Julia - Optim - Gradient per Observation - r

I am developing an adhoc multinomial logistic model using Julia.
It works fine (although I am sure it could be improved!)
I have written the likelihood function and use Optim to estimate the parameters and the standard errors.
I would like now to develop some robust estimates. Coming from R, I would be using the sandwich package. I did not find any equivalent in Julia. So I could develop something specific I guess.
For this I would need the value of the gradient for each observation (row). I do not find a way to do that using Optim. (When I use gradient!(func, x), I get the sum of the gradients across rows, which is not what I am looking for)
Is there a way to do that using OnceDifferentiable or TwiceDifferentiable ?
Alternatively, is there a package equivalent to R Sandwich that would have escaped from my google researches?
The code I have developed so far:
LLIK_MNL = function(init::Array{Float64})
b = init
u1 = X1*b
u2 = X2*b
u3 = X3*b
umax = max.(u1, u2, u3)
umin = min.(u1, u2, u3)
ucensor = (umax + umin)/2
exu1 = exp.(u1 - ucensor)
exu2 = exp.(u2 - ucensor)
exu3 = exp.(u3 - ucensor)
sexu = exu1 .+ exu2 .+ exu3
Pr=(choice1 .* exu1 + choice2 .* exu2 + choice3 .* exu3) ./ sexu
LL = sum(log.(Pr))
return -LL
end
func = TwiceDifferentiable(var -> LLIK_MNL(var), beta_ini)
opt = optimize(func, beta_ini)
est_MNL = Optim.minimizer(opt)
numerical_hessian = hessian!(func, est_MNL)
var_cov_matrix = inv(numerical_hessian)
temp = diag(var_cov_matrix)
t_stats = est_MNL ./ sqrt.(temp)
pp = 2 * cdf.(Normal(), -abs.(t_stats))
hcat(est_MNL, sqrt.(temp), t_stats, round.(pp, 4))

Related

Improve plots quality in log scale in Julia

I have a function solving two ODEs and joining the solution which gives a really nice plot in linear scales, but which has a high drop in quality in log scale depending on the parameters I use. In the code below, I plot the solution for two sets of parameters, in which you can see the first set is not smooth, while the second one is kind of okay. If I try to obtain a smoother visualisation using the saveat option in the second ODEs, solclass = solve(probclass,Tsit5(),saveat=0.001), I get an error when plotting the second set: ArgumentError: range step cannot be zero. Is there a way to obtain smooth linear-log other than manually changing the saveat option? Also, I have tried using a few other backends, but they gave an error at ploting the solution.
using DifferentialEquations, Plots, RecursiveArrayTools
function alpha_of_phi!(s2,d,a0,ϕ₀)
# α in the quantum phase
function quantum!(dv,v,p,ϕ)
s2,d=p
α = v[1]
dv[1] = (ϕ*s2*sin(2*d*α)+2*d*sinh(s2*α*ϕ))/(-α*s2*sin(2*d*α)+2*d*cos(2*d*α)+2*d*cosh(s2*α*ϕ))
end
# When dα/dϕ = 1, we reach the classical regime, and stop the integration
condition(v,ϕ,integrator) = (ϕ*s2*sin(2*d*v[1])+2*d*sinh(s2*v[1]*ϕ))/(-v[1]*s2*sin(2*d*v[1])+2*d*cos(2*d*v[1])+2*d*cosh(s2*v[1]*ϕ))==1.0
affect!(integrator) = terminate!(integrator)
cb = DiscreteCallback(condition,affect!)
