forked from tsai/mathnet-numerics
Christoph Ruegg
11 years ago
4 changed files with 249 additions and 0 deletions
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// <copyright file="OdeSolvers.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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//
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// Copyright (c) 2009-2016 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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// restriction, including without limitation the rights to use,
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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using MathNet.Numerics.LinearAlgebra; |
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using System; |
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namespace MathNet.Numerics.OdeSolvers |
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{ |
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/// <summary>
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/// ODE Solver Algorithms
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/// </summary>
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public static class RungeKutta |
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{ |
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/// <summary>
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/// Second Order Runge-Kutta method
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/// </summary>
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/// <param name="y0">initial value</param>
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/// <param name="start">start time</param>
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/// <param name="end">end time</param>
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/// <param name="N">Number of subintervals</param>
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/// <param name="f">ode function</param>
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/// <returns>approximations</returns>
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public static double[] SecondOrder(double y0, double start, double end, int N, Func<double, double, double> f) |
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{ |
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double dt = (end - start) / (N - 1); |
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double k1 = 0; |
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double k2 = 0; |
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double t = start; |
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double[] y = new double[N]; |
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y[0] = y0; |
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for (int i = 1; i < N; i++) |
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{ |
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k1 = f(t, y0); |
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k2 = f(t + dt, y0 + k1 * dt); |
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y[i] = y0 + dt * 0.5 * (k1 + k2); |
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t += dt; |
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y0 = y[i]; |
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} |
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return y; |
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} |
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/// <summary>
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/// Fourth Order Runge-Kutta method
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/// </summary>
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/// <param name="y0">initial value</param>
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/// <param name="start">start time</param>
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/// <param name="end">end time</param>
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/// <param name="N">number of subintervals</param>
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/// <param name="f">ode function</param>
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/// <returns>approximations</returns>
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public static double[] FourthOrder(double y0, double start, double end, int N, Func<double, double, double> f) |
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{ |
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double dt = (end - start) / (N - 1); |
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double k1 = 0; |
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double k2 = 0; |
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double k3 = 0; |
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double k4 = 0; |
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double t = start; |
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double[] y = new double[N]; |
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y[0] = y0; |
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for (int i = 1; i < N; i++) |
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{ |
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k1 = f(t, y0); |
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k2 = f(t + dt / 2, y0 + k1 * dt / 2); |
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k3 = f(t + dt / 2, y0 + k2 * dt / 2); |
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k4 = f(t + dt, y0 + k3 * dt); |
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y[i] = y0 + dt / 6 * (k1 + 2 * k2 + 2 * k3 + k4); |
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t += dt; |
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y0 = y[i]; |
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} |
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return y; |
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} |
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/// <summary>
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/// Second Order Runge-Kutta to solve ODE SYSTEM
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/// </summary>
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/// <param name="y0">initial vector</param>
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/// <param name="start">start time</param>
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/// <param name="end">end time</param>
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/// <param name="N">number of subintervals</param>
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/// <param name="f">ode function</param>
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/// <returns>approximations</returns>
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public static Vector<double>[] SecondOrder(Vector<double> y0, double start, double end, int N, Func<double, Vector<double>, Vector<double>> f) |
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{ |
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double dt = (end - start) / (N - 1); |
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Vector<double> k1, k2; |
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Vector<double>[] y = new Vector<double>[N]; |
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double t = start; |
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y[0] = y0; |
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for (int i = 1; i < N; i++) |
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{ |
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k1 = f(t, y0); |
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k2 = f(t, y0 + k1 + dt); |
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y[i] = y0 + 0.5 * (k1 + k2); |
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t += dt; |
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y0 = y[i]; |
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} |
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return y; |
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} |
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/// <summary>
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/// Fourth Order Runge-Kutta to solve ODE SYSTEM
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/// </summary>
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/// <param name="y0">initial vector</param>
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/// <param name="start">start time</param>
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/// <param name="end">end time</param>
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/// <param name="N">number of subintervals</param>
