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\newcommand{\R}{\proglang{R }\xspace}
\newcommand{\bvp}{\pkg{bvpSolve }\xspace}
\newcommand{\ds}{\pkg{deSolve } \xspace}
\newcommand{\rs}{\pkg{rootSolve }\xspace}

\title{ Package \pkg{bvpSolve}, solving boundary value problems in \proglang{R}}

\Plaintitle{Package bvpSolve, solving boundary value problemns in R }

\Keywords{ordinary differential equations, boundary value problems,
  shooting method, mono-implicit Runge-Kutta,
  \proglang{R}}

\Plainkeywords{ordinary differential equations, boundary value problems,
  shooting method, mono-implicit Runge-Kutta, R}


\author{Karline Soetaert\\
  Royal Netherlands Institute of Sea Research\\
  Yerseke, The Netherlands
  \And
  Jeff Cash\\
  Department of mathematics\\
  Imperial College London\\
  U.K.
  \And
  Francesca Mazzia\\
  Dipartimento di Matematica \\
  Universita' di Bari \\
  Italy   
}

\Plainauthor{Karline Soetaert, Jeff Cash and Francesca Mazzia}

\Abstract{package \bvp \citep{bvpSolve}, in the open-source software \R,
  \citep{R2010} is designed for the numerical
  solution of boundary value problems (BVP) for ordinary differential
  equations (ODE).

  It comprizes:
  \begin{itemize}
    \item function \code{bvpshoot} which implements the shooting method.
      This method makes use of the initial value problem solvers from
      packages \pkg{deSolve} \citep{deSolve} and the root-finding solver
      from package \pkg{rootSolve} \citep{rootSolve}.
    \item function \code{bvptwp}, the mono-implicit Runge-Kutta (MIRK)
      method with deferred corrections, using conditioning in the mesh 
      selection,  based on FORTRAN code TWPBVPC
      \citep{Cash91, CashMazz}, for solving two-point  boundary value problems
    \item function \code{bvpcol}, the collocation method 
       based on FORTRAN codes COLNEW \citep{Bader87}, and COLSYS \citep{ascher79}
      for solving Multi-point  boundary value problems of
      mixed order
  \end{itemize}

  The \R functions have an interface which is similar to the interface of
  the initial value problem solvers in package \ds  
  
  The default input to the solvers is very simple, requiring specification 
  of only one function, that calculates the derivatives, while the boundary
  conditions are represented as simple vectors. 

  However, in order to speed-up the simulations, and to increase the number of 
  problems that can be solved, it is also possible to specify the
  boundary conditions by means of a function and provide analytical solutions 
  for the derivative and boundary gradients.
  
  This is one of two vignette of package \rs.
 
}

%% The address of (at least) one author should be given
%% in the following format:
\Address{
  Karline Soetaert\\
  Royal Netherlands Institute of \\
  Sea Research (NIOZ)\\
  4401 NT Yerseke, Netherlands \\
  E-mail: \email{karline.soetaert@nioz.nl}\\
  URL: \url{https://www.nioz.nl/staff-detail?id=784400}\\
   \\
  Jeff Cash\\
  Imperial College London\\
  South Kensington Campus\\
  London SW7 2AZ, U.K.\\
  E-mail: \email{j.cash@imperial.ac.uk}\\
  URL: \url{http://www.ma.ic.ac.uk/\~jcash}\\
  \\
  Francesca Mazzia           \\
  Dipartimento di Matematica \\
  Universita' di Bari        \\
  Via Orabona 4,             \\
  70125 BARI                 \\
  Italy 
  E-mail: \email{mazzia@dm.uniba.it}\\
  URL: \url{http://www.dm.uniba.it/~mazzia/mazzia/}\\
}

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% R/Sweave specific LaTeX commands.
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%\VignetteIndexEntry{Solving Boundary Value Problems of Ordinary Differential Equations}


%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Begin of the document
\begin{document}
\SweaveOpts{engine=R,eps=FALSE}
\SweaveOpts{keep.source=TRUE}

<<preliminaries,echo=FALSE,results=hide>>=
library("bvpSolve")
options(prompt = " ")
options(continue = "  ")
options(width=70)
@ 

\maketitle

\section{Introduction}

\subsection{The Boundary Value Problem Solvers}
  \pkg{bvpSolve} numerically solves boundary value problems (BVP) of
  ordinary differential equations (ODE), which for one (second-order) ODE
  can be written as:

  \begin{eqnarray*}
    \frac{d^2y}{dx^2}=f(x,y,\frac{dy}{dx})\\
    a \leq x\leq b \\
    g_1(y) |_a = 0 \\
    g_2(y) |_b = 0
  \end{eqnarray*}
  where \code{y} is the dependent, \code{x} the independent variable,
  function \code{f} is the differential equation, and $g_1(y) |_a $ and 
  $g_2(y) |_b$ the boundary conditions at the end points a and b.

\subsection{Package bvpSolve}
  
  Three BVP solvers are included in \bvp:
  \begin{itemize}
    \item \code{bvpshoot}, implementing the shooting method. This method
      combines solutions of initial value problems (IVP) with solutions
      of nonlinear algebraic equations; it makes use of solvers from
      packages \ds and \rs.
    \item \code{bvptwp}, a mono-implicit Runge-Kutta (MIRK)
      method with deferred corrections, and using conditioning in the mesh 
      selection, based on FORTRAN code TWPBVPC
      \citep{Cash91, CashMazz}.
    \item \code{bvpcol}, a collocation method 
       based on FORTRAN codes COLNEW \citep{Bader87}, and COLSYS \citep{ascher79} 
       for solving Multi-point boundary value problems of
      mixed order.
  \end{itemize}
  
  An S3 method for plotting is included. This will plot all variables in 
  separate figures.

  All functions can solve higher-order ODEs without writing them as a set
  of first-order ODEs, but this makes the interface a bit more difficult.
  
  Only \code{bvpcol} is more efficient if the higher-order input is used.
  
  For functions \code{bvpshoot} and \code{bvptwp} it is slightly more 
  efficient to write them as \emph{first-order} ODEs.
  
  For instance:
  \begin{eqnarray*}
    \frac{d^2y}{dx^2}=f(x,y,\frac{dy}{dx})
  \end{eqnarray*}
  can be rewritten as:
  \begin{eqnarray*}
    \frac{dy}{dx}=z \\
    \frac{dz}{dx}=f(x,y,z)
  \end{eqnarray*}
  where \code{y} and \code{z} are now the two dependent variables. 

  In \code{bvptwp} and \code{bvpshoot}, the boundary conditions must be
  defined at the end of the interval over which the ODE is specified (i.e.
  at \code{a} and/or \code{b}). In contrast, \code{bvpcol} can also have 
  the boundary conditions specified at intermediate points.
 
