numjac.m

国外经典书籍MULTIVARIABLE FEEDBACK CONTROL-多变量反馈控制 的源码

function [dFdy,fac,g,nfevals] = numjac(F,t,y,Fty,thresh,fac,vectorized,S,g)
%NUMJAC NUMerically compute the JACobian dF/dY of function F(T,Y).
%	[DFDY,FAC] = NUMJAC('F',T,Y,FTY,THRESH,FAC,VECTORIZED) numerically
%	computes the Jacobian of function F(T,Y), returning it as full
%	matrix DFDY.  The string 'F' contains the name of function F.  T is
%	the independent variable and column vector Y contains the dependent
%	variables.  Function F must return a column vector.  Vector FTY is F
%	evaluated at (T,Y).  Column vector THRESH provides a threshold of
%	significance for Y, i.e. the exact value of a component Y(i) with
%	abs(Y(i)) < THRESH(i) is not important.  All components of THRESH
%	must be positive.  Column FAC is working storage.  On the first
%	call, set FAC to [].  Do not alter the returned value between calls.
%	Set the Boolean variable VECTORIZED to true if F(t,y) has been coded
%	so that F(t,[y1 y2 ...]) returns [F(t,y1) F(t,y2) ...].
%	(Vectorizing function F may speed up the computation of DFDY.)
%	
%	[DFDY,FAC,G] = NUMJAC('F',T,Y,FTY,THRESH,FAC,VECTORIZED,S,G)
%	numerically computes a sparse Jacobian matrix DFDY.  S is a
%	non-empty sparse matrix of 0's and 1's.  A value of 0 for S(i,j)
%	means that component i of the function F(t,y) does not depend on
%	component j of vector y (hence DFDY(i,j) = 0).  Column vector G is
%	working storage.  On the first call, set G to [].  Do not alter the
%	returned value between calls.
%	
%	Although NUMJAC was developed specifically for the approximation of
%	partial derivatives when integrating a system of ODE's, it can be
%	used for other applications.  In particular, when the length of the
%	vector returned by F(T,Y) is different from the length of Y, DFDY is
%	rectangular.
%	
%	See also COLGROUP, ODE15S, ODE23S, ODESET.

%	NUMJAC is an implementation of an exceptionally robust scheme due to
%	Salane for the approximation of partial derivatives when integrating
%	a system of ODEs, Y' = F(T,Y).  It is called when the ODE code has
%	an approximation Y at time T and is about to step to T+H.  The ODE
%	code controls the error in Y to be less than the absolute error
%	tolerance ATOL = THRESH.  Experience computing partial derivatives
%	at previous steps is recorded in FAC.  A sparse Jacobian is computed
%	efficiently by using COLGROUP(S) to find groups of columns of DFDY
%	that can be approximated with a single call to function F.  COLGROUP
%	tries two schemes (first-fit and first-fit after reverse COLMMD
%	ordering) and returns the better grouping.
%	
%	D.E. Salane, "Adaptive Routines for Forming Jacobians Numerically",
%	SAND86-1319, Sandia National Laboratories, 1986.
%	
%	T.F. Coleman, B.S. Garbow, and J.J. More, Software for estimating
%	sparse Jacobian matrices, ACM Trans. Math. Software, 11(1984)
%	329-345.
%	
%	The MATLAB ODE Suite, L.F. Shampine and M. W. Reichelt, Rept. 94-6,
%	Math. Dept., SMU, Dallas, TX, 1994.

%	Mark W. Reichelt and Lawrence F. Shampine, 3-28-94
%	Copyright (c) 1984-95 by The MathWorks, Inc.

% Initialize.
br = eps ^ (0.875);
bl = eps ^ (0.75);
bu = eps ^ (0.25);
facmin = eps ^ (0.78);
facmax = 0.1;
ny = length(y);
nF = length(Fty);
if length(fac) == 0
  fac = sqrt(eps) + zeros(ny,1);
end

% Select an increment del for a difference approximation to
% column j of dFdy.  The vector fac accounts for experience
% gained in previous calls to numjac.
yscale = max(abs(y),thresh);
del = (y + fac .* yscale) - y;
for j = find(del == 0)
  while 1
    if fac(j) < facmax
      fac(j) = min(100*fac(j),facmax);
      del(j) = (y(j) + fac(j)*yscale(j)) - y(j);
      if del(j)
	break
      end
    else
      del(j) = thresh(j);
      break;
    end
  end
end
if nF == ny
  s = (sign(Fty) >= 0);
  del = (s - (~s)) .* abs(del); 	% keep del pointing into region
end

