Define compiled code for ordinary differential equation.
specify_ode(code, fname = NULL, pname = c("dy", "x", "y", "p"))pointer (externalptr) to C++ function
The model (code) should be specified as the body of of C++ function.
The following variables are defined bye default (see the argument pname)
Vector with derivatives, i.e. the rhs of the ODE (the result).
Vector with the first element being the time, and the following elements additional exogenous input variables,
Vector with the dependent variable
Parameter vector
\(y'(t) = f_{p}(x(t), y(t))\) All variables are treated as Armadillo (http://arma.sourceforge.net/) vectors/matrices.
As an example consider the Lorenz Equations \(\frac{dx_{t}}{dt} = \sigma(y_{t}-x_{t})\) \(\frac{dy_{t}}{dt} = x_{t}(\rho-z_{t})-y_{t}\) \(\frac{dz_{t}}{dt} = x_{t}y_{t}-\beta z_{t}\)
We can specify this model as
ode <- 'dy(0) = p(0)*(y(1)-y(0));
dy(1) = y(0)*(p(1)-y(2));
dy(2) = y(0)*y(1)-p(2)*y(2);'
dy <- specify_ode(ode)
As an example of model with exogenous inputs consider the following ODE:
\(y'(t) = \beta_{0} + \beta_{1}y(t) + \beta_{2}y(t)x(t) + \beta_{3}x(t)\cdot t\)
This could be specified as
mod <- 'double t = x(0);
dy = p(0) + p(1)*y + p(2)*x(1)*y + p(3)*x(1)*t;'
dy <- specify_ode(mod)##'
solve_ode