Java example source code file (AdamsNordsieckTransformer.java)
The AdamsNordsieckTransformer.java Java example source code/*
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package org.apache.commons.math3.ode.nonstiff;
import java.util.Arrays;
import java.util.HashMap;
import java.util.Map;
import org.apache.commons.math3.fraction.BigFraction;
import org.apache.commons.math3.linear.Array2DRowFieldMatrix;
import org.apache.commons.math3.linear.Array2DRowRealMatrix;
import org.apache.commons.math3.linear.ArrayFieldVector;
import org.apache.commons.math3.linear.FieldDecompositionSolver;
import org.apache.commons.math3.linear.FieldLUDecomposition;
import org.apache.commons.math3.linear.FieldMatrix;
import org.apache.commons.math3.linear.MatrixUtils;
import org.apache.commons.math3.linear.QRDecomposition;
import org.apache.commons.math3.linear.RealMatrix;
/** Transformer to Nordsieck vectors for Adams integrators.
* <p>This class is used by {@link AdamsBashforthIntegrator Adams-Bashforth} and
* {@link AdamsMoultonIntegrator Adams-Moulton} integrators to convert between
* classical representation with several previous first derivatives and Nordsieck
* representation with higher order scaled derivatives.</p>
*
* <p>We define scaled derivatives si(n) at step n as:
* <pre>
* s<sub>1(n) = h y'n for first derivative
* s<sub>2(n) = h2/2 y''n for second derivative
* s<sub>3(n) = h3/6 y'''n for third derivative
* ...
* s<sub>k(n) = hk/k! y(k)n for kth derivative
* </pre>
*
* <p>With the previous definition, the classical representation of multistep methods
* uses first derivatives only, i.e. it handles y<sub>n, s1(n) and
* q<sub>n where qn is defined as:
* <pre>
* q<sub>n = [ s1(n-1) s1(n-2) ... s1(n-(k-1)) ]T
* </pre>
* (we omit the k index in the notation for clarity).</p>
*
* <p>Another possible representation uses the Nordsieck vector with
* higher degrees scaled derivatives all taken at the same step, i.e it handles y<sub>n,
* s<sub>1(n) and rn) where rn is defined as:
* <pre>
* r<sub>n = [ s2(n), s3(n) ... sk(n) ]T
* </pre>
* (here again we omit the k index in the notation for clarity)
* </p>
*
* <p>Taylor series formulas show that for any index offset i, s1(n-i) can be
* computed from s<sub>1(n), s2(n) ... sk(n), the formula being exact
* for degree k polynomials.
* <pre>
* s<sub>1(n-i) = s1(n) + ?j>0 (j+1) (-i)j sj+1(n)
* </pre>
* The previous formula can be used with several values for i to compute the transform between
* classical representation and Nordsieck vector at step end. The transform between r<sub>n
* and q<sub>n resulting from the Taylor series formulas above is:
* <pre>
* q<sub>n = s1(n) u + P rn
* </pre>
* where u is the [ 1 1 ... 1 ]<sup>T vector and P is the (k-1)×(k-1) matrix built
* with the (j+1) (-i)<sup>j terms with i being the row number starting from 1 and j being
* the column number starting from 1:
* <pre>
* [ -2 3 -4 5 ... ]
* [ -4 12 -32 80 ... ]
* P = [ -6 27 -108 405 ... ]
* [ -8 48 -256 1280 ... ]
* [ ... ]
* </pre>
*
* <p>Changing -i into +i in the formula above can be used to compute a similar transform between
* classical representation and Nordsieck vector at step start. The resulting matrix is simply
* the absolute value of matrix P.</p>
*
* <p>For {@link AdamsBashforthIntegrator Adams-Bashforth} method, the Nordsieck vector
* at step n+1 is computed from the Nordsieck vector at step n as follows:
* <ul>
* <li>yn+1 = yn + s1(n) + uT rn
* <li>s1(n+1) = h f(tn+1, yn+1)
* <li>rn+1 = (s1(n) - s1(n+1)) P-1 u + P-1 A P rn
* </ul>
* where A is a rows shifting matrix (the lower left part is an identity matrix):
* <pre>
* [ 0 0 ... 0 0 | 0 ]
* [ ---------------+---]
* [ 1 0 ... 0 0 | 0 ]
* A = [ 0 1 ... 0 0 | 0 ]
* [ ... | 0 ]
* [ 0 0 ... 1 0 | 0 ]
* [ 0 0 ... 0 1 | 0 ]
* </pre>
*
* <p>For {@link AdamsMoultonIntegrator Adams-Moulton} method, the predicted Nordsieck vector
* at step n+1 is computed from the Nordsieck vector at step n as follows:
* <ul>
* <li>Yn+1 = yn + s1(n) + uT rn
* <li>S1(n+1) = h f(tn+1, Yn+1)
* <li>Rn+1 = (s1(n) - s1(n+1)) P-1 u + P-1 A P rn
* </ul>
* From this predicted vector, the corrected vector is computed as follows:
* <ul>
* <li>yn+1 = yn + S1(n+1) + [ -1 +1 -1 +1 ... ±1 ] rn+1
* <li>s1(n+1) = h f(tn+1, yn+1)
* <li>rn+1 = Rn+1 + (s1(n+1) - S1(n+1)) P-1 u
* </ul>
* where the upper case Y<sub>n+1, S1(n+1) and Rn+1 represent the
* predicted states whereas the lower case y<sub>n+1, sn+1 and rn+1
* represent the corrected states.</p>
*
* <p>We observe that both methods use similar update formulas. In both cases a P-1u
* vector and a P<sup>-1 A P matrix are used that do not depend on the state,
* they only depend on k. This class handles these transformations.</p>
*
* @since 2.0
*/
public class AdamsNordsieckTransformer {
/** Cache for already computed coefficients. */
private static final Map<Integer, AdamsNordsieckTransformer> CACHE =
new HashMap<Integer, AdamsNordsieckTransformer>();
/** Update matrix for the higher order derivatives h<sup>2/2 y'', h3/6 y''' ... */
private final Array2DRowRealMatrix update;
/** Update coefficients of the higher order derivatives wrt y'. */
private final double[] c1;
/** Simple constructor.
