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13.3 Coding the ODE System Function

The first step in coding an ODE system in Stan is defining the ODE system function. The system functions require a specific signature so that the solvers know how to use them properly.

The first argument to the system function is time, passed as a real; the second argument to the system function is the system state, passed as a vector, and the return value from the system function are the current time derivatives of the state defined as a vector. Additional arguments can be included in the system function to pass other information into the solve (these will be passed through the function that starts the ODE integration). These argument can be parameters (in this case, the friction coefficient), data, or any quantities that are needed to define the differential equation.

The simple harmonic oscillator can be coded using the following function in Stan (see the user-defined functions chapter for more information on coding user-defined functions).

vector sho(real t,        // time
           vector y,      // state
           real theta) {  // friction parameter
  vector[2] dydt;
  dydt[1] = y[2];
  dydt[2] = -y[1] - theta * y[2];
  return dydt;

The function takes in a time t (a real), the system state y (a vector), and the parameter theta (a real). The function returns a vector of time derivatives of the system state at time t, state y, and parameter theta. The simple harmonic oscillator coded here does not have time-sensitive equations; that is, t does not show up in the definition of dydt, however it is still required.

Strict Signature

The types in the ODE system function are strict. The first argument is the time passed as a real, the second argument is the state passed as a vector, and the return type is a vector. A model that does not have this signature will fail to compile. The third argument onwards can be any type, granted all the argument types match the types of the respective arguments in the solver call.

All of these are possible ODE signatures:

vector myode1(real t, vector y, real a0);
vector myode2(real t, vector y, int[] a0, vector a1);
vector myode3(real t, vector y, matrix a0, real[] a1, row_vector a2);

but these are not allowed:

vector myode1(real t, real[] y, real a0); // Second argument is not a vector
real[] myode2(real t, vector y, real a0); // Return type is not a vector
vector myode3(vector y, real a0); // First argument is not a real and second is not a vector