4th Order Adams-Moulton Method C++ - c++

I am trying to solve an ODE using 4th Order Runge Kutta and the 4th Order Adams-Moulton Method. I iterate over a couple of thousand timesteps and it seems to hold fine when the values are constant(first 50 or so) However, the very first iteration when a change in input value jumps(current(I) changes from 0 to 1) it won't converge.
In order to satisfy the 4th Order Adams-Moulton Method I have split each timestep in the main function into 5 smaller timesteps so the 5th inner step will equal the next time step (0.1s) in the main function.
I will be very grateful for any advice/help!!
The code is below
#include <iostream>
#include <cmath>
using namespace std;
double state_deriv(double Vc,double I, double OCV1, double C, double Rct)
{
double newVc = (OCV1 - Vc) / (C * Rct) - (I / C);
return newVc;
}
double predict(double Vc,double Vc_[],double dt,double I_[],double OCV1_[],double C_[],double Rct_[])
{
double fn[4];
fn[0] = state_deriv(Vc_[0], I_[0],OCV1_[0],C_[0],Rct_[0]);
fn[1] = state_deriv(Vc_[1], I_[1],OCV1_[1],C_[1],Rct_[1]);
fn[2] = state_deriv(Vc_[2], I_[2],OCV1_[2],C_[2],Rct_[2]);
fn[3] = state_deriv(Vc_[3], I_[3],OCV1_[3],C_[3],Rct_[3]);
// value of next y(predicted) is returned
double y1p = Vc_[3] + (dt/24)*(55*fn[3] - 59*fn[2] + 37 *fn[1] - 9 *fn[0]);
return y1p;
}
double correct(double Vc,double Vc_[],double Vc1,double dt,double I_[],double OCV1_[],double C_[],double Rct_[])
{
double e = 0.0001;
double Vc1c = Vc1;
double fn[4];
fn[1] = state_deriv(Vc_[1], I_[1],OCV1_[1],C_[1],Rct_[1]);
fn[2] = state_deriv(Vc_[2], I_[2],OCV1_[2],C_[2],Rct_[2]);
fn[3] = state_deriv(Vc_[3], I_[3],OCV1_[3],C_[3],Rct_[3]);
do {
Vc1 = Vc1c;
fn[4] = state_deriv(Vc1, I_[4],OCV1_[4],C_[4],Rct_[4]);
Vc1c = Vc_[3] + dt/24*(9*fn[4] + 19*fn[3] - 5*fn[2] + fn[1]);
} while (fabs(Vc1c - Vc1) > e);
// every iteration is correcting the value
// of state deriv using average slope
return Vc1c;
}
double predictor_corrector(double Vc, double dt, double I[], double* OCV1, double* C, double* Rct)
{
//double x = time[0];
//double xn = time[1];
double h = dt;
//4th order RKK TO predict 4 values
double I_[4],OCV1_[5],C_[5],Rct_[5];
I_[0] = I[0];
OCV1_[0] = OCV1[0];
C_[0] = *C;
Rct_[0] = *Rct;
I_[4] = I[1];
OCV1_[4] = OCV1[1];
C_[4] = *C;
Rct_[4] = *Rct;
double newdt;
for(int i = 1;i<4;i++){
newdt = i * dt/5;
I_[i] = I_[0] + (I[1]-I[0]) * (newdt/dt);
OCV1_[i] = OCV1_[0] + (OCV1[1] - OCV1[0])*(newdt/dt);
Rct_[i] = *Rct;
C_[i] = *C;
}
//now do rk4 on each step
double k1,k2,k3,k4;
double Vc_[4];
Vc_[0] = Vc;
for(int i = 1;i<4;i++) {
// 4th order runge kutta
k1 = dt/4 * state_deriv(Vc_[i-1], *I, *OCV1, *C, *Rct);
k2 = dt/4 * state_deriv(Vc_[i-1]+k1/2.0, I_[i], OCV1_[i], *C, *Rct);
k3 = dt/4 * state_deriv(Vc_[i-1]+k2/2.0, I_[i], OCV1_[i], *C, *Rct);
k4 = dt/4 * state_deriv(Vc_[i-1]+k3, I_[i], OCV1_[i], *C, *Rct);
Vc_[i] = Vc_[i-1] + (1.0 / 6.0) * (k1 + 2 * k2 + 2 * k3 + k4);
}
double y1p = predict(Vc,Vc_,dt/4,I_,OCV1_,C_,Rct_);
double y1c = correct(Vc,Vc_,y1p,dt/4,I_,OCV1_,C_,Rct_);
Vc = y1c;
cout << Vc << endl;
return Vc;
}
int main()
{
double R1 = 0.0315973;
double C = 0.00100284;
double Vc[5];
double OCV1[5];
double I[5];
Vc[0] = 4.15;
double dt = 0.1;
for(int i=0;i<3;i++){
OCV1[i] = 4.15;
I[i] = 0;
}
I[3]=I[4]=1;
OCV1[3] = 4.13;
OCV1[4] = 4.10;
double I_[2];
for(size_t i=1;i<4;i++){
