fBuf[0][i] + AB1 * fBuf[1][i] +
+            AB2 * fBuf[2][i] + AB3 * fBuf[3][i]);
+        }
+
+        // Evaluate f at predicted point
+        f(t + h, yTemp, fPred);
+
+        // Correct (Adams-Moulton 3-step)
+        for (let i = 0; i < dim; ++i) {
+          yCorr[i] = y[i] + h * (AM_NEW * fPred[i] + AM0 * fBuf[0][i] +
+            AM1 * fBuf[1][i] + AM2 * fBuf[2][i]);
+        }
+
+        // Error estimate (Milne's device)
+        for (let i = 0; i < dim; ++i)
+          yErr[i] = MILNE * (yCorr[i] - yTemp[i]);
+
+        // estimating error
+        errmax = 0;
+        for (let i = 0; i < dim; ++i)
+          errmax = max(errmax, abs(yErr[i] / yScale[i]));
+        errmax /= tolerance;
+
+        // processing the error obtained
+        if (errmax > 1) {
+          // step rejected: shrink step and re-bootstrap
+          hTemp = SAFETY * h * errmax**PSHRNK;
+          h = max(hTemp, REDUCE_COEF * h);
+          tNew = t + h;
+          if (tNew == t)
+            throw new Error(ERROR_MSG.AB4_FAILS);
+          histCount = 1;
+          f(t, y, fBuf[0]);
+        } else {
+          if (errmax > ERR_CONTR)
+            hNext = SAFETY * h * errmax**PSGROW;
+          else
+            hNext = GROW_COEF * h;
+
+          if (hNext > hMax)
+            hNext = hMax;
+
+          t = t + h;
+
+          for (let i = 0; i < dim; ++i)
+            y[i] = yCorr[i];
+
+          // shift history and store f at corrected point (PECE final evaluate)
+          const recycled = fBuf[HIST_LEN - 1];
+          for (let j = HIST_LEN - 1; j > 0; --j)
+            fBuf[j] = fBuf[j - 1];
+          fBuf[0] = recycled;
+          f(t, y, fBuf[0]);
+          lastH = h;
+
+          break;
+        }
+      }
+    } // while (true)
+
+    // compute linearly interpolated results and store them in dataframe
+    while (timeDataframe < t) {
+      const cLeft = (t - timeDataframe) / (t - tPrev);
+      const cRight = 1.0 - cLeft;
+
+      tArr[index] = timeDataframe;
+
+      for (let j = 0; j < dim; ++j)
+        yArrs[j][index] = cRight * y[j] + cLeft * yPrev[j];
+
+      timeDataframe += hDataframe;
+      ++index;
+    }
+
+    h = hNext;
+    tPrev = t;
+
+    for (let i = 0; i < dim; ++i)
+      yPrev[i] = y[i];
+  } // while (flag)
+
+  // perform final callback actions
+  if (callback)
+    callback.onComputationsCompleted();
+
+  // 3. solution at the point t1
+  tArr[rowCount - 1] = t1;
+
+  for (let i = 0; i < dim; ++i)
+    yArrs[i][rowCount - 1] = y[i];
+
+  // 4. prepare output
+  const solution = Array<Float64Array>(dim + 1);
+
+  // independent variable
+  solution[0] = tArr;
+
+  // functions
+  for (let i = 0; i < dim; ++i)
+    solution[i + 1] = yArrs[i];
+
+  return solution;
+} // ab4