patrick-kidger / patrick-kidger/diffrax

Adaptive solver ignores `step_ts` for impulse discontinuous ODE

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Description

I'm trying to integrate a jump discontinuous ODE using an adaptive solver (i.e. discontinuous at a specific timepoint).

However, the integration seems to ignore my step_ts:

import diffrax


t0, t1 = 0, 3
jump = 0.5  #  let's jump at this point
step_ts = [t0, jump, t1]


def vector_field(t, y, args):
    return -1.0 * y + 100.0 * (t == jump)  # also tried jnp.allclose but doesn't work either


term = diffrax.ODETerm(vector_field)
solver = diffrax.Tsit5()
saveat = diffrax.SaveAt(ts=step_ts)
stepsize_controller = diffrax.PIDController(
    pcoeff=0.0,
    icoeff=1.0,
    dcoeff=0.0,
    rtol=1e-4,
    atol=1e-6,
    step_ts=step_ts,
)

sol = diffrax.diffeqsolve(
    term,
    solver,
    t0=t0,
    t1=t1,
    dt0=None,
    y0=1,
    saveat=saveat,
    stepsize_controller=stepsize_controller,
)

print(sol.ts)
assert jump in sol.ts
print(sol.ys)

Output:

[0.  0.5 3. ]
[1.         0.6068427  0.04981759]  # should be something much larger since we have a large jump at t=0.5

I'm avoiding jump_ts based on https://github.com/patrick-kidger/diffrax/issues/58, which addressed the case where you have piecewise constant vector fields. However I'm not quite sure what to do when there's a delta-function in the vector field (impulse external control)

Is there a way to do this in diffrax?

Contributor guide

Open the contributing guide

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start with the reproducer using diffrax.diffeqsolve, ODETerm, and PIDController, then trace how step_ts is handled during adaptive integration and how the vector field is evaluated at the impulse time. Done means the documented discontinuous-ODE case has defined, correct behavior for an impulse at jump, with a regression test covering the result.

Written by the indexing model from the issue text.

Assessment

Tech stack
python
Domain
backend
Issue type
Bug
Difficulty
4/5
Estimated time
3-5 days
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
38/100

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