# Initial Condition at the bounce
α₀ = [a0]
classspan = (0,ϕ₀)
probquant = ODEProblem(quantum!,α₀,classspan,(s2,d))
solquant = solve(probquant,Tsit5(),callback=cb)
# α in the classical phase
function classic!(du,u,p,ϕ)
αc = u[1]
dαc = u[2]
du[1] = dαc
du[2] = 3*(-dαc^3/sqrt(2)+dαc^2+dαc/sqrt(2)-1)
end
# IC retrieved from end of quantum phase
init = [last(solquant);1.0]
classspan = (last(solquant.t),ϕ₀)
probclass = ODEProblem(classic!,init,classspan)
solclass = solve(probclass,Tsit5())
# α(ϕ) for ϕ>0
solu = append!(solquant[1,:],solclass[1,:]) # α
solt = append!(solquant.t,solclass.t) # ϕ
# α(ϕ) for ϕ<0
soloppu = reverse(solu)
soloppt = -reverse(solt)
pop!(soloppu)
pop!(soloppt)
# Join the two solutions
soltotu = append!(soloppu,solu)
soltott = append!(soloppt,solt)
soltot = DiffEqArray(soltotu,soltott)
end
plot(alpha_of_phi!(10000.0,-0.0009,0.0074847,2.0),yaxis=:log)
plot!(alpha_of_phi!(16.0,-0.1,0.00001,2.0))
```
If you were plotting a solution returned by solve directly, then the Plots recipes for DifferentialEquations enable an optional keyword argument for plot entitled plotdensity, which would let you choose the number of points plotted, and thus smoothness, as described in the docs, e.g.:
plot(sol,plotdensity=10000)
However, this keyword appears to require a solution object, rather than a DiffEqArray. Consequently, your best bet will indeed be manually setting saveat. For this approach, saveat = 0.01 would seem to be plenty to obtain fully smooth lines. However, this still gives the "range step cannot be zero" error you describe.
While I have no deep understanding of the system you are solving, an inspection of the results revealed duplicate timesteps in the results for alpha_of_phi!(16.0,-0.1,0.00001,2.0) run without saveat, suggesting that the classical simulation was being run with over a range of no time. In other words, this hints that last(solquant.t) may well be equal to or greater than ϕ₀ with these parameters, resulting in a timespan of zero. If so, this will quite understandably fail when you request to saveat some finite time within that timespan (last(solquant.t), ϕ₀).
Consequently, working on this hypothesis, if we just rewrite your function to check for this condition
using DifferentialEquations, Plots
function alpha_of_phi!(s2,d,a0,ϕ₀)
# α in the quantum phase
function quantum!(dv,v,p,ϕ)
s2,d=p
α = v[1]
dv[1] = (ϕ*s2*sin(2*d*α)+2*d*sinh(s2*α*ϕ))/(-α*s2*sin(2*d*α)+2*d*cos(2*d*α)+2*d*cosh(s2*α*ϕ))
end
# When dα/dϕ = 1, we reach the classical regime, and stop the integration
condition(v,ϕ,integrator) = (ϕ*s2*sin(2*d*v[1])+2*d*sinh(s2*v[1]*ϕ))/(-v[1]*s2*sin(2*d*v[1])+2*d*cos(2*d*v[1])+2*d*cosh(s2*v[1]*ϕ))==1.0
affect!(integrator) = terminate!(integrator)
cb = DiscreteCallback(condition,affect!)
# Initial Condition at the bounce
α₀ = [a0]
classspan = (0,ϕ₀)
probquant = ODEProblem(quantum!,α₀,classspan,(s2,d))
solquant = solve(probquant,Tsit5(),callback=cb,saveat=0.01)
# α in the classical phase
function classic!(du,u,p,ϕ)
αc = u[1]
dαc = u[2]
du[1] = dαc
du[2] = 3*(-dαc^3/sqrt(2)+dαc^2+dαc/sqrt(2)-1)
end
if last(solquant.t) < ϕ₀
# IC retrieved from end of quantum phase
init = [last(solquant);1.0]
classspan = (last(solquant.t),ϕ₀)
probclass = ODEProblem(classic!,init,classspan)
solclass = solve(probclass,Tsit5(),saveat=0.01)
# α(ϕ) for ϕ>0
solu = append!(solquant[1,:],solclass[1,:]) # α
solt = append!(solquant.t,solclass.t) # ϕ
else
solu = solquant[1,:] # α
solt = solquant.t # ϕ
end
# α(ϕ) for ϕ<0
soloppu = reverse(solu)
soloppt = -reverse(solt)
pop!(soloppu)
pop!(soloppt)
# Join the two solutions
soltotu = append!(soloppu,solu)
soltott = append!(soloppt,solt)
soltot = DiffEqArray(soltotu,soltott)
end
plot(alpha_of_phi!(10000.0,-0.0009,0.0074847,2.0),yaxis=:log)
plot!(alpha_of_phi!(16.0,-0.1,0.00001,2.0))
then we would seem to be in business!