\subsection{Simple and More Complex Input}
  When using \code{bvptwp} and \code{bvpcol}, the problem can be specified in several ways. 
  
  \begin{itemize}
  \item
  By default, the partial derivatives of the differential equations and of 
  the boundary conditions are approximated by the solver using 
  \emph{finite differences}. 
  Then, the user need not be concerned with supplying functions
  that calculate the analytical partial derivatives. 
  This makes the definition of the problem very simple: only one
  function, estimating the derivatives needs to be provided, while the 
  boundary conditions are specified as vectors.
  However, some problems cannot be specified this way. It is also the slowest
  method.
  \item
  The \code{bvptwp} and \code{bvpcol} function is much more efficient if
  \emph{analytical} partial derivatives of the differential 
  equations and of boundary conditions are given.  
  \item
  Even more simulation time will be gained if the problem is specified in
  \emph{compiled code} (\proglang{FORTRAN, C}). In this case, \R is used to trigger
  the solver \code{bvptwp} or \code{bvpcol}, and for post-processing (graphics), while
  solving the BVP itself entirely takes place in compiled code.
  \end {itemize}

\subsection{Examples in This Vignette}
  In this package vignette it is shown how to formulate and solve BVPs. We
  use well-known test cases as examples.
  \begin{itemize}
    \item We start with a simple example, comprising one second-order ODE (
      test problem 7 from the website of Jeff Cash 
      (\url{http://wwwf.imperial.ac.uk/~jcash/BVP_software/PROBLEMS.PDF})
    \item This is followed by a more complex example, which consists of 
      6 first-order ODEs, the ''swirling flow III'' problem \citep{Asher95}. 
      This example is used to demonstrate how to
      continuate a solution, i.e. use the solution for one problem as initial
      guess for solving another, more complex problem.
    \item How to implement more complex initial conditions is then exemplified by
      means of problem ''musn''  \citep{Asher95}.
    \item Next, solving for the fourth eigenvalue of
      ''Mathieu's equation'' \citep{shampine}, illustrates how to solve a BVP
      including an unknown parameter.
    \item The ''nerve impulse'' model  \citep{Seidel}, is an example including 
      periodic boundary conditions. 
    \item The ''fluid injection'' problem \citep{Asher95}, is a set of 
      higher-order ODEs, which is best solved using \code{bvpcol}.
    \item A simple multipoint examplis is solved using \code{bvpcol}.
    \item The ''elastica'' problem (Jeff Cash's website) is used to demonstrate how
      to specify the analytic jacobians, and how to implement
      problems in \proglang{FORTRAN} or \proglang{C}.
    \item Finally, a standard linear testcase \citep{shampine} which has a 
      steep boundary layer is implemented in \proglang{FORTRAN},
      and run with several values of a model parameter.
  \end{itemize}
  
  More examples of boundary value problems can be found in the packages
  \url{examples} subdirectory. 
  
  The \url{dynload} subdirectory includes models specified in compiled code.
  
  See also document ''bvpSolve: a set of 35 test Problems'', which can be
  accessed as \code{vignette("bvpTests")} or is available from the package's
  site on CRAN:
  \url{http://cran.r-project.org/package=bvpSolve/}

\clearpage

\section{A Simple BVP Example}

  Here is a simple BVP ODE (which is problem 7 from the test problems available
  from \url{http://wwwf.imperial.ac.uk/~jcash/BVP_software/PROBLEMS.PDF} ):

  \begin{eqnarray*}
    \xi y'' + x y' - y &=&  -(1 + \xi \pi ^2) \cos(\pi x) -\pi x \sin(\pi x)\\
    y(-1) &=& -1 \\
    y(1) &=& 1
  \end{eqnarray*}
  The second-order ODE is expanded as two first-order ODEs as:
  \begin{eqnarray*}
    y_1' &=& y_2 \\
    y_2' &=& 1/\xi \cdot (-x y_2 +y_1 -(1 + \xi \pi ^2) \cos(\pi x) -\pi x \sin(\pi x))\\
  \end{eqnarray*}
  with boundary conditions
  \begin{eqnarray*}
    y_1(-1) &=& -1 \\
    y_1(1) &=& 1
  \end{eqnarray*}
  This is implemented as:
<<>>=
fun<- function(x,y,pars) {
 list(c(y[2],
   1/ks * (-x*y[2]+y[1]-(1+ks*pi*pi)*cos(pi*x)-pi*x*sin(pi*x)))
     )
}
@
  and solved, using the three methods, as \footnote{the system time, in seconds
  is printed}:
<<>>=
ks <- 0.1
x  <- seq(-1, 1, by = 0.01)
print(system.time(
sol1  <- bvpshoot(yini = c(-1, NA), yend = c(1, NA),
                  x = x, func = fun, guess = 0)
))

print(system.time(
sol2  <- bvptwp(yini = c(-1, NA), yend = c(1, NA), x = x, func = fun)
))

print(system.time(
sol3  <- bvpcol(yini = c(-1, NA), yend = c(1, NA), x = x, func = fun)
))
@
  Note how the boundary conditions at the start (\code{yini}) and
  at the end (\code{yend}) of the integration interval are specified, where
  \code{NA} is used for boundary conditions that are not known.
  
  A reasonable \code{guess} of the unknown initial condition is
  also inputted for the shooting method.

  The shooting method is often faster than the other
  methods. However, there are particular problems where
  \code{bvpshoot} does not give a solution, whereas \code{bvptwp} or \code{bvpcol}
  do (see below).

  The plot shows that the methods give the same solution:
<<label=pr7a,include=FALSE>>=
plot(sol2[,1], sol2[,3], type = "l", main = "test problem 7, ksi=0.1",
     lwd = 2, col = "red")
points(sol1[,1], sol1[,3], col = "green", pch = "x")
legend("topright", c("bvptwp", "bvpshoot"),
        lty = c(1, NA, NA), pch = c(NA, 1, 3), col = c("red", "green"))
@

\setkeys{Gin}{width=0.4\textwidth}
\begin{figure}
\begin{center}
<<label=pr7a,fig=TRUE,echo=FALSE>>=
<<pr7a>>
@
\end{center}
\caption{Solution of the simple BVP, for ksi=0.1 - see text for \R-code}
\label{fig:ode}
\end{figure}

For very small values of the parameter  $\xi$, \code{bvpshoot} cannot solve 
the problem anymore, due to the presence of a zone of rapid change near x=0.

However, it can still be solved with the other methods, provided that good 
initial guesses are provided:
<<>>=
ks <- 0.0005

print(system.time(
sol3  <- bvptwp(yini = c(-1, NA), yend = c(1, NA), x = seq(-1, 1, by = 0.01),
           func = fun, xguess = sol2[,1], yguess = t(sol2[,-1]))
))
print(system.time(
sol3b <- bvpcol(yini = c(-1, NA), yend = c(1, NA), x = seq(-1, 1, by = 0.01),
           func = fun, xguess = sol2[,1], yguess = t(sol2[,-1]))
))
@
When using \code{bvpcol}, the simulation can also be continuated by simply 
passing the previous solution (as generated by \code{bvpcol} to the solver:
<<>>=
ks <- 0.0001
print(system.time(
sol3c <- bvpcol(yini = c(-1, NA), yend = c(1, NA), x = seq(-1, 1, by = 0.01),
           func = fun, yguess = sol3b)
))
@

Here we produce the output with the S3 \code{plot} method, which depicts both 
dependent variables:
<<label=pr7b,include=FALSE>>=
plot(sol3, type = "l", lwd = 2, col = "red")

@

\setkeys{Gin}{width=0.8\textwidth}
\begin{figure}
\begin{center}
<<label=pr7b,fig=TRUE,echo=FALSE,height=6,width=13>>=
<<pr7b>>
@
\end{center}
\caption{Solution of the simple BVP, for ksi=0.0001 - see text for \R-code.
  Note that this problem cannot be solved with \code{bvpshoot}}
\label{fig:ode2}
\end{figure}
\clearpage

\section{A More Complex BVP Example}

Now the test problem referred to as "swirling flow III" is solved
  \citep{Asher95}.
  
