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@(@\newcommand{\W}[1]{ \; #1 \; } \newcommand{\R}[1]{ {\rm #1} } \newcommand{\B}[1]{ {\bf #1} } \newcommand{\D}[2]{ \frac{\partial #1}{\partial #2} } \newcommand{\DD}[3]{ \frac{\partial^2 #1}{\partial #2 \partial #3} } \newcommand{\Dpow}[2]{ \frac{\partial^{#1}}{\partial {#2}^{#1}} } \newcommand{\dpow}[2]{ \frac{ {\rm d}^{#1}}{{\rm d}\, {#2}^{#1}} }@)@
OdeGear: Example and Test
Define @(@ x : \B{R} \rightarrow \B{R}^n @)@ by @[@ x_i (t) = t^{i+1} @]@ for @(@ i = 1 , \ldots , n-1 @)@. It follows that @[@ \begin{array}{rclr} x_i(0) & = & 0 & {\rm for \; all \;} i \\ x_i ' (t) & = & 1 & {\rm if \;} i = 0 \\ x_i '(t) & = & (i+1) t^i = (i+1) x_{i-1} (t) & {\rm if \;} i > 0 \end{array} @]@ The example tests OdeGear using the relations above:

# include <cppad/utility/ode_gear.hpp>
# include <cppad/cppad.hpp>        // For automatic differentiation

namespace {
     class Fun {
     public:
          // constructor
          Fun(bool use_x_) : use_x(use_x_)
          { }

          // compute f(t, x) both for double and AD<double>
          template <typename Scalar>
          void Ode(
               const Scalar                    &t,
               const CPPAD_TESTVECTOR(Scalar) &x,
               CPPAD_TESTVECTOR(Scalar)       &f)
          {     size_t n  = x.size();
               Scalar ti(1);
               f[0]   = Scalar(1);
               size_t i;
               for(i = 1; i < n; i++)
               {     ti *= t;
                    // convert int(size_t) to avoid warning
                    // on _MSC_VER systems
                    if( use_x )
                         f[i] = int(i+1) * x[i-1];
                    else     f[i] = int(i+1) * ti;
               }
          }

          void Ode_dep(
               const double                    &t,
               const CPPAD_TESTVECTOR(double) &x,
               CPPAD_TESTVECTOR(double)       &f_x)
          {     using namespace CppAD;

               size_t n  = x.size();
               CPPAD_TESTVECTOR(AD<double>) T(1);
               CPPAD_TESTVECTOR(AD<double>) X(n);
               CPPAD_TESTVECTOR(AD<double>) F(n);

               // set argument values
               T[0] = t;
               size_t i, j;
               for(i = 0; i < n; i++)
                    X[i] = x[i];

               // declare independent variables
               Independent(X);

               // compute f(t, x)
               this->Ode(T[0], X, F);

               // define AD function object
               ADFun<double> fun(X, F);

               // compute partial of f w.r.t x
               CPPAD_TESTVECTOR(double) dx(n);
               CPPAD_TESTVECTOR(double) df(n);
               for(j = 0; j < n; j++)
                    dx[j] = 0.;
               for(j = 0; j < n; j++)
               {     dx[j] = 1.;
                    df = fun.Forward(1, dx);
                    for(i = 0; i < n; i++)
                         f_x [i * n + j] = df[i];
                    dx[j] = 0.;
               }
          }

     private:
          const bool use_x;

     };
}

bool OdeGear(void)
{     bool ok = true; // initial return value
     size_t i, j;    // temporary indices
     double eps99 = 99.0 * std::numeric_limits<double>::epsilon();

     size_t  m = 4;  // index of next value in X
     size_t  n = m;  // number of components in x(t)

     // vector of times
     CPPAD_TESTVECTOR(double) T(m+1);
     double step = .1;
     T[0]        = 0.;
     for(j = 1; j <= m; j++)
     {     T[j] = T[j-1] + step;
          step = 2. * step;
     }

     // initial values for x( T[m-j] )
     CPPAD_TESTVECTOR(double) X((m+1) * n);
     for(j = 0; j < m; j++)
     {     double ti = T[j];
          for(i = 0; i < n; i++)
          {     X[ j * n + i ] = ti;
               ti *= T[j];
          }
     }

     // error bound
     CPPAD_TESTVECTOR(double) e(n);

     size_t use_x;
     for( use_x = 0; use_x < 2; use_x++)
     {     // function object depends on value of use_x
          Fun F(use_x > 0);

          // compute OdeGear approximation for x( T[m] )
          CppAD::OdeGear(F, m, n, T, X, e);

          double check = T[m];
          for(i = 0; i < n; i++)
          {     // method is exact up to order m and x[i] = t^{i+1}
               if( i + 1 <= m ) ok &= CppAD::NearEqual(
                    X[m * n + i], check, eps99, eps99
               );
               // error bound should be zero up to order m-1
               if( i + 1 < m ) ok &= CppAD::NearEqual(
                    e[i], 0., eps99, eps99
               );
               // check value for next i
               check *= T[m];
          }
     }
     return ok;
}

Input File: example/utility/ode_gear.cpp