Stochastic differential equation sensitivity analysis with specified noise

I am trying to calculate the gradient of a functional of a stochastic differential equation (SDE) solution given a specific realization of the noise. I can successfully calculate these gradients if I leave the noise unspecified, as shown in DiffEqFlux.jl: Using Other Differential Equations. I can also successfully obtain the solution to my SDE for a specific noise realization, like shown in DifferentialEquations.jl: NoiseWrapper Example. When I try and put the two together, though, the code returns an error.
Here is a minimal working example adapted from the two separate examples referenced above:
using StochasticDiffEq, DiffEqBase, DiffEqNoiseProcess, DiffEqSensitivity, Zygote
function lotka_volterra(du,u,p,t)
x, y = u
α, β, δ, γ = p
du[1] = dx = α*x - β*x*y
du[2] = dy = -δ*y + γ*x*y
end
function lotka_volterra_noise(du,u,p,t)
du[1] = 0.1u[1]
du[2] = 0.1u[2]
end
dt = 1//2^(4)
u0 = [1.0,1.0]
p = [2.2, 1.0, 2.0, 0.4]
prob1 = SDEProblem(lotka_volterra,lotka_volterra_noise,u0,(0.0,10.0),p)
sol1 = solve(prob1,EM(),dt=dt,save_noise=true)
W2 = NoiseWrapper(sol1.W)
prob2 = SDEProblem(lotka_volterra,lotka_volterra_noise,u0,(0.0,10.0),p,noise=W2)
sol2 = solve(prob2,EM(),dt=dt)
function predict_sde1(p)
Array(concrete_solve(remake(prob1,p=p),EM(),dt=dt,sensealg=ForwardDiffSensitivity(),saveat=0.1))
end
loss_sde1(p) = sum(abs2,x-1 for x in predict_sde1(p))
loss_sde1(p)
# This gradient is successfully calculated
Zygote.gradient(loss_sde1,p)
function predict_sde2(p)
W2 = NoiseWrapper(sol1.W)
Array(concrete_solve(remake(prob2,p=p,noise=W2),EM(),dt=dt,sensealg=ForwardDiffSensitivity(),saveat=0.1))
end
loss_sde2(p) = sum(abs2,x-1 for x in predict_sde2(p))
# This loss is successfully calculated
loss_sde2(p)
# This gradient calculation raises and error
Zygote.gradient(loss_sde2,p)
The error I get at the end of running this code is
TypeError: in setfield!, expected Float64, got ForwardDiff.Dual{Nothing,Float64,4}
Stacktrace:
[1] setproperty! at ./Base.jl:21 [inlined]
...
followed by an interminable conclusion to the stacktrace (I can post it if you think it would be helpful, but since it's longer than the rest of this question I'd rather not clutter things up off the bat).
Is calculating gradients for SDE problems with specified noise realizations not currently supported, or am I just not making the appropriate function calls? I could easily believe the latter, since it was a bit of a struggle just to get to the point where the working parts of the above code worked, but I couldn't find any clue as to what I had incorrectly supplied after stepping through this code with the Juno debugger.
