diff-grok 1.0.8

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

@@ -0,0 +1,269 @@
+/* The modified Rosenbrock triple method (MTR).
+
+   References:
+   [1] https://doi.org/10.1137/S1064827594276424
+   [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 {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);
+
+/** Solve initial value problem the modified Rosenbrock triple (MRT) method [1, 2]
+ * @param odes initial value problem for ordinary differential equations
+ * @param callback computations control callback
+ * @returns solution of the problem
+*/
+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 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;
+  const dimSquared = dim * dim;
+
+  /** independent variable values */
+  const tArr = new Float64Array(rowCount);
+
+  /** arrays of solution values */
+  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;
+
+  // 0 BUFFERS & TEMP STRUCTURES
+
+  /** identity matrix */
+  const I = new Float64Array(dim * dim);
+
+  // compute identity matrix
+  for (let i = 0; i < dim; ++i) {
+    for (let j = 0; j < dim; ++j)
+      I[j + i * dim] = (i === j) ? 1 : 0;
+  }
+
+  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 W = new Float64Array(dimSquared);
+
+  const f0 = new Float64Array(dim);
+  const k1 = new Float64Array(dim);
+  const f1 = new Float64Array(dim);
+  const k2 = new Float64Array(dim);
+  const f2 = new Float64Array(dim);
+  const k3 = new Float64Array(dim);
+  const yDer = new Float64Array(dim);
+  const hdT = new Float64Array(dim);
+
+  const f0Buf = new Float64Array(dim);
+  const f1Buf = new Float64Array(dim);
+  let hd = 0;
+  let hDivNum = 0;
+
+  const L = new Float64Array(dimSquared);
+  const U = new Float64Array(dimSquared);
+  const luBuf = new Float64Array(dim);
+  const toUseLU = dim > 2;
+
+  // 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;
+    }
+
+    // call of adaptive step modified Rosenbrok triple method
+    // computation of solution (y), time (t) and next step (hNext)
+    while (true) {
+      // one stage of the modified Rosenbrok triple approach
+      // hdT = h * d * T(t, y, EPS);
+      tDerivative(t, y, f, EPS, f0Buf, f1Buf, hdT);
+      hd = h * D;
+      for (let i = 0; i < dim; ++i)
+        hdT[i] *= hd;
+
+      // The main computations
+
+      // f0 = f(t, y);
+      f(t, y, f0);
+
+      // W = I - h * d * J(t, y, EPS);
+      jacobian(t, y, f, EPS, f0Buf, f1Buf, W);
+      for (let i = 0; i < dimSquared; ++i)
+        W[i] = I[i] - hd * W[i];
+
+      // compute LU-decomposition
+      if (toUseLU)
+        luDecomp(W, L, U, dim);
+
+      // compute k1: solve the system W * k1 = f0 + hdT
+      for (let i = 0; i < dim; ++i)
+        f0Buf[i] = f0[i] + hdT[i];
+
+      if (toUseLU)
+        luSolve(L, U, f0Buf, luBuf, k1, dim);
+      else
+        solve1d2d(W, f0Buf, k1);
+
+      hDivNum = 0.5 * h;
+
+      // yDer = y + 0.5 * h * k1;
+      for (let i = 0; i < dim; ++i)
+        yDer[i] = y[i] + hDivNum * k1[i];
+
+      // f1 = f(t + 0.5 * h, yDer);
+      f(t + hDivNum, yDer, f1);
+
+      // compute k2: solve the system W * (k2 - k1) = f1 - k1
+      for (let i = 0; i < dim; ++i)
+        f1Buf[i] = f1[i] - k1[i];
+
+      if (toUseLU)
+        luSolve(L, U, f1Buf, luBuf, k2, dim);
+      else
+        solve1d2d(W, f1Buf, k2);
+
+      for (let i = 0; i < dim; ++i)
+        k2[i] = k2[i] + k1[i];
+
+      // yOut = y + k2 * h; <--> yTemp
+      for (let i = 0; i < dim; ++i)
+        yTemp[i] = y[i] + h * k2[i];
+
+      // f2 = f(t + h, yOut);
+      f(t + h, yTemp, f2);
+
+      // compute k3: solve the system W * k3 = f2 - e32 * (k2 - f1) - 2.0 * (k1 - f0) + hdT
+      for (let i = 0; i < dim; ++i)
+        f1Buf[i] = f2[i] - E32 * (k2[i] - f1[i]) - 2.0 * (k1[i] - f0[i]) + hdT[i];
+
+      if (toUseLU)
+        luSolve(L, U, f1Buf, luBuf, k3, dim);
+      else
+        solve1d2d(W, f1Buf, k3);
+
+      // yErr = (k1 - 2.0 * k2 + k3) * h / 6;
+      hDivNum = h / 6;
+
+      for (let i = 0; i < dim; ++i)
+        yErr[i] = (k1[i] - 2.0 * k2[i] + k3[i]) * hDivNum;
+
+      // 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.MRT_FAILS);
+      } else {
+        if (errmax > ERR_CONTR)
+          hNext = SAFETY * h * errmax**PSGROW;
+        else
+          hNext = GROW_COEF * h;
+        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
+    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);
+
+  // independent variable
+  solution[0] = tArr;
+
+  // functions
+  for (let i = 0; i < dim; ++i)
+    solution[i + 1] = yArrs[i];
+
+  return solution;
+  //return [tArr].concat(yArrs);
+} // MTR

