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integrate_ode_bdf.hpp
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1 #ifndef STAN_MATH_REV_MAT_FUNCTOR_INTEGRATE_ODE_BDF_HPP
2 #define STAN_MATH_REV_MAT_FUNCTOR_INTEGRATE_ODE_BDF_HPP
3
4 #include <stan/math/prim/arr/fun/value_of.hpp>
5 #include <stan/math/prim/scal/err/check_less.hpp>
6 #include <stan/math/prim/scal/err/check_finite.hpp>
7 #include <stan/math/prim/arr/err/check_nonzero_size.hpp>
8 #include <stan/math/prim/arr/err/check_ordered.hpp>
9 #include <stan/math/rev/scal/meta/is_var.hpp>
10 #include <stan/math/prim/scal/meta/return_type.hpp>
11 #include <stan/math/rev/mat/functor/cvodes_utils.hpp>
12 #include <stan/math/rev/mat/functor/cvodes_ode_data.hpp>
13 #include <stan/math/rev/arr/fun/decouple_ode_states.hpp>
14 #include <cvodes/cvodes.h>
15 #include <cvodes/cvodes_band.h>
16 #include <cvodes/cvodes_dense.h>
17 #include <nvector/nvector_serial.h>
18 #include <algorithm>
19 #include <ostream>
20 #include <vector>
21
22 namespace stan {
23 namespace math {
24
34 inline void free_cvodes_memory(N_Vector& cvodes_state,
35 N_Vector* cvodes_state_sens,
36 void* cvodes_mem, size_t S) {
37 N_VDestroy_Serial(cvodes_state);
38 if (cvodes_state_sens != NULL)
39 N_VDestroyVectorArray_Serial(cvodes_state_sens, S);
40 CVodeFree(&cvodes_mem);
41 }
42
80 template <typename F, typename T_initial, typename T_param>
81 std::vector<std::vector<typename stan::return_type<T_initial,
82 T_param>::type> >
83 integrate_ode_bdf(const F& f,
84 const std::vector<T_initial>& y0,
85 const double t0,
86 const std::vector<double>& ts,
87 const std::vector<T_param>& theta,
88 const std::vector<double>& x,
89 const std::vector<int>& x_int,
90 std::ostream* msgs = 0,
91 double relative_tolerance = 1e-10,
92 double absolute_tolerance = 1e-10,
93 long int max_num_steps = 1e8) { // NOLINT(runtime/int)
94 typedef stan::is_var<T_initial> initial_var;
95 typedef stan::is_var<T_param> param_var;
96
97 check_finite("integrate_ode_bdf", "initial state", y0);
98 check_finite("integrate_ode_bdf", "initial time", t0);
99 check_finite("integrate_ode_bdf", "times", ts);
100 check_finite("integrate_ode_bdf", "parameter vector", theta);
101 check_finite("integrate_ode_bdf", "continuous data", x);
102 check_nonzero_size("integrate_ode_bdf", "times", ts);
103 check_nonzero_size("integrate_ode_bdf", "initial state", y0);
104 check_ordered("integrate_ode_bdf", "times", ts);
105 check_less("integrate_ode_bdf", "initial time", t0, ts[0]);
106 if (relative_tolerance <= 0)
107 invalid_argument("integrate_ode_bdf",
108 "relative_tolerance,", relative_tolerance,
109 "", ", must be greater than 0");
110 if (absolute_tolerance <= 0)
111 invalid_argument("integrate_ode_bdf",
112 "absolute_tolerance,", absolute_tolerance,
113 "", ", must be greater than 0");
114 if (max_num_steps <= 0)
115 invalid_argument("integrate_ode_bdf",
116 "max_num_steps,", max_num_steps,
117 "", ", must be greater than 0");
118
119 const size_t N = y0.size();
120 const size_t M = theta.size();
121 // total number of sensitivities for initial values and params
122 const size_t S = (initial_var::value ? N : 0)
123 + (param_var::value ? M : 0);
124 const size_t size = N * (S + 1); // size of the coupled system
125 std::vector<double> state(value_of(y0));
126 N_Vector cvodes_state(N_VMake_Serial(N, &state[0]));
127 N_Vector* cvodes_state_sens = NULL;
128
129 typedef cvodes_ode_data<F, T_initial, T_param> ode_data;
130 ode_data cvodes_data(f, y0, theta, x, x_int, msgs);
131
132 void* cvodes_mem = CVodeCreate(CV_BDF, CV_NEWTON);
133 if (cvodes_mem == NULL)
134 throw std::runtime_error("CVodeCreate failed to allocate memory");
135
136 std::vector<std::vector<double> >
137 y_coupled(ts.size(), std::vector<double>(size, 0));
138
139 try {
140 cvodes_check_flag(CVodeInit(cvodes_mem, &ode_data::ode_rhs,
141 t0, cvodes_state),
142 "CVodeInit");
143
144 // Assign pointer to this as user data
145 cvodes_check_flag(CVodeSetUserData(cvodes_mem,
146 reinterpret_cast<void*>(&cvodes_data)),
147 "CVodeSetUserData");
148
149 cvodes_set_options(cvodes_mem,
150 relative_tolerance, absolute_tolerance,
151 max_num_steps);
152
153 // for the stiff solvers we need to reserve additional
154 // memory and provide a Jacobian function call
155 cvodes_check_flag(CVDense(cvodes_mem, N), "CVDense");
156 cvodes_check_flag(CVDlsSetDenseJacFn(cvodes_mem,
157 &ode_data::dense_jacobian),
158 "CVDlsSetDenseJacFn");
159
160 // initialize forward sensitivity system of CVODES as needed
161 if (S > 0) {
162 cvodes_state_sens = N_VCloneVectorArray_Serial(S, cvodes_state);
163 for (size_t s = 0; s < S; s++)
164 N_VConst(RCONST(0.0), cvodes_state_sens[s]);
165
166 // for varying initials, first N sensitivity systems
167 // are for initials which have as initial the identity matrix
