common.py 14.4 KB
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431
from itertools import groupby
from warnings import warn
import numpy as np
from scipy.sparse import find, coo_matrix


EPS = np.finfo(float).eps


def validate_first_step(first_step, t0, t_bound):
    """Assert that first_step is valid and return it."""
    if first_step <= 0:
        raise ValueError("`first_step` must be positive.")
    if first_step > np.abs(t_bound - t0):
        raise ValueError("`first_step` exceeds bounds.")
    return first_step


def validate_max_step(max_step):
    """Assert that max_Step is valid and return it."""
    if max_step <= 0:
        raise ValueError("`max_step` must be positive.")
    return max_step


def warn_extraneous(extraneous):
    """Display a warning for extraneous keyword arguments.

    The initializer of each solver class is expected to collect keyword
    arguments that it doesn't understand and warn about them. This function
    prints a warning for each key in the supplied dictionary.

    Parameters
    ----------
    extraneous : dict
        Extraneous keyword arguments
    """
    if extraneous:
        warn("The following arguments have no effect for a chosen solver: {}."
             .format(", ".join("`{}`".format(x) for x in extraneous)))


def validate_tol(rtol, atol, n):
    """Validate tolerance values."""
    if rtol < 100 * EPS:
        warn("`rtol` is too low, setting to {}".format(100 * EPS))
        rtol = 100 * EPS

    atol = np.asarray(atol)
    if atol.ndim > 0 and atol.shape != (n,):
        raise ValueError("`atol` has wrong shape.")

    if np.any(atol < 0):
        raise ValueError("`atol` must be positive.")

    return rtol, atol


def norm(x):
    """Compute RMS norm."""
    return np.linalg.norm(x) / x.size ** 0.5


def select_initial_step(fun, t0, y0, f0, direction, order, rtol, atol):
    """Empirically select a good initial step.

    The algorithm is described in [1]_.

    Parameters
    ----------
    fun : callable
        Right-hand side of the system.
    t0 : float
        Initial value of the independent variable.
    y0 : ndarray, shape (n,)
        Initial value of the dependent variable.
    f0 : ndarray, shape (n,)
        Initial value of the derivative, i.e., ``fun(t0, y0)``.
    direction : float
        Integration direction.
    order : float
        Error estimator order. It means that the error controlled by the
        algorithm is proportional to ``step_size ** (order + 1)`.
    rtol : float
        Desired relative tolerance.
    atol : float
        Desired absolute tolerance.

    Returns
    -------
    h_abs : float
        Absolute value of the suggested initial step.

    References
    ----------
    .. [1] E. Hairer, S. P. Norsett G. Wanner, "Solving Ordinary Differential
           Equations I: Nonstiff Problems", Sec. II.4.
    """
    if y0.size == 0:
        return np.inf

    scale = atol + np.abs(y0) * rtol
    d0 = norm(y0 / scale)
    d1 = norm(f0 / scale)
    if d0 < 1e-5 or d1 < 1e-5:
        h0 = 1e-6
    else:
        h0 = 0.01 * d0 / d1

    y1 = y0 + h0 * direction * f0
    f1 = fun(t0 + h0 * direction, y1)
    d2 = norm((f1 - f0) / scale) / h0

    if d1 <= 1e-15 and d2 <= 1e-15:
        h1 = max(1e-6, h0 * 1e-3)
    else:
        h1 = (0.01 / max(d1, d2)) ** (1 / (order + 1))

    return min(100 * h0, h1)


class OdeSolution(object):
    """Continuous ODE solution.

    It is organized as a collection of `DenseOutput` objects which represent
    local interpolants. It provides an algorithm to select a right interpolant
    for each given point.

    The interpolants cover the range between `t_min` and `t_max` (see
    Attributes below). Evaluation outside this interval is not forbidden, but
    the accuracy is not guaranteed.

    When evaluating at a breakpoint (one of the values in `ts`) a segment with
    the lower index is selected.

