NAG Toolbox: nag_ode_ivp_stiff_dassl (d02mv)

Purpose

Syntax

Description

References

Parameters

Compulsory Input Parameters

1:     $\mathrm{neqmax}$ – int64int32nag_int scalar

A bound on the maximum number of differential equations to be solved.

Constraint: $\mathbf{neqmax}\ge 1$.

2:     $\mathrm{sdysav}$ – int64int32nag_int scalar

The second dimension of the array ysav that will be supplied to the integrator, as declared in the (sub)program from which the integrator is called (e.g., see nag_ode_ivp_stiff_exp_fulljac (d02nb)).

Constraint: $\mathbf{sdysav}\ge \mathbf{maxord}+3$.

3:     $\mathrm{maxord}$ – int64int32nag_int scalar

The maximum order to be used for the BDF method. If $\mathbf{maxord}=0$ or $\mathbf{maxord}>5$ then $\mathbf{maxord}=5$ is assumed.

Constraint: $\mathbf{maxord}\ge 0$.

4:     $\mathrm{con}\left(3\right)$ – double array

Values to be used to control step size choice during integration. If any $\mathbf{con}\left(i\right)=0.0$ on entry, it is replaced by its default value described below. In most cases this is the recommended setting.

$\mathbf{con}\left(1\right)$, $\mathbf{con}\left(2\right)$, and $\mathbf{con}\left(3\right)$ are factors used to bound step size changes. If the current step size $h$ fails, then the modulus of the next step size is bounded by $\mathbf{con}\left(1\right)\times \left|h\right|$. The default value of $\mathbf{con}\left(1\right)$ is $2.0$. Note that the new step size may be used with a method of different order to the failed step. If the initial step size is $h$, then the modulus of the step size on the second step is bounded by $\mathbf{con}\left(3\right)\times \left|h\right|$. At any other stage in the integration, if the current step size is $h$, then the modulus of the next step size is bounded by $\mathbf{con}\left(2\right)\times \left|h\right|$. The default values are $10.0$ for $\mathbf{con}\left(2\right)$ and $1000.0$ for $\mathbf{con}\left(3\right)$.

Constraints:

These constraints must be satisfied after any zero values have been replaced by default values.

• $0.0<\mathbf{con}\left(1\right)<\mathbf{con}\left(2\right)<\mathbf{con}\left(3\right)$;
• $\mathbf{con}\left(2\right)>1.0$;
• $\mathbf{con}\left(3\right)>1.0$.

5:     $\mathrm{tcrit}$ – double scalar

A point beyond which integration must not be attempted. The use of tcrit is described under the argument itask in the specification for the integrator (e.g., see nag_ode_ivp_stiff_exp_fulljac (d02nb)). A value, $0.0$ say, must be specified even if itask subsequently specifies that tcrit will not be used.

6:     $\mathrm{hmin}$ – double scalar

The minimum absolute step size to be allowed. Set $\mathbf{hmin}=0.0$ if this option is not required.

7:     $\mathrm{hmax}$ – double scalar

The maximum absolute step size to be allowed. Set $\mathbf{hmax}=0.0$ if this option is not required.

8:     $\mathrm{h0}$ – double scalar

The step size to be attempted on the first step. Set $\mathbf{h0}=0.0$ if the initial step size is calculated internally.

9:     $\mathrm{maxstp}$ – int64int32nag_int scalar

The maximum number of steps to be attempted during one call to the integrator after which it will return with $\mathbf{ifail}=\mathbf{2}$ (e.g., see nag_ode_ivp_stiff_exp_fulljac (d02nb)). Set $\mathbf{maxstp}=0$ if no limit is to be imposed.

10:   $\mathrm{mxhnil}$ – int64int32nag_int scalar

The maximum number of warnings printed (if $\mathbf{itrace}\ge 0$, e.g., see nag_ode_ivp_stiff_exp_fulljac (d02nb)) per problem when $t+h=t$ on a step ($h=\text{ current step size}$). If $\mathbf{mxhnil}\le 0$, a default value of $10$ is assumed.

11:   $\mathrm{norm\_p}$ – string (length ≥ 1)

Indicates the type of norm to be used.

$\mathbf{norm\_p}=\text{'M'}$

Maximum norm.

$\mathbf{norm\_p}=\text{'A'}$

Averaged L2 norm.