168 if (initial_var::value) {
169 for (size_t n = 0; n < N; n++)
170 NV_Ith_S(cvodes_state_sens[n], n) = 1.0;
171 }
172 cvodes_check_flag(CVodeSensInit(cvodes_mem, static_cast<int>(S),
173 CV_STAGGERED,
174 &ode_data::ode_rhs_sens,
175 cvodes_state_sens),
176 "CVodeSensInit");
177
178 cvodes_check_flag(CVodeSensEEtolerances(cvodes_mem),
179 "CVodeSensEEtolerances");
180 }
181
182 double t_init = t0;
183 for (size_t n = 0; n < ts.size(); ++n) {
184 double t_final = ts[n];
185 if (t_final != t_init)
186 cvodes_check_flag(CVode(cvodes_mem, t_final, cvodes_state,
187 &t_init, CV_NORMAL),
188 "CVode");
189 std::copy(state.begin(), state.end(), y_coupled[n].begin());
190 if (S > 0) {
191 cvodes_check_flag(CVodeGetSens(cvodes_mem, &t_init,
192 cvodes_state_sens),
193 "CVodeGetSens");
194 for (size_t s = 0; s < S; s++)
195 std::copy(NV_DATA_S(cvodes_state_sens[s]),
196 NV_DATA_S(cvodes_state_sens[s]) + N,
197 y_coupled[n].begin() + N + s * N);
198 }
199 t_init = t_final;
200 }
201 } catch (const std::exception& e) {
202 free_cvodes_memory(cvodes_state, cvodes_state_sens, cvodes_mem, S);
203 throw;
204 }
205
206 free_cvodes_memory(cvodes_state, cvodes_state_sens, cvodes_mem, S);
207
208 return decouple_ode_states(y_coupled, y0, theta);
209 }
210
211 }
212 }
213 #endif
stan::math::check_less
bool check_less(const char *function, const char *name, const T_y &y, const T_high &high)
Return true if y is strictly less than high.
Definition: check_less.hpp:81
stan::math::cvodes_set_options
void cvodes_set_options(void *cvodes_mem, double rel_tol, double abs_tol, long int max_num_steps)
Definition: cvodes_utils.hpp:30
value_of.hpp
stan
Definition: log_sum_exp.hpp:8
stan::math::value_of
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition: value_of.hpp:16
stan::is_var
Definition: is_var.hpp:7
stan::return_type
Metaprogram to calculate the base scalar return type resulting from promoting all the scalar types of...
Definition: return_type.hpp:19
stan::math::integrate_ode_bdf
std::vector< std::vector< typename stan::return_type< T_initial, T_param >::type > > integrate_ode_bdf(const F &f, const std::vector< T_initial > &y0, const double t0, const std::vector< double > &ts, const std::vector< T_param > &theta, const std::vector< double > &x, const std::vector< int > &x_int, std::ostream *msgs=0, double relative_tolerance=1e-10, double absolute_tolerance=1e-10, long int max_num_steps=1e8)
Return the solutions for the specified system of ordinary differential equations given the specified ...
Definition: integrate_ode_bdf.hpp:83
return_type.hpp
stan::math::free_cvodes_memory
void free_cvodes_memory(N_Vector &cvodes_state, N_Vector *cvodes_state_sens, void *cvodes_mem, size_t S)
Free memory allocated for CVODES state, sensitivity, and general memory.
Definition: integrate_ode_bdf.hpp:34
stan::math::check_nonzero_size
bool check_nonzero_size(const char *function, const char *name, const T_y &y)
Return true if the specified matrix/vector is of non-zero size.
Definition: check_nonzero_size.hpp:29
stan::math::check_ordered
bool check_ordered(const char *function, const char *name, const std::vector< T_y > &y)
Return true if the specified vector is sorted into strictly increasing order.
Definition: check_ordered.hpp:30
cvodes_utils.hpp
stan::math::cvodes_ode_data
CVODES ode data holder object which is used during CVODES integration for CVODES callbacks.
Definition: cvodes_ode_data.hpp:26
stan::math::cvodes_check_flag
void cvodes_check_flag(int flag, const std::string &func_name)
Definition: cvodes_utils.hpp:22
stan::math::invalid_argument
void invalid_argument(const char *function, const char *name, const T &y, const char *msg1, const char *msg2)
Throw an invalid_argument exception with a consistently formatted message.
Definition: invalid_argument.hpp:31
cvodes_ode_data.hpp
stan::math::decouple_ode_states
std::vector< std::vector< typename stan::return_type< T_initial, T_param >::type > > decouple_ode_states(const std::vector< std::vector< double > > &y, const std::vector< T_initial > &y0, const std::vector< T_param > &theta)
Takes sensitivity output from integrators and returns results in precomputed_gradients format...
Definition: decouple_ode_states.hpp:37
stan::math::e
double e()
Return the base of the natural logarithm.
Definition: constants.hpp:94
stan::math::check_finite
bool check_finite(const char *function, const char *name, const T_y &y)
Return true if y is finite.
Definition: check_finite.hpp:60
decouple_ode_states.hpp
stan::math::size
int size(const std::vector< T > &x)
Return the size of the specified standard vector.
Definition: size.hpp:17
check_ordered.hpp
check_finite.hpp
is_var.hpp
check_nonzero_size.hpp
check_less.hpp

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