24.1 Ordinary Differential Equations

The function lsode can be used to solve ODEs of the form

dx
-- = f (x, t)
dt

using Hindmarsh’s ODE solver LSODE.

: [x, istate, msg] = lsode (fcn, x_0, t)

: [x, istate, msg] = lsode (fcn, x_0, t, t_crit)

Ordinary Differential Equation (ODE) solver.

The set of differential equations to solve is

dx
-- = f (x, t)
dt

with

x(t_0) = x_0

The solution is returned in the matrix x, with each row corresponding to an element of the vector t. The first element of t should be t_0 and should correspond to the initial state of the system x_0, so that the first row of the output is x_0.

The first argument, fcn, is a string, inline, or function handle that names the function f to call to compute the vector of right hand sides for the set of equations. The function must have the form

xdot = f (x, t)

in which xdot and x are vectors and t is a scalar.

If fcn is a two-element string array or a two-element cell array of strings, inline functions, or function handles, the first element names the function f described above, and the second element names a function to compute the Jacobian of f. The Jacobian function must have the form

jac = j (x, t)

in which jac is the matrix of partial derivatives

| df_1  df_1       df_1 |
             | ----  ----  ...  ---- |
             | dx_1  dx_2       dx_N |
             |                       |
             | df_2  df_2       df_2 |
             | ----  ----  ...  ---- |
      df_i   | dx_1  dx_2       dx_N |
jac = ---- = |                       |
      dx_j   |  .    .     .    .    |
             |  .    .      .   .    |
             |  .    .       .  .    |
             |                       |
             | df_N  df_N       df_N |
             | ----  ----  ...  ---- |
             | dx_1  dx_2       dx_N |

The second argument specifies the initial state of the system x_0. The third argument is a vector, t, specifying the time values for which a solution is sought.

The fourth argument is optional, and may be used to specify a set of times that the ODE solver should not integrate past. It is useful for avoiding difficulties with singularities and points where there is a discontinuity in the derivative.

After a successful computation, the value of istate will be 2 (consistent with the Fortran version of LSODE).

If the computation is not successful, istate will be something other than 2 and msg will contain additional information.

You can use the function lsode_options to set optional parameters for lsode.

See Alan C. Hindmarsh, ODEPACK, A Systematized Collection of ODE Solvers, in Scientific Computing, R. S. Stepleman, editor, (1983) or https://computing.llnl.gov/projects/odepack for more information about the inner workings of lsode.

Example: Solve the Van der Pol equation

fvdp = @(y,t) [y(2); (1 - y(1)^2) * y(2) - y(1)];
t = linspace (0, 20, 100);
y = lsode (fvdp, [2; 0], t);

See also: daspk, dassl, dasrt.

: lsode_options ()

: val = lsode_options (opt)

: lsode_options (opt, val)

Query or set options for the function lsode.

When called with no arguments, the names of all available options and their current values are displayed.

Given one argument, return the value of the option opt.

When called with two arguments, lsode_options sets the option opt to value val.

Options include

"absolute tolerance"

Absolute tolerance. May be either vector or scalar. If a vector, it must match the dimension of the state vector.

"relative tolerance"

Relative tolerance parameter. Unlike the absolute tolerance, this parameter may only be a scalar.

The local error test applied at each integration step is

abs (local error in x(i)) <= ...
      rtol * abs (y(i)) + atol(i)

"integration method"

A string specifying the method of integration to use to solve the ODE system. Valid values are

"adams"

"non-stiff"

No Jacobian used (even if it is available).

"bdf"

"stiff"

Use stiff backward differentiation formula (BDF) method. If a function to compute the Jacobian is not supplied, lsode will compute a finite difference approximation of the Jacobian matrix.

"initial step size"

The step size to be attempted on the first step (default is determined automatically).

"maximum order"

Restrict the maximum order of the solution method. If using the Adams method, this option must be between 1 and 12. Otherwise, it must be between 1 and 5, inclusive.

"maximum step size"

Setting the maximum stepsize will avoid passing over very large regions (default is not specified).

"minimum step size"

The minimum absolute step size allowed (default is 0).

"step limit"

Maximum number of steps allowed (default is 100000).

Here is an example of solving a set of three differential equations using lsode. Given the function

## oregonator differential equation
function xdot = f (x, t)

  xdot = zeros (3,1);

  xdot(1) = 77.27 * (x(2) - x(1)*x(2) + x(1) ...
            - 8.375e-06*x(1)^2);
  xdot(2) = (x(3) - x(1)*x(2) - x(2)) / 77.27;
  xdot(3) = 0.161*(x(1) - x(3));

endfunction

and the initial condition x0 = [ 4; 1.1; 4 ], the set of equations can be integrated using the command

t = linspace (0, 500, 1000);

y = lsode ("f", x0, t);

If you try this, you will see that the value of the result changes dramatically between t = 0 and 5, and again around t = 305. A more efficient set of output points might be

t = [0, logspace(-1, log10(303), 150), ...
        logspace(log10(304), log10(500), 150)];

An m-file for the differential equation used above is included with the Octave distribution in the examples directory under the name oregonator.m.