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/// <param name="f">ode function</param>
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/// <returns>approximations</returns>
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public static Vector<double>[] FourthOrder(Vector<double> y0, double start, double end, int N, Func<double, Vector<double>, Vector<double>> f) |
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{ |
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double dt = (end - start) / (N - 1); |
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Vector<double> k1, k2, k3, k4; |
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Vector<double>[] y = new Vector<double>[N]; |
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double t = start; |
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y[0] = y0; |
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for (int i = 1; i < N; i++) |
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{ |
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k1 = f(t, y0); |
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k2 = f(t + dt / 2, y0 + k1 * dt / 2); |
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k3 = f(t + dt / 2, y0 + k2 * dt / 2); |
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k4 = f(t + dt, y0 + k3 * dt); |
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y[i] = y0 + dt / 6 * (k1 + 2 * k2 + 2 * k3 + k4); |
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t += dt; |
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y0 = y[i]; |
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} |
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return y; |
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} |
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} |
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} |
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@ -0,0 +1,91 @@ |
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// <copyright file="OdeSolverTest.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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//
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// Copyright (c) 2009-2016 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
|
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// obtaining a copy of this software and associated documentation
|
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// files (the "Software"), to deal in the Software without
|
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// restriction, including without limitation the rights to use,
|
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
|
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// copies of the Software, and to permit persons to whom the
|
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// Software is furnished to do so, subject to the following
|
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// conditions:
|
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//
|
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// The above copyright notice and this permission notice shall be
|
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// included in all copies or substantial portions of the Software.
|
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//
|
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
|
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
|
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
|
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
|
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
|
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
|
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
|
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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using NUnit.Framework; |
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using System; |
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using MathNet.Numerics.OdeSolvers; |
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using System.Linq; |
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namespace MathNet.Numerics.UnitTests.OdeSolvers |
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{ |
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/// <summary>
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/// ODE Solver tests.
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/// </summary>
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[TestFixture, Category("OdeSolver")] |
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public class OdeSolverTest |
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{ |
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/// <summary>
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/// Runge-Kutta second order method for first order ODE.
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/// </summary>
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[Test] |
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public void RK2Test() |
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{ |
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Func<double, double, double> ode = (t, y) => t + 2 * y * t; |
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Func<double, double> sol = (t) => 0.5 * (Math.Exp(t * t) - 1); |
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double ratio = double.NaN; |
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double error = 0; |
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double oldError = 0; |
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for (int k = 0; k < 4; k++) |
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{ |
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double y0 = 0; |
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double[] y_t = RungeKutta.SecondOrder(y0, 0, 2, Convert.ToInt32(Math.Pow(2, k + 6)), ode); |
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error = Math.Abs(sol(2) - y_t.Last()); |
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if (oldError != 0) |
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ratio = Math.Log(oldError / error, 2); |
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oldError = error; |
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Console.WriteLine(string.Format("{0}, {1}", error, ratio)); |
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} |
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Assert.AreEqual(2, ratio, 0.01);// Check error convergence order
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} |
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/// <summary>
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/// Runge-Kutta fourth order method for first order ODE.
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/// </summary>
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[Test] |
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public void RK4Test() |
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{ |
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Func<double, double, double> ode = (t, y) => t + 2 * y * t; |
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Func<double, double> sol = (t) => 0.5 * (Math.Exp(t * t) - 1); |
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double ratio = double.NaN; |
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double error = 0; |
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double oldError = 0; |
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for (int k = 0; k < 4; k++) |
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{ |
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double y0 = 0; |
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double[] y_t = RungeKutta.FourthOrder(y0, 0, 2, Convert.ToInt32(Math.Pow(2, k + 6)), ode); |
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error = Math.Abs(sol(2) - y_t.Last()); |
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if (oldError != 0) |
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ratio = Math.Log(oldError / error, 2); |
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oldError = error; |
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Console.WriteLine(string.Format("{0}, {1}", error, ratio)); |
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} |
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Assert.AreEqual(4, ratio, 0.01);// Check error convergence order
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} |
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} |
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} |
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