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<title>Stiff systems</title>
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<div class="titlepage"><div><div><h3 class="title">
<a name="boost_numeric_odeint.tutorial.stiff_systems"></a><a class="link" href="stiff_systems.html" title="Stiff systems">Stiff systems</a>
</h3></div></div></div>
<p>
An important class of ordinary differential equations are so called stiff
system which are characterized by two or more time scales of different order.
Examples of such systems are found in chemical systems where reaction rates
of individual sub-reaction might differ over large ranges, for example:
</p>
<p>
<span class="emphasis"><em>d S<sub>​1</sub> / dt = - 101 S<sub>​2</sub> - 100 S<sub>​1</sub></em></span>
</p>
<p>
<span class="emphasis"><em>d S<sub>​2</sub> / dt = S<sub>​1</sub></em></span>
</p>
<p>
In order to efficiently solve stiff systems numerically the Jacobian
</p>
<p>
<span class="emphasis"><em>J = d f<sub>​i</sub> / d x<sub>​j</sub></em></span>
</p>
<p>
is needed. Here is the definition of the above example
</p>
<p>
</p>
<pre class="programlisting"><span class="keyword">typedef</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">numeric</span><span class="special">::</span><span class="identifier">ublas</span><span class="special">::</span><span class="identifier">vector</span><span class="special"><</span> <span class="keyword">double</span> <span class="special">></span> <span class="identifier">vector_type</span><span class="special">;</span>
<span class="keyword">typedef</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">numeric</span><span class="special">::</span><span class="identifier">ublas</span><span class="special">::</span><span class="identifier">matrix</span><span class="special"><</span> <span class="keyword">double</span> <span class="special">></span> <span class="identifier">matrix_type</span><span class="special">;</span>
<span class="keyword">struct</span> <span class="identifier">stiff_system</span>
<span class="special">{</span>
<span class="keyword">void</span> <span class="keyword">operator</span><span class="special">()(</span> <span class="keyword">const</span> <span class="identifier">vector_type</span> <span class="special">&</span><span class="identifier">x</span> <span class="special">,</span> <span class="identifier">vector_type</span> <span class="special">&</span><span class="identifier">dxdt</span> <span class="special">,</span> <span class="keyword">double</span> <span class="comment">/* t */</span> <span class="special">)</span>
<span class="special">{</span>
<span class="identifier">dxdt</span><span class="special">[</span> <span class="number">0</span> <span class="special">]</span> <span class="special">=</span> <span class="special">-</span><span class="number">101.0</span> <span class="special">*</span> <span class="identifier">x</span><span class="special">[</span> <span class="number">0</span> <span class="special">]</span> <span class="special">-</span> <span class="number">100.0</span> <span class="special">*</span> <span class="identifier">x</span><span class="special">[</span> <span class="number">1</span> <span class="special">];</span>
<span class="identifier">dxdt</span><span class="special">[</span> <span class="number">1</span> <span class="special">]</span> <span class="special">=</span> <span class="identifier">x</span><span class="special">[</span> <span class="number">0</span> <span class="special">];</span>
<span class="special">}</span>
<span class="special">};</span>
<span class="keyword">struct</span> <span class="identifier">stiff_system_jacobi</span>
<span class="special">{</span>
<span class="keyword">void</span> <span class="keyword">operator</span><span class="special">()(</span> <span class="keyword">const</span> <span class="identifier">vector_type</span> <span class="special">&</span> <span class="comment">/* x */</span> <span class="special">,</span> <span class="identifier">matrix_type</span> <span class="special">&</span><span class="identifier">J</span> <span class="special">,</span> <span class="keyword">const</span> <span class="keyword">double</span> <span class="special">&</span> <span class="comment">/* t */</span> <span class="special">,</span> <span class="identifier">vector_type</span> <span class="special">&</span><span class="identifier">dfdt</span> <span class="special">)</span>
<span class="special">{</span>
<span class="identifier">J</span><span class="special">(</span> <span class="number">0</span> <span class="special">,</span> <span class="number">0</span> <span class="special">)</span> <span class="special">=</span> <span class="special">-</span><span class="number">101.0</span><span class="special">;</span>
<span class="identifier">J</span><span class="special">(</span> <span class="number">0</span> <span class="special">,</span> <span class="number">1</span> <span class="special">)</span> <span class="special">=</span> <span class="special">-</span><span class="number">100.0</span><span class="special">;</span>
<span class="identifier">J</span><span class="special">(</span> <span class="number">1</span> <span class="special">,</span> <span class="number">0</span> <span class="special">)</span> <span class="special">=</span> <span class="number">1.0</span><span class="special">;</span>
<span class="identifier">J</span><span class="special">(</span> <span class="number">1</span> <span class="special">,</span> <span class="number">1</span> <span class="special">)</span> <span class="special">=</span> <span class="number">0.0</span><span class="special">;</span>
<span class="identifier">dfdt</span><span class="special">[</span><span class="number">0</span><span class="special">]</span> <span class="special">=</span> <span class="number">0.0</span><span class="special">;</span>
<span class="identifier">dfdt</span><span class="special">[</span><span class="number">1</span><span class="special">]</span> <span class="special">=</span> <span class="number">0.0</span><span class="special">;</span>
<span class="special">}</span>
<span class="special">};</span>
</pre>
<p>
</p>
<p>
The state type has to be a <code class="computeroutput"><span class="identifier">ublas</span><span class="special">::</span><span class="identifier">vector</span></code>
and the matrix type must by a <code class="computeroutput"><span class="identifier">ublas</span><span class="special">::</span><span class="identifier">matrix</span></code>
since the stiff integrator only accepts these types. However, you might want
use non-stiff integrators on this system, too - we will do so later for demonstration.