$\mathbf{norm\_p}=\text{'D'}$

Is the same as 'A'.

If $\mathit{vnorm}$ denotes the norm of the vector $v$ of length $n$, then for the averaged L2 norm

$$\mathit{vnorm}B=\sqrt{\frac{1}{n}\sum _{i=1}^n{\left(\frac{v_i}{w_i}\right)}^2}\text{,}$$

while for the maximum norm

$$\mathit{vnorm}=\underset{1\le i\le n}{\max }\left|\frac{v_i}{w_i}\right|\text{.}$$

If you wish to weight the maximum norm or the L2 norm, then rtol and atol should be scaled appropriately on input to the integrator (see under itol in the specification of the integrator for the formulation of the weight vector $w_i$ from rtol and atol, e.g., see nag_ode_ivp_stiff_exp_fulljac (d02nb)).

Only the first character to the actual argument norm_p is passed to nag_ode_ivp_stiff_dassl (d02mv); hence it is permissible for the actual argument to be more descriptive, e.g., ‘Maximum’, ‘Average L2’ or ‘Default’ in a call to nag_ode_ivp_stiff_dassl (d02mv).

Constraint: $\mathbf{norm\_p}=\text{'M'}$, $\text{'A'}$ or $\text{'D'}$.

12:   $\mathrm{rwork}\left(50+4\times \mathbf{neqmax}\right)$ – double array

This must be the same workspace array as the array rwork supplied to the integrator. It is used to pass information from the setup function to the integrator and therefore the contents of this array must not be changed before calling the integrator.

Optional Input Parameters

None.

Output Parameters

1:     $\mathrm{con}\left(3\right)$ – double array

The values actually to be used by the integration function.

2:     $\mathrm{rwork}\left(50+4\times \mathbf{neqmax}\right)$ – double array

3:     $\mathrm{ifail}$ – int64int32nag_int scalar

$\mathbf{ifail}=\mathbf{0}$ unless the function detects an error (see Error Indicators and Warnings).

Error Indicators and Warnings

   $\mathbf{ifail}=1$

On entry,	$\mathbf{neqmax}<1$,
or	$\mathbf{sdysav}<\mathbf{maxord}+3$,
or	$\mathbf{maxord}<0$,
or	$\mathbf{maxord}>5$,
or	invalid value for element of the array con,
or	$\mathbf{norm\_p}\ne \text{'M'}$, $\text{'A'}$ or $\text{'D'}$.

   $\mathbf{ifail}=-99$

An unexpected error has been triggered by this routine. Please contact NAG.

   $\mathbf{ifail}=-399$

Your licence key may have expired or may not have been installed correctly.

   $\mathbf{ifail}=-999$

Dynamic memory allocation failed.

Accuracy

Further Comments

Example

Open in the MATLAB editor: d02mv_example

function d02mv_example


fprintf('d02mv example results\n\n');

% Initialize setup variables and arrays.
neq    = int64(6);
neqmax = int64(neq);
nwkjac = int64(neqmax*(neqmax + 1));
maxord = int64(5);
sdysav = int64(maxord+3);
maxstp = int64(5000);
mxhnil = int64(5);

h0    = 0.0;
hmax  = 0.0;
hmin  = 1.0e-10;
tcrit = pi;

const  = zeros(3, 1);
rwork  = zeros(50+4*neqmax, 1);

% d02mv is an integration method-specific setup routine to be called prior
% to linear algebra setup and integrator routines if the DASSL
% implementation of BDF is to be used.

[const, rwork, ifail] = d02mv(neqmax, sdysav, maxord, const, tcrit, hmin, ...
                              hmax, h0, maxstp, mxhnil, 'Average-L2', rwork);

% d02ns is a setup routine (specifically for full matrix linear algebra)
% to be called prior to a routine from sub-chapter d02n-m (e.g. d02ng,
% as here).