  The original problem definition is:
  \begin{eqnarray*}
    g''&=&(g f' - f g')/ \xi \\
    f''''&=&(-ff'''-gg')/ \xi
  \end{eqnarray*}
  on the interval [0,1] and subject to boundary conditions:
  \begin{eqnarray*}
    g(0)=-1, f(0)= 0, f'(0)= 0 \\
    g(1)=1, f(1)= 0, f'(1)= 0 \\
  \end{eqnarray*}
\subsection{Solving the Problem as a Set of 1st Order Equations}
First the second and fourth order equations are rewritten as a set of $1_{st}$ 
order ODEs as follows:
  \begin{eqnarray*}
    y_1' = y_2                       \\
    y_2' = (y_1*y_4 -y_3*y_2)/ \xi   \\
    y_3' = y_4                       \\
    y_4' = y_5                       \\
    y_5' = y_6                       \\
    y_6' = (-y_3 y_6 - y_1 y_2)/ \xi
  \end{eqnarray*}

  Its implementation in R is:
<<>>=
fsub <- function (t,Y,pars)  { 
  return(list(c(f1 = Y[2],
                f2 = (Y[1]*Y[4] - Y[3]*Y[2])/eps,
                f3 = Y[4],
                f4 = Y[5],
                f5 = Y[6],
                f6 = (-Y[3]*Y[6] - Y[1]*Y[2])/eps)))
}
eps <- 0.001
x <- seq(0, 1, len = 100)
@
This model cannot be solved with the shooting method. However, it can be
solved using \code{bvptwp} and \code{bvpcol}:
<<>>=
print(system.time(
Soltwp <- bvptwp(x = x, func = fsub,
           yini = c(y1 = -1, y2 = NA, y3 = 0, y4 = 0, y5 = NA, y6 = NA),
           yend = c(1, NA, 0, 0, NA, NA))
))
print(system.time(
Solcol <- bvpcol(x = x, func = fsub,
           yini = c(y1 = -1, y2 = NA, y3 = 0, y4 = 0, y5 = NA, y6 = NA),
           yend = c(1, NA, 0, 0, NA, NA))
))
@
where the reported system time is in seconds

The diagnostics of the output solved with \code{bvptwp} shows that the 
problem is quite stiff (high values of the conditioning parameters).

Both solvers require almost the same amount of steps:
<<>>=
diagnostics(Soltwp)
diagnostics(Solcol)
@

A \code{pairs} plot produces a pretty picture.
<<label=swirl,include=FALSE>>=
pairs(Soltwp, main = "swirling flow III, eps=0.01", col = "blue")
@

\setkeys{Gin}{width=0.6\textwidth}
\begin{figure}
\begin{center}
<<label=swirl,fig=TRUE,echo=FALSE>>=
<<swirl>>
@
\end{center}
\caption{pairs plot of the swirling flow III problem - see text for \R-code.
  Note that this problem cannot be solved with \code{bvpshoot}}
\label{fig:ode3}
\end{figure}

Using the same input as above, the problem cannot be solved with too 
small values of eps (but see next section):
\begin{Schunk}
\begin{Sinput}
> eps <- 1e-9
> Soltwp2 <- NA
> Soltwp2 <- try(bvptwp(x=x,func=fsub,
+                       yini=c(y1=-1,y2=NA,y3=0,y4=0,y5=NA,y6=NA),
+                       yend=c(1,NA,0,0,NA,NA)),
+     silent = TRUE)
> cat(Soltwp2)
\end{Sinput}
\begin{Soutput}
Error in bvptwp(x = x, func = fsub, yini = c(y1 = -1,  : 
  The Expected No. Of mesh points Exceeds Storage Specifications.
\end{Soutput}
\end{Schunk}

\subsection{Solving the Problem in Higher Order Form}
All functions can also solve the same problem without rewriting it
in $1^{st}$ order form.

However, only for function \code{bvpcol} will this lead to a significant
improvement of performance.

Thus, the derivative function becomes:
<<>>=
fsubhigh <- function (t,Y,pars)  { 
  return(list(c(d2g = (Y[1]*Y[4] - Y[3]*Y[2])/eps,
                d4f = (-Y[3]*Y[6] - Y[1]*Y[2])/eps)))
}
eps <- 0.001
x   <- seq(0, 1, len = 100)
@
To solve the model in this form, we need to specify the order of each equation.
The first equation is of order 2, the second of order 4.
<<>>=
print(system.time(
Solcol2 <- bvpcol(x = x, func = fsubhigh, order = c(2, 4),
           yini = c(y1 = -1, y2 = NA, y3 = 0, y4 = 0, y5 = NA, y6 = NA),
           yend = c(1, NA, 0, 0, NA, NA))
))
@
Whereas both ways of solving the system produce almost the same output
(but not quite), the second way is significantly faster. It indeed solves the 
problem in less steps:
<<>>=
max(abs(Solcol2-Solcol))
diagnostics(Solcol2)
@

This is not case when we use \code{bvptwp}, where the higher-order 
specification is usually a bit slower than the first-order model:
<<>>=
print(system.time(
Soltwp2 <- bvptwp(x = x, func = fsubhigh, order = c(2, 4),
           yini = c(y1 = -1, y2 = NA, y3 = 0, y4 = 0, y5 = NA, y6 = NA),
           yend = c(1, NA, 0, 0, NA, NA))
))
@
Here the output for the first-order and higher-order specification is exactly
the same:
<<>>=
max(abs(Soltwp2- Soltwp))
@
This problem is much too difficult to be solved with \code{bvpshoot}
\clearpage
\section{Solving a Boundary Value Problem using Continuation}
The previous -swirl- problem can be solved for small values of \code{eps}
if the previous solution (\code{Soltwp}) with eps = 0.001,
is used as an initial guess for smaller value of eps, e.g. 0.0001.

When using \code{bvptwp}, we pass the previous output values in 
\code{xguess} and \code{xguess}
<<>>=
eps <- 0.0001
xguess <- Soltwp[,1]
yguess <- t(Soltwp[,2:7])
@
<<>>=
print(system.time(
  Sol2 <- bvptwp(x = x, func = fsub, xguess = xguess, yguess = yguess, 
          yini = c(y1 = -1, y2 = NA, y3 = 0, y4 = 0, y5 = NA, y6 = NA),
          yend = c(1,            NA,      0,      0,      NA,      NA))
))
@
Continuation using \code{bvpcol} can also be done in the same way, but it 
is more efficient to pass the entire previous solution produced by 
\code{bvpcol} in \code{xguess}. 
<<>>=
print(system.time(
  Sol2b <- bvpcol(x = x, func = fsub, yguess = Solcol, 
          yini = c(y1 = -1, y2 = NA, y3 = 0, y4 = 0, y5 = NA, y6 = NA),
          yend = c(1,            NA,      0,      0,      NA,      NA))
))
@


We use the S3 \code{plot} method to plot all dependent variables at once:
These plots are to be compared with the first column of the "pairs" plot
(figure 3).

<<label=swirl2,include=FALSE>>=
plot(Sol2, col = "darkred", type = "l", lwd = 2)
mtext(outer = TRUE, side = 3, line = -1.5, cex = 1.5,
   "swirling flow III, eps=0.0001")
@
\setkeys{Gin}{width=0.6\textwidth}
\begin{figure}
\begin{center}
<<label=swirl2,fig=TRUE,echo=FALSE>>=
<<swirl2>>
@
\end{center}
\caption{Solution of the swirling flow III problem with small eps,
 using continuation - see text for \R-code.
}
\label{fig:ode3b}
\end{figure}
\clearpage

\section{Plotting bvpSolve objects}
It is possible to plot several outputs of the same model at once, and to add
observed conditions.

<<label=swirl3,include=FALSE>>=
plot (Solcol, Sol2b, which = c("y1","y4"), lty = 1)
@
\setkeys{Gin}{width=0.8\textwidth}
\begin{figure}
\begin{center}
<<label=swirl3,fig=TRUE,echo=FALSE, width = 8, height = 5>>=
<<swirl3>>
@
\end{center}
\caption{Plotting multiple scenario's at once - see text for \R-code.
}
\label{fig:swirl3}
\end{figure}
It is also relatively simple to add observed data. If not specified, then
only the variables, in common between the output and data will be plotted:
<<>>=
obsdat <- matrix (ncol = 2, data = 
      c(seq(0, 1, 0.2), c(-1, -0.4, -0.1, 0.1, 0.4, 1)))
colnames (obsdat) <- c("x", "y1")
obsdat
@
<<label=swirl4,include=FALSE>>=
plot(Solcol, Sol2b, obs = obsdat)
@
\setkeys{Gin}{width=0.6\textwidth}
\begin{figure}
\begin{center}
<<label=swirl4,fig=TRUE,echo=FALSE>>=
<<swirl4>>
@
\end{center}
\caption{Plotting multiple scenario's with observed data - see text for \R-code.
}
\label{fig:swirl4}
\end{figure}

\clearpage

\section{More Complex Initial or End Conditions}
  Problem \code{musn} was described in \citep{Asher95}.

