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With inspiration from other libraries
/*
* Licensed to the Apache Software Foundation (ASF) under one or more
* contributor license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright ownership.
* The ASF licenses this file to You under the Apache License, Version 2.0
* (the "License"); you may not use this file except in compliance with
* the License. You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package org.apache.commons.math3.ode;
import java.lang.reflect.Array;
import java.util.ArrayList;
import java.util.Arrays;
import java.util.List;
import org.apache.commons.math3.exception.DimensionMismatchException;
import org.apache.commons.math3.exception.MathIllegalArgumentException;
import org.apache.commons.math3.exception.MaxCountExceededException;
import org.apache.commons.math3.exception.util.LocalizedFormats;
/**
* This class defines a set of {@link SecondaryEquations secondary equations} to
* compute the Jacobian matrices with respect to the initial state vector and, if
* any, to some parameters of the primary ODE set.
*
* It is intended to be packed into an {@link ExpandableStatefulODE}
* in conjunction with a primary set of ODE, which may be:
*
* - a {@link FirstOrderDifferentialEquations}
* - a {@link MainStateJacobianProvider}
*
* In order to compute Jacobian matrices with respect to some parameters of the
* primary ODE set, the following parameter Jacobian providers may be set:
*
* - a {@link ParameterJacobianProvider}
* - a {@link ParameterizedODE}
*
*
*
* @see ExpandableStatefulODE
* @see FirstOrderDifferentialEquations
* @see MainStateJacobianProvider
* @see ParameterJacobianProvider
* @see ParameterizedODE
*
* @since 3.0
*/
public class JacobianMatrices {
/** Expandable first order differential equation. */
private ExpandableStatefulODE efode;
/** Index of the instance in the expandable set. */
private int index;
/** FODE with exact primary Jacobian computation skill. */
private MainStateJacobianProvider jode;
/** FODE without exact parameter Jacobian computation skill. */
private ParameterizedODE pode;
/** Main state vector dimension. */
private int stateDim;
/** Selected parameters for parameter Jacobian computation. */
private ParameterConfiguration[] selectedParameters;
/** FODE with exact parameter Jacobian computation skill. */
private List jacobianProviders;
/** Parameters dimension. */
private int paramDim;
/** Boolean for selected parameters consistency. */
private boolean dirtyParameter;
/** State and parameters Jacobian matrices in a row. */
private double[] matricesData;
/** Simple constructor for a secondary equations set computing Jacobian matrices.
*
* Parameters must belong to the supported ones given by {@link
* Parameterizable#getParametersNames()}, so the primary set of differential
* equations must be {@link Parameterizable}.
*
* Note that each selection clears the previous selected parameters.
*
* @param fode the primary first order differential equations set to extend
* @param hY step used for finite difference computation with respect to state vector
* @param parameters parameters to consider for Jacobian matrices processing
* (may be null if parameters Jacobians is not desired)
* @exception DimensionMismatchException if there is a dimension mismatch between
* the steps array {@code hY} and the equation dimension
*/
public JacobianMatrices(final FirstOrderDifferentialEquations fode, final double[] hY,
final String... parameters)
throws DimensionMismatchException {
this(new MainStateJacobianWrapper(fode, hY), parameters);
}
/** Simple constructor for a secondary equations set computing Jacobian matrices.
*
* Parameters must belong to the supported ones given by {@link
* Parameterizable#getParametersNames()}, so the primary set of differential
* equations must be {@link Parameterizable}.
*
* Note that each selection clears the previous selected parameters.
*
* @param jode the primary first order differential equations set to extend
* @param parameters parameters to consider for Jacobian matrices processing
* (may be null if parameters Jacobians is not desired)
*/
public JacobianMatrices(final MainStateJacobianProvider jode,
final String... parameters) {
this.efode = null;
this.index = -1;
this.jode = jode;
this.pode = null;
this.stateDim = jode.getDimension();
if (parameters == null) {
selectedParameters = null;
paramDim = 0;
} else {
this.selectedParameters = new ParameterConfiguration[parameters.length];
for (int i = 0; i < parameters.length; ++i) {
selectedParameters[i] = new ParameterConfiguration(parameters[i], Double.NaN);
}
paramDim = parameters.length;
}
this.dirtyParameter = false;
this.jacobianProviders = new ArrayList();
// set the default initial state Jacobian to the identity
// and the default initial parameters Jacobian to the null matrix
matricesData = new double[(stateDim + paramDim) * stateDim];
for (int i = 0; i < stateDim; ++i) {
matricesData[i * (stateDim + 1)] = 1.0;
}
}
/** Register the variational equations for the Jacobians matrices to the expandable set.
* @param expandable expandable set into which variational equations should be registered
* @throws DimensionMismatchException if the dimension of the partial state does not
* match the selected equations set dimension
* @exception MismatchedEquations if the primary set of the expandable set does
* not match the one used to build the instance
* @see ExpandableStatefulODE#addSecondaryEquations(SecondaryEquations)
*/
public void registerVariationalEquations(final ExpandableStatefulODE expandable)
throws DimensionMismatchException, MismatchedEquations {
// safety checks
final FirstOrderDifferentialEquations ode = (jode instanceof MainStateJacobianWrapper) ?