As a StackOverflow solution, you can use ForwardDiffSensitivity(convert_tspan=false) to work around this. Working code:
using StochasticDiffEq, DiffEqBase, DiffEqNoiseProcess, DiffEqSensitivity, Zygote
function lotka_volterra(du,u,p,t)
x, y = u
α, β, δ, γ = p
du[1] = dx = α*x - β*x*y
du[2] = dy = -δ*y + γ*x*y
end
function lotka_volterra_noise(du,u,p,t)
du[1] = 0.1u[1]
du[2] = 0.1u[2]
end
dt = 1//2^(4)
u0 = [1.0,1.0]
p = [2.2, 1.0, 2.0, 0.4]
prob1 = SDEProblem(lotka_volterra,lotka_volterra_noise,u0,(0.0,10.0),p)
sol1 = solve(prob1,EM(),dt=dt,save_noise=true)
W2 = NoiseWrapper(sol1.W)
prob2 = SDEProblem(lotka_volterra,lotka_volterra_noise,u0,(0.0,10.0),p,noise=W2)
sol2 = solve(prob2,EM(),dt=dt)
function predict_sde1(p)
Array(concrete_solve(remake(prob1,p=p),EM(),dt=dt,sensealg=ForwardDiffSensitivity(convert_tspan=false),saveat=0.1))
end
loss_sde1(p) = sum(abs2,x-1 for x in predict_sde1(p))
loss_sde1(p)
# This gradient is successfully calculated
Zygote.gradient(loss_sde1,p)
function predict_sde2(p)
Array(concrete_solve(prob2,EM(),prob2.u0,p,dt=dt,sensealg=ForwardDiffSensitivity(convert_tspan=false),saveat=0.1))
end
loss_sde2(p) = sum(abs2,x-1 for x in predict_sde2(p))
# This loss is successfully calculated
loss_sde2(p)
# This gradient calculation raises and error
Zygote.gradient(loss_sde2,p)
As a developer... this isn't a nice solution and our default should be better here. I'll work on this. You can track the development here https://github.com/JuliaDiffEq/DiffEqSensitivity.jl/issues/204. It'll probably get solved in an hour or so.
Edit: The fix is released and your original code works.

Complex PDE (Ginzburg Landau) in Julia with Pseudo-Spectral method

I want to teach myself about solving PDEs with Julia and I am trying to solve the complex Ginzburg Landau equation (CGLE) with a pseudospectral method in Julia now. However, I struggle with it and I am a bit of ideas what to try.
The CGLE reads:
With Fourier transform and its inverse , I can transform into the spectral form:
This is for example also given in this old script I found (https://www.uni-muenster.de/Physik.TP/archive/fileadmin/lehre/NumMethoden/SoSe2009/Skript/script.pdf) From the same source I know, that alpha=1, beta=2 and initial conditions with small noise of order 0.01 around 0 should result in plane waves as solutions. Thats what I want to test first.
Following the very nice tutorial from Chris Rackauckas (https://youtu.be/okGybBmihOE), I tried to use ApproxFun and DifferentialEquations in the following way to solve this problem:
EDIT: I corrected two mistakes from the original post, a missing dot and minus sign, but the code is still not giving the correct results
EDIT2: Figured out that I computed the wavenumber k completely wrong
using ApproxFun
using DifferentialEquations
F = Fourier()
n = 512
L = 100
T = ApproxFun.plan_transform(F, n)
Ti = ApproxFun.plan_itransform(F, n)
x = collect(range(-L/2,stop=L/2, length=n))
k = points(F, n)
alpha = 1im
beta = 2im
u0 = 0.01*(rand(ComplexF64, n) .- 0.5)
Fu0 = T*u0
function cgle!(du, u, p, t)
a, b, k, T, Ti = p
invu = Ti*u
du .= (1.0 .- k.^2*(1.0 .+a)).*u .- T*( (1.0 .+b) .* (abs.(invu)).^2 .* invu)
end
pars = alpha, beta, k, T, Ti
prob = ODEProblem(cgle!, Fu0, (0.,50.), pars)
u = solve(prob, Rodas5(autodiff=false))
# plotting on a equidistant time stepping
t = collect(range(0, stop=50, length=1000))
sol = zeros(eltype(u),(n, length(t)))
for it in eachindex(t)
sol[:,it] = Ti*u(t[it])
end
IM = PyPlot.imshow(real.(sol))
cb = PyPlot.colorbar(IM, orientation="horizontal")
gcf()
(edited) I tried different solvers, as also recommended in the video, some apparently wont work for complex numbers, some do, but when I run this code it does not give the expected results. The solution remain very small in value and it wont result in the plane waves that actually should be the result. I also tested other intial conditions that should result in chaos, but those result in the same very small solutions as well. I also alternativly used an explicit Laplace Operator with ApproxFun, but the results are the same. My problem here, is that I am neither really an expert with PDE mathemitacaly, nor with their numerical treatment, so far I mainly worked with ODEs.