  The problem is:
  \begin{eqnarray*}
    u'&=&0.5u(w-u)/v\\
    v'&=&-0.5(w-u)  \\
    w'&=&(0.9-1000(w-y)-0.5w(w-u))/z\\
    z'&=&0.5(w-u)\\
    y'&=&-100(y-w)
  \end{eqnarray*}
  on the interval [0,1] and subject to boundary conditions:
  \begin{eqnarray*}
    u(0)=v(0)=w(0)&=&1\\
    z(0)&=&-10\\
    w(1)&=&y(1)
  \end{eqnarray*}

Note the last boundary condition which expresses \code{w} as a function
of \code{y}.

Implementation of the ODE function is simple:
<<>>=
musn <- function(x,Y,pars) {
  with (as.list(Y),  {
    du <- 0.5 * u * (w - u) /v
    dv <- -0.5 * (w - u)
    dw <- (0.9 - 1000 * (w - y) - 0.5 * w * (w - u)) /z
    dz <- 0.5 * (w - u)
    dy <- -100 * (y - w)
    return(list(c(du, dv, dw, dz, dy)))
  })
}
@

This model is solved differently whether \code{bvpshoot} or \code{bvptwp}
is used.

\subsection{Solving Problem musn with bvpshoot}
It is easiest to solve the musn model with \code{bvpshoot}:

There are 4 boundary values specified at the start of the interval; a value
for \code{y} is lacking (and set to \code{NA}):
<<>>=
init <- c(u = 1, v = 1, w = 1, z = -10, y = NA)
@

The boundary condition at the end of the integration interval (1) specifies
the value of \code{w} as a function of  \code{y}.

Because of that, \code{yend} cannot be simply inputted as a vector.
It is rather implemented as a function that has as input
the values at the end of the integration interval
  (\code{Y}), the values at the start (\code{yini}) and the parameters, and
  that returns the residual function (\code{w-y}):
<<>>=
yend  <- function (Y, yini, pars)  with (as.list(Y), w-y)
@
Note that the specification of the boundaries for \code{bvptwp} are rather 
different (next section).

The solution, using \code{bvpshoot} is obtained by:
  \footnote{Note that there are at least two solutions to this problem,
  the second solution can simply be found by setting \code{guess}
  equal to 0.9.}
<<>>=
print(system.time(
sol   <-bvpshoot(yini = init, x = seq(0, 1, by = 0.05), func = musn,
           yend = yend, guess = 1, atol = 1e-10, rtol = 0)
))
@
and plotted as:
<<label=musn,include=FALSE>>=
plot(sol, type = "l", lwd = 2)
mtext(outer = TRUE, side = 3, line = -1.5, cex = 1.5, "musn")
@

\setkeys{Gin}{width=0.6\textwidth}
\begin{figure}
\begin{center}
<<label=musn,fig=TRUE,echo=FALSE>>=
<<musn>>
@
\end{center}
\caption{Solution of the musn model, using \code{bvpshoot} -
   see text for \R-code.}
\label{fig:musn}
\end{figure}

\subsection{Solving Problem musn with bvptwp or bvpcol}
Here the boundary function \code{bound} must be specified:

<<>>=
bound <- function(i,y,pars) {
  with (as.list(y), {
    if (i ==1) return (u-1)
    if (i ==2) return (v-1)
    if (i ==3) return (w-1)
    if (i ==4) return (z+10)
    if (i ==5) return (w-y)
 })
}
@

Moreover, this problem can only be solved if good initial
conditions are given:
<<>>=
xguess <- seq(0, 1, len = 5)
yguess <- matrix(ncol = 5, (rep(c(1, 1, 1, -10, 0.91), times = 5)) )
rownames(yguess) <- c("u","v","w","z","y")
xguess
yguess
@


Note that the rows of \code{yguess} have been given a name, such
that this name can be used in the derivative and boundary function.

We specify that there are 4 left boundary conditions (\code{leftbc}).
<<>>=
print(system.time(
Sol <- bvptwp(yini = NULL, x = x, func = musn, bound = bound,
              xguess = xguess, yguess = yguess, leftbc = 4,
              atol = 1e-10)
))

print(system.time(
Sol2 <- bvpcol(yini = NULL, x = x, func = musn, bound = bound,
              xguess = xguess, yguess = yguess, leftbc = 4,
              atol = 1e-10)
))

@

\clearpage

\section{A BVP Problem Including an Unknown Parameter}
  In the next BVP problem \citep{shampine}, the fourth eigenvalue of the 
  Mathieus equation (parameter $\lambda$) is computed. The equation is
  \[
    \frac{d^2y}{dx^2}+(\lambda-10 \cos(2x))\cdot y=0
  \]
  defined on [0,$\pi$], and with boundary conditions
  $\frac{dy}{dx}(0)=0$ and $\frac{dy}{dx}(\pi)=0$ and $y(0)=1$

  Here all the initial values (at x=0) are prescribed, in addition to one
  condition at the end of the interval. If $\lambda$ would
  be known the problem would be overdetermined.

  The $2^{nd}$ order differential equation is first rewritten as two
  $1^{st}$-order equations:
  \begin{eqnarray*}
    \frac{dy}{dx}&=& y_2\\
    \frac{dy_2}{dx}&=& -(\lambda-10 \cos(2x)) \cdot y
  \end{eqnarray*}
  and the function that estimates these derivatives is written (\code{mathieu}).
<<>>=
mathieu <- function(x,y,lambda)
    list(c(y[2],
        -(lambda - 10 * cos(2 * x)) * y[1]))
@
\subsection{Solving For an Unknown Parameter Using bvpshoot}
This problem is most easily solved using \code{bvpshoot}; an initial guess of 
the extra parameter to be solved is simply passed via argument \code{extra}.
<<>>=
init <- c(1, 0)
sol  <- bvpshoot(yini = init, yend = c(NA, 0), x = seq(0, pi, by = 0.01),
        func = mathieu, extra = 15)
@
The result is plotted:
<<label=mat,include=FALSE>>=
plot(sol[,1:2])
mtext(outer = TRUE, side = 3, line = -1.5, cex = 1.5, "mathieu")
@
\setkeys{Gin}{width=0.4\textwidth}
\begin{figure}
\begin{center}
<<label=mat,fig=TRUE,echo=FALSE>>=
<<mat>>
@
\end{center}
\caption{Solution of the BVP ODE problem including an unknown parameter,
  see text for R-code}
\label{fig:mat}
\end{figure}
The  value of \code{lambda} can be printed:
<<>>=
attr(sol, "roots")  # root gives the value of "lambda" (17.10683)
@
\subsection{Solving For an Unknown Parameter Using bvptwp or bvpcol}
To use \code{bvptwp} or \code{bvpcol}, we treat the unknown parameter as an extra 
variable, whose derivative = 0 (it is a parameter, and by definition 
does not change over the integration interval). This is, the equations are:
  \begin{eqnarray*}
    \frac{dy}{dx}&=& y_2\\
    \frac{dy_2}{dx}&=& -(\lambda-10 \cos(2x)) \cdot y \\
    \frac{d\lambda}{dx}&=& 0
  \end{eqnarray*}
for dependent variables \code{y, y_2} and $\lambda$

The model definition in \R becomes:
<<>>=
mathieu2 <- function(x,y,p)
    list(c(y[2],
        -(y[3] - 10 * cos(2 * x)) * y[1],
        0) )
@
Note the third derivative, and the parameter \code{lambda} from previous
chapter which is now \code{y[3]}, the third variable.