((MainStateJacobianWrapper) jode).ode :
jode;
if (expandable.getPrimary() != ode) {
throw new MismatchedEquations();
}
efode = expandable;
index = efode.addSecondaryEquations(new JacobiansSecondaryEquations());
efode.setSecondaryState(index, matricesData);
}
/** Add a parameter Jacobian provider.
* @param provider the parameter Jacobian provider to compute exactly the parameter Jacobian matrix
*/
public void addParameterJacobianProvider(final ParameterJacobianProvider provider) {
jacobianProviders.add(provider);
}
/** Set a parameter Jacobian provider.
* @param parameterizedOde the parameterized ODE to compute the parameter Jacobian matrix using finite differences
*/
public void setParameterizedODE(final ParameterizedODE parameterizedOde) {
this.pode = parameterizedOde;
dirtyParameter = true;
}
/** Set the step associated to a parameter in order to compute by finite
* difference the Jacobian matrix.
*
* Needed if and only if the primary ODE set is a {@link ParameterizedODE}.
*
*
* Given a non zero parameter value pval for the parameter, a reasonable value
* for such a step is {@code pval * FastMath.sqrt(Precision.EPSILON)}.
*
*
* A zero value for such a step doesn't enable to compute the parameter Jacobian matrix.
*
* @param parameter parameter to consider for Jacobian processing
* @param hP step for Jacobian finite difference computation w.r.t. the specified parameter
* @see ParameterizedODE
* @exception UnknownParameterException if the parameter is not supported
*/
public void setParameterStep(final String parameter, final double hP)
throws UnknownParameterException {
for (ParameterConfiguration param: selectedParameters) {
if (parameter.equals(param.getParameterName())) {
param.setHP(hP);
dirtyParameter = true;
return;
}
}
throw new UnknownParameterException(parameter);
}
/** Set the initial value of the Jacobian matrix with respect to state.
*
* If this method is not called, the initial value of the Jacobian
* matrix with respect to state is set to identity.
*
* @param dYdY0 initial Jacobian matrix w.r.t. state
* @exception DimensionMismatchException if matrix dimensions are incorrect
*/
public void setInitialMainStateJacobian(final double[][] dYdY0)
throws DimensionMismatchException {
// Check dimensions
checkDimension(stateDim, dYdY0);
checkDimension(stateDim, dYdY0[0]);
// store the matrix in row major order as a single dimension array
int i = 0;
for (final double[] row : dYdY0) {
System.arraycopy(row, 0, matricesData, i, stateDim);
i += stateDim;
}
if (efode != null) {
efode.setSecondaryState(index, matricesData);
}
}
/** Set the initial value of a column of the Jacobian matrix with respect to one parameter.
*
* If this method is not called for some parameter, the initial value of
* the column of the Jacobian matrix with respect to this parameter is set to zero.
*
* @param pName parameter name
* @param dYdP initial Jacobian column vector with respect to the parameter
* @exception UnknownParameterException if a parameter is not supported
* @throws DimensionMismatchException if the column vector does not match state dimension
*/
public void setInitialParameterJacobian(final String pName, final double[] dYdP)
throws UnknownParameterException, DimensionMismatchException {
// Check dimensions
checkDimension(stateDim, dYdP);
// store the column in a global single dimension array
int i = stateDim * stateDim;
for (ParameterConfiguration param: selectedParameters) {
if (pName.equals(param.getParameterName())) {
System.arraycopy(dYdP, 0, matricesData, i, stateDim);
if (efode != null) {
efode.setSecondaryState(index, matricesData);
}
return;
}
i += stateDim;
}
throw new UnknownParameterException(pName);
}
/** Get the current value of the Jacobian matrix with respect to state.
* @param dYdY0 current Jacobian matrix with respect to state.
*/
public void getCurrentMainSetJacobian(final double[][] dYdY0) {
// get current state for this set of equations from the expandable fode
double[] p = efode.getSecondaryState(index);
int j = 0;
for (int i = 0; i < stateDim; i++) {
System.arraycopy(p, j, dYdY0[i], 0, stateDim);
j += stateDim;
}
}
/** Get the current value of the Jacobian matrix with respect to one parameter.
* @param pName name of the parameter for the computed Jacobian matrix
* @param dYdP current Jacobian matrix with respect to the named parameter
*/
public void getCurrentParameterJacobian(String pName, final double[] dYdP) {
// get current state for this set of equations from the expandable fode
double[] p = efode.getSecondaryState(index);
int i = stateDim * stateDim;
for (ParameterConfiguration param: selectedParameters) {
if (param.getParameterName().equals(pName)) {
System.arraycopy(p, i, dYdP, 0, stateDim);
return;
}
i += stateDim;
}
}
/** Check array dimensions.
* @param expected expected dimension
* @param array (may be null if expected is 0)
* @throws DimensionMismatchException if the array dimension does not match the expected one
*/
private void checkDimension(final int expected, final Object array)
throws DimensionMismatchException {
int arrayDimension = (array == null) ? 0 : Array.getLength(array);
if (arrayDimension != expected) {
throw new DimensionMismatchException(arrayDimension, expected);
}
}
/** Local implementation of secondary equations.