[rwork, ifail] = d02ns(neq, neqmax, 'Analytic', nwkjac, rwork);

% Initialize integration variables and arrays
wkjac  = zeros(nwkjac, 1);
ysave  = zeros(neq, sdysav);
inform(1:23) = int64(0);

t    = 0;  
tout = pi;
nstep = 38;
itol = int64(1);
rtol = [1e-03];
atol = [1e-06];
itask = int64(4);
itrace = int64(0);
lderiv(1:2) = true;
y(1:neq) = 0;
y(1)     = 1;
ydot(1:neq) = 0;
ydot(1) = y(3) - y(6)*y(1);
ydot(2) = y(4) - y(6)*y(2);
ydot(3) = -y(5)*y(1);
ydot(4) = -y(5)*y(2) - 1.0;
ydot(5) = -3*y(4);

% Output header and initial results.
fprintf(['\nPendulum problem with relative tolerance = %7.1e\n', ...
    '                  and absolute tolerance = %7.1e\n\n'], ...
    rtol(1), atol(1));
fprintf('   t        y1      y2      y3      y4      y5      y6\n');
fprintf(' %6.4f  %7.4f %7.4f %7.4f %7.4f %7.4f %7.4f\n', t, y);


% Prepare to store results for plotting, then loop over values for the
% independent variable.
tkeep = zeros(nstep+1,1);
ykeep = zeros(neq,nstep+1);
tkeep(1) = t;
ykeep(:,1) = y;
for istep = 1:nstep
    tout = istep/nstep*pi;
    [t, tout, y, ydot, rwork, inform, ysave, wkjac, lderiv, ifail] = ...
        d02ng(t, tout, y, ydot, rwork, rtol, atol, itol, inform, @resid, ...
              ysave, @jac, wkjac, @monitr, lderiv, itask, itrace);

    % Store current results for plotting.
    tkeep(istep+1) = t;
    ykeep(:,istep+1) = y;
end

% Output final results.
fprintf(' %6.4f  %7.4f %7.4f %7.4f %7.4f %7.4f %7.4f\n', t, y);
% Plot results.
fig1 = figure;
display_plot(ykeep(1,:), ykeep(2,:));


function pdj = jac(neq, t, y, ydot, h, d, pdj)
% Evaluate the Jacobian.

pdj = zeros(neq, neq);
hxd = h*d;
pdj(1,1) =  (1.0 + hxd*y(6)); pdj(1,3) = -hxd;      pdj(1,6) =  hxd*y(1);
pdj(2,2) =  (1.0 + hxd*y(6)); pdj(2,4) = -hxd;      pdj(2,6) =  hxd*y(2);
pdj(3,1) =         hxd*y(5);  pdj(3,3) =  1.0;      pdj(3,5) =  hxd*y(1);
pdj(4,2) =         hxd*y(5);  pdj(4,4) =  1.0;      pdj(4,5) =  hxd*y(2);
pdj(5,1) =        -hxd*y(3);  pdj(5,3) = -hxd*y(1);
pdj(5,2) =        -hxd*y(4);  pdj(5,4) = -hxd*y(2);
pdj(6,1) =      -2*hxd*y(1);
pdj(6,2) =      -2*hxd*y(2);

function [hnext, y, imon, inln, hmin, hmax] = monitr(neq, neqmax, ...
    t, hlast, hnext, y, ydot, ysave, r, acor, imon, hmin, hmax, nqu)
  inln = int64(0);

function [r, ires] = resid(neq, t, y, ydot, ires)
% Evaluate the residue.
r = zeros(neq,1);
if ires == -1
    r(1:4) = -ydot(1:4);
    r(5:6) = 0.0;
else
    r(1) =  y(3) - y(6)*y(1) - ydot(1);
    r(2) =  y(4) - y(6)*y(2) - ydot(2);
    r(3) =        -y(5)*y(1) - ydot(3);
    r(4) =        -y(5)*y(2) - ydot(4) - 1;
    r(5) =  y(1)*y(3) + y(2)*y(4);
    r(6) =  y(1)*y(1) + y(2)*y(2) - 1;
end

function display_plot(x, y)
% Formatting for title and axis labels.
% Plot results.
plot(x, y, '-+');
% Add title.
title({'DASSL Implementation of BDF Method for Stiff ODE',...
       'Plane Pendulum Problem'});
% Label the axes.
xlabel('x'); ylabel('Pendulum Displacement');

d02mv example results


Pendulum problem with relative tolerance = 1.0e-03
                  and absolute tolerance = 1.0e-06

   t        y1      y2      y3      y4      y5      y6
 0.0000   1.0000  0.0000  0.0000  0.0000  0.0000  0.0000
 3.1416  -0.9872 -0.1597 -0.0902  0.5579  0.4790 -0.0000