Vc[i] = predictor_corrector(Vc[i-1],dt,&I[i-1],&OCV1[i-1],&C,&R1);
}
}

Related

BOOST:ODEINT Sudden Iteration stop

I'm new in the world of C++ and I'm having some trouble with the boost library. In my problem I want to solve a ODE-System with 5 equations. It isn't a stiff problem. As iterative method I used both integreate(rhs, x0, t0, tf, size_step, write_output) and integreate_adaptive(stepper, sys, x0, t0, tf, size_step, write_output). Both these method actually integrate the equations but giving me non-sense results changing the size of the step from 0.001 to 5 almost randomly. The equations and data are correct. What can I do to fix this problem? Here is the code:
#include <iostream>
#include <vector>
#include <boost/numeric/odeint.hpp>
#include <fstream>
#include <boost/array.hpp>
using namespace std;
using namespace boost::numeric::odeint;
//DATA
double Lin = 20000; // kg/h
double Gdry = 15000; // kg/h
double P = 760; // mmHg
double TinH2O = 50; // °C
double ToutH2O = 25; // °C
double Tinair = 20; // °C
double Z = 0.5; // relative humidity
double Cu = 0.26; // kcal/kg*K
double CpL = 1; // kcal/kg*K
double DHev = 580; // kcal/kg
double hga = 4000; // kcal/m/h/K
double hla = 30000; // kcal/m/h/K
double A = -49.705; // Pev 1st coeff mmHg vs °C
double B = 2.71; // Pev 2nd coeff mmHg vs °C
double Usair = 0.62*(A + B*Tinair) / P;
double Uair = Z*Usair;
double Kua = hga / Cu;
double L0 = 19292; // kg/h
typedef vector< double > state_type;
vector <double> pack_height;
vector <double> Umidity;
vector <double> T_liquid;
vector <double> T_gas;
vector <double> Liquid_flow;
vector <double> Gas_flow;
void rhs(const state_type& x , state_type& dxdt , const double z )
{// U Tl Tg L G
double Ti = (hla*x[1] + hga*x[2] + Kua*DHev*(x[0] - 0.62*A / P)) / (hla + hga + Kua*DHev*0.62*B / P);
double Ui = 0.62*(A + B*Ti) / P;
dxdt[0] = Kua*(Ui - x[0]) / Gdry / 100;
dxdt[1] = hla*(x[1] - Ti) / x[3] / CpL / 100;
dxdt[2] = hga*(Ti - x[2]) / Gdry / Cu / 100;
dxdt[3] = Kua*(Ui - x[0]) / 100;
dxdt[4] = Kua*(Ui - x[0]) / 100;
}
void write_output(const state_type& x, const double z)
{
pack_height.push_back(z);
Umidity.push_back(x[0]);
T_liquid.push_back(x[1]);
T_gas.push_back(x[2]);
Liquid_flow.push_back(x[3]);
Gas_flow.push_back(x[4]);
cout << z << " " << x[0] << " " << x[1] << " " << x[2] << " " << x[3] << " " << x[4] << endl;
}
int main()
{
state_type x(5);
x[0] = Uair;
x[1] = ToutH2O;
x[2] = Tinair;
x[3] = L0;
x[4] = Gdry;
double z0 = 0.0;
double zf = 5.5;
double stepsize = 0.001;
integrate( rhs , x , z0 , zf , stepsize , write_output );
return 0;
}
And this is the final results that i get from the prompt:
0 0.00183349 25 20 19292 15000
0.001 0.00183356 25 20 19292 15000
0.0055 0.0018339 25.0002 20.0001 19292 15000
0.02575 0.00183542 25.001 20.0007 19292 15000
0.116875 0.00184228 25.0046 20.003 19292.1 15000.1
0.526938 0.00187312 25.0206 20.0135 19292.6 15000.6
2.37222 0.00201203 25.0928 20.0608 19294.7 15002.7
5.5 0.00224788 25.2155 20.142 19298.2 15006.2
Only the first iteration has the right-asked stepsize.. and obiviously the solution is not the right one.. what can i do? Thank you in advance. :)
If you read the documentation, then you will find that the constant step-size routines are integrate_const and integrate_n_steps, or possibly integrate_adaptive with a non-controlled stepper.
