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Outline
= f (t, y(t))
y(t0 )
= y0
y(t)
= (t), for t t0
y(t)
Example
Ecology
predator-prey
Epidemiology
spread of infections
Immunology
HIV infection
Physiology
Neural Networks
Cell Kinetics
Chemical Kinetics
The Oregonator
Physics
y1 (t
= y1 (t)(1 y1 (t )
2
y1 (t)
y2 (t) = y2 (t)
2
y1 (t) + 1
y2 (t)y1 (t)2
))
y1 (t)2 + 1
where = 1/10 , = 29/10 and = 21/50, for t in [0, 30]. The history functions
are
1 (t)
2 (t)
33
1
t
100 10
1
111
+ t
50
10
for t 0.
0.36
0.35
y1
0.34
0.33
0.32
0.31
10
15
20
25
30
20
25
30
2.255
2.25
2.245
2.24
2.235
y2
2.23
2.225
2.22
2.215
2.21
10
15
t
Runge-Kutta (RK).
Derivative Discontinuities
In general
(t0 ) 6= f (t0 , (t0 ), (t0 1 ), , (t0 ))
Due to the existence of delays, discontinuities propagate along the
integration interval.
Solution is smoothed for RDDEs but in general not for NDDEs.
The RK and LM methods fail in presence of discontinuities.
Treatment : Tracking Discontinuities and forcing them to be mesh points.
Parameterized Models
A parameterized IVP
y (t; p) = f (t, y(t; p); p)
y(t0 ) = y0 (p)
For example p = [] in the Van der Pol oscillator
y1 (t) = y2 (t)
y2 (t) = (1 y12 )y2 y1
The (first order) solution sensitivity with respect to the model parameter pi is
defined as the vector
}y(t; p),
si (t; p) = {
pi
(i = 1, . . . , L)
The second order solution sensitivity with respect to the model parameters
pi and pj is defined as the vector
2
rij (t; p) = {
}si (t; p) = {
}y(t; p),
pj
pj pi
(i, j = 1, . . . , L)
Estimate which parameters are most influential in affecting the behavior of the
simulation. Such information is crucial for
Experimental Design
Data Assimilation
Dynamic Optimization
Parameter Estimation
}y(t; p)
pi
pi
Due to the rounding errors, the approximation is only O( T ol) with the best choice for
pi .
{
Internal Differentiation
y (t; p) = f (t, y(t; p); p),
y(t0 ) = y0 (p)
si =
f
f
si +
,
y
pi
si (t0 ) =
y0 (p)
,
pi
(i = 1, . . . L)
= y2 (t)
y2 (t)
= (1 y12 )y2 y1
s1(1) (t)
s1(2) (t)
2y1 y2 1 (1 y12 )
s1(1)
s1(2)
0
(1 y12 )y2
s1(1) (t)
= s1(2)
s1(2) (t)
The Van der Pol oscillator (p = 0.2). The decrease of y1 at t = 20 can be explained as second
1
(t = 20) ' 0 ,
order sensitivities being dominant ( y
2.5
2 y1
(t
2
2
4
1.5
2
1
0.5
y1
y1
0.5
1
1.5
6
2
2.5
10
15
20
2.5
2.5
1.5
1.5
0.5
0
1.5
1.5
2
5
10
t
20
15
20
0
0.5
15
0.5
0.5
2.5
10
t
y1 (p p)
y1 (p + p)
15
20
2.5
10
t
y (t; p) = f (t, y(t; p), y((t, y; p); p), y ((t, y; p); p); p)
y(t; p) = (t; p), for t t0 (p)
si (t) =
f
si (t) +
y
+
+
f
y (k )
+ si ()
si (t) +
y(k )
y
p
f
y
()
s
(t)
+
+
s
i
i ()
y ()
y
p
f
p
SONAD 2008 p.12/21
Continuous transition at t = ,
y(+ ) = y( )
y +
y
+
( ) =
( ) + y ( ) y ( )
pl
pl
pl
Triggered by,
g(t, y, y ; p) = 0
g
y
y
pl
+ y
pl
g
y
+ y
pl
pl
g
g
+
=0
pl
t pl
DDEs
Identified by,
(r+1 (p), y; p) = r (p)
r = 1, 2, . . .
=
=
y
y pl
r (p)
pl
pl
y
+
y
t
for
r1
t0 (p)
pl
SONAD 2008 p.13/21
=
=
y1 (t)(1 y1 (t )
y2 (t)
y1 (t
y1 (t)2
2
y1 (t) + 1
y2 (t)y1 (t)2
))
y1 (t)2 + 1
where = 1/10 , = 29/10 and = 21/50, for t in [0, 30]. The history functions are
1 (t)
2 (t)
33
1
t
100
10
1
111
+
t
50
10
for t 0.
