Mackey and Glass Work-Precision Diagrams

Mackey and Glass

We study algorithms for solving constant delay differential equations with a test problem from W.H. Enright and H. Hayashi, "The evaluation of numerical software for delay differential equations", 1997. It is a model of blood production that was published by M. C. Mackey and L. Glass in "Oscillation and chaos in physiological control systems", 1977, and is given by

\[\begin{equation} y'(t) = \frac{0.2y(t-14)}{1 + y(t-14)^{10}} - 0.1y(t) \end{equation}\]

using DelayDiffEq, DiffEqDevTools, Plots
using DDEProblemLibrary: prob_dde_DDETST_A1 as prob
gr()

sol = solve(prob, MethodOfSteps(Vern9(); fpsolve = NLFunctional(; max_iter = 1000)); reltol=1e-14, abstol=1e-14)
test_sol = TestSolution(sol)
plot(sol)

Low order RK methods

High tolerances

First we test final error estimates of continuous RK methods of low order at high tolerances. OwrenZen4, OwrenZen5, and RK4 yield the best error estimates.

abstols = 1.0 ./ 10.0 .^ (4:7)
reltols = 1.0 ./ 10.0 .^ (1:4)

setups = [Dict(:alg=>MethodOfSteps(BS3())),
          Dict(:alg=>MethodOfSteps(Tsit5())),
          Dict(:alg=>MethodOfSteps(RK4())),
          Dict(:alg=>MethodOfSteps(DP5())),
          Dict(:alg=>MethodOfSteps(OwrenZen3())),
          Dict(:alg=>MethodOfSteps(OwrenZen4())),
          Dict(:alg=>MethodOfSteps(OwrenZen5()))]
wp = WorkPrecisionSet(prob,abstols,reltols,setups;
                      appxsol=test_sol,maxiters=Int(1e5),error_estimate=:final)
plot(wp)

Next we test average interpolation errors:

abstols = 1.0 ./ 10.0 .^ (4:7)
reltols = 1.0 ./ 10.0 .^ (1:4)

setups = [Dict(:alg=>MethodOfSteps(BS3())),
          Dict(:alg=>MethodOfSteps(Tsit5())),
          Dict(:alg=>MethodOfSteps(RK4())),
          Dict(:alg=>MethodOfSteps(DP5())),
          Dict(:alg=>MethodOfSteps(OwrenZen3())),
          Dict(:alg=>MethodOfSteps(OwrenZen4())),
          Dict(:alg=>MethodOfSteps(OwrenZen5()))]
wp = WorkPrecisionSet(prob,abstols,reltols,setups;
                      appxsol=test_sol,maxiters=Int(1e5),error_estimate=:L2)
plot(wp)

As before, OwrenZen4 and OwrenZen5 perform well over the whole range of investigated tolerances.

Low tolerances

We repeat our tests with low tolerances.

abstols = 1.0 ./ 10.0 .^ (8:11)
reltols = 1.0 ./ 10.0 .^ (5:8)

setups = [Dict(:alg=>MethodOfSteps(BS3())),
          Dict(:alg=>MethodOfSteps(Tsit5())),
          Dict(:alg=>MethodOfSteps(RK4())),
          Dict(:alg=>MethodOfSteps(DP5())),
          Dict(:alg=>MethodOfSteps(OwrenZen3())),
          Dict(:alg=>MethodOfSteps(OwrenZen4())),
          Dict(:alg=>MethodOfSteps(OwrenZen5()))]
wp = WorkPrecisionSet(prob,abstols,reltols,setups;
                      appxsol=test_sol,maxiters=Int(1e5),error_estimate=:final)
plot(wp)

And once again we also test the interpolation errors:

abstols = 1.0 ./ 10.0 .^ (8:11)
reltols = 1.0 ./ 10.0 .^ (5:8)

setups = [Dict(:alg=>MethodOfSteps(BS3())),
          Dict(:alg=>MethodOfSteps(Tsit5())),
          Dict(:alg=>MethodOfSteps(RK4())),
          Dict(:alg=>MethodOfSteps(DP5())),
          Dict(:alg=>MethodOfSteps(OwrenZen3())),
          Dict(:alg=>MethodOfSteps(OwrenZen4())),
          Dict(:alg=>MethodOfSteps(OwrenZen5()))]
wp = WorkPrecisionSet(prob,abstols,reltols,setups;
                      appxsol=test_sol,maxiters=Int(1e5),error_estimate=:L2)
plot(wp)

Apparently Tsit5 and DP5 perform quite well at low tolerances, but only OwrenZen5, OwrenZen4 and RK4 achieve interpolation errors of around 1e-9.