package/src/solver-tools/ros34prw-method.js

@@ -0,0 +1,257 @@
+/* The ROS34PRw method implementation
+
+   References:
+     [1] https://doi.org/10.1016/j.cam.2015.03.010 */
+import { max, abs, SAFETY, PSHRNK, PSGROW, REDUCE_COEF, GROW_COEF, ERR_CONTR, TINY, EPS, tDerivative, jacobian, ERROR_MSG } from './solver-defs';
+import { luDecomp, luSolve, solve1d2d } from './lin-alg-tools';
+// The method specific constants (see Table 3 [1]):
+const GAMMA = 0.435866521508459;
+const GAMMA_21 = -1.3075995645253771;
+const GAMMA_21_SCALED = GAMMA_21 / GAMMA;
+const GAMMA_2 = GAMMA_21 + GAMMA;
+const GAMMA_31 = -0.7098857586097217;
+const GAMMA_31_SCALED = GAMMA_31 / GAMMA;
+const GAMMA_32 = -0.55996735960277766;
+const GAMMA_32_SCALED = GAMMA_32 / GAMMA;
+const GAMMA_3 = GAMMA_31 + GAMMA_32 + GAMMA;
+const GAMMA_41 = -0.15550856807552085;
+const GAMMA_41_SCALED = GAMMA_41 / GAMMA;
+const GAMMA_42 = -0.95388516575112225;
+const GAMMA_42_SCALED = GAMMA_42 / GAMMA;
+const GAMMA_43 = 0.67352721231818413;
+const GAMMA_43_SCALED = GAMMA_43 / GAMMA;
+const GAMMA_4 = GAMMA_41 + GAMMA_42 + GAMMA_43 + GAMMA;
+const ALPHA_21 = 1.3075995645253771;
+const ALPHA_2 = ALPHA_21;
+const B_1 = 0.34449143192447917;
+const B_2 = -0.45388516575112231;
+const B_3 = 0.67352721231818413;
+const B_4 = 0.435866521508459;
+const B_HAT_1 = 0.5;
+const B_HAT_2 = -0.25738812086522078;
+const B_HAT_3 = 0.43542008724775044;
+const B_HAT_4 = 0.32196803361747034;
+const R_1 = B_1 - B_HAT_1;
+const R_2 = B_2 - B_HAT_2;
+const R_3 = B_3 - B_HAT_3;
+const R_4 = B_4 - B_HAT_4;
+/** Solve initial value problem using the ROS34PRw method [1]
+ * @param odes initial value problem for ordinary differential equations
+ * @param callback computations control callback
+ * @returns solution of the problem
+*/
+export function ros34prw(odes, callback) {
+    /** 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 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;
+    const dimSquared = dim * dim;
+    /** independent variable values */
+    const tArr = new Float64Array(rowCount);
+    /** arrays of solution values */
+    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 flag = true;
+    let index = 1;
+    let errmax = 0;
+    let hTemp = 0;
+    let tNew = 0;
+    let hNext = 0.0;
+    // 0 BUFFERS & TEMP STRUCTURES
+    /** identity matrix */
+    const I = new Float64Array(dim * dim);
+    // compute identity matrix
+    for (let i = 0; i < dim; ++i) {
+        for (let j = 0; j < dim; ++j)
+            I[j + i * dim] = (i === j) ? 1 : 0;
+    }
+    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 W = new Float64Array(dimSquared);
+    const k1 = new Float64Array(dim);
+    const k2 = new Float64Array(dim);
+    const k3 = new Float64Array(dim);
+    const k4 = new Float64Array(dim);
+    const HT = new Float64Array(dim);
+    const f0Buf = new Float64Array(dim);
+    const f1Buf = new Float64Array(dim);
+    let hByGamma = 0;
+    const fBuf = new Float64Array(dim);
+    const kBuf = new Float64Array(dim);
+    const L = new Float64Array(dimSquared);
+    const U = new Float64Array(dimSquared);
+    const luBuf = new Float64Array(dim);
+    const bBuf = new Float64Array(dim);
+    const toUseLU = dim > 2;
+    // 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;
+        }
+        // call of adaptive step the ROS3Pw [1] method
+        // computation of solution (y), time (t) and next step (hNext)
+        while (true) {
+            hByGamma = h * GAMMA;
+            // one stage of the ROS3Pw method
+            // 1) Jacobian & dF/dt matrices
+            jacobian(t, y, f, EPS, f0Buf, f1Buf, W);
+            tDerivative(t, y, f, EPS, f0Buf, f1Buf, HT);
+            // 2) W & LU-decomposition
+            for (let i = 0; i < dimSquared; ++i)
+                W[i] = I[i] - hByGamma * W[i];
+            if (toUseLU)
+                luDecomp(W, L, U, dim);
+            // 3) Scale dF/dt: HT = j * T
+            for (let i = 0; i < dim; ++i)
+                HT[i] *= h;