    Parameters
    ----------
    ts : array_like, shape (n_segments + 1,)
        Time instants between which local interpolants are defined. Must
        be strictly increasing or decreasing (zero segment with two points is
        also allowed).
    interpolants : list of DenseOutput with n_segments elements
        Local interpolants. An i-th interpolant is assumed to be defined
        between ``ts[i]`` and ``ts[i + 1]``.

    Attributes
    ----------
    t_min, t_max : float
        Time range of the interpolation.
    """
    def __init__(self, ts, interpolants):
        ts = np.asarray(ts)
        d = np.diff(ts)
        # The first case covers integration on zero segment.
        if not ((ts.size == 2 and ts[0] == ts[-1])
                or np.all(d > 0) or np.all(d < 0)):
            raise ValueError("`ts` must be strictly increasing or decreasing.")

        self.n_segments = len(interpolants)
        if ts.shape != (self.n_segments + 1,):
            raise ValueError("Numbers of time stamps and interpolants "
                             "don't match.")

        self.ts = ts
        self.interpolants = interpolants
        if ts[-1] >= ts[0]:
            self.t_min = ts[0]
            self.t_max = ts[-1]
            self.ascending = True
            self.ts_sorted = ts
        else:
            self.t_min = ts[-1]
            self.t_max = ts[0]
            self.ascending = False
            self.ts_sorted = ts[::-1]

    def _call_single(self, t):
        # Here we preserve a certain symmetry that when t is in self.ts,
        # then we prioritize a segment with a lower index.
        if self.ascending:
            ind = np.searchsorted(self.ts_sorted, t, side='left')
        else:
            ind = np.searchsorted(self.ts_sorted, t, side='right')

        segment = min(max(ind - 1, 0), self.n_segments - 1)
        if not self.ascending:
            segment = self.n_segments - 1 - segment

        return self.interpolants[segment](t)

    def __call__(self, t):
        """Evaluate the solution.

        Parameters
        ----------
        t : float or array_like with shape (n_points,)
            Points to evaluate at.

        Returns
        -------
        y : ndarray, shape (n_states,) or (n_states, n_points)
            Computed values. Shape depends on whether `t` is a scalar or a
            1-D array.
        """
        t = np.asarray(t)

        if t.ndim == 0:
            return self._call_single(t)

        order = np.argsort(t)
        reverse = np.empty_like(order)
        reverse[order] = np.arange(order.shape[0])
        t_sorted = t[order]

        # See comment in self._call_single.
        if self.ascending:
            segments = np.searchsorted(self.ts_sorted, t_sorted, side='left')
        else:
            segments = np.searchsorted(self.ts_sorted, t_sorted, side='right')
        segments -= 1
        segments[segments < 0] = 0
        segments[segments > self.n_segments - 1] = self.n_segments - 1
        if not self.ascending:
            segments = self.n_segments - 1 - segments

        ys = []
        group_start = 0
        for segment, group in groupby(segments):
            group_end = group_start + len(list(group))
            y = self.interpolants[segment](t_sorted[group_start:group_end])
            ys.append(y)
            group_start = group_end

        ys = np.hstack(ys)
        ys = ys[:, reverse]

        return ys


NUM_JAC_DIFF_REJECT = EPS ** 0.875
NUM_JAC_DIFF_SMALL = EPS ** 0.75
NUM_JAC_DIFF_BIG = EPS ** 0.25
NUM_JAC_MIN_FACTOR = 1e3 * EPS
NUM_JAC_FACTOR_INCREASE = 10
NUM_JAC_FACTOR_DECREASE = 0.1


def num_jac(fun, t, y, f, threshold, factor, sparsity=None):
    """Finite differences Jacobian approximation tailored for ODE solvers.

    This function computes finite difference approximation to the Jacobian
    matrix of `fun` with respect to `y` using forward differences.
    The Jacobian matrix has shape (n, n) and its element (i, j) is equal to
    ``d f_i / d y_j``.

