Integration (scipy.integrate)¶
The scipy.integrate sub-package provides several integration
techniques including an ordinary differential equation integrator. An
overview of the module is provided by the help command:
>>> help(integrate)
Methods for Integrating Functions given function object.
quad -- General purpose integration.
dblquad -- General purpose double integration.
tplquad -- General purpose triple integration.
fixed_quad -- Integrate func(x) using Gaussian quadrature of order n.
quadrature -- Integrate with given tolerance using Gaussian quadrature.
romberg -- Integrate func using Romberg integration.
Methods for Integrating Functions given fixed samples.
trapz -- Use trapezoidal rule to compute integral from samples.
cumtrapz -- Use trapezoidal rule to cumulatively compute integral.
simps -- Use Simpson's rule to compute integral from samples.
romb -- Use Romberg Integration to compute integral from
(2**k + 1) evenly-spaced samples.
See the special module's orthogonal polynomials (special) for Gaussian
quadrature roots and weights for other weighting factors and regions.
Interface to numerical integrators of ODE systems.
odeint -- General integration of ordinary differential equations.
ode -- Integrate ODE using VODE and ZVODE routines.
General integration (quad)¶
The function quad is provided to integrate a function of one
variable between two points. The points can be \(\pm\infty\)
(\(\pm\) inf) to indicate infinite limits. For example,
suppose you wish to integrate a bessel function jv(2.5, x) along
the interval \([0, 4.5].\)
This could be computed using quad:
>>> import scipy.integrate as integrate
>>> import scipy.special as special
>>> result = integrate.quad(lambda x: special.jv(2.5,x), 0, 4.5)
>>> result
(1.1178179380783249, 7.8663172481899801e-09)
>>> from numpy import sqrt, sin, cos, pi
>>> I = sqrt(2/pi)*(18.0/27*sqrt(2)*cos(4.5) - 4.0/27*sqrt(2)*sin(4.5) +
... sqrt(2*pi) * special.fresnel(3/sqrt(pi))[0])
>>> I
1.117817938088701
>>> print(abs(result[0]-I))
1.03761443881e-11
The first argument to quad is a “callable” Python object (i.e. a function, method, or class instance). Notice the use of a lambda- function in this case as the argument. The next two arguments are the limits of integration. The return value is a tuple, with the first element holding the estimated value of the integral and the second element holding an upper bound on the error. Notice, that in this case, the true value of this integral is
where
is the Fresnel sine integral. Note that the numerically-computed integral is within \(1.04\times10^{-11}\) of the exact result — well below the reported error bound.
If the function to integrate takes additional parameters, the can be provided in the args argument. Suppose that the following integral shall be calculated:
This integral can be evaluated by using the following code:
>>> from scipy.integrate import quad
>>> def integrand(x, a, b):
... return a*x**2 + b
...
>>> a = 2
>>> b = 1
>>> I = quad(integrand, 0, 1, args=(a,b))
>>> I
(1.6666666666666667, 1.8503717077085944e-14)
Infinite inputs are also allowed in quad by using \(\pm\)
inf as one of the arguments. For example, suppose that a numerical
value for the exponential integral:
is desired (and the fact that this integral can be computed as
special.expn(n,x) is forgotten). The functionality of the function
special.expn can be replicated by defining a new function
vec_expint based on the routine quad:
>>> from scipy.integrate import quad
>>> def integrand(t, n, x):
... return np.exp(-x*t) / t**n
...
>>> def expint(n, x):
... return quad(integrand, 1, np.inf, args=(n, x))[0]
...
>>> vec_expint = np.vectorize(expint)
>>> vec_expint(3, np.arange(1.0, 4.0, 0.5))
array([ 0.1097, 0.0567, 0.0301, 0.0163, 0.0089, 0.0049])
>>> import scipy.special as special
>>> special.expn(3, np.arange(1.0,4.0,0.5))
array([ 0.1097, 0.0567, 0.0301, 0.0163, 0.0089, 0.0049])
The function which is integrated can even use the quad argument (though the
error bound may underestimate the error due to possible numerical error in the
integrand from the use of quad ). The integral in this case is
>>> result = quad(lambda x: expint(3, x), 0, np.inf)
>>> print(result)
(0.33333333324560266, 2.8548934485373678e-09)
>>> I3 = 1.0/3.0
>>> print(I3)
0.333333333333
>>> print(I3 - result[0])
8.77306560731e-11
This last example shows that multiple integration can be handled using
repeated calls to quad.
General multiple integration (dblquad, tplquad, nquad)¶
The mechanics for double and triple integration have been wrapped up into the
functions dblquad and tplquad. These functions take the function
to integrate and four, or six arguments, respectively. The limits of all
inner integrals need to be defined as functions.
