diff-grok 1.0.10 → 1.2.0

package/src/solver-tools/rk4-method.js

@@ -0,0 +1,236 @@
+/* The Runge-Kutta-Fehlberg 4(5) method (RK4).
+
+   An explicit adaptive Runge-Kutta method of order 4 with an embedded
+   5th-order error estimate for step size control.
+
+   Reference:
+   [1] E. Fehlberg, "Low-order classical Runge-Kutta formulas with stepsize control
+       and their application to some heat transfer problems", NASA Technical Report 315, 1969.
+*/
+import { max, abs, SAFETY, PSHRNK, PSGROW, REDUCE_COEF, GROW_COEF, ERR_CONTR, TINY, ERROR_MSG } from './solver-defs';
+// Fehlberg 4(5) Butcher tableau coefficients
+// Nodes (c_i)
+const C2 = 1.0 / 4.0;
+const C3 = 3.0 / 8.0;
+const C4 = 12.0 / 13.0;
+// C5 = 1
+const C6 = 1.0 / 2.0;
+// Matrix coefficients (a_ij)
+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;
+// 4th-order weights (b_i)
+const B1 = 25.0 / 216.0;
+// B2 = 0
+const B3 = 1408.0 / 2565.0;
+const B4 = 2197.0 / 4104.0;
+const B5 = -1.0 / 5.0;
+// B6 = 0
+// Error coefficients: (b_i - bHat_i), where bHat are the 5th-order weights
+const E1 = 1.0 / 360.0;
+// E2 = 0
+const E3 = -128.0 / 4275.0;
+const E4 = -2197.0 / 75240.0;
+const E5 = 1.0 / 50.0;
+const E6 = 2.0 / 55.0;
+/** Solve initial value problem using the Runge-Kutta-Fehlberg 4(5) 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 RK4 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, rk4 } 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 RK4 method
+ *   const solution = rk4(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 rk4(odes, callback) {
+    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(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;
+    // 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);
+    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);
+    // 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;
+        }
+        // adaptive step loop
+        while (true) {
+            // 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 * (E1 * k1[i] + E3 * k3[i] + E4 * k4[i] + E5 * k5[i] + E6 * 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 * Math.pow(errmax, PSHRNK);
+                h = max(hTemp, REDUCE_COEF * h);
+                tNew = t + h;
+                if (tNew == t)
+                    throw new Error(ERROR_MSG.RK4_FAILS);
+            }
+            else {
+                if (errmax > ERR_CONTR)
+                    hNext = SAFETY * h * Math.pow(errmax, PSGROW);
+                else
+                    hNext = GROW_COEF * h;
+                if (hNext > hMax)
+                    hNext = hMax;
+                t = t + h;
+                for (let i = 0; i < dim; ++i)
+                    y[i] = yTemp[i];
+                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(dim + 1);
+    // independent variable
+    solution[0] = tArr;
+    // functions
+    for (let i = 0; i < dim; ++i)
+        solution[i + 1] = yArrs[i];
+    return solution;
+} // rk4
+//# sourceMappingURL=rk4-method.js.map

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package/src/solver-tools/rk4-method.ts

@@ -0,0 +1,286 @@
+/* The Runge-Kutta-Fehlberg 4(5) method (RK4).
+
+   An explicit adaptive Runge-Kutta method of order 4 with an embedded
+   5th-order error estimate for step size control.
+
+   Reference:
+   [1] E. Fehlberg, "Low-order classical Runge-Kutta formulas with stepsize control
+       and their application to some heat transfer problems", NASA Technical Report 315, 1969.
+*/
+
+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';
+
+// Fehlberg 4(5) Butcher tableau coefficients
+
+// Nodes (c_i)
+const C2 = 1.0 / 4.0;
+const C3 = 3.0 / 8.0;
+const C4 = 12.0 / 13.0;
+// C5 = 1
+const C6 = 1.0 / 2.0;
+
+// Matrix coefficients (a_ij)
+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;
+
+// 4th-order weights (b_i)
+const B1 = 25.0 / 216.0;
+// B2 = 0
+const B3 = 1408.0 / 2565.0;
+const B4 = 2197.0 / 4104.0;
+const B5 = -1.0 / 5.0;
+// B6 = 0
+
+// Error coefficients: (b_i - bHat_i), where bHat are the 5th-order weights
+const E1 = 1.0 / 360.0;
+// E2 = 0
+const E3 = -128.0 / 4275.0;
+const E4 = -2197.0 / 75240.0;
+const E5 = 1.0 / 50.0;
+const E6 = 2.0 / 55.0;
+
+/** Solve initial value problem using the Runge-Kutta-Fehlberg 4(5) 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 RK4 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, rk4 } 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 RK4 method
+ *   const solution = rk4(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 rk4(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;
+
+  // 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);
+
+  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);
+
+  // 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;
+    }
+
+    // adaptive step loop
+    while (true) {
+      // 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 * (E1 * k1[i] + E3 * k3[i] + E4 * k4[i] + E5 * k5[i] + E6 * 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.RK4_FAILS);
+      } 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] = yTemp[i];
+
+        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;
+} // rk4