Delay Differential Equations

Delay Differential Equations

This tutorial will introduce you to the functionality for solving delay differential equations. This tutorial assumes you have read the Ordinary Differential Equations tutorial.

Delay differential equations are equations which have a delayed argument. To allow for specifying the delayed argument, the function definition for a delay differential equation is expanded to include a history function h(t) which uses interpolations throughout the solution's history to form a continuous extension of the solver's past. The function signature for a delay differential equation is f(t,u,h) for not in-place computations, and f(t,u,h,du) for in-place computations.

In this example we will solve a model of breast cancer growth kinetics:

\[\begin{align} dx_{0} &= \frac{v_{0}}{1+\beta_{0}\left(x_{2}(t-\tau)\right)^{2}}\left(p_{0}-q_{0}\right)x_{0}(t)-d_{0}x_{0}(t)\\ dx_{1} &= \frac{v_{0}}{1+\beta_{0}\left(x_{2}(t-\tau)\right)^{2}}\left(1-p_{0}+q_{0}\right)x_{0}(t)\\ +& \frac{v_{1}}{1+\beta_{1}\left(x_{2}(t-\tau)\right)^{2}}\left(p_{1}-q_{1}\right)x_{1}(t)-d_{1}x_{1}(t)\\ dx_{2} &= \frac{v_{1}}{1+\beta_{1}\left(x_{2}(t-\tau)\right)^{2}}\left(1-p_{1}+q_{1}\right)x_{1}(t)-d_{2}x_{2}(t) \end{align}\]

For this problem we note that $\tau$ is constant, and thus we can use a method which exploits this behavior. We first write out the equation using the appropriate function signature. Most of the equation writing is the same, though we use the history function by first interpolating and then choosing the components. Thus the ith component at time t-tau is given by h(t-tau)[i]. Components with no delays are written as in the ODE.

Thus, the function for this model is given by:

const p0 = 0.2; const q0 = 0.3; const v0 = 1; const d0 = 5
const p1 = 0.2; const q1 = 0.3; const v1 = 1; const d1 = 1
const d2 = 1; const beta0 = 1; const beta1 = 1; const tau = 1
function bc_model(t,u,h,du)
  du[1] = (v0/(1+beta0*(h(t-tau)[3]^2))) * (p0 - q0)*u[1] - d0*u[1]
  du[2] = (v0/(1+beta0*(h(t-tau)[3]^2))) * (1 - p0 + q0)*u[1] +
          (v1/(1+beta1*(h(t-tau)[3]^2))) * (p1 - q1)*u[2] - d1*u[2]
  du[3] = (v1/(1+beta1*(h(t-tau)[3]^2))) * (1 - p1 + q1)*u[2] - d2*u[3]
end

To use the constant lag model, we have to declare the lags. Here we will use tau=1.

lags = [tau]

Now we build a ConstantLagDDEProblem. The signature is very similar to ODEs, where we now have to give the lags and an h. h is the history function, or a function that declares what the values were before the time the model starts. Here we will assume that for all time before t0 the values were 1:

h(t) = ones(3)

We have h output a 3x1 vector since our differential equation is given by a system of the same size. Next, we choose to solve on the timespan (0.0,10.0) and create the problem type:

tspan = (0.0,10.0)
u0 = [1.0,1.0,1.0]
prob = ConstantLagDDEProblem(bc_model,h,u0,lags,tspan)

An efficient way to solve this problem (given the constant lags) is with the MethodOfSteps solver. Through the magic that is Julia, it translates an OrdinaryDiffEq.jl ODE solver method into a method for delay differential equations which is highly efficient due to sweet compiler magic. A good choice is the order 5 Tsit5() method:

alg = MethodOfSteps(Tsit5())

For lower tolerance solving, one can use the BS3() algorithm to good effect (this combination is similar to the MATLAB dde23), and for high tolerances the DP8() algorithm will give an 8th order solution. Note that the Verner methods will not work here due to their lazy interpolation scheme.

To solve the problem with this algorithm, we do the same thing we'd do with other methods on the common interface:

sol = solve(prob,alg)

Note that everything available to OrdinaryDiffEq.jl can be used here, including event handling and other callbacks. The solution object has the same interface as for ODEs. For example, we can use the same plot recipes to view the results:

using Plots; plot(sol)

DDE Example Plot

State-Dependent Delays

State-dependent delays are problems where the delay is allowed to be a function of the current state. To do this in DifferentialEquations.jl, one simply writes it in the natural manner h(g(t,u)) where g is the lag function. As before, you must declare the lag functions to the solver. Other than that, everything else is the same, where one instead constructs a DDEProblem type:

prob = DDEProblem(f,h,u0,lags,tspan)

and solves that using the common interface.

However, currently there are no good algorithms for this. The developers are working on a defect control method which will give good quality results and have strict error bounds.