An example of using double integration to compute several values of \(I_{n}\) is shown below:
>>> from scipy.integrate import quad, dblquad
>>> def I(n):
... return dblquad(lambda t, x: np.exp(-x*t)/t**n, 0, np.inf, lambda x: 1, lambda x: np.inf)
...
>>> print(I(4))
(0.2500000000043577, 1.29830334693681e-08)
>>> print(I(3))
(0.33333333325010883, 1.3888461883425516e-08)
>>> print(I(2))
(0.4999999999985751, 1.3894083651858995e-08)
As example for non-constant limits consider the integral
This integral can be evaluated using the expression below (Note the use of the non-constant lambda functions for the upper limit of the inner integral):
>>> from scipy.integrate import dblquad
>>> area = dblquad(lambda x, y: x*y, 0, 0.5, lambda x: 0, lambda x: 1-2*x)
>>> area
(0.010416666666666668, 1.1564823173178715e-16)
For n-fold integration, scipy provides the function nquad. The
integration bounds are an iterable object: either a list of constant bounds,
or a list of functions for the non-constant integration bounds. The order of
integration (and therefore the bounds) is from the innermost integral to the
outermost one.
The integral from above
can be calculated as
>>> from scipy import integrate
>>> N = 5
>>> def f(t, x):
... return np.exp(-x*t) / t**N
...
>>> integrate.nquad(f, [[1, np.inf],[0, np.inf]])
(0.20000000000002294, 1.2239614263187945e-08)
Note that the order of arguments for f must match the order of the integration bounds; i.e. the inner integral with respect to \(t\) is on the interval \([1, \infty]\) and the outer integral with respect to \(x\) is on the interval \([0, \infty]\).
Non-constant integration bounds can be treated in a similar manner; the example from above
can be evaluated by means of
>>> from scipy import integrate
>>> def f(x, y):
... return x*y
...
>>> def bounds_y():
... return [0, 0.5]
...
>>> def bounds_x(y):
... return [0, 1-2*y]
...
>>> integrate.nquad(f, [bounds_x, bounds_y])
(0.010416666666666668, 4.101620128472366e-16)
which is the same result as before.
Gaussian quadrature¶
A few functions are also provided in order to perform simple Gaussian
quadrature over a fixed interval. The first is fixed_quad which
performs fixed-order Gaussian quadrature. The second function is
quadrature which performs Gaussian quadrature of multiple
orders until the difference in the integral estimate is beneath some
tolerance supplied by the user. These functions both use the module
special.orthogonal which can calculate the roots and quadrature
weights of a large variety of orthogonal polynomials (the polynomials
themselves are available as special functions returning instances of
the polynomial class — e.g. special.legendre).
Romberg Integration¶
Romberg’s method [WPR] is another method for numerically evaluating an
integral. See the help function for romberg for further details.
Integrating using Samples¶
If the samples are equally-spaced and the number of samples available
is \(2^{k}+1\) for some integer \(k\), then Romberg romb
integration can be used to obtain high-precision estimates of the
integral using the available samples. Romberg integration uses the
trapezoid rule at step-sizes related by a power of two and then
performs Richardson extrapolation on these estimates to approximate
the integral with a higher-degree of accuracy.
In case of arbitrary spaced samples, the two functions trapz (defined in numpy
[NPT]) and simps are available. They are using Newton-Coates formulas
of order 1 and 2 respectively to perform integration. The trapezoidal rule
approximates the function as a straight line between adjacent points, while
Simpson’s rule approximates the function between three adjacent points as a
parabola.
For an odd number of samples that are equally spaced Simpson’s rule is exact if the function is a polynomial of order 3 or less. If the samples are not equally spaced, then the result is exact only if the function is a polynomial of order 2 or less.
>>> import numpy as np
>>> def f1(x):
... return x**2
...
>>> def f2(x):
... return x**3
...
>>> x = np.array([1,3,4])
>>> y1 = f1(x)
>>> from scipy.integrate import simps
>>> I1 = simps(y1, x)
>>> print(I1)
21.0
This corresponds exactly to
whereas integrating the second function
>>> y2 = f2(x)
>>> I2 = integrate.simps(y2, x)
>>> print(I2)
61.5
does not correspond to
because the order of the polynomial in f2 is larger than two.
Faster integration using low-level callback functions¶
A user desiring reduced integration times may pass a C function
pointer through scipy.LowLevelCallable to quad, dblquad,
tplquad or nquad and it will be integrated and return a result in
Python. The performance increase here arises from two factors. The
primary improvement is faster function evaluation, which is provided
by compilation of the function itself. Additionally we have a speedup
provided by the removal of function calls between C and Python in
quad. This method may provide a speed improvements of ~2x for
trivial functions such as sine but can produce a much more noticeable
improvements (10x+) for more complex functions. This feature then, is
geared towards a user with numerically intensive integrations willing
to write a little C to reduce computation time significantly.
The approach can be used, for example, via ctypes in a few simple steps:
1.) Write an integrand function in C