The initial condition, \code{yini} and final condition, \code{yend} now also 
provides a value, \code{NA}, for the parameter (y3) that is unknown.
We also provide initial guesses for the x- and y-values (\code{xguess, yguess}).
\footnote{This problem is not solved if the initial guess for 
 the y-values is 0; yet any value different from 0 works}
<<>>=
Sol <- bvptwp (yini = c(y = 1, dy = 0, lambda = NA), yend = c(NA, 0, NA),
        x = seq(0, pi, by = 0.01), func = mathieu2, xguess = c(0, pi),
        yguess = matrix(nrow = 3, data = rep(15, 6)) )
@
The y-value, its derivative, and \code{lambda}, are plotted
<<label=mat2,include=FALSE>>=
plot(Sol, type = "l", lwd = 2)
mtext(outer = TRUE, side = 3, line = -1.5, cex = 1.5, 
     "mathieu - solved using bvptwp")
@
\setkeys{Gin}{width=0.8\textwidth}
\begin{figure}
\begin{center}
<<label=mat2,fig=TRUE,echo=FALSE>>=
<<mat2>>
@
\end{center}
\caption{Solution of the BVP ODE problem including an unknown parameter,
  and using method bvptwp - see text for R-code}
\label{fig:mat}
\end{figure}


\clearpage
\section{A Boundary Value Problem with Periodic Boundary Conditions}
A BVP with cyclic boundary conditions is the nerve impulse model, a problem 
described in \citep{Seidel}.  The equations are:

\begin{eqnarray*}
 y_1' = 3 T (y_1+y_2-1/3 y_1^3-1.3)\\
 y_2' = -T (y_1 - 0.7 + 0.8 y_2)/3
\end{eqnarray*}
defined on the interval [0,1] and subject to boundary conditions:
\begin{eqnarray*}
 y_1(0) = y_1(1) \\
 y_2(0) = y_2(1) \\
 1= -T (y_1(0)-0.7+0.8*y_2(0))/3
\end{eqnarray*}

\subsection{Cyclic Boundary Conditions Solved Using bvpshoot}
The problem is first solved using \code{bvpshoot}:

The derivative function (where \code{T} is the parameter) is:
<<>>=
nerve <- function (t,y,T)
  list(c( 3 * T * (y[1] + y[2] - 1/3 * (y[1]^3) - 1.3),
        (-1/3) * T * (y[1] - 0.7 + 0.8 * y[2]) ))
@
and the residual function, at the end of the interval is:
<<>>=
res<- function (Y,yini,T)
  c(Y[1] - yini[1],
    Y[2] - yini[2],
    T*(-1/3) * (yini[1] - 0.7 + 0.8 * yini[2]) - 1)
@
There are no initial conditions (\code{yini}); to solve this model, a reasonable
\code{guess} of the missing initial conditions is necessary; the initial guess for the 
unknown parameter, $T$, is set to $2 \pi$ (\code{extra}):
<<>>=  
yini <- c(y1 = NA, y2 = NA)
sol  <- bvpshoot(yini = yini, x = seq(0, 1, by = 0.01),
        func = nerve, guess = c(0.5,0.5), yend = res, extra = 2 * pi)
@
T is estimated to be 10.710809; the root has been found in 11 iterations:
<<>>=
attributes(sol)$root
@

\subsection{Cyclic Boundary Conditions Solved using bvptwp or bvpcol}
Function \code{bvptwp} accepts only problems with separated boundary 
conditions, however, it is possible to use it also for solving boundary value
problems with periodic boundary conditions. 

This is done by considering the boundary conditions as ``parameters'', and using the 
strategy of defining these parameters as extra variables, with derivatives = 0,
similar as in previous section.

The augmented derivative function is, with variable
3 the unknown parameter \code{T}, variables 4 and 5 the initial conditions of 
$y_1$, and $y_2$ respectively, is:
<<>>=
nerve3 <- function (t,y,p)
  list(c( 3 * y[3] * (y[1] + y[2] - 1/3 * (y[1]^3) - 1.3),
        (-1/3) * y[3] * (y[1] - 0.7 + 0.8 * y[2]) ,
        0,
        0,
        0)
  )
@ 
The required boundary function, with the first 3 boundary conditions at the 
left boundary is:
<<>>=
bound <- function(i,y,p) {
 if (i == 1) return ( y[3]*(-1/3) * (y[1] - 0.7 + 0.8 * y[2]) - 1 )
 if (i == 2) return ( y[1] - y[4] )           
 if (i == 3) return ( y[2] - y[5] )           # left bnd
 if (i == 4) return ( y[1] - y[4] )           # right bnd
 if (i == 5) return ( y[2] - y[5] )
}
@
boundary condition 2 sets the left boundary of $y_1$ 
equal to parameter $y_4$, boundary condition 4 does the same for the 
right boundary of $y_1$.


Solving this also requires good initial conditions to find a solution:
<<>>=
xguess = seq(0, 1, by = 0.1)
yguess = matrix(nrow = 5, ncol = length(xguess), data = 5.)
yguess[1,] <- sin(2 * pi * xguess)
yguess[2,] <- cos(2 * pi * xguess)
rownames(yguess) <- c("y1", "y2", "T", "y1ini", "y2ini")
@
We need to specify that there are three left boundary conditions 
(\code{leftbc})
<<>>=
Sol  <- bvptwp(func = nerve3, bound = bound, x = seq(0, 1, by = 0.01), 
        ynames = c("y", "dy", "T", "yi", "yj"),
        leftbc = 3, xguess = xguess, yguess = yguess)
@
The first row of \code{Sol} shows the initial conditions:
<<>>=
Sol[1,]
@
<<label=nerve,include=FALSE>>=
plot(Sol, type = "l", lwd = 2, col = "darkblue")
@
\setkeys{Gin}{width=0.6\textwidth}
\begin{figure}
\begin{center}
<<label=nerve,fig=TRUE,echo=FALSE>>=
<<nerve>>
@
\end{center}
\caption{Solution of the nerve impulse problem, comprising two state
variables and 3 parameters - see text for R-code}
\label{fig:nerve}
\end{figure}
\clearpage
\section{A Set of Higher-Order BVPs}

  Here the ``fluid injection problem'' is solved
  \citep{Asher95}.
  
  The original problem definition is:
  \begin{eqnarray*}
  f'''- R[(f')^2 -f*f''] + RA = 0   \\
  h'' + R*f*h' + 1 = 0              \\
  O'' + P*f*O' = 0
  \end{eqnarray*}
  on the interval [0,1], and where $A$ is an unknown constant. 
  
  The boundary conditions are:
  \begin{eqnarray*}
    f(0)=0, f'(0)= 0, h(0)= 0, O(0) = 0 \\
    f(1)=1, f'(1)= 0, h(1)= 0, O(1) = 1
  \end{eqnarray*}

  We first solve this equation as a set of 1st order ODEs, which is 
  implemented and solved in R as:
<<>>=
fluid<-function(t, y, pars, R) {
 P    <- 0.7*R
 with(as.list(y),   {
  df = f1                       #f'
  df1= f2                       #f''
  df2= R * (f1^2 - f*f2)-A      #f'''
  dh = h1
  dh1= -R * f * h1 - 1
  dO = O1
  dO1= -P * f * O1             
  dA = 0                    # the constant to be estimated
  return(list(c(df, df1, df2, dh, dh1, dO, dO1, dA)))
 })
}

times  <- seq(0, 1, by = 0.01)
yini   <- c(f = 0, f1 = 0, f2 = NA, h = 0, h1 = NA, O = 0, O1 = NA, A = NA)
yend   <- c(1,          0,      NA,     0,      NA,     1,      NA,     NA)

print (system.time(
Solcol1 <- bvpcol(func=fluid, x=times, parms=NULL, R=10000,
                 yini = yini, yend=yend)
))                 
@
where the reported system time is in seconds. For increasing values of $R$, the 
problem becomes more and more difficult to solve.

The implementation as a set of higher-order ODEs is as follows:

<<>>=
fluidHigh <- function(t, y, pars, R) {
 P    <- 0.7 * R
 with(as.list(y),   {
  d3f = R * (f1^2 - f * f2) - A      #f'''
  d2h = -R * f * h1 - 1
  d2O = -P * f * O1               
  dA  = 0
  return(list(c(d3f, d2h, d2O, dA)))
 })
}

times  <- seq(0, 1, by = 0.01)
yini   <- c(f = 0, f1 = 0, f2 = NA, h = 0, h1 = NA, O = 0, O1 = NA, A = NA)
yend   <- c(1,          0,      NA,     0,      NA,     1,      NA,     NA)

print (system.time(
Solcol2 <- bvpcol(func = fluidHigh, x = times, parms = NULL, R = 10000, 
                  order = c(3, 2, 2, 1), yini = yini, yend=yend)
))
@
Note that we have specified the \code{order} of each equation 
(3,2,2,1) in \code{fluidHigh}.

The output is the same as the other specification:
<<>>=
head(Solcol1, n = 3)
head(Solcol2, n = 3)
@

<<label=fluid,include=FALSE>>=
plot(Solcol1, main="Fluid injection problem", 
     which = "f1", type = "l", lwd = 2)
@

\setkeys{Gin}{width=0.6\textwidth}
\begin{figure}
\begin{center}
<<label=fluid,fig=TRUE,echo=FALSE>>=
<<fluid>>
@
\end{center}
\caption{The fluid injection problem, a set of higher-order ODEs - see text for \R-code.
}
\label{fig:fluid}
\end{figure}

\clearpage
\section{A Multipoint Problem}
Function \code{bvptwp} can only solve problems whose boundary conditions 
are located at the start and/or end of the integration interval.

Function \code{bvpcol} (and also \code{bvpshoot}) can also solve problems 
where the extra conditions are somewhere within the integration interval.

Consider the following problem:
\begin{eqnarray*}
   y_1' &=& (y_2-1)/2\\
   y_2' &=& (y_1 y_2 - x)/\mu
\end{eqnarray*}
defined in the interval [0,1]
and with extra conditions:
\begin{eqnarray*}
   y_1(1) = 0\\
   y_2(0.5) = 1
\end{eqnarray*}
As the second condition is specified within the integration interval, this is 
a multipoint problem.

Mulipoint problems can only be specified in R using a boundary 
function \code{bound}; as the boundary for $y_2$ is specified before $y_1$, 
it is treated first in the boundary function 
(because \code{posbound} has to be sorted).
<<>>=
multip <- function (x, y, p) {
  list(c((y[2] - 1)/2, 
         (y[1]*y[2] - x)/mu))
}

bound <- function (i, y, p) {
  if (i == 1) y[2] -1         # at x=0.5: y2=1
  else y[1]                   # at x=  1: y1=0
}

mu  <- 0.1
sol <- bvpcol(func = multip, bound = bound, 
              x = seq(0, 1, 0.01), posbound = c(0.5, 1))
@
We check the boundary values:
<<>>=
sol[sol[,1] %in% c(0.5,1),]
@
<<label=multipoint,include=FALSE>>=
plot(sol)
@
\setkeys{Gin}{width=0.6\textwidth}
\begin{figure}
\begin{center}
<<label=multipoint,fig=TRUE,echo=FALSE>>=
<<multipoint>>
@
\end{center}
\caption{Solution of a multipoint problem - see text for R-code}
\label{fig:multipoint}
\end{figure}
\clearpage
\section{Specifying the Analytic Jacobians}
By default, the Jacobians of the derivative function and of the boundary
conditions, are estimated numerically. It is however possible - and faster -
to provide the analytical solution of the Jacobian.

As an example, the \code{elastica} problem is implemented
(\url{http://wwwf.imperial.ac.uk/~jcash/BVP_software/readme.php}).

The original system reads:
\begin{eqnarray}
\label{eq:elastica}
\frac{dx}{ds} &=& \cos(\phi)\\
\frac{dy}{ds} &=& \sin(\phi)\\
\frac{d\phi}{ds} &=& \kappa\\
\frac{d\kappa}{ds} &=& F \cos(\phi)\\
\frac{dF}{ds} = 0
\end{eqnarray}
where $F$ is an (unknown) constant, and with the following boundary conditions:
\begin{eqnarray*}
x(0) &=& 0\\
y(0) &=& 0\\
\kappa(0) &=& 0\\
y(0.5) &=& 0\\
\phi(0.5) &=& -\pi/2
\end{eqnarray*}

First implementation uses the default specification:
<<>>=
Elastica <- function (x, y, pars) {

  list( c(cos(y[3]),
          sin(y[3]),
          y[4],
          y[5] * cos(y[3]),
          0))
}

Sol <- bvpcol(func = Elastica,
              yini = c(x = 0,  y = 0, p = NA,   k = 0,  F = NA),
              yend = c(x = NA, y = 0, p = -pi/2,k = NA, F = NA),
              x = seq(0, 0.5, len = 16))
@
<<label=elastica,include=FALSE>>=
plot(Sol)
@
\setkeys{Gin}{width=0.6\textwidth}
\begin{figure}
\begin{center}
<<label=elastica,fig=TRUE,echo=FALSE>>=
<<elastica>>
@
\end{center}
\caption{Solution of the elastica problem - see text for R-code}
\label{fig:elastica}
\end{figure}

Now several extra functions are defined, specifying
\begin{enumerate}
 \item the analytic Jacobian for the derivative function (\code{jacfunc})
 \item the boundary function (\code{bound}). Here \code{i} is the boundary
   condition "number". The conditions at the left are enumerated first,
   then the ones at the right.  For instance, i = 1 specifies the boundary
   for y(0) = 0, or $BC_1 = y[1]-0$; the fifth boundary condition is y[3] = -pi/2 or
   $BC_3 = y[3] + \pi/2$
 \item the analytic Jacobian for the boundary function (\code{jacbound})
\end{enumerate}

This is done in the \R-code below:
<<>>=
jacfunc <- function (x, y, pars) {
      Jac <- matrix(nrow = 5, ncol = 5, data = 0)
      Jac[3,4] <- 1.0
      Jac[4,4] <- 1.0
      Jac[1,3] <- -sin(y[3])
      Jac[2,3] <- cos(y[3])
      Jac[4,3] <- -y[5] * sin(y[3])
      Jac[4,5] <- Jac[2,3]
      Jac
}
@

<<>>=
bound <- function (i, y, pars)  {
    if      (i <= 2) return(y[i])
    else if (i == 3) return(y[4])
    else if (i == 4) return(y[2])
    else if (i == 5) return(y[3] + pi/2)
}
@
<<>>=
jacbound <- function(i, y, pars)  {
    JJ <- rep(0, 5)
         if (i <= 2) JJ[i] =1.0
    else if (i == 3) JJ[4] =1.0
    else if (i == 4) JJ[2] =1.0
    else if (i == 5) JJ[3] =1.0
    JJ
}
@
If this input is used, the number of left boundary conditions (\code{leftbc}),
and either the number of state variables (\code{ncomp}), or their names
(\code{ynames}) needs to be specified.
<<>>=
Sol4 <- bvpcol(leftbc = 3, ynames = c("x", "y", "p", "k", "F"),
              func = Elastica, jacfunc = jacfunc,
              bound = bound, jacbound = jacbound,
              x = seq(0, 0.5, len=16))
@

Solving the model this way is about 3 times faster than the default.

\clearpage
\section{Implementing a BVP Problem in Compiled Code}
Even more computing time is saved by specifying the problem in lower-level
languages such as \proglang{FORTRAN} or \proglang{C}, or \proglang{C}$^{++}$,
which are compiled into a dynamically linked library (DLL) and loaded
into \R.

This is similar as the differential equations from package \ds \citep{deSolve}.

Its vignette ("compiledCode") can be consulted for more information.
(\url{http://cran.r-project.org/package=deSolve/})

In order to create compiled models (.DLL = dynamic link libraries on Windows
or .so = shared objects on other systems) you must have a recent version of
the GNU compiler suite installed, which is quite standard for Linux.

Windows users find all the required tools on
\url{http://www.murdoch-sutherland.com/Rtools/}.
Getting DLLs produced by other compilers to communicate with R is much more
complicated and therefore not recommended. More details can be found on
\url{http://cran.r-project.org/doc/manuals/R-admin.html}.

The call to the derivative, boundary and Jacobian functions is more complex
for compiled code compared to \R-code, because it has to comply with the
interface needed by the integrator source codes.

\subsection{The Elastica Problem in FORTRAN}
Below is an implementation of the elastica model in \proglang{FORTRAN}:
(slightly modified from \url{http://wwwf.imperial.ac.uk/~jcash/BVP_software/readme.php}):

\begin{verbatim}
c  The differential system:
      SUBROUTINE fsub(NCOMP,X,Z,F,RPAR,IPAR)
      IMPLICIT NONE
      INTEGER NCOMP, IPAR  , I
      DOUBLE PRECISION F, Z, RPAR, X
      DIMENSION Z(*),F(*)
      DIMENSION RPAR(*), IPAR(*)

      F(1)=cos(Z(3))
      F(2)=sin(Z(3))
      F(3)=Z(4)
      F(4)=Z(5)*cos(Z(3))
      F(5)=0

      RETURN
      END

c The analytic Jacobian for the F-function:
      SUBROUTINE dfsub(NCOMP,X,Z,DF,RPAR,IPAR)
      IMPLICIT NONE
      INTEGER NCOMP, IPAR, I, J
      DOUBLE PRECISION X, Z, DF, RPAR
      DIMENSION Z(*),DF(NCOMP,*)
      DIMENSION RPAR(*), IPAR(*)
      CHARACTER (len=50) str

      DO I=1,5
         DO J=1,5
            DF(I,J)=0.D0
         END DO
      END DO

      DF(1,3)=-sin(Z(3))
      DF(2,3)=cos(Z(3))
      DF(3,4)=1.0D0
      DF(4,3)=-Z(5)*sin(Z(3))
      DF(4,4)=1.0D0
      DF(4,5)=cos(Z(3))

      RETURN
      END

c The boundary conditions:
      SUBROUTINE gsub(I,NCOMP,Z,G,RPAR,IPAR)
      IMPLICIT NONE
      INTEGER I, NCOMP, IPAR
      DOUBLE PRECISION Z, RPAR, G
      DIMENSION Z(*)
      DIMENSION RPAR(*), IPAR(*)


      IF (I.EQ.1) G=Z(1)
      IF (I.EQ.2) G=Z(2)
      IF (I.EQ.3) G=Z(4)
      IF (I.EQ.4) G=Z(2)
      IF (I.EQ.5) G=Z(3)+1.5707963267948966192313216916397514D0

      RETURN
      END

c The analytic Jacobian for the boundaries:
      SUBROUTINE dgsub(I,NCOMP,Z,DG,RPAR,IPAR)
      IMPLICIT NONE
      INTEGER I, NCOMP, IPAR
      DOUBLE PRECISION Z, DG, RPAR
      DIMENSION Z(*),DG(*)
      DIMENSION RPAR(*), IPAR(*)

      DG(1)=0.D0
      DG(2)=0.D0
      DG(3)=0.D0
      DG(4)=0.D0
      DG(5)=0.D0

C     dG1/dZ1
      IF (I.EQ.1) DG(1)=1.D0
C     dG2/dZ2
      IF (I.EQ.2) DG(2)=1.D0
C     dG3/dZ4
      IF (I.EQ.3) DG(4)=1.D0
C     dG4/dZ2
      IF (I.EQ.4) DG(2)=1.D0
C     dG5/dZ3
      IF (I.EQ.5) DG(3)=1.D0

      RETURN
      END

\end{verbatim}

\subsection{The Elastica Problem in C}
The same model, implemented in \proglang{C} is:
\begin{verbatim}
#include <math.h>

//  The differential system:

  void fsub(int *n, double *x, double *z, double *f,
        double * RPAR, int * IPAR)  {

      f[0]=cos(z[2]);
      f[1]=sin(z[2]);
      f[2]=z[3]     ;
      f[3]=z[4]*cos(z[2]);
      f[4]=0;
  }

// The analytic Jacobian for the F-function:

  void dfsub(int * n, double *x, double *z, double * df,
      double *RPAR, int *IPAR)  {

      int j;
      for (j = 0; j< *n * *n; j++) df[j] = 0;

      df[*n *2]    = -sin(z[2]);
      df[*n *2 +1] = cos(z[2]);
      df[*n *3 +2] = 1.0;
      df[*n *2 +3] = -z[4]*sin(z[2]);
      df[*n *3 +3] = 1.0;
      df[*n *4 +3] = cos(z[2]);
  }

// The boundary conditions:

  void gsub(int *i, int *n, double *z, double *g,
      double *RPAR, int *IPAR)  {

      if (*i==1) *g=z[0];
      else if (*i==2) *g=z[1];
      else if (*i==3) *g=z[3];
      else if (*i==4) *g=z[1];
      else if (*i==5) *g=z[2]+1.5707963267948966192313216916397514;
  }

// The analytic Jacobian for the G-function:

  void dgsub(int *i, int *n, double *z, double *dg,
      double *RPAR, int *IPAR)  {

      int j;
      for (j = 0; j< *n; j++) dg[j] = 0;

      if (*i == 1) dg[0] = 1.;
      else if (*i == 2) dg[1] = 1.;
      else if (*i == 3) dg[3] = 1.;
      else if (*i == 4) dg[1] = 1.;
      else if (*i == 5) dg[2] = 1.;
  }

\end{verbatim}

\subsection{Solving the Elastica Problem Specified in Compiled Code}

In what follows, it is assumed that the codes are saved in a file called
\code{elastica.f}, and \code{elasticaC.c} and that these files are in the
working directory of \R. (if not, use \code{setwd()} )

Before the functions can be executed, the \proglang{FORTRAN} or \proglang{C}-
code has to be compiled

This can simply be done in R:

\begin{verbatim}
 system("R CMD SHLIB elastica.f")
 system("R CMD SHLIB elasticaC.c")
\end{verbatim}
or

\begin{verbatim}
system("gfortran -shared -o elastica.dll elastica.f")
system("gcc -shared -o elasticaC.dll elasticaC.c")
\end{verbatim}

This will create a file called \code{elastica.dll} and \code{elasticaC.dll}
respectively (on windows).

After loading the DLL, the model can be run, after which the DLL is unloaded.
For the FORTRAN version, this is done as follows (the C code is similar, except for
the name of the DLL):
\begin{verbatim}

dyn.load("elastica.dll")

outF <- bvpcol(ncomp = 5,
               x = seq(0, 0.5, len = 16), leftbc = 3, func = "fsub", 
               jacfunc = "dfsub", bound = "gsub", jacbound = "dgsub",
               dllname = "elastica")

dyn.unload("elastica.dll")

\end{verbatim}
%% the elastica problem implemented in C has been made a part of the package
<<include=FALSE, echo = FALSE>>=
outF <- bvpcol(ncomp = 5,
               x = seq(0, 0.5, len = 16), leftbc = 3, func = "fsub", 
               jacfunc = "dfsub", bound = "gsub", jacbound = "dgsub",
               dllname = "bvpSolve")
@

Note that the number of components (equations) needs to be explicitly
inputted (\code{ncomp}).

This model is about 8-10 times faster than the pure \R implementation from
previous section.

The solver recognizes that the model is specified as a DLL due to
the fact that arguments \code{func}, \code{jacfunc}, \code{bound} and
\code{jacbound} are not regular \R-functions but character strings.

Thus, the solver will check whether these functions are loaded in the DLL
with name "elastica.dll".  Note that the name of the DLL should be
specified without extension.

This DLL should contain all the compiled function or subroutine definitions
needed.

Also, if \code{func} is specified in compiled code, then \code{jacfunc},
\code{bound} and \code{jacbound} should also be specified in a compiled
language. It is not allowed to mix R-functions and compiled functions.

\clearpage
\section{Passing Parameters and External Data to Compiled Code}

When using compiled code, it is possible to
\begin{itemize}
 \item pass \emph{parameters} from \R to the compiled functions
 \item pass \emph{forcing functions} from \R to compiled functions.
   These are then updated to the correct value of the independent variable
   (\code{x}) at each step.
\end{itemize}

The implementation of this is similar as in package \pkg{deSolve}. How to do
it has been extensively explained in deSolve's vignette, which can be
consulted for details.

See \url{http://cran.r-project.org/package=deSolve}.

Here we implement a simple linear boundary value problem, which is
a standard test problem for BVP code (\citep{scott}). The model has a
boundary layer at x=0.

The differential equation depends on a parameter \code{a} and \code{p}:
\[
  y'' + \frac{-a p y}{(p+x^2)^2}=0
\]
and is solved on [-0.1, +0.1] with boundary conditions:
\begin{eqnarray*}
y(-0.1) = -0.1 \sqrt{p+0.01} \\
y(+0.1) = 0.1 \sqrt{p+0.01} \\
\end{eqnarray*}
where \code{a} = 3 and \code{p} is taken small.

This differential equation is written as a system of two first-order ODEs.

The implementation in pure \R is given first:
<<>>=
fun <- function(t,y,pars)
  list(c( y[2],
        - a * p * y[1]/(p + t*t)^2
        ))
@
with parameter values:
<<>>=
p    <- 1e-5
a    <- 3
@
It is solved using \code{bvptwp}; note that the initial condition (\code{yini})
gives names to the variables; these names are used by the solver to label
the output:
<<>>=
sol  <- bvptwp(yini = c(y = -0.1/sqrt(p+0.01), dy = NA),
               yend = c(     0.1/sqrt(p+0.01),      NA),
               x = seq(-0.1, 0.1, by = 0.001),
               func = fun)
@
<<label=linear,include=FALSE>>=
plot(sol, type = "l")
@
\setkeys{Gin}{width=0.8\textwidth}
\begin{figure}
\begin{center}
<<label=linear,fig=TRUE,echo=FALSE, width=13, height=6>>=
<<linear>>
@
\end{center}
\caption{Solution of the linear boundary problem - see text for R-code}
\label{fig:linear}
\end{figure}

Next the FORTRAN implementation is given, which requires writing the
boundary and jacobian functions (\code{bound}, \code{jacfunc} and \code{jacbound})

The two parameters are initialised in a function called \code{initbnd}; its
name is passed to function \code{bvptwp} via argument \code{initfunc}.

\begin{verbatim}
c FORTRAN implementation of the boundary problem
c Initialiser for parameter common block
      SUBROUTINE initbnd(bvpparms)
      EXTERNAL bvpparms

      DOUBLE PRECISION parms(2)
      COMMON / pars / parms

       CALL bvpparms(2, parms)
      END

c derivative function
      SUBROUTINE funbnd(NCOMP,X,Y,F,RPAR,IPAR)
      IMPLICIT NONE
      INTEGER NCOMP, IPAR(*), I
      DOUBLE PRECISION F(2), Y(2), RPAR(*), X
      DOUBLE PRECISION a, p
      COMMON / pars / a, p

        F(1)= Y(2)
        F(2)= - a * p *Y(1)/(p+ x*x)**2
      END

c The analytic Jacobian for the derivative-function:
      SUBROUTINE dfbnd(NCOMP,X,Y,DF,RPAR,IPAR)
      IMPLICIT NONE
      INTEGER NCOMP, IPAR(*), I, J
      DOUBLE PRECISION X, Y(2), DF(2,2), RPAR(*)
      DOUBLE PRECISION a, p
      COMMON / pars / a, p

        DF(1,1)=0.D0
        DF(1,2)=1.D0
        DF(2,1)= - a *p /(p+x*x)**2
        DF(2,2)=0.D0
      END

c The boundary conditions:
      SUBROUTINE gbnd(I,NCOMP,Y,G,RPAR,IPAR)
      IMPLICIT NONE
      INTEGER I, NCOMP, IPAR(*)
      DOUBLE PRECISION Y(2), RPAR(*), G
      DOUBLE PRECISION a, p
      COMMON / pars / a, p

        IF (I.EQ.1) THEN
          G=Y(1) + 0.1 / sqrt(p+0.01)
        ELSE IF (I.EQ.2) THEN
          G=Y(1) - 0.1 / sqrt(p+0.01)
        ENDIF
      END

c The analytic Jacobian for the boundaries:
      SUBROUTINE dgbnd(I,NCOMP,Y,DG,RPAR,IPAR)
      IMPLICIT NONE
      INTEGER I, NCOMP, IPAR(*)
      DOUBLE PRECISION Y(2), DG(2), RPAR(*)

        DG(1)=1.D0
        DG(2)=0.D0
      END
\end{verbatim}


Before running the model, the parameters are defined:
<<>>=
parms <- c(a = 3, p = 1e-7)
@

and the DLL created and loaded; This model has been made part of package \bvp,
so it is available in DLL \code{bvpSolve}.

Assuming that this was not the case, and the code is in a file called
\code{"boundary_for.f"}, this is how to compile this code and load the DLL
(on windows):
\begin{verbatim}
system("R CMD SHLIB boundary_for.f")
dyn.load("boundary_for.dll")
\end{verbatim}

We execute the model several times, for different values of parameter \code{p};
we create a sequence of parameter values (\code{pseq}), over which the model
then iterates (\code{for (pp in pseq)}); the resulting \code{y}-values
($2^{nd}$) column) of each iteration are added to matrix \code{Out}.

<<>>=
Out  <- NULL
x    <- seq(-0.1, 0.1, by = 0.001)
pseq <- 10^-seq(0, 6, 0.5)

for (pp in pseq) {
  parms[2] <- pp
  outFor <- bvptwp(ncomp = 2, x = x, leftbc = 1, 
     initfunc = "initbnd", parms = parms, func = "funbnd", 
     jacfunc = "dfbnd", bound = "gbnd", jacbound = "dgbnd",
     allpoints = FALSE, dllname = "bvpSolve")
  Out <- cbind(Out, outFor[,2])
}
@
It takes less than 0.06 seconds to do this.

Results are plotted, using \R-function \code{matplot}:
<<>>=
@
<<label=linf,include=FALSE>>=
matplot(x, Out, type = "l")
legend("topleft", legend = log10(pseq), title = "logp",
  col = 1 : length(pseq), lty = 1 : length(pseq), cex = 0.6)
@
\setkeys{Gin}{width=0.6\textwidth}
\begin{figure}
\begin{center}
<<label=linf,fig=TRUE,echo=FALSE>>=
<<linf>>
@
\end{center}
\caption{Multiple solutions of the linear problem - see text for R-code}
\label{fig:linp}
\end{figure}
\clearpage

\bibliography{docs}

\end{document}