*
* This class is an inner class to ensure proper scheduling of calls
* by forcing the use of {@link JacobianMatrices#registerVariationalEquations(ExpandableStatefulODE)}.
*
*/
private class JacobiansSecondaryEquations implements SecondaryEquations {
/** {@inheritDoc} */
public int getDimension() {
return stateDim * (stateDim + paramDim);
}
/** {@inheritDoc} */
public void computeDerivatives(final double t, final double[] y, final double[] yDot,
final double[] z, final double[] zDot)
throws MaxCountExceededException, DimensionMismatchException {
// Lazy initialization
if (dirtyParameter && (paramDim != 0)) {
jacobianProviders.add(new ParameterJacobianWrapper(jode, pode, selectedParameters));
dirtyParameter = false;
}
// variational equations:
// from d[dy/dt]/dy0 and d[dy/dt]/dp to d[dy/dy0]/dt and d[dy/dp]/dt
// compute Jacobian matrix with respect to primary state
double[][] dFdY = new double[stateDim][stateDim];
jode.computeMainStateJacobian(t, y, yDot, dFdY);
// Dispatch Jacobian matrix in the compound secondary state vector
for (int i = 0; i < stateDim; ++i) {
final double[] dFdYi = dFdY[i];
for (int j = 0; j < stateDim; ++j) {
double s = 0;
final int startIndex = j;
int zIndex = startIndex;
for (int l = 0; l < stateDim; ++l) {
s += dFdYi[l] * z[zIndex];
zIndex += stateDim;
}
zDot[startIndex + i * stateDim] = s;
}
}
if (paramDim != 0) {
// compute Jacobian matrices with respect to parameters
double[] dFdP = new double[stateDim];
int startIndex = stateDim * stateDim;
for (ParameterConfiguration param: selectedParameters) {
boolean found = false;
for (int k = 0 ; (!found) && (k < jacobianProviders.size()); ++k) {
final ParameterJacobianProvider provider = jacobianProviders.get(k);
if (provider.isSupported(param.getParameterName())) {
provider.computeParameterJacobian(t, y, yDot,
param.getParameterName(), dFdP);
for (int i = 0; i < stateDim; ++i) {
final double[] dFdYi = dFdY[i];
int zIndex = startIndex;
double s = dFdP[i];
for (int l = 0; l < stateDim; ++l) {
s += dFdYi[l] * z[zIndex];
zIndex++;
}
zDot[startIndex + i] = s;
}
found = true;
}
}
if (! found) {
Arrays.fill(zDot, startIndex, startIndex + stateDim, 0.0);
}
startIndex += stateDim;
}
}
}
}
/** Wrapper class to compute jacobian matrices by finite differences for ODE
* which do not compute them by themselves.
*/
private static class MainStateJacobianWrapper implements MainStateJacobianProvider {
/** Raw ODE without jacobians computation skill to be wrapped into a MainStateJacobianProvider. */
private final FirstOrderDifferentialEquations ode;
/** Steps for finite difference computation of the jacobian df/dy w.r.t. state. */
private final double[] hY;
/** Wrap a {@link FirstOrderDifferentialEquations} into a {@link MainStateJacobianProvider}.
* @param ode original ODE problem, without jacobians computation skill
* @param hY step sizes to compute the jacobian df/dy
* @exception DimensionMismatchException if there is a dimension mismatch between
* the steps array {@code hY} and the equation dimension
*/
MainStateJacobianWrapper(final FirstOrderDifferentialEquations ode,
final double[] hY)
throws DimensionMismatchException {
this.ode = ode;
this.hY = hY.clone();
if (hY.length != ode.getDimension()) {
throw new DimensionMismatchException(ode.getDimension(), hY.length);
}
}
/** {@inheritDoc} */
public int getDimension() {
return ode.getDimension();
}
/** {@inheritDoc} */
public void computeDerivatives(double t, double[] y, double[] yDot)
throws MaxCountExceededException, DimensionMismatchException {
ode.computeDerivatives(t, y, yDot);
}
/** {@inheritDoc} */
public void computeMainStateJacobian(double t, double[] y, double[] yDot, double[][] dFdY)
throws MaxCountExceededException, DimensionMismatchException {
final int n = ode.getDimension();
final double[] tmpDot = new double[n];
for (int j = 0; j < n; ++j) {
final double savedYj = y[j];
y[j] += hY[j];
ode.computeDerivatives(t, y, tmpDot);
for (int i = 0; i < n; ++i) {
dFdY[i][j] = (tmpDot[i] - yDot[i]) / hY[j];
}
y[j] = savedYj;
}
}
}
/**
* Special exception for equations mismatch.
* @since 3.1
*/
public static class MismatchedEquations extends MathIllegalArgumentException {
/** Serializable UID. */
private static final long serialVersionUID = 20120902L;
/** Simple constructor. */
public MismatchedEquations() {
super(LocalizedFormats.UNMATCHED_ODE_IN_EXPANDED_SET);
}
}
}