ODE Solvers

ODE Solvers

solve(prob::ODEProblem,alg;kwargs)

Solves the ODE defined by prob using the algorithm alg. If no algorithm is given, a default algorithm will be chosen.

Recommended Methods

It is suggested that you try choosing an algorithm using the alg_hints keyword argument. However, in some cases you may want something specific, or you may just be curious. This guide is to help you choose the right algorithm.

Non-Stiff Problems

For non-stiff problems, the native OrdinaryDiffEq.jl algorithms are vastly more efficient than the other choices. For most non-stiff problems, we recommend Tsit5. When more robust error control is required, BS5 is a good choice. For fast solving at higher tolerances, we recommend BS3. For high accuracy but with the range of Float64 (~1e-8-1e-12), we recommend Vern6, Vern7, or Vern8 as efficient choices.

For high accuracy non-stiff solving (BigFloat and tolerances like <1e-12), we recommend the Vern9 method. If a high-order method is needed with a high order interpolant, then you should choose Vern9 which is Order 9 with an Order 9 interpolant. If you need extremely high accuracy (<1e-30?) and do not need an interpolant, try the Feagin12 or Feagin14 methods. Note that the Feagin methods are the only high-order optimized methods which do not include a high-order interpolant (they do include a 3rd order Hermite interpolation if needed). Note that these high order RK methods are more robust than the high order Adams-Bashforth methods to discontinuities and achieve very high precision, and are much more efficient than the extrapolation methods. However, the CVODE_Adams method can be a good choice for high accuracy when the system of equations is very large (>10,000 ODEs?) or the function calculation is very expensive.

Stiff Problems

For stiff problems at high tolerances (>1e-2?) it is recommended that you use Rosenbrock23. At medium tolerances (>1e-8?) it is recommended you use Rodas4 or Rodas4P (the former is slightly more efficient but the later is much more reliable). As native DifferentialEquations.jl solvers, many Julia numeric types (such as BigFloats, ArbFloats, or DecFP) will work. When the equation is defined via the @ode_def macro, this will be the most efficient. For faster solving at low tolerances (<1e-9) but when Vector{Float64} is used, use radau. High precision numbers are also compatible with Trapezoid which is a symplectic integrator. Notice that Rodas4 loses accuracy on discretizations of nonlinear parabolic PDEs, and thus it's suggested you replace it with Rodas4P in those situations. For asymtopically large systems of ODEs (N>10000?) where f is very costly and the complex eigenvalues are minimal (low oscillations), in that case CVODE_BDF will be the most efficient but requires Vector{Float64}.

Translations from MATLAB/Python/R

For users familiar with MATLAB/Python/R, good translations of the standard library methods are as follows:

Full List of Methods

Choose one of these methods with the alg keyword in solve.

OrdinaryDiffEq.jl

Unless otherwise specified, the OrdinaryDiffEq algorithms all come with a 3rd order Hermite polynomial interpolation. The algorithms denoted as having a "free" interpolation means that no extra steps are required for the interpolation. For the non-free higher order interpolating functions, the extra steps are computed lazily (i.e. not during the solve).

The OrdinaryDiffEq.jl algorithms achieve the highest performance for non-stiff equations while being the most generic: accepting the most Julia-based types, allow for sophisticated event handling, etc. They are recommended for all non-stiff problems. For stiff problems, the algorithms are currently not as high of order or as well-optimized as the ODEInterface.jl or Sundials.jl algorithms, and thus if the problem is on arrays of Float64, they are recommended. However, the stiff methods from OrdinaryDiffEq.jl are able to handle a larger generality of number types (arbitrary precision, etc.) and thus are recommended for stiff problems on non-Float64 numbers.

Runge-Kutta Methods for Non-Stiff Equations

Example usage:

alg = Tsit5()
solve(prob,alg)  

Strong-Stability Presurving Runge-Kutta Methods for Hyperbolic PDEs (Conservation Laws)

Methods for Stiff Equations

Extra Options

The following methods allow for specification of linsolve: the linear solver which is used:

For more information on specifying the linear solver, see the manual page on solver specification.

The following methods allow for specification of nlsolve: the nonlinear solver which is used:

Note that performance overload information (Jacobians etc.) are not used in this mode. For more information on specifying the nonlinear solver, see the manual page on solver specification.

Additionally, the following methods have extra differentiation controls:

In each of these, autodiff can be set to turn on/off autodifferentiation, and chunk_size can be used to set the chunksize of the Dual numbers (see the documentation for ForwardDiff.jl for details). In addition, the Rosenbrock methods can set diff_type, which is the type of numerical differentiation that is used (when autodifferentiation is disabled). The choices are :central or :forward.