EDIT2 This now seems to work more or less. I am still wondering about some things though
How can I compute this on a specified domain like , I am seriously confused about how this works with ApproxFun, as far as I can see the wavenumbers k should be (2pi/L)*[-N/2+1 ; N/2 -1], but I am not so sure about how to do this with ApproxFun
https://codeinthehole.com/tutorial/coherent.html shows the different dynamic regimes / phase portrait of the equation. While I can reproduce some of them, some don't seem to work, like the Spatio-temporal intermittency
EDIT 3: I solved these issues by using FFTW directly instead of ApproxFun. In case somebody knows how to this with ApproxFun, I would still be interessted though. Below follows the code with FFTW (it is also a bit more optimized for performance)
begin
using FFTW
using DifferentialEquations
using PyPlot
end
begin
n = 512
L = 200
n2 = Int(n/2)
alpha = 2im
beta = 1im
x = range(-L/2,stop=L/2,length=n)
u0 = 0.01*(rand(ComplexF64, n) .- 0.5)
k = [0:n/2-1; 0; -n/2+1:-1] .*(2*pi/L);
k2 = k.*k
k2[n2 + 1] = (n2*(2*pi/L))^2
T = plan_fft(u0)
Ti = plan_ifft(T*u0)
LinOp = (1.0 .- k2.*(1.0 .+alpha))
Fu0 = T*u0
end
function cgle!(du, u, p, t)
LinOp, b, T, Ti = p
invu = Ti*u
du .= LinOp.*u .- T*( (1.0 .+b) .* (abs.(invu)).^2 .* invu)
end
pars = LinOp, beta, T, Ti
prob = ODEProblem(cgle!, Fu0, (0.,100.), pars)
#time u = solve(prob)
t = collect(range(0, stop=50, length=1000))
sol = zeros(eltype(u),(n, length(t)))
for it in eachindex(t)
sol[:,it] = Ti*u(t[it])
end
IM = PyPlot.imshow(abs.(sol))
cb = PyPlot.colorbar(IM, orientation="horizontal")
gcf()
EDIT 4: Rodas turned out to be a extremly slow solver for this case, just using the default works out nicely for me.
Any help is appreciated.
du = (1. .- k.^2*(1. .+(im*a))).*u + T*( (1. .+(im*b)) .* abs.(invu).^2 .* invu)
Notice that is replacing the pointer to du, not updating it. Use something like .= instead:
du .= (1. .- k.^2*(1. .+(im*a))).*u + T*( (1. .+(im*b)) .* abs.(invu).^2 .* invu)
Otherwise your derivative is just 0.