Therefore we want to use the same function also with other state_types, realized
by templatizing the <code class="computeroutput"><span class="keyword">operator</span><span class="special">()</span></code>:
</p>
<p>
</p>
<pre class="programlisting"><span class="keyword">typedef</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">numeric</span><span class="special">::</span><span class="identifier">ublas</span><span class="special">::</span><span class="identifier">vector</span><span class="special"><</span> <span class="keyword">double</span> <span class="special">></span> <span class="identifier">vector_type</span><span class="special">;</span>
<span class="keyword">typedef</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">numeric</span><span class="special">::</span><span class="identifier">ublas</span><span class="special">::</span><span class="identifier">matrix</span><span class="special"><</span> <span class="keyword">double</span> <span class="special">></span> <span class="identifier">matrix_type</span><span class="special">;</span>
<span class="keyword">struct</span> <span class="identifier">stiff_system</span>
<span class="special">{</span>
<span class="keyword">template</span><span class="special"><</span> <span class="keyword">class</span> <span class="identifier">State</span> <span class="special">></span>
<span class="keyword">void</span> <span class="keyword">operator</span><span class="special">()(</span> <span class="keyword">const</span> <span class="identifier">State</span> <span class="special">&</span><span class="identifier">x</span> <span class="special">,</span> <span class="identifier">State</span> <span class="special">&</span><span class="identifier">dxdt</span> <span class="special">,</span> <span class="keyword">double</span> <span class="identifier">t</span> <span class="special">)</span>
<span class="special">{</span>
<span class="special">...</span>
<span class="special">}</span>
<span class="special">};</span>
<span class="keyword">struct</span> <span class="identifier">stiff_system_jacobi</span>
<span class="special">{</span>
<span class="keyword">template</span><span class="special"><</span> <span class="keyword">class</span> <span class="identifier">State</span> <span class="special">,</span> <span class="keyword">class</span> <span class="identifier">Matrix</span> <span class="special">></span>
<span class="keyword">void</span> <span class="keyword">operator</span><span class="special">()(</span> <span class="keyword">const</span> <span class="identifier">State</span> <span class="special">&</span><span class="identifier">x</span> <span class="special">,</span> <span class="identifier">Matrix</span> <span class="special">&</span><span class="identifier">J</span> <span class="special">,</span> <span class="keyword">const</span> <span class="keyword">double</span> <span class="special">&</span><span class="identifier">t</span> <span class="special">,</span> <span class="identifier">State</span> <span class="special">&</span><span class="identifier">dfdt</span> <span class="special">)</span>
<span class="special">{</span>
<span class="special">...</span>
<span class="special">}</span>
<span class="special">};</span>
</pre>
<p>
</p>
<p>
Now you can use <code class="computeroutput"><span class="identifier">stiff_system</span></code>
in combination with <code class="computeroutput"><span class="identifier">std</span><span class="special">::</span><span class="identifier">vector</span></code> or <code class="computeroutput"><span class="identifier">boost</span><span class="special">::</span><span class="identifier">array</span></code>.
In the example the explicit time derivative of <span class="emphasis"><em>f(x,t)</em></span>
is introduced separately in the Jacobian. If <span class="emphasis"><em>df / dt = 0</em></span>
simply fill <code class="computeroutput"><span class="identifier">dfdt</span></code> with zeros.