    A special feature of this function is the ability to correct the step
    size from iteration to iteration. The main idea is to keep the finite
    difference significantly separated from its round-off error which
    approximately equals ``EPS * np.abs(f)``. It reduces a possibility of a
    huge error and assures that the estimated derivative are reasonably close
    to the true values (i.e., the finite difference approximation is at least
    qualitatively reflects the structure of the true Jacobian).

    Parameters
    ----------
    fun : callable
        Right-hand side of the system implemented in a vectorized fashion.
    t : float
        Current time.
    y : ndarray, shape (n,)
        Current state.
    f : ndarray, shape (n,)
        Value of the right hand side at (t, y).
    threshold : float
        Threshold for `y` value used for computing the step size as
        ``factor * np.maximum(np.abs(y), threshold)``. Typically, the value of
        absolute tolerance (atol) for a solver should be passed as `threshold`.
    factor : ndarray with shape (n,) or None
        Factor to use for computing the step size. Pass None for the very
        evaluation, then use the value returned from this function.
    sparsity : tuple (structure, groups) or None
        Sparsity structure of the Jacobian, `structure` must be csc_matrix.

    Returns
    -------
    J : ndarray or csc_matrix, shape (n, n)
        Jacobian matrix.
    factor : ndarray, shape (n,)
        Suggested `factor` for the next evaluation.
    """
    y = np.asarray(y)
    n = y.shape[0]
    if n == 0:
        return np.empty((0, 0)), factor

    if factor is None:
        factor = np.full(n, EPS ** 0.5)
    else:
        factor = factor.copy()

    # Direct the step as ODE dictates, hoping that such a step won't lead to
    # a problematic region. For complex ODEs it makes sense to use the real
    # part of f as we use steps along real axis.
    f_sign = 2 * (np.real(f) >= 0).astype(float) - 1
    y_scale = f_sign * np.maximum(threshold, np.abs(y))
    h = (y + factor * y_scale) - y

    # Make sure that the step is not 0 to start with. Not likely it will be
    # executed often.
    for i in np.nonzero(h == 0)[0]:
        while h[i] == 0:
            factor[i] *= 10
            h[i] = (y[i] + factor[i] * y_scale[i]) - y[i]

    if sparsity is None:
        return _dense_num_jac(fun, t, y, f, h, factor, y_scale)
    else:
        structure, groups = sparsity
        return _sparse_num_jac(fun, t, y, f, h, factor, y_scale,
                               structure, groups)


def _dense_num_jac(fun, t, y, f, h, factor, y_scale):
    n = y.shape[0]
    h_vecs = np.diag(h)
    f_new = fun(t, y[:, None] + h_vecs)
    diff = f_new - f[:, None]
    max_ind = np.argmax(np.abs(diff), axis=0)
    r = np.arange(n)
    max_diff = np.abs(diff[max_ind, r])
    scale = np.maximum(np.abs(f[max_ind]), np.abs(f_new[max_ind, r]))

    diff_too_small = max_diff < NUM_JAC_DIFF_REJECT * scale
    if np.any(diff_too_small):
        ind, = np.nonzero(diff_too_small)
        new_factor = NUM_JAC_FACTOR_INCREASE * factor[ind]
        h_new = (y[ind] + new_factor * y_scale[ind]) - y[ind]
        h_vecs[ind, ind] = h_new
        f_new = fun(t, y[:, None] + h_vecs[:, ind])
        diff_new = f_new - f[:, None]
        max_ind = np.argmax(np.abs(diff_new), axis=0)
        r = np.arange(ind.shape[0])
        max_diff_new = np.abs(diff_new[max_ind, r])
        scale_new = np.maximum(np.abs(f[max_ind]), np.abs(f_new[max_ind, r]))