Examples:

sol = solve(prob,Rosenbrock23()) # Standard, uses autodiff
sol = solve(prob,Rosenbrock23(chunk_size=10)) # Autodiff with chunksize of 10
sol = solve(prob,Rosenbrock23(autodiff=false)) # Numerical differentiation with central differencing
sol = solve(prob,Rosenbrock23(autodiff=false,diff_type=:forward)) # Numerical differentiation with forward differencing

Tableau Method

Additionally, there is the tableau method:

are specified via the keyword argument tab=tableau. The default tableau is for Dormand-Prince 4/5. Other supplied tableaus can be found in the Supplied Tableaus section.

Example usage:

alg = ExplicitRK(tableau=constructDormandPrince())
solve(prob,alg)

CompositeAlgorithm

One unique feature of OrdinaryDiffEq.jl is the CompositeAlgorithm, which allows you to, with very minimal overhead, design a multimethod which switches between chosen algorithms as needed. The syntax is CompositeAlgorthm(algtup,choice_function) where algtup is a tuple of OrdinaryDiffEq.jl algorithms, and choice_function is a function which declares which method to use in the following step. For example, we can design a multimethod which uses Tsit5() but switches to Vern7() whenever dt is too small:

choice_function(integrator) = (Int(integrator.dt<0.001) + 1)
alg_switch = CompositeAlgorithm((Tsit5(),Vern7()),choice_function)

The choice_function takes in an integrator and thus all of the features available in the Integrator Interface can be used in the choice function.

Sundials.jl

The Sundials suite is built around multistep methods. These methods are more efficient than other methods when the cost of the function calculations is really high, but for less costly functions the cost of nurturing the timestep overweighs the benefits. However, the BDF method is a classic method for stiff equations and "generally works".

The Sundials algorithms all come with a 3rd order Hermite polynomial interpolation. Note that the constructors for the Sundials algorithms take two main arguments:

The choices for the linear solver are:

Example:

CVODE_BDF() # BDF method using Newton + Dense solver
CVODE_BDF(method=:Functional) # BDF method using Functional iterations
CVODE_BDF(linear_solver=:Band,jac_upper=3,jac_lower=3) # Banded solver with nonzero diagonals 3 up and 3 down
CVODE_BDF(linear_solver=:BCG) # Biconjugate gradient method                                   

All of the additional options are available. The full constructor is:

CVODE_BDF(;method=:Newton,linear_solver=:Dense,
          jac_upper=0,jac_lower=0,non_zero=0,krylov_dim=0,
          stability_limit_detect=false,
          max_hnil_warns = 10,
          max_order = 5,
          max_error_test_failures = 7,
          max_nonlinear_iters = 3,
          max_convergence_failures = 10)

CVODE_Adams(;method=:Functional,linear_solver=:None,
            jac_upper=0,jac_lower=0,krylov_dim=0,
            stability_limit_detect=false,
            max_hnil_warns = 10,
            max_order = 12,
            max_error_test_failures = 7,
            max_nonlinear_iters = 3,
            max_convergence_failures = 10)

See the Sundials manual for details on the additional options.

ODE.jl

†: Does not step to the interval endpoint. This can cause issues with discontinuity detection, and discrete variables need to be updated appropriately.

ODEInterface.jl

The ODEInterface algorithms are the classic Hairer Fortran algorithms. While the non-stiff algorithms are superseded by the more featured and higher performance Julia implementations from OrdinaryDiffEq.jl, the stiff solvers such as radau are some of the most efficient methods available (but are restricted for use on arrays of Float64).

Note that this setup is not automatically included with DifferentialEquations.jl. To use the following algorithms, you must install and use ODEInterfaceDiffEq.jl:

Pkg.add("ODEInterfaceDiffEq")
using ODEInterfaceDiffEq

LSODA.jl

This setup provides a wrapper to the algorithm LSODA, a well-known method which uses switching to solve both stiff and non-stiff equations.

Note that this setup is not automatically included with DifferentialEquaitons.jl. To use the following algorithms, you must install and use LSODA.jl:

Pkg.add("LSODA")
using LSODA

List of Supplied Tableaus

A large variety of tableaus have been supplied by default via DiffEqDevTools.jl. The list of tableaus can be found in the developer docs. For the most useful and common algorithms, a hand-optimized version is supplied in OrdinaryDiffEq.jl which is recommended for general uses (i.e. use DP5 instead of ExplicitRK with tableau=constructDormandPrince()). However, these serve as a good method for comparing between tableaus and understanding the pros/cons of the methods. Implemented are every published tableau (that I know exists). Note that user-defined tableaus also are accepted. To see how to define a tableau, checkout the premade tableau source code. Tableau docstrings should have appropriate citations (if not, file an issue).

Plot recipes are provided which will plot the stability region for a given tableau.