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13 Ordinary Differential Equations

Stan provides a built-in mechanism for specifying and solving systems of ordinary differential equations (ODEs). Stan provides two different integrators, one tuned for solving non-stiff systems and one for stiff systems.

  • rk45: a fourth and fifth order Runge-Kutta method for non-stiff systems (Dormand and Prince 1980; Ahnert and Mulansky 2011), and

  • bdf: a variable-step, variable-order, backward-differentiation formula implementation for stiff systems (Cohen and Hindmarsh 1996; Serban and Hindmarsh 2005)

For a discussion of stiff ODE systems, see the stiff ODE section. In a nutshell, the stiff solvers are slower, but more robust; how much so depends on the system and the region of parameter space. The function signatures for Stan’s ODE solvers can be found in the reference manual section on ODE solvers.

References

Ahnert, Karsten, and Mario Mulansky. 2011. “Odeint—Solving Ordinary Differential Equations in C++.” arXiv 1110.3397.

Cohen, Scott D, and Alan C Hindmarsh. 1996. “CVODE, a Stiff/Nonstiff ODE Solver in C.” Computers in Physics 10 (2): 138–43.

Dormand, John R, and Peter J Prince. 1980. “A Family of Embedded Runge-Kutta Formulae.” Journal of Computational and Applied Mathematics 6 (1): 19–26.

Serban, Radu, and Alan C Hindmarsh. 2005. “CVODES: The Sensitivity-Enabled ODE Solver in SUNDIALS.” In ASME 2005 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference, 257–69. American Society of Mechanical Engineers.