+            // 4) F1 = F(t, y)  <-- Fbuf
+            f(t, y, fBuf);
+            // 5) k1 = W_inv * (F1 + gamma * HT)
+            for (let i = 0; i < dim; ++i)
+                bBuf[i] = fBuf[i] + GAMMA * HT[i];
+            if (toUseLU)
+                luSolve(L, U, bBuf, luBuf, k1, dim);
+            else
+                solve1d2d(W, bBuf, k1);
+            // 6) F2 = F(t + alpha2 * h, y + alpha21 * k1)   <-- Fbuf
+            for (let i = 0; i < dim; ++i)
+                kBuf[i] = y[i] + ALPHA_21 * h * k1[i];
+            f(t + ALPHA_2 * h, kBuf, fBuf);
+            // 7) kBuf = gamma21 / gamma * k1
+            for (let i = 0; i < dim; ++i)
+                kBuf[i] = GAMMA_21_SCALED * k1[i];
+            // 8) k2 = W_inv * [Fbuf + kBuf + gamma2 * HT] - kBuf
+            for (let i = 0; i < dim; ++i)
+                bBuf[i] = fBuf[i] + kBuf[i] + GAMMA_2 * HT[i];
+            if (toUseLU)
+                luSolve(L, U, bBuf, luBuf, k2, dim);
+            else
+                solve1d2d(W, bBuf, k2);
+            for (let i = 0; i < dim; ++i)
+                k2[i] -= kBuf[i];
+            // 9) F3 = F(t + alpha3 * h, y + h * (alpha31 * k1 + alpha32 * k2))  <-- Fbuf
+            for (let i = 0; i < dim; ++i)
+                kBuf[i] = y[i] + h * 0.5 * (k1[i] + k2[i]);
+            f(t + h, kBuf, fBuf);
+            // 10) kBuf = gamma31 / gamma * k1 + gamma32 / gamma * k2
+            for (let i = 0; i < dim; ++i)
+                kBuf[i] = GAMMA_31_SCALED * k1[i] + GAMMA_32_SCALED * k2[i];
+            // 11) k3 = W_inv * (F3 + kBuf + gamma3 * HT) - kBuf
+            for (let i = 0; i < dim; ++i)
+                bBuf[i] = fBuf[i] + kBuf[i] + GAMMA_3 * HT[i];
+            if (toUseLU)
+                luSolve(L, U, bBuf, luBuf, k3, dim);
+            else
+                solve1d2d(W, bBuf, k3);
+            for (let i = 0; i < dim; ++i)
+                k3[i] -= kBuf[i];
+            // 12) F4 = F(t + alpha4 * h, y + h * (alpha41 * k1 + alpha42 * k2 + alpha43 * k3))  <-- Fbuf
+            for (let i = 0; i < dim; ++i)
+                kBuf[i] = y[i] + h * 0.5 * (k1[i] + k2[i]);
+            f(t + h, kBuf, fBuf);
+            // 13) kBuf = gamma41 / gamma * k1 + gamma42 / gamma * k2 + gamma43 / gamma * k3
+            for (let i = 0; i < dim; ++i)
+                kBuf[i] = GAMMA_41_SCALED * k1[i] + GAMMA_42_SCALED * k2[i] + GAMMA_43_SCALED * k3[i];
+            // 14) k4 = W_inv * (F4 + kBuf + gamma4 * HT) - kBuf
+            for (let i = 0; i < dim; ++i)
+                bBuf[i] = fBuf[i] + kBuf[i] + GAMMA_4 * HT[i];
+            if (toUseLU)
+                luSolve(L, U, bBuf, luBuf, k4, dim);
+            else
+                solve1d2d(W, bBuf, k4);
+            for (let i = 0; i < dim; ++i)
+                k4[i] -= kBuf[i];
+            // 15) yNext = y + h * (b1 * k1 + b2 * k2 + b3 * k3  + b4 * k4)   <-- yTemp
+            for (let i = 0; i < dim; ++i)
+                yTemp[i] = y[i] + h * (B_1 * k1[i] + B_2 * k2[i] + B_3 * k3[i] + B_4 * k4[i]);
+            // 16) yErr = h * (r1 * k1 + r2 * k2 + r3 * k3 + r4 * k4)
+            for (let i = 0; i < dim; ++i)
+                yErr[i] = h * (R_1 * k1[i] + R_2 * k2[i] + R_3 * k3[i] + R_4 * k4[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.ROS34PRW_FAILS);
+            }
+            else {
+                if (errmax > ERR_CONTR)
+                    hNext = SAFETY * h * Math.pow(errmax, PSGROW);
+                else
+                    hNext = GROW_COEF * h;
+                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
+        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);
+    // independent variable
+    solution[0] = tArr;
+    // functions
+    for (let i = 0; i < dim; ++i)
+        solution[i + 1] = yArrs[i];
+    return solution;
+    //return [tArr].concat(yArrs);
+} // ros34prw
+//# sourceMappingURL=ros34prw-method.js.map

package/src/solver-tools/ros34prw-method.js.map

@@ -0,0 +1 @@
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