Parameters are
p = [, , , a, b, c, d]
where
1 (t)
a + bt
2 (t)
c + dt
SONAD 2008 p.14/21
2.5
2
0.36
1.5
1
0.35
0.5
y1
y1 0.34
0
0.5
0.33
1
1.5
0.32
2
0.31
10
15
20
25
2.5
30
10
15
20
25
30
20
25
30
0.08
2.5
0.06
2
0.04
0.02
y1
1.5
0
y1
0.02
0.04
0.5
0.06
0.08
10
15
t
20
25
30
10
15
t
2.255
2.25
0.4
2.245
0.3
2.24
2.235
0.2
2.23
y2
0.1
y2
2.225
0
2.22
0.1
2.215
2.21
10
15
20
25
0.2
30
10
15
20
25
30
20
25
30
0.03
0
2
0.025
4
0.02
6
y2
0.015
y2
0.01
8
10
12
0.005
14
0
0.005
16
10
15
t
20
25
30
18
10
15
t
y1
a
1.2
0.2
0.1
0.8
0.6
y1 0.1
b
0.4
0.2
0.2
0.3
0.4
0.2
10
15
20
25
30
0.5
10
15
20
25
30
20
25
30
0.02
0.06
0.05
0.02
0.04
0.04
y1
c
0.06
0.03
y1
d 0.02
0.08
0.01
0.1
0.12
0.14
10
15
t
20
25
30
0.01
10
15
t
0
0.1
1.5
0.2
y2
b
1
y2
a
0.3
0.4
0.5
0.5
0.6
0
0.7
0.5
10
15
20
25
30
0.8
10
15
20
25
30
20
25
30
1.2
0.05
0
1
0.05
0.8
0.1
y20.15
d
0.2
0.6
y2
c
0.4
0.25
0.3
0.2
0.35
0
0.4
0.2
10
15
t
20
25
30
0.45
10
15
t
Sensitivity Analysis
Refined Mathematical Model
Parameter Estimation
Unconstrained
min W (p) =
p
[Y (i ) y(i ; p)]2 .
Levenberg-Marquardt
Variations of Sequential Quadratic Programming (SQP)
Constrained
min W (p) =
p
[Y (i ) y(i ; p)]2 ,
cj (p) = 0, j E,
cj (p) 0, j I.
2 W (p)
pl pm
=2
= 2
[Y (i ) y(i ; p)]
X y(i ; p) y(i ; p)
i
pl
pm
y(i ; p)
pl
[Y (i ) y(i ; p)]
2 y(i ; p)
pl pm
the sensitivity equations are usually used to provide the required values. An alternative
approach is to use a divided-difference approximation.
2 W (p)
pl pm
W (p)
pl
= 2
X
i
[Y (i ) y(i ; p)]
y(i ; p)
pl
"
#
2
X y(i ; p) y(i ; p)
y(i ; p)
=2
[Y (i ) y(i ; p)]
pl
pm
pl pm
Non-smooth optimization
5(t ) + c,
y(t) =
5(t ) + c,
if t
<
if t
5,
y (t) =
5,
if t
<
if t
25
y(t)
20
15
10
5
c
0
7
SONAD 2008 p.19/21
60
W( )
W( )
40
20
20
40
60
3.5
4.5
5
SONAD 2008 p.19/21
31 iterations .
2 iterations .
2 iterations .
Appearance of Non-smoothness
W (p)
pl pm
W (p)
pl
=2
X
i
= 2
y(i ; p)
pl
[Y (i ) y(i ; p)]
y(i ; p)
pm
y(i ; p)
pl
[Y (i ) y(i ; p)]
y(i ; p)
pl pm
true solution
continiously extended solution
discontinuity point
data point
r (p)
r+1 (p)
r (p)
i
r+1 (p)
Force the ordering by adding r (p) i r+1 (p) to the set of constraints.
The partial derivatives (gradient) of the new constraints ,
r+1 (p)
,
p
y1 (t)
y2 (t)
=
=
y1 (t)(1 y1 (t )
y2 (t)
y1 (t
y1 (t)2
2
y1 (t) + 1
y2 (t)y1 (t)2
))
y1 (t)2 + 1
Results
Estimator Choice
FCN
OBJ
Very Simple
72,2697
0.000142917
Using Sensitivities
26,942
0.000142917
Adding Constraints
9,916
0.000142917