</p>
<p>
A well know solver for stiff systems is the Rosenbrock method. It has a step
size control and dense output facilities and can be used like all the other
steppers:
</p>
<p>
</p>
<pre class="programlisting"><span class="identifier">vector_type</span> <span class="identifier">x</span><span class="special">(</span> <span class="number">2</span> <span class="special">,</span> <span class="number">1.0</span> <span class="special">);</span>
<span class="identifier">size_t</span> <span class="identifier">num_of_steps</span> <span class="special">=</span> <span class="identifier">integrate_const</span><span class="special">(</span> <span class="identifier">make_dense_output</span><span class="special"><</span> <span class="identifier">rosenbrock4</span><span class="special"><</span> <span class="keyword">double</span> <span class="special">></span> <span class="special">>(</span> <span class="number">1.0e-6</span> <span class="special">,</span> <span class="number">1.0e-6</span> <span class="special">)</span> <span class="special">,</span>
<span class="identifier">make_pair</span><span class="special">(</span> <span class="identifier">stiff_system</span><span class="special">()</span> <span class="special">,</span> <span class="identifier">stiff_system_jacobi</span><span class="special">()</span> <span class="special">)</span> <span class="special">,</span>
<span class="identifier">x</span> <span class="special">,</span> <span class="number">0.0</span> <span class="special">,</span> <span class="number">50.0</span> <span class="special">,</span> <span class="number">0.01</span> <span class="special">,</span>
<span class="identifier">cout</span> <span class="special"><<</span> <span class="identifier">phoenix</span><span class="special">::</span><span class="identifier">arg_names</span><span class="special">::</span><span class="identifier">arg2</span> <span class="special"><<</span> <span class="string">" "</span> <span class="special"><<</span> <span class="identifier">phoenix</span><span class="special">::</span><span class="identifier">arg_names</span><span class="special">::</span><span class="identifier">arg1</span><span class="special">[</span><span class="number">0</span><span class="special">]</span> <span class="special"><<</span> <span class="string">"\n"</span> <span class="special">);</span>
</pre>
<p>
</p>
<p>
During the integration 71 steps have been done. Comparing to a classical
Runge-Kutta solver this is a very good result. For example the Dormand-Prince
5 method with step size control and dense output yields 1531 steps.
</p>
<p>
</p>
<pre class="programlisting"><span class="identifier">vector_type</span> <span class="identifier">x2</span><span class="special">(</span> <span class="number">2</span> <span class="special">,</span> <span class="number">1.0</span> <span class="special">);</span>
<span class="identifier">size_t</span> <span class="identifier">num_of_steps2</span> <span class="special">=</span> <span class="identifier">integrate_const</span><span class="special">(</span> <span class="identifier">make_dense_output</span><span class="special"><</span> <span class="identifier">runge_kutta_dopri5</span><span class="special"><</span> <span class="identifier">vector_type</span> <span class="special">></span> <span class="special">>(</span> <span class="number">1.0e-6</span> <span class="special">,</span> <span class="number">1.0e-6</span> <span class="special">)</span> <span class="special">,</span>
<span class="identifier">stiff_system</span><span class="special">()</span> <span class="special">,</span> <span class="identifier">x2</span> <span class="special">,</span> <span class="number">0.0</span> <span class="special">,</span> <span class="number">50.0</span> <span class="special">,</span> <span class="number">0.01</span> <span class="special">,</span>
<span class="identifier">cout</span> <span class="special"><<</span> <span class="identifier">phoenix</span><span class="special">::</span><span class="identifier">arg_names</span><span class="special">::</span><span class="identifier">arg2</span> <span class="special"><<</span> <span class="string">" "</span> <span class="special"><<</span> <span class="identifier">phoenix</span><span class="special">::</span><span class="identifier">arg_names</span><span class="special">::</span><span class="identifier">arg1</span><span class="special">[</span><span class="number">0</span><span class="special">]</span> <span class="special"><<</span> <span class="string">"\n"</span> <span class="special">);</span>
</pre>
<p>
</p>
<p>
Note, that we have used <a href="http://www.boost.org/doc/libs/release/libs/phoenix/" target="_top">Boost.Phoenix</a>,
a great functional programming library, to create and compose the observer.
</p>
<p>
The full example can be found here: <a href="https://github.com/headmyshoulder/odeint-v2/blob/master/examples/stiff_system.cpp" target="_top">stiff_system.cpp</a>
</p>
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Ahnert and Mario Mulansky<p>
Distributed under the Boost Software License, Version 1.0. (See accompanying
file LICENSE_1_0.txt or copy at <a href="http://www.boost.org/LICENSE_1_0.txt" target="_top">http://www.boost.org/LICENSE_1_0.txt</a>)
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