The short call to integrate uses the standard dopri5 stepper with adaptive step size, so that the changing step size is no surprise. You could possibly use the dense output of the stepper to interpolate values at equidistant times.

Rcpp loop update variable inside

I am a new user of Rcpp and I am writing an package.
I have defined two functions in one script and try to call one from another in the loop.
One of my function defined as below:
#include <RcppArmadillo.h>
// [[Rcpp::depends(RcppArmadillo)]]
using namespace Rcpp;
using namespace arma;
// [[Rcpp::export]]
double timesTwo(colvec x, NumericVector group, double k,
NumericVector unique_group)
{
vec beta(x.begin(),x.size(),false);
vec Group(group.begin(),group.size(),false);
vec unigroup(unique_group.begin(),unique_group.size(),false);
beta = pow(beta,k);
int g = unigroup.size();
int j = 0;
uvec st ;
double b=0;
for(j = 0; j < g; j++)
{
st = find(Group == unigroup[j]);
b = b + abs(pow(sum(beta.elem(st)),1/k));
}
double s = b;
return s;
}
And the loop I use to to call this function is like below:
XtXi_beta_plus.col(i) = X_MAT * BETA_NEW.col(2*i);
XtXi_beta_minus.col(i) = X_MAT * BETA_NEW.col(2*i+1);
loss_new_1.col(i) = (Y - ited / (ited + exp( -XtXi_beta_plus.col(i))));
loss_new_2.col(i) = (Y - ited / (ited + exp( -XtXi_beta_minus.col(i))));
new_loss(2*i) = accu(loss_new_1.col(i) % loss_new_1.col(i));
new_loss(2*i+1) = accu(loss_new_2.col(i) % loss_new_2.col(i));
z = BETA_NEW.col(2*i);
w = BETA_NEW.col(2*i+1);
// when 88 line was change to BETA_NEW.col(2*i) there is an error
// if you keep use Z, there is no update
// best!
pen_new_positive(i) = as<double>(timesTwo(z,group,k,unique_group));
My question is just like the comment I said in the loop, since I want to update that pen_new_postive(i) based on the BETA_NEW.col(2*i) However when I directly put BETA_NEW.COL(2*i) inside the timesTwo function, no matter how I change input
type of function (colvec or mat or whatever) there is error like below:
cannot convert "const::arma::subview_col<double> to "SEXP" in
initialization"
However when I directly use z in the timesTwo function, there is no update for my z in the loop.
Anyone could give me a hint about how to deal with this?
The full version of my code in second block as below:
#include <RcppArmadillo.h>
#include <math.h>
//#include <omp.h>
using namespace Rcpp;
using namespace arma;
//// [[Rcpp::plugins(openmp)]]
// [[Rcpp::depends(RcppArmadillo)]]
// [[Rcpp::export]]
List minghan21041(NumericMatrix beta_new, NumericVector diff_loss,
NumericVector beta, double step_size, NumericVector y,
double k,
NumericVector group,
NumericVector unique_group,
NumericMatrix X) {
int n = X.nrow(), p=X.ncol() , n1=beta_new.nrow(), p1=beta_new.ncol();
mat X_MAT(X.begin(),n,p,false), BETA_NEW(beta_new.begin(),n1,p1,false);
vec BETA(beta.begin(),beta.size(),false);
vec Y(y.begin(),y.size(),false),
Diff_Loss(diff_loss.begin(),diff_loss.size(),false), iter(p,fill::zeros);
mat XtXi_beta_plus(n,p,fill::zeros);
mat XtXi_beta_minus(n,p,fill::zeros);
vec ited(n,fill::ones);
mat loss_new_1(n,p, fill::zeros),loss_new_2(n,p, fill::zeros);
colvec loss_new_3(n,fill::zeros);
vec new_loss(p1,fill::zeros);
uword index;
vec beta_final(p,fill::zeros);
vec pen_new_positive(p,fill::zeros);
vec pen_new_negative(p,fill::zeros);
double pen_old = 0;
Function timesTwo( "timesTwo" );
double cs=0;
//Col dc(BETA.begin(),p,1);
//pen_old = as<double>(timesTwo(dc,group,k,unique_group));
vec z(p,fill::zeros);
vec w(p,fill::zeros);
int i = 0;
vec XtXi_beta_old = X_MAT*BETA;
loss_new_3= (Y - ited / (ited + exp(-XtXi_beta_old)));
double loss_old_one = accu(loss_new_3%loss_new_3);
//#pragma omp parallel private(i) num_threads(4)
//{
//#pragma omp for ordered schedule(static,1)
for(i= 0; i<p; i++){
//#pragma omp ordered
//{
iter(i) = step_size;
BETA_NEW.col(2*i) = BETA + iter;
BETA_NEW.col(2*i+1) = BETA - iter;
XtXi_beta_plus.col(i) = X_MAT * BETA_NEW.col(2*i);
XtXi_beta_minus.col(i) = X_MAT * BETA_NEW.col(2*i+1);
loss_new_1.col(i) = (Y - ited / (ited + exp( -XtXi_beta_plus.col(i))));
loss_new_2.col(i) = (Y - ited / (ited + exp( -XtXi_beta_minus.col(i))));
new_loss(2*i) = accu(loss_new_1.col(i) % loss_new_1.col(i));
new_loss(2*i+1) = accu(loss_new_2.col(i) % loss_new_2.col(i));
z = BETA_NEW.col(2*i);
w = BETA_NEW.col(2*i+1);
// when 88 line was change to BETA_NEW.col(2*i) there is an error
// if you keep use Z, there is no update, you can source this file and I
//believe there is no other error
// best!