Julia program on ephemerides shows inadequate answers

While solving a differential equation on satellite motion encountered this error:
dt <= dtmin. Aborting. If you would like to force continuation with dt=dtmin, set force_dtmin=true
Here is my code:
using JPLEphemeris
spk = SPK("some-path/de430.bsp")
jd = Dates.datetime2julian(DateTime(some-date))#date of the calculatinons
yyyy/mm/dd hh/mm/ss
jd2 = Dates.datetime2julian(DateTime(some-date))#date of the calculatinons
yyyy/mm/dd hh/mm/ss
println(jd)
println(jd2)
st_bar_sun = state(spk, 0, 10, jd)
st_bar_moon_earth = state(spk, 0, 3, jd)
st_bar_me_earth = state(spk, 3, 399, jd)
st_bar_me_moon = state(spk, 3, 301, jd)
moon_cord = st_bar_me_moon - st_bar_me_earth
a = st_bar_moon_earth + st_bar_me_earth
sun_cord = st_bar_sun - a
println(sputnik_cord)
sputnik_cord = [8.0,8.0,8.0,8.0,8.0,8.0,8.0]
moon_sputnik = sputnik_cord - moon_cord
sun_sputnic = sputnik_cord - sun_cord
Req = 6378137
J2 = 1.08262668E-3
GMe = 398600.4418E+9
GMm = 4.903E+12
GMs = 1.32712440018E+20
function f(dy,y,p,t)
re2=(y[1]^2 + y[2]^2 + y[3]^2)
re3=re2^(3/2)
rs3 = ((y[1]-sun_cord[1])^2 + (y[2]-sun_cord[2])^2 + (y[3]-sun_cord[3])^2)^(3/2)
rm3 = ((y[1]-moon_cord[1])^2 + (y[2]-moon_cord[2])^2 + (y[3]-moon_cord[3])^2)^(3/2)
w = 1 + 1.5J2*(Req*Req/re2)*(1 - 5y[3]*y[3]/re2)
w2 = 1 + 1.5J2*(Req*Req/re2)*(3 - 5y[3]*y[3]/re2)
dy[1] = y[4]
dy[2] = y[5]
dy[3] = y[6]
dy[4] = -GMe*y[1]*w/re3
dy[5] = -GMe*y[2]*w/re3
dy[6] = -GMe*y[3]*w2/re3
end
function f2(dy,y,p,t)
re2=(y[1]^2 + y[2]^2 + y[3]^2)
re3=re2^(3/2)
rs3 = ((y[1]-sun_cord[1])^2 + (y[2]-sun_cord[2])^2 + (y[3]-sun_cord[3])^2)^(3/2)
rm3 = ((y[1]-moon_cord[1])^2 + (y[2]-moon_cord[2])^2 + (y[3]-moon_cord[3])^2)^(3/2)
w = 1 + 1.5J2*(Req*Req/re2)*(1 - 5y[3]*y[3]/re2)
w2 = 1 + 1.5J2*(Req*Req/re2)*(3 - 5y[3]*y[3]/re2)
dy[1] = y[4]
dy[2] = y[5]
dy[3] = y[6]
dy[4] = -GMe*y[1]*w/re3 - GMm*y[1]/rm3 - GMs*y[1]/rs3
dy[5] = -GMe*y[2]*w/re3 - GMm*y[2]/rm3 - GMs*y[2]/rs3
dy[6] = -GMe*y[3]*w2/re3- GMm*y[3]/rm3 - GMs*y[3]/rs3
end
y0 = sputnik_cord
jd=jd*86400
jd2=jd2*86400
using DifferentialEquations
prob = ODEProblem(f,y0,(jd,jd2))
sol = solve(prob,DP5(),abstol=1e-13,reltol=1e-13)
prob2 = ODEProblem(f2,y0,(jd,jd2))
sol2 = solve(prob2,DP5(),abstol=1e-13,reltol=1e-13)
println("Without SUN and MOON")
println(sol[end])
for i = (1:6)
println(sputnik_cord[i]-sol[end][i])
end
println("With SUN and MOON")
println(sol2[end])
What(except the values) can be a reason of this? It worked well before I added the terms with sun_coords and moon_coords in definition of dy[4], dy[5], dy[6] in function f2(As I suppose the function f1 works correctly).
There are two reasons this could be happening. For one, you could see this error because the model is unstable due to implementation issues. If you accidentally put something in wrong, the solution may be diverging to infinity and as it diverges the time steps shorten and it exists with this error.
Another thing that can happen is that your model might be stiff. This can happen if you have large time scale differences between different components. In that case, DP5(), an explicit Runge-Kutta method, is not an appropriate algorithm for this problem. Instead, you will want to look at something for stiff equations. I would recommend giving Rosenbrock23() a try: it's not the fastest but it's super stable and if the problem is integrable it'll handle it.
That's a very good way to diagnose these issues: try other integrators. Try Rosenbrock23(), CVODE_BDF(), radau(), dopri5(), Vern9(), etc. If none of these are working, then you will have just tested your algorithm with a mixture of the most well-tested algorithms (some of them Julia implementations, but others are just wrappers to standard classic C++ and Fortran methods) and this suggests that the issue is in your model formulation and not a peculiarity of a specific solver on this problem. Since I cannot run your example (you should make your example runnable, i.e. no extra files required, if you want me to test things out), I cannot be sure that your model implementation is correct and this would be a good way to find out.
