diff-grok 1.2.0 → 1.3.1

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

@@ -1,154 +0,0 @@
-/* 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.
-
-  let y: ArrayLike<number> = [...odes.initial];
-  let t = t0;
-
-  // Warmup: a tiny initial step bootstraps the BDF method for extremely stiff problems.
-  // Try 1e-k for k from 4 to 10, picking the largest step that succeeds.
-  const base = Math.min(step, 1.0);
-  let warmupOk = false;
-  for (let k = 5; k <= 10; k++) {
-    const warmupTout = t0 + base * Math.pow(10, -k);
-    if (warmupTout <= t0 || warmupTout >= t1)
-      continue;
-
-    const wr = solver.solve(y, t, warmupTout);
-    if (solver.state > 0) {
-      y = wr.y;
-      t = wr.t;
-      warmupOk = true;
-      break;
-    }
-
-    // Reset solver to retry with a smaller warmup step
-    solver.reset();
-    y = [...odes.initial];
-    t = t0;
-  }
-
-  if (!warmupOk && t === t0)
-    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++) {
-    // check whether to go on computations
-    if (callback)
-      callback.onIterationStart();
-
-    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.map

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

@@ -1,398 +0,0 @@
-/* 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, 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
- * @param callback computations control callback
- * @returns solution of the problem
- * @example
- * // Example. Solve the following initial value problem using the MRT 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, mrt } 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 MRT method
- *   const solution = mrt(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 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;
-  const hDataframe = odes.arg.step;
-  const tolerance = odes.tolerance;
-
-  /** 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);
-
-  /** 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 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;
-
-      // adaptive step size control (see MRT.md, Section 6)
-      if (errmax > 1) {
-        // 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 {
-        // 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)
-          y[i] = yTemp[i];
-
-        break;
-      }
-    } // while (true)
-
-    // compute dense output using Shampine-Reichelt continuous extension
-    const hStep = t - tPrev;
-    while (timeDataframe < t) {
-      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] = yPrev[j] + hStep * (b1 * k1[j] + b2 * k2[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;
-  //return [tArr].concat(yArrs);
-} // MTR

package/src/solver-tools/rk3-method.js.map

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