% Form a difference approximation to all columns of dFdy.
if nargin < 8
  S = [];
end
if length(S) == 0 			% generate full matrix dFdy
  g = [];
  ones1ny = ones(1,ny);
  ydel = y(:,ones1ny) + diag(del);
  if vectorized
    Fdel = feval(F,t,ydel);
  else
    for j = ny:-1:1
      Fdel(:,j) = feval(F,t,ydel(:,j));
    end
  end
  nfevals = ny; 			% stats (at least one per loop)
  Fdiff = Fdel - Fty(:,ones1ny);
  dFdy = Fdiff * diag(1 ./ del);
  [Difmax,Rowmax] = max(abs(Fdiff));
  absFdelRm = abs(Fdel((0:ny-1)*nF + Rowmax));
else 					% sparse dFdy with structure S
  if length(g) == 0
    g = colgroup(S); 			% Determine the column grouping.
  end
  ng = max(g);
  ones1ng = ones(1,ng);
  one2ny = (1:ny)';
  ydel = y(:,ones1ng);
  i = (g-1)*ny + one2ny;
  ydel(i) = ydel(i) + del;
  if vectorized
    Fdel = feval(F,t,ydel);
  else
    for j = ng:-1:1
      Fdel(:,j) = feval(F,t,ydel(:,j));
    end
  end
  nfevals = ng; 			% stats (at least one per column)
  Fdiff = Fdel - Fty(:,ones1ng);
  [i j] = find(S);
  Fdiff = sparse(i,j,Fdiff((g(j)-1)*nF + i),ny,ny);
  dFdy = Fdiff * sparse(one2ny,one2ny,1 ./ del,ny,ny);
  [Difmax,Rowmax] = max(abs(Fdiff));
  absFdelRm = abs(Fdel((g-1)'*nF + Rowmax));
end  

% Adjust fac for next call to numjac.
absFty = abs(Fty);
absFtyRm = absFty(Rowmax)';
j = (absFdelRm ~= 0) & (absFtyRm ~= 0);
if any(j)
  ydel = y;
  Fscale = max(absFdelRm,absFtyRm);

  % If the difference in f values is so small that the column might be just
  % roundoff error, try a bigger increment. 
  k1 = (Difmax < br*Fscale);
  for k = find(j & k1)
    tmpfac = min(sqrt(fac(k)),facmax);
    del = (y(k) + tmpfac*yscale(k)) - y(k);
    if (tmpfac ~= fac(k)) & (del ~= 0)
      if nF == ny
	if Fty(k) >= 0 			% keep del pointing into region
	  del = abs(del);
	else
	  del = -abs(del);
	end
      end
	
      ydel(k) = y(k) + del;
      fdel = feval(F,t,ydel);
      nfevals = nfevals + 1; 		% stats
      ydel(k) = y(k);
      fdiff = fdel - Fty;
      tmp = fdiff ./ del;
	
      [difmax,rowmax] = max(abs(fdiff));
      if tmpfac * norm(tmp,inf) > norm(dFdy(:,k),inf);
	% The new difference is more significant, so
	% use the column computed with this increment.
	if length(S) == 0
	  dFdy(:,k) = tmp;
	else
	  i = find(S(:,k));
	  dFdy(i,k) = tmp(i);
	end
  
	% Adjust fac for the next call to numjac.
	fscale = max(abs(fdel(rowmax)),absFty(rowmax));
	  
	if difmax <= bl*fscale
	  % The difference is small, so increase the increment.
	  fac(k) = min(10*tmpfac, facmax);
	  
	elseif difmax > bu*fscale
	  % The difference is large, so reduce the increment.
	  fac(k) = max(0.1*tmpfac, facmin);

	else
	  fac(k) = tmpfac;
	    
	end
      end
    end
  end
  
  % If the difference is small, increase the increment.
  k = find(j & ~k1 & (Difmax <= bl*Fscale));
  if length(k)
    fac(k) = min(10*fac(k), facmax);
  end

  % If the difference is large, reduce the increment.
  k = find(j & (Difmax > bu*Fscale));
  if length(k)
    fac(k) = max(0.1*fac(k), facmin);
  end
end