pen_new_positive(i) = as<double>(timesTwo(BETA_NEW.col(2*i),group,k,unique_group));
cs = pen_new_positive(i);
//Rcout << "cs" << cs << std::endl;
Rcout << "cs" << z << std::endl;
//pen_new_negative = as< std::vector<double> >(time(w,group,k,unique_group));
Diff_Loss(2*i) = new_loss(2*i) - loss_old_one + cs;
Diff_Loss(2*i+1) = new_loss(2*i+1) - loss_old_one + cs;
iter(i) = 0;
}
//}
//}
index = Diff_Loss.index_min();
beta_final = BETA_NEW.col(index);
return List::create( _["index"] = wrap(index),
_["Diff_Loss"]= wrap(Diff_Loss[index]),
_["ste"] =wrap(Diff_Loss),
_["beta_new"] = wrap(beta_final),
_["New_LOSS"]= wrap(new_loss[index]),
_["t"] = wrap(pen_new_positive));
}

Memory Overflow? std::badalloc

I have a program that solves generally for 1D brownian motion using an Euler's Method.
Being a stochastic process, I want to average it over many particles. But I find that as I ramp up the number of particles, it overloads and i get the std::badalloc error, which I understand is a memory error.
Here is my full code
#include <iostream>
#include <vector>
#include <fstream>
#include <cmath>
#include <cstdlib>
#include <limits>
#include <ctime>
using namespace std;
// Box-Muller Method to generate gaussian numbers
double generateGaussianNoise(double mu, double sigma) {
const double epsilon = std::numeric_limits<double>::min();
const double tau = 2.0 * 3.14159265358979323846;
static double z0, z1;
static bool generate;
generate = !generate;
if (!generate) return z1 * sigma + mu;
double u1, u2;
do {
u1 = rand() * (1.0 / RAND_MAX);
u2 = rand() * (1.0 / RAND_MAX);
} while (u1 <= epsilon);
z0 = sqrt(-2.0 * log(u1)) * cos(tau * u2);
z1 = sqrt(-2.0 * log(u1)) * sin(tau * u2);
return z0 * sigma + mu;
}
int main() {
// Initialize Variables
double gg; // Gaussian Number Picked from distribution
// Integrator
double t0 = 0; // Setting the Time Window
double tf = 10;
double n = 5000; // Number of Steps
double h = (tf - t0) / n; // Time Step Size
// Set Constants
const double pii = atan(1) * 4; // pi
const double eta = 1; // viscous constant
const double m = 1; // mass
const double aa = 1; // radius
const double Temp = 30; // Temperature in Kelvins
const double KB = 1; // Boltzmann Constant
const double alpha = (6 * pii * eta * aa);
// More Constants
const double mu = 0; // Gaussian Mean
const double sigma = 1; // Gaussian Std Deviation
const double ng = n; // No. of pts to generate for Gauss distribution
const double npart = 1000; // No. of Particles
// Initial Conditions
double x0 = 0;
double y0 = 0;
double t = t0;
// Vectors
vector<double> storX; // Vector that keeps displacement values
vector<double> storY; // Vector that keeps velocity values
vector<double> storT; // Vector to store time
vector<double> storeGaussian; // Vector to store Gaussian numbers generated
vector<double> holder; // Placeholder Vector for calculation operations
vector<double> mainstore; // Vector that holds the final value desired
storT.push_back(t0);
// Prepares mainstore
for (int z = 0; z < (n+1); z++) {
mainstore.push_back(0);
}
for (int NN = 0; NN < npart; NN++) {
holder.clear();
storX.clear();
storY.clear();
storT.clear();
storT.push_back(0);
// Prepares holder
for (int z = 0; z < (n+1); z++) {
holder.push_back(0);
storX.push_back(0);
storY.push_back(0);
}
// Gaussian Generator
srand(time(NULL));
for (double iiii = 0; iiii < ng; iiii++) {
gg = generateGaussianNoise(0, 1); // generateGaussianNoise(mu,sigma)
storeGaussian.push_back(gg);
}
// Solver
for (int ii = 0; ii < n; ii++) {