* @param n number of steps of the multistep method
* (excluding the one being computed)
*/
private AdamsNordsieckTransformer(final int n) {
final int rows = n - 1;
// compute exact coefficients
FieldMatrix<BigFraction> bigP = buildP(rows);
FieldDecompositionSolver<BigFraction> pSolver =
new FieldLUDecomposition<BigFraction>(bigP).getSolver();
BigFraction[] u = new BigFraction[rows];
Arrays.fill(u, BigFraction.ONE);
BigFraction[] bigC1 = pSolver.solve(new ArrayFieldVector<BigFraction>(u, false)).toArray();
// update coefficients are computed by combining transform from
// Nordsieck to multistep, then shifting rows to represent step advance
// then applying inverse transform
BigFraction[][] shiftedP = bigP.getData();
for (int i = shiftedP.length - 1; i > 0; --i) {
// shift rows
shiftedP[i] = shiftedP[i - 1];
}
shiftedP[0] = new BigFraction[rows];
Arrays.fill(shiftedP[0], BigFraction.ZERO);
FieldMatrix<BigFraction> bigMSupdate =
pSolver.solve(new Array2DRowFieldMatrix<BigFraction>(shiftedP, false));
// convert coefficients to double
update = MatrixUtils.bigFractionMatrixToRealMatrix(bigMSupdate);
c1 = new double[rows];
for (int i = 0; i < rows; ++i) {
c1[i] = bigC1[i].doubleValue();
}
}
/** Get the Nordsieck transformer for a given number of steps.
* @param nSteps number of steps of the multistep method
* (excluding the one being computed)
* @return Nordsieck transformer for the specified number of steps
*/
public static AdamsNordsieckTransformer getInstance(final int nSteps) {
synchronized(CACHE) {
AdamsNordsieckTransformer t = CACHE.get(nSteps);
if (t == null) {
t = new AdamsNordsieckTransformer(nSteps);
CACHE.put(nSteps, t);
}
return t;
}
}
/** Get the number of steps of the method
* (excluding the one being computed).
* @return number of steps of the method
* (excluding the one being computed)
* @deprecated as of 3.6, this method is not used anymore
*/
@Deprecated
public int getNSteps() {
return c1.length;
}
/** Build the P matrix.
* <p>The P matrix general terms are shifted (j+1) (-i)j terms
* with i being the row number starting from 1 and j being the column
* number starting from 1:
* <pre>
* [ -2 3 -4 5 ... ]
* [ -4 12 -32 80 ... ]
* P = [ -6 27 -108 405 ... ]
* [ -8 48 -256 1280 ... ]
* [ ... ]
* </pre>
* @param rows number of rows of the matrix
* @return P matrix
*/
private FieldMatrix<BigFraction> buildP(final int rows) {
final BigFraction[][] pData = new BigFraction[rows][rows];
for (int i = 1; i <= pData.length; ++i) {
// build the P matrix elements from Taylor series formulas
final BigFraction[] pI = pData[i - 1];
final int factor = -i;
int aj = factor;
for (int j = 1; j <= pI.length; ++j) {
pI[j - 1] = new BigFraction(aj * (j + 1));
aj *= factor;
}
}
return new Array2DRowFieldMatrix<BigFraction>(pData, false);
}
/** Initialize the high order scaled derivatives at step start.
