org.apache.commons.math4.ode.nonstiff

• Type Parameters:
T - the type of the field elements
All Implemented Interfaces:
FirstOrderFieldIntegrator<T>

public class AdamsMoultonFieldIntegrator<T extends RealFieldElement<T>>
extends AdamsFieldIntegrator<T>
This class implements implicit Adams-Moulton integrators for Ordinary Differential Equations.

Adams-Moulton methods (in fact due to Adams alone) are implicit multistep ODE solvers. This implementation is a variation of the classical one: it uses adaptive stepsize to implement error control, whereas classical implementations are fixed step size. The value of state vector at step n+1 is a simple combination of the value at step n and of the derivatives at steps n+1, n, n-1 ... Since y'n+1 is needed to compute yn+1, another method must be used to compute a first estimate of yn+1, then compute y'n+1, then compute a final estimate of yn+1 using the following formulas. Depending on the number k of previous steps one wants to use for computing the next value, different formulas are available for the final estimate:

• k = 1: yn+1 = yn + h y'n+1
• k = 2: yn+1 = yn + h (y'n+1+y'n)/2
• k = 3: yn+1 = yn + h (5y'n+1+8y'n-y'n-1)/12
• k = 4: yn+1 = yn + h (9y'n+1+19y'n-5y'n-1+y'n-2)/24
• ...

A k-steps Adams-Moulton method is of order k+1.

Implementation details

We define scaled derivatives si(n) at step n as:

 s1(n) = h y'n for first derivative
s2(n) = h2/2 y''n for second derivative
s3(n) = h3/6 y'''n for third derivative
...
sk(n) = hk/k! y(k)n for kth derivative


The definitions above use the classical representation with several previous first derivatives. Lets define

   qn = [ s1(n-1) s1(n-2) ... s1(n-(k-1)) ]T

(we omit the k index in the notation for clarity). With these definitions, Adams-Moulton methods can be written:
• k = 1: yn+1 = yn + s1(n+1)
• k = 2: yn+1 = yn + 1/2 s1(n+1) + [ 1/2 ] qn+1
• k = 3: yn+1 = yn + 5/12 s1(n+1) + [ 8/12 -1/12 ] qn+1
• k = 4: yn+1 = yn + 9/24 s1(n+1) + [ 19/24 -5/24 1/24 ] qn+1
• ...

Instead of using the classical representation with first derivatives only (yn, s1(n+1) and qn+1), our implementation uses the Nordsieck vector with higher degrees scaled derivatives all taken at the same step (yn, s1(n) and rn) where rn is defined as:

 rn = [ s2(n), s3(n) ... sk(n) ]T

(here again we omit the k index in the notation for clarity)

Taylor series formulas show that for any index offset i, s1(n-i) can be computed from s1(n), s2(n) ... sk(n), the formula being exact for degree k polynomials.

 s1(n-i) = s1(n) + ∑j>0 (j+1) (-i)j sj+1(n)

The previous formula can be used with several values for i to compute the transform between classical representation and Nordsieck vector. The transform between rn and qn resulting from the Taylor series formulas above is:
 qn = s1(n) u + P rn

where u is the [ 1 1 ... 1 ]T vector and P is the (k-1)×(k-1) matrix built with the (j+1) (-i)j terms with i being the row number starting from 1 and j being the column number starting from 1:
        [  -2   3   -4    5  ... ]
[  -4  12  -32   80  ... ]
P =  [  -6  27 -108  405  ... ]
[  -8  48 -256 1280  ... ]
[          ...           ]


Using the Nordsieck vector has several advantages:

• it greatly simplifies step interpolation as the interpolator mainly applies Taylor series formulas,
• it simplifies step changes that occur when discrete events that truncate the step are triggered,
• it allows to extend the methods in order to support adaptive stepsize.

The predicted Nordsieck vector at step n+1 is computed from the Nordsieck vector at step n as follows:

• Yn+1 = yn + s1(n) + uT rn
• S1(n+1) = h f(tn+1, Yn+1)
• Rn+1 = (s1(n) - S1(n+1)) P-1 u + P-1 A P rn
where A is a rows shifting matrix (the lower left part is an identity matrix):
        [ 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 ]

From this predicted vector, the corrected vector is computed as follows:
• yn+1 = yn + S1(n+1) + [ -1 +1 -1 +1 ... ±1 ] rn+1
• s1(n+1) = h f(tn+1, yn+1)
• rn+1 = Rn+1 + (s1(n+1) - S1(n+1)) P-1 u
where the upper case Yn+1, S1(n+1) and Rn+1 represent the predicted states whereas the lower case yn+1, sn+1 and rn+1 represent the corrected states.

The P-1u vector and the P-1 A P matrix do not depend on the state, they only depend on k and therefore are precomputed once for all.