My guess is that the model you have written down is not a good implementation because of floating point issues.
GMe = 398600.4418E+9
GMm = 4.903E+12
GMs = 1.32712440018E+20
these values have only precision 16 digits less than their prescribed value:
> eps(1.32712440018E+20)
16384.0
> 1.32712440018E+20 + 16383
1.3271244001800002e20
> 1.32712440018E+20 + 16380
1.3271244001800002e20
> 1.32712440018E+20 + 16000
1.3271244001800002e20
Notice the lack of precision below the machine epsilon for this value. Well, you're asking for
sol = solve(prob,DP5(),abstol=1e-13,reltol=1e-13)
precision to 1e-13 when it's difficult to be precise to 1e5 given the size of your constants. You need to adjust your units or utilize BigFloat numbers if you want this kind of precision on this problem. So what's likely going on is that the differential equation solvers are realizing that they are not hitting 1e-13 precision, shrinking the stepsize, and repeating this indefinitely (because they can never hit 1e-13 precision due to the size of the floating point numbers) until the stepsize is too small and it exits. If you change the units so that way the constants are more reasonable in size then you can fix this problem.

solve system of ODEs with read in external forcing

In Julia, I want to solve a system of ODEs with external forcings g1(t), g2(t) like
dx1(t) / dt = f1(x1, t) + g1(t)
dx2(t) / dt = f2(x1, x2, t) + g2(t)
with the forcings read in from a file.
I am using this study to learn Julia and the package DifferentialEquations, but I am having difficulties finding the correct approach.
I could imagine that using a callback could work, but that seems pretty cumbersome.
Do you have an idea of how to implement such an external forcing?
You can use functions inside of the integration function. So you can use something like Interpolations.jl to build an interpolating polynomial from the data in your file, and then do something like:
g1 = interpolate(data1, options...)
g2 = interpolate(data2, options...)
p = (g1,g2) # Localize these as parameters to the model
function f(du,u,p,t)
g1,g2 = p
du[1] = ... + g1[t] # Interpolations.jl interpolates via []
du[2] = ... + g2[t]
end
# Define u0 and tspan
ODEProblem(f,u0,tspan,p)
Thanks for a nice question and nice answer by #Chris Rackauckas.
Below a complete reproducible example of such a problem. Note that Interpolations.jl has changed the indexing to g1(t).
using Interpolations
using DifferentialEquations
using Plots
time_forcing = -1.:9.
data_forcing = [1,0,0,1,1,0,2,0,1, 0, 1]
g1_cst = interpolate((time_forcing, ), data_forcing, Gridded(Constant()))
g1_lin = scale(interpolate(data_forcing, BSpline(Linear())), time_forcing)
p_cst = (g1_cst) # Localize these as parameters to the model
p_lin = (g1_lin) # Localize these as parameters to the model
function f(du,u,p,t)
g1 = p
du[1] = -0.5 + g1(t) # Interpolations.jl interpolates via ()
end
# Define u0 and tspan
u0 = [0.]
tspan = (-1.,9.) # Note, that we would need to extrapolate beyond
ode_cst = ODEProblem(f,u0,tspan,p_cst)
ode_lin = ODEProblem(f,u0,tspan,p_lin)
# Solve and plot
sol_cst = solve(ode_cst)
sol_lin = solve(ode_lin)
# Plot
time_dense = -1.:0.1:9.
scatter(time_forcing, data_forcing, label = "discrete forcing")
plot!(time_dense, g1_cst(time_dense), label = "forcing1", line = (:dot, :red))
plot!(sol_cst, label = "solution1", line = (:solid, :red))
plot!(time_dense, g1_lin(time_dense), label = "forcing2", line = (:dot, :blue))
plot!(sol_lin, label = "solution2", line = (:solid, :blue))

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