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Improve Rosenbrock finite difference by swapping dt with J
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Original file line number | Diff line number | Diff line change |
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@@ -0,0 +1,67 @@ | ||
using OrdinaryDiffEq, Test | ||
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function fcn(du, u, p, t) | ||
du[1] = u[1]^2 - 1 / t^4 | ||
end | ||
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function f_jac(J, y, P, t) | ||
#-- numerical Jac by FD | ||
y_thres = P | ||
del = sqrt(eps(1.0)) | ||
n = length(y) | ||
f0 = similar(y) | ||
f1 = similar(y) | ||
fcn(f0, y, P, t) | ||
for i = 1:n | ||
del_1 = del * max(abs(y[i]), y_thres) | ||
y1 = copy(y) | ||
y1[i] = y1[i] + del_1 | ||
fcn(f1, y1, P, t) | ||
J[:, i] = (f1 - f0) / del_1 | ||
end | ||
end | ||
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tspan = (1.0, 1.0e3); | ||
M = zeros(1, 1); | ||
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println("--- AD ---") | ||
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f = ODEFunction(fcn, mass_matrix = M) | ||
problem = ODEProblem(f, [-1.0], tspan); | ||
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sol = solve(problem, Rodas4P2(), maxiters = Int(1e7), reltol = 1.0e-12, abstol = 1.0e-12); | ||
@test sol.destats.naccept < 6100 | ||
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println("--- FD central ---") | ||
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sol = solve(problem, Rodas4P2(autodiff = false, diff_type = Val{:central}), maxiters = Int(1e7), reltol = 1.0e-12, abstol = 1.0e-12); | ||
@test sol.destats.naccept < 6100 | ||
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println("--- FD forward ---") | ||
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sol = solve(problem, Rodas4P2(autodiff = false, diff_type = Val{:forward}), maxiters = Int(1e7), reltol = 1.0e-12, abstol = 1.0e-12); | ||
@test sol.destats.naccept < 6100 | ||
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println("--- FD forward, y_thres = 1 ---") | ||
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y_thres = 1.0; | ||
f = ODEFunction(fcn, mass_matrix = M, jac = f_jac) | ||
problem = ODEProblem(f, [-1.0], tspan, y_thres); | ||
sol = solve(problem, Rodas4P2(autodiff = false, diff_type = Val{:forward}), maxiters = Int(1e7), reltol = 1.0e-12, abstol = 1.0e-12); | ||
@test sol.destats.naccept < 6100 | ||
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println("--- FD forward, y_thres = 1.0e-5 ---") | ||
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y_thres = 1.0e-5; | ||
f = ODEFunction(fcn, mass_matrix = M, jac = f_jac) | ||
problem = ODEProblem(f, [-1.0], tspan, y_thres); | ||
sol = solve(problem, Rodas4P2(autodiff = false, diff_type = Val{:forward}), maxiters = Int(1e7), reltol = 1.0e-12, abstol = 1.0e-12); | ||
@test sol.destats.naccept < 6100 | ||
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println("--- FD forward, y_thres = sqrt(eps) ---") | ||
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y_thres = sqrt(eps(1.0)); | ||
f = ODEFunction(fcn, mass_matrix = M, jac = f_jac) | ||
problem = ODEProblem(f, [-1.0], tspan, y_thres); | ||
sol = solve(problem, Rodas4P2(autodiff = false, diff_type = Val{:forward}), maxiters = Int(1e7), reltol = 1.0e-12, abstol = 1.0e-12); | ||
@test sol.destats.naccept < 6100 |
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