* @param h step size to use for scaling
* @param t first steps times
* @param y first steps states
* @param yDot first steps derivatives
* @return Nordieck vector at start of first step (h<sup>2/2 y''n,
* h<sup>3/6 y'''n ... hk/k! y(k)n)
*/
public Array2DRowRealMatrix initializeHighOrderDerivatives(final double h, final double[] t,
final double[][] y,
final double[][] yDot) {
// using Taylor series with di = ti - t0, we get:
// y(ti) - y(t0) - di y'(t0) = di^2 / h^2 s2 + ... + di^k / h^k sk + O(h^k)
// y'(ti) - y'(t0) = 2 di / h^2 s2 + ... + k di^(k-1) / h^k sk + O(h^(k-1))
// we write these relations for i = 1 to i= 1+n/2 as a set of n + 2 linear
// equations depending on the Nordsieck vector [s2 ... sk rk], so s2 to sk correspond
// to the appropriately truncated Taylor expansion, and rk is the Taylor remainder.
// The goal is to have s2 to sk as accurate as possible considering the fact the sum is
// truncated and we don't want the error terms to be included in s2 ... sk, so we need
// to solve also for the remainder
final double[][] a = new double[c1.length + 1][c1.length + 1];
final double[][] b = new double[c1.length + 1][y[0].length];
final double[] y0 = y[0];
final double[] yDot0 = yDot[0];
for (int i = 1; i < y.length; ++i) {
final double di = t[i] - t[0];
final double ratio = di / h;
double dikM1Ohk = 1 / h;
// linear coefficients of equations
// y(ti) - y(t0) - di y'(t0) and y'(ti) - y'(t0)
final double[] aI = a[2 * i - 2];
final double[] aDotI = (2 * i - 1) < a.length ? a[2 * i - 1] : null;
for (int j = 0; j < aI.length; ++j) {
dikM1Ohk *= ratio;
aI[j] = di * dikM1Ohk;
if (aDotI != null) {
aDotI[j] = (j + 2) * dikM1Ohk;
}
}
// expected value of the previous equations
final double[] yI = y[i];
final double[] yDotI = yDot[i];
final double[] bI = b[2 * i - 2];
final double[] bDotI = (2 * i - 1) < b.length ? b[2 * i - 1] : null;
for (int j = 0; j < yI.length; ++j) {
bI[j] = yI[j] - y0[j] - di * yDot0[j];
if (bDotI != null) {
bDotI[j] = yDotI[j] - yDot0[j];
}
}
}
// solve the linear system to get the best estimate of the Nordsieck vector [s2 ... sk],
// with the additional terms s(k+1) and c grabbing the parts after the truncated Taylor expansion
final QRDecomposition decomposition = new QRDecomposition(new Array2DRowRealMatrix(a, false));
final RealMatrix x = decomposition.getSolver().solve(new Array2DRowRealMatrix(b, false));
// extract just the Nordsieck vector [s2 ... sk]
final Array2DRowRealMatrix truncatedX = new Array2DRowRealMatrix(x.getRowDimension() - 1, x.getColumnDimension());
for (int i = 0; i < truncatedX.getRowDimension(); ++i) {
for (int j = 0; j < truncatedX.getColumnDimension(); ++j) {
truncatedX.setEntry(i, j, x.getEntry(i, j));
}
}
return truncatedX;
}
/** Update the high order scaled derivatives for Adams integrators (phase 1).
* <p>The complete update of high order derivatives has a form similar to:
* <pre>
* r<sub>n+1 = (s1(n) - s1(n+1)) P-1 u + P-1 A P rn
* </pre>
* this method computes the P<sup>-1 A P rn part.
* @param highOrder high order scaled derivatives
* (h<sup>2/2 y'', ... hk/k! y(k))
* @return updated high order derivatives
* @see #updateHighOrderDerivativesPhase2(double[], double[], Array2DRowRealMatrix)
*/
public Array2DRowRealMatrix updateHighOrderDerivativesPhase1(final Array2DRowRealMatrix highOrder) {
return update.multiply(highOrder);
}
/** Update the high order scaled derivatives Adams integrators (phase 2).
* <p>The complete update of high order derivatives has a form similar to:
* <pre>
* r<sub>n+1 = (s1(n) - s1(n+1)) P-1 u + P-1 A P rn
* </pre>
* this method computes the (s<sub>1(n) - s1(n+1)) P-1 u part.
* <p>Phase 1 of the update must already have been performed.
* @param start first order scaled derivatives at step start
* @param end first order scaled derivatives at step end
* @param highOrder high order scaled derivatives, will be modified
* (h<sup>2/2 y'', ... hk/k! y(k))
* @see #updateHighOrderDerivativesPhase1(Array2DRowRealMatrix)
*/
public void updateHighOrderDerivativesPhase2(final double[] start,
final double[] end,
final Array2DRowRealMatrix highOrder) {
final double[][] data = highOrder.getDataRef();
for (int i = 0; i < data.length; ++i) {
final double[] dataI = data[i];
final double c1I = c1[i];
for (int j = 0; j < dataI.length; ++j) {
dataI[j] += c1I * (start[j] - end[j]);
}
}
}
}
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