storY[ii + 1] =
storY[ii] - (alpha / m) * storY[ii] * h +
(sqrt(2 * alpha * KB * Temp) / m) * sqrt(h) * storeGaussian[ii];
storX[ii + 1] = storX[ii] + storY[ii] * h;
holder[ii + 1] =
pow(storX[ii + 1], 2); // Finds the displacement squared
t = t + h;
storT.push_back(t);
}
// Updates the Main Storage
for (int z = 0; z < storX.size(); z++) {
mainstore[z] = mainstore[z] + holder[z];
}
}
// Average over the number of particles
for (int z = 0; z < storX.size(); z++) {
mainstore[z] = mainstore[z] / (npart);
}
// Outputs the data
ofstream fout("LangevinEulerTest.txt");
for (int jj = 0; jj < storX.size(); jj++) {
fout << storT[jj] << '\t' << mainstore[jj] << '\t' << storX[jj] << endl;
}
return 0;
}
As you can see, npart is the variable that I change to vary the number of particles. But after each iteration, I do clear my storage vectors like storX,storY... So on paper, the number of particles should not affect memory? I am only just calling the compiler to repeat many more times, and add onto the main storage vector mainstore. I am running my code on a computer with 4GB ram.
Would greatly appreciate it if anyone could point out my errors in logic or suggest improvements.
Edit: Currently the number of particles is set to npart = 1000.
So when I try to ramp it up to like npart = 20000 or npart = 50000, it gives me memory errors.
Edit2 I've edited the code to allocate an extra index to each of the storage vectors. But it does not seem to fix the memory overflow
There is an out of bounds exception in the solver part. storY has size n and you access ii+1 where i goes up to n-1. So for your code provided. storY has size 5000. It is allowed to access with indices between 0 and 4999 (including) but you try to access with index 5000. The same for storX, holder and mainstore.
Also, storeGaussian does not get cleared before adding new variables. It grows by n for each npart loop. You access only the first n values of it in the solver part anyway.
Please note, that vector::clear removes all elements from the vector, but does not necessarily change the vector's capacity (i.e. it's storage array), see the documentation.
This won't cause the problem here, because you'll reuse the same array in the next runs, but it's something to be aware when using vectors.

Increase dimension of gsl minimizer

I've to develop an optimizer to calculate the 14 parameters of a hidden markov chain (I know its much but possible :)). I've already done the same optimizer using IMSL(which I had during an intership) and I know it's possible, but I don't have the licence for IMSL now because I'm doing a student project and I'm trying to make the same optimizer in C++.
But I got this error (I've commented in the code where it appears):
gsl: simplex.c:288: ERROR: non-finite function value encountered
Default GSL error handler invoked.
Aborted
I'm using the GSL library, more specifically the sub-library multimin.
I'm showing you my code here in after and I would be please to comment it more if you need but I can send it with the data to anyone who could help me.
Thank you very much for your time and help.
Benjamin,
The structure we need for the optimizer:
struct dataMom {
int n; /* Number of data points */
gsl_vector *Rmom; /* Response data */
gsl_vector *Rm; /* Covariate */
};
The function that calculate the values
double my_f (const gsl_vector *v, void *params) {
struct dataMom *p = (struct dataMom *) params;
int i;
double loglik = 0;
So has you can see we have 14 parameters to optimize.