        update = max_diff[ind] * scale_new < max_diff_new * scale[ind]
        if np.any(update):
            update, = np.nonzero(update)
            update_ind = ind[update]
            factor[update_ind] = new_factor[update]
            h[update_ind] = h_new[update]
            diff[:, update_ind] = diff_new[:, update]
            scale[update_ind] = scale_new[update]
            max_diff[update_ind] = max_diff_new[update]

    diff /= h

    factor[max_diff < NUM_JAC_DIFF_SMALL * scale] *= NUM_JAC_FACTOR_INCREASE
    factor[max_diff > NUM_JAC_DIFF_BIG * scale] *= NUM_JAC_FACTOR_DECREASE
    factor = np.maximum(factor, NUM_JAC_MIN_FACTOR)

    return diff, factor


def _sparse_num_jac(fun, t, y, f, h, factor, y_scale, structure, groups):
    n = y.shape[0]
    n_groups = np.max(groups) + 1
    h_vecs = np.empty((n_groups, n))
    for group in range(n_groups):
        e = np.equal(group, groups)
        h_vecs[group] = h * e
    h_vecs = h_vecs.T

    f_new = fun(t, y[:, None] + h_vecs)
    df = f_new - f[:, None]

    i, j, _ = find(structure)
    diff = coo_matrix((df[i, groups[j]], (i, j)), shape=(n, n)).tocsc()
    max_ind = np.array(abs(diff).argmax(axis=0)).ravel()
    r = np.arange(n)
    max_diff = np.asarray(np.abs(diff[max_ind, r])).ravel()
    scale = np.maximum(np.abs(f[max_ind]),
                       np.abs(f_new[max_ind, groups[r]]))

    diff_too_small = max_diff < NUM_JAC_DIFF_REJECT * scale
    if np.any(diff_too_small):
        ind, = np.nonzero(diff_too_small)
        new_factor = NUM_JAC_FACTOR_INCREASE * factor[ind]
        h_new = (y[ind] + new_factor * y_scale[ind]) - y[ind]
        h_new_all = np.zeros(n)
        h_new_all[ind] = h_new

        groups_unique = np.unique(groups[ind])
        groups_map = np.empty(n_groups, dtype=int)
        h_vecs = np.empty((groups_unique.shape[0], n))
        for k, group in enumerate(groups_unique):
            e = np.equal(group, groups)
            h_vecs[k] = h_new_all * e
            groups_map[group] = k
        h_vecs = h_vecs.T

        f_new = fun(t, y[:, None] + h_vecs)
        df = f_new - f[:, None]
        i, j, _ = find(structure[:, ind])
        diff_new = coo_matrix((df[i, groups_map[groups[ind[j]]]],
                               (i, j)), shape=(n, ind.shape[0])).tocsc()

        max_ind_new = np.array(abs(diff_new).argmax(axis=0)).ravel()
        r = np.arange(ind.shape[0])
        max_diff_new = np.asarray(np.abs(diff_new[max_ind_new, r])).ravel()
        scale_new = np.maximum(
            np.abs(f[max_ind_new]),
            np.abs(f_new[max_ind_new, groups_map[groups[ind]]]))

        update = max_diff[ind] * scale_new < max_diff_new * scale[ind]
        if np.any(update):
            update, = np.nonzero(update)
            update_ind = ind[update]
            factor[update_ind] = new_factor[update]
            h[update_ind] = h_new[update]
            diff[:, update_ind] = diff_new[:, update]
            scale[update_ind] = scale_new[update]
            max_diff[update_ind] = max_diff_new[update]

    diff.data /= np.repeat(h, np.diff(diff.indptr))

    factor[max_diff < NUM_JAC_DIFF_SMALL * scale] *= NUM_JAC_FACTOR_INCREASE
    factor[max_diff > NUM_JAC_DIFF_BIG * scale] *= NUM_JAC_FACTOR_DECREASE
    factor = np.maximum(factor, NUM_JAC_MIN_FACTOR)

    return diff, factor