Since:
3.6

• Fields inherited from class org.apache.commons.math4.ode.MultistepFieldIntegrator

nordsieck, scaled
• Fields inherited from class org.apache.commons.math4.ode.nonstiff.AdaptiveStepsizeFieldIntegrator

mainSetDimension, scalAbsoluteTolerance, scalRelativeTolerance, vecAbsoluteTolerance, vecRelativeTolerance
• Constructor Summary

Constructors
Constructor and Description
AdamsMoultonFieldIntegrator(Field<T> field, int nSteps, double minStep, double maxStep, double[] vecAbsoluteTolerance, double[] vecRelativeTolerance)
Build an Adams-Moulton integrator with the given order and error control parameters.
AdamsMoultonFieldIntegrator(Field<T> field, int nSteps, double minStep, double maxStep, double scalAbsoluteTolerance, double scalRelativeTolerance)
Build an Adams-Moulton integrator with the given order and error control parameters.
• Method Summary

All Methods
Modifier and Type Method and Description
FieldODEStateAndDerivative<T> integrate(FieldExpandableODE<T> equations, FieldODEState<T> initialState, T finalTime)
Integrate the differential equations up to the given time.
• Methods inherited from class org.apache.commons.math4.ode.nonstiff.AdamsFieldIntegrator

initializeHighOrderDerivatives, updateHighOrderDerivativesPhase1, updateHighOrderDerivativesPhase2
• Methods inherited from class org.apache.commons.math4.ode.MultistepFieldIntegrator

computeStepGrowShrinkFactor, getMaxGrowth, getMinReduction, getNSteps, getSafety, getStarterIntegrator, rescale, setMaxGrowth, setMinReduction, setSafety, setStarterIntegrator, start
• Methods inherited from class org.apache.commons.math4.ode.nonstiff.AdaptiveStepsizeFieldIntegrator

filterStep, getMaxStep, getMinStep, initializeStep, resetInternalState, sanityChecks, setInitialStepSize, setStepSizeControl, setStepSizeControl
• Methods inherited from class org.apache.commons.math4.ode.AbstractFieldIntegrator

acceptStep, addEventHandler, addEventHandler, addStepHandler, clearEventHandlers, clearStepHandlers, computeDerivatives, getCurrentSignedStepsize, getCurrentStepStart, getEquations, getEvaluations, getEvaluationsCounter, getEventHandlers, getField, getMaxEvaluations, getName, getStepHandlers, getStepSize, getStepStart, initIntegration, isLastStep, resetOccurred, setIsLastStep, setMaxEvaluations, setStateInitialized, setStepSize, setStepStart
• Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• Constructor Detail

public AdamsMoultonFieldIntegrator(Field<T> field,
int nSteps,
double minStep,
double maxStep,
double scalAbsoluteTolerance,
double scalRelativeTolerance)
throws NumberIsTooSmallException
Build an Adams-Moulton integrator with the given order and error control parameters.
Parameters:
field - field to which the time and state vector elements belong
nSteps - number of steps of the method excluding the one being computed
minStep - minimal step (sign is irrelevant, regardless of integration direction, forward or backward), the last step can be smaller than this
maxStep - maximal step (sign is irrelevant, regardless of integration direction, forward or backward), the last step can be smaller than this
scalAbsoluteTolerance - allowed absolute error
scalRelativeTolerance - allowed relative error
Throws:
NumberIsTooSmallException - if order is 1 or less

public AdamsMoultonFieldIntegrator(Field<T> field,
int nSteps,
double minStep,
double maxStep,
double[] vecAbsoluteTolerance,
double[] vecRelativeTolerance)
throws IllegalArgumentException
Build an Adams-Moulton integrator with the given order and error control parameters.
Parameters:
field - field to which the time and state vector elements belong
nSteps - number of steps of the method excluding the one being computed
minStep - minimal step (sign is irrelevant, regardless of integration direction, forward or backward), the last step can be smaller than this
maxStep - maximal step (sign is irrelevant, regardless of integration direction, forward or backward), the last step can be smaller than this
vecAbsoluteTolerance - allowed absolute error
vecRelativeTolerance - allowed relative error
Throws:
IllegalArgumentException - if order is 1 or less
• Method Detail

• integrate

public FieldODEStateAndDerivative<T> integrate(FieldExpandableODE<T> equations,
FieldODEState<T> initialState,
T finalTime)
throws NumberIsTooSmallException,
DimensionMismatchException,
MaxCountExceededException,
NoBracketingException
Integrate the differential equations up to the given time.

This method solves an Initial Value Problem (IVP).

Since this method stores some internal state variables made available in its public interface during integration (FirstOrderFieldIntegrator.getCurrentSignedStepsize()), it is not thread-safe.

Specified by:
integrate in interface FirstOrderFieldIntegrator<T extends RealFieldElement<T>>
Specified by:
integrate in class AdamsFieldIntegrator<T extends RealFieldElement<T>>
Parameters:
equations - differential equations to integrate
initialState - initial state (time, primary and secondary state vectors)
finalTime - target time for the integration (can be set to a value smaller than t0 for backward integration)
Returns:
final state, its time will be the same as finalTime if integration reached its target, but may be different if some FieldEventHandler stops it at some point.
Throws:
NumberIsTooSmallException - if integration step is too small
MaxCountExceededException - if the number of functions evaluations is exceeded
NoBracketingException - if the location of an event cannot be bracketed
DimensionMismatchException