double alphaC = gsl_vector_get (v, 0);
double beta0C =gsl_vector_get (v, 1);
double betaUC =gsl_vector_get (v, 2);
double sigmamomC =gsl_vector_get (v, 3);
double muC =gsl_vector_get (v, 4);
double sigmamC =gsl_vector_get (v, 5);
double probaC =gsl_vector_get (v, 6);
double alphaT= gsl_vector_get (v, 7);
double beta0T = gsl_vector_get (v, 8);
double betaUT= gsl_vector_get (v, 9);
double sigmamomT= gsl_vector_get (v, 10);
double muT =gsl_vector_get (v, 11);
double sigmamT = gsl_vector_get (v, 12);
double probaT =gsl_vector_get (v, 13);
double epsilonmomC;
double epsilonmC;
double epsilonmomT;
double epsilonmT;
double Rmomentum;
double Rmarket;
double IUT;
double Pc;
double Pt;
double PC;
double PT;
double PI = 3.14159;
double probac = (1-probaT)/(2-probaC-probaT);
double probat = 1-probac;
for (i=0;i<p->n;i++) {
Rmomentum = gsl_vector_get(p->Rmom, i)*0.01;
Rmarket = gsl_vector_get(p->Rm, i)*0.01;
if (Rmarket>0){IUT = 1;}
else {IUT = 0;}
epsilonmomC = (1/sigmamomC)*(Rmomentum - alphaC - (beta0C + IUT*betaUC)*Rmarket);
epsilonmC = (1/sigmamC)*(Rmarket-muC);
epsilonmomT = (1/sigmamomT)*(Rmomentum - alphaT - (beta0T + IUT*betaUT)*Rmarket);
epsilonmT = (1/sigmamT)*(Rmarket-muT);
Pc = ((1/(sigmamomC*sqrt(2*PI)))*exp(-(epsilonmomC*epsilonmomC)/2)) * ((1/(sigmamC*sqrt(2*PI)))*exp(-(epsilonmC*epsilonmC)/2));
Pt = ((1/(sigmamomT*sqrt(2*PI)))*exp(-(epsilonmomT*epsilonmomT)/2)) * ((1/(sigmamT*sqrt(2*PI)))*exp(-(epsilonmT*epsilonmT)/2));
PC = Pc * (probaC*probac + (1-probaC)*(probat));
PT = Pt * ((1-probaT)*(probac) + probaT*probat);
loglik -=log(PC+PT);
probac = PC / (PC+PT);
probat = PT / (PC+PT);
}
return loglik;
}
The main:
int main (void) {
/* Initialise data and model parameters */
//these are 2 vectors of return from txt files that i can give you
vector<double> Benchmark;
vector<double> Momentum;
//these are the 2 fonctions i'm using to get the return for the txt files
Benchmark = readBenchmark();
Momentum = readMomentum();
int i, n=Benchmark.size(), nparas=14;
double initial_p[14] = {0.0204,0.41,-0.52,0.0432 , 0.0098 , 0.0362 , 0.97, 0.0402 , -0.26 , -1.28 , 0.1105 , -0.0070 , 0.0904 , 0.92};
struct dataMom myStruct;
myStruct.n = n;
myStruct.Rmom = gsl_vector_alloc(myStruct.n);
myStruct.Rm = gsl_vector_alloc(myStruct.n);
vector<double>::iterator itbenchmark;
vector<double>::iterator itmomentum;
double tempmom;
double tempm;
itbenchmark = Benchmark.begin();
itmomentum = Momentum.begin();
for (i=0;i<myStruct.n;i++) {
tempmom = *itmomentum;
tempm = *itbenchmark;
gsl_vector_set (myStruct.Rmom, i, tempmom);
gsl_vector_set (myStruct.Rm, i, tempm);
itbenchmark++;
itmomentum++;
}
/* Starting point */
gsl_vector *paras;
paras = gsl_vector_alloc (nparas);
for (i=0;i<nparas;i++)
gsl_vector_set (paras, i, initial_p[i]);
/* Initialise algorithm parameters */
size_t iter = 0;
int status;
double size;
/* Set initial STEP SIZES to 1 */
gsl_vector *ss;
ss = gsl_vector_alloc (nparas);
gsl_vector_set_all (ss, 0.5);
const gsl_multimin_fminimizer_type *T = gsl_multimin_fminimizer_nmsimplex;
gsl_multimin_fminimizer *s = NULL;
gsl_multimin_function minex_func;
/* Initialize method and iterate */
minex_func.n = nparas;
minex_func.f = my_f;
minex_func.params = &myStruct;
s = gsl_multimin_fminimizer_alloc (T, nparas);
There are no problem until here but the next line generates this error:
gsl: simplex.c:288: ERROR: non-finite function value encountered
Default GSL error handler invoked.
Aborted (core dumped)
gsl_multimin_fminimizer_set (s, &minex_func, paras, ss);
do {
iter++;
status = gsl_multimin_fminimizer_iterate(s);
if (status)
break;
size = gsl_multimin_fminimizer_size (s);
status = gsl_multimin_test_size (size, 1);
if (status == GSL_SUCCESS)
printf ("converged to minimum at\n");
for (int z = 0 ; z<14 ; z++)
{
cout <<gsl_vector_get (s->x, z)<<endl;
}
}
while (status == GSL_CONTINUE && iter < 10000);
gsl_multimin_fminimizer_free (s);
gsl_vector_free(myStruct.Rmom);
gsl_vector_free(myStruct.Rm);
gsl_vector_free(paras);
gsl_vector_free(ss);
return status;
}

C++ Segmentation Fault on Differential Solver

I have written a program to approximate the solutions to ordinary differential equations using Adam's Method.
Running the program with gdb gives me:
Program received signal EXC_BAD_ACCESS, Could not access memory.
Reason: KERN_PROTECTION_FAILURE at address: 0x00007fff5f3ffff8
0x0000000100003977 in std::vector<double, std::allocator<double> >::push_back (this=0x100005420, __x=#0x100005310) at stl_vector.h:604
604 this->_M_impl.construct(this->_M_impl._M_finish, __x);
Clearly something is wrong with my treatment of vector.push_back, but I do not know where to begin looking. I can not think of a case where modifying a vector is illegal.
Call differentiate() to begin. Mathematics is done in step(). Adaptive time advancing across an interval with advance(). Check the chosen time step with checkdt() before running step() again.
Sorry for the huge code dump. I am sure many improvements can be made purely from the standpoint of C++, without knowledge of the mathematics:
//============================================================================
// Description : An Adam's Method Ordinary Differential Equation Approximation
// Disclaimer : Posted to StackOverflow for help on a segmentation fault
//============================================================================
#include <iostream> //IO
#include <vector> //std::vector
#include <cmath> //abs, pow, sqrt
#include <numeric> //accumulate
using namespace std;
/* Terminology:
* f(t, y) = the ordinary differential equation that will be solved
* y(t) = solution of f at point t.
* told = the previous point at which f was evaluated and solved
* tnow = the current point at which f is evaluated and solved
* tnew = the new (interesting) point at which f will be evaluated and solved
*
* Yold = the corrected solution of the differential equation at told
* Ynow = the corrected solution of the differential equation at tnow
* Ynew = the corrected solution of the differential equation at tnew
*
* fold = the value of the given differential equation at told
= f(told, Yold)
* fnow = the value of the given differential equation at tnow
= f(tnow, Ynow)
* fnew = the value of the given differential equation at tnew
= f(tnew, Ynew)
*
* Pnew = prediction for the value of Ynew
* dt = abs(tnew - tnow)
* dtold = abs(tnow - told)
*/
//Information storage
struct simTime {
double told;
double tnow;
double tnew;
double dt;
double dtold;
double tol;
double agrow;
double ashrink;
double dtmin;
double dtmax;
double endTime;
double fold;
double fnow;
double fnew;
double Yold;
double Ynow;
double Ynew;
double Pnew;
int stepsSinceRejection;
int stepsRejected;
int stepsAccepted;
} test;
//Define global variables
std::vector<double> errorIndicators(0);
std::vector<double> solutions(0);
std::vector<double> differencesDDY(0);
std::vector<double> differencesDDYSquared(0);
std::vector<double> timesTNew(0);
//Function declarations
void step(double fnow, double fold, double Ynow, double tnew, double tnow,
double dtold, double dt, double(*f)(double t, double y), double told);
void advance();
void shiftvariables();
void printvector(std::vector<double>& vec);
void differentiate(double(*f)(double t, double y), double y0, double a,
double b);
double f(double t, double y);
void checkdt();
int main() {
differentiate(f, 0, 1, 5);
cout << "Time values:" << endl;
printvector(timesTNew);
cout << "Solutions:" << endl;
printvector(solutions);
cout << "Differences between Prediction and Solution:" << endl;
printvector(differencesDDY);
return 0;
}
//Shift back all the variables to make way for the new values
void shiftvariables() {
test.tnow = test.tnew;
test.dtold = test.dt;
test.Yold = test.Ynow;
test.Ynow = test.Ynew;
test.fold = test.fnow;
test.fnow = test.fnew;
advance();
}
//Ordinary differential equation to be solved
double f(double t, double y) {
return pow(t, 2);
}
//Calculate the predicted and corrected solution at a chosen tnew
void step(double fnow, double fold, double Ynow, double tnew, double tnow,
double dtold, double dt, double(*f)(double t, double y), double told) {
//The calculation for Ynew requires integration. I first thought I would need to
// use my project 1 code to calculate the integration, but now I see in class we
// solved it analytically such that integration is not required:
//Linear prediction of Ynew using Ynow and fnow
double Pnew = Ynow + (dt * fnow) + (dt * dt / (2 * dtold)) * (fnow - fold);
test.Pnew = Pnew;
//Predict the value of f at tnew using Pnew
double fnew = f(tnew, Pnew);
test.fnew = fnew;
//Calculate the corrected solution at tnew
double interpolationFactor = fnew - (fnow + dt * (fnow - fold) / dtold);
double integration = (dt / 6) * (2 * dt + 3 * dtold) / (dt + dtold);
double Ynew = Pnew + interpolationFactor * integration;
test.Ynew = Ynew;
//Update the variables for the next round
shiftvariables();
}
//Check the previous solution and choose a new dt to continue evaluation
void advance() {
//The error indicator is the l2-norm of the prediction minus the correction
double err_ind = sqrt(
std::accumulate(differencesDDYSquared.begin(),
differencesDDYSquared.end(), 0));
errorIndicators.push_back(err_ind);
// Case where I reject the step and retry
if (err_ind > test.tol && test.dt > test.dtmin) {
++test.stepsRejected;
test.stepsSinceRejection = 0;
test.dt = test.dt * 0.5;
test.tnew = test.tnow + test.dt;
checkdt();
}
// Cases where I accept the step and move forward
else {
++test.stepsAccepted;
++test.stepsSinceRejection;
solutions.push_back(test.Ynew);
differencesDDY.push_back(abs(test.Pnew - test.Ynew));
differencesDDYSquared.push_back(pow((test.Pnew - test.Ynew), 2));
//Decrease dt
if (err_ind >= 0.75 * test.tol) {
test.dtold = test.dt;
test.dt = (test.dt * test.ashrink);
test.tnew = test.tnow + test.dt;
checkdt();
}
//Increase dt
else if (err_ind <= test.tol / 4) {
if ((test.stepsRejected != 0) && (test.stepsSinceRejection >= 2)) {
test.dt = (test.dt * test.agrow);
test.tnew = test.tnow + test.dt;
checkdt();
} else if (test.stepsRejected == 0) {
test.dt = (test.dt * test.agrow);
test.tnew = test.tnow + test.dt;
checkdt();
}
}
}
}
//Check that the dt chosen by advance is acceptable
void checkdt() {
if ((test.tnew < test.endTime) && (test.endTime - test.tnew < test.dtmin)) {
cout << "Reached endTime." << endl;
} else if (test.dt < test.dtmin) {
test.dt = test.dtmin;
test.tnew = test.tnow + test.dt;
timesTNew.push_back(test.tnew);
step(test.fnow, test.fold, test.Ynow, test.tnew, test.tnow, test.dtold,
test.dt, f, test.told);
} else if (test.dt > test.dtmax) {
test.dt = test.dtmax;
test.tnew = test.tnow + test.dt;
timesTNew.push_back(test.tnew);
step(test.fnow, test.fold, test.Ynow, test.tnew, test.tnow, test.dtold,
test.dt, f, test.told);
} else if ((test.tnew + test.dt) > test.endTime) {
test.dt = test.endTime - test.tnew;
test.tnew = test.tnow + test.dt;
checkdt();
} else if (((test.tnew + test.dt) < test.endTime)
&& ((test.tnew + 2 * test.dt) > test.endTime)) {
test.dt = (test.endTime - test.tnew) / 2;
test.tnew = test.tnow + test.dt;
checkdt();
}
//If none of the above are satisfied, then the chosen dt
// is ok and proceed with it
else {
timesTNew.push_back(test.tnew);
step(test.fnow, test.fold, test.Ynow, test.tnew, test.tnow, test.dtold,
test.dt, f, test.told);
}
}
//meta function to solve a differential equation, called only once
void differentiate(double(*f)(double t, double y), double y0, double a,
double b) {
//Set the starting conditions for the solving of the differential equation
test.fnow = f(a, y0);
test.endTime = b;
test.Ynow = y0;
//solutions.push_back(y0);
timesTNew.push_back(a);
//Set the constants
test.ashrink = 0.8;
test.agrow = 1.25;
test.dtmin = 0.05;
test.dtmax = 0.5;
test.tol = 0.1;
//Set fold = fnow for the first step
test.fold = test.fnow;
test.tnow = a;
test.told = a - test.dtmin;
test.dtold = abs(test.tnow - test.told);
//Create the first prediction, which will then lead to correcting it with step
advance();
}
// Takes a vector as its only parameters and prints it to stdout
void printvector(std::vector<double>& vec) {
for (vector<double>::iterator it = vec.begin(); it != vec.end(); ++it) {
cout << *it << ", ";
}
cout << "\n";
}
Thank you.
Since you're using recursion, could it be possible that you are running out of stack memory, thus causing the segfault? This could happen if either your app recurses too many times or if some bug causes it to recurse infinitely.
Note, as sth suggests in a comment, a debugger may help you decide whether or not this is the case.