Lazy interpolants

High tolerances

We repeat our tests with the Verner methods which, in contrast to the methods above, use lazy interpolants. As reference we include OwrenZen4.

abstols = 1.0 ./ 10.0 .^ (4:7)
reltols = 1.0 ./ 10.0 .^ (1:4)

setups = [Dict(:alg=>MethodOfSteps(Vern6())),
          Dict(:alg=>MethodOfSteps(Vern7())),
          Dict(:alg=>MethodOfSteps(Vern8())),
          Dict(:alg=>MethodOfSteps(Vern9())),
          Dict(:alg=>MethodOfSteps(OwrenZen4()))]
wp = WorkPrecisionSet(prob,abstols,reltols,setups;
                      appxsol=test_sol,maxiters=Int(1e5),error_estimate=:final)
plot(wp)

And we obtain the following interpolation errors:

abstols = 1.0 ./ 10.0 .^ (4:7)
reltols = 1.0 ./ 10.0 .^ (1:4)

setups = [Dict(:alg=>MethodOfSteps(Vern6())),
          Dict(:alg=>MethodOfSteps(Vern7())),
          Dict(:alg=>MethodOfSteps(Vern8())),
          Dict(:alg=>MethodOfSteps(Vern9())),
          Dict(:alg=>MethodOfSteps(OwrenZen4()))]
wp = WorkPrecisionSet(prob,abstols,reltols,setups;
                      appxsol=test_sol,maxiters=Int(1e5),error_estimate=:L2)
plot(wp)

Vern6, Vern7, and Vern9 are outperformed by OwrenZen4.

Low tolerances

Again, we repeat our tests at low tolerances.

abstols = 1.0 ./ 10.0 .^ (8:11)
reltols = 1.0 ./ 10.0 .^ (5:8)

setups = [Dict(:alg=>MethodOfSteps(Vern6())),
          Dict(:alg=>MethodOfSteps(Vern7())),
          Dict(:alg=>MethodOfSteps(Vern8())),
          Dict(:alg=>MethodOfSteps(Vern9())),
          Dict(:alg=>MethodOfSteps(OwrenZen4()))]
wp = WorkPrecisionSet(prob,abstols,reltols,setups;
                      appxsol=test_sol,maxiters=Int(1e5),error_estimate=:final)
plot(wp)

abstols = 1.0 ./ 10.0 .^ (8:11)
reltols = 1.0 ./ 10.0 .^ (5:8)

setups = [Dict(:alg=>MethodOfSteps(Vern6())),
          Dict(:alg=>MethodOfSteps(Vern7())),
          Dict(:alg=>MethodOfSteps(Vern8())),
          Dict(:alg=>MethodOfSteps(Vern9())),
          Dict(:alg=>MethodOfSteps(OwrenZen4()))]
wp = WorkPrecisionSet(prob,abstols,reltols,setups;
                      appxsol=test_sol,maxiters=Int(1e5),error_estimate=:L2)
plot(wp)

Vern6, Vern7, and Vern9 show similar results at low tolerances, and perform even better than OwrenZen4.

Appendix

These benchmarks are a part of the SciMLBenchmarks.jl repository, found at: https://github.com/SciML/SciMLBenchmarks.jl. For more information on high-performance scientific machine learning, check out the SciML Open Source Software Organization https://sciml.ai.

To locally run this benchmark, do the following commands:

using SciMLBenchmarks
SciMLBenchmarks.weave_file("benchmarks/NonStiffDDE","Mackey_Glass_wpd.jmd")

Computer Information:

Julia Version 1.7.3
Commit 742b9abb4d (2022-05-06 12:58 UTC)
Platform Info:
  OS: Linux (x86_64-pc-linux-gnu)
  CPU: AMD EPYC 7502 32-Core Processor
  WORD_SIZE: 64
  LIBM: libopenlibm
  LLVM: libLLVM-12.0.1 (ORCJIT, znver2)
Environment:
  JULIA_CPU_THREADS = 128
  BUILDKITE_PLUGIN_JULIA_CACHE_DIR = /cache/julia-buildkite-plugin
  JULIA_DEPOT_PATH = /cache/julia-buildkite-plugin/depots/5b300254-1738-4989-ae0a-f4d2d937f953

Package Information:

      Status `/cache/build/exclusive-amdci1-0/julialang/scimlbenchmarks-dot-jl/benchmarks/NonStiffDDE/Project.toml`
  [f42792ee] DDEProblemLibrary v0.1.2
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  [f3b72e0c] DiffEqDevTools v2.32.0
  [91a5bcdd] Plots v1.34.0
  [31c91b34] SciMLBenchmarks v0.1.1

And the full manifest:

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  [4ec0a83e] Unicode
  [e66e0078] CompilerSupportLibraries_jll v0.5.2+0
  [deac9b47] LibCURL_jll v7.84.0+0
  [29816b5a] LibSSH2_jll v1.10.2+0
  [c8ffd9c3] MbedTLS_jll v2.28.0+0
  [14a3606d] MozillaCACerts_jll v2022.2.1
  [4536629a] OpenBLAS_jll v0.3.20+0
  [05823500] OpenLibm_jll v0.8.1+0
  [efcefdf7] PCRE2_jll v10.40.0+0
  [bea87d4a] SuiteSparse_jll v5.10.1+0
  [83775a58] Zlib_jll v1.2.12+3
  [8e850b90] libblastrampoline_jll v5.1.1+0
  [8e850ede] nghttp2_jll v1.48.0+0
  [3f19e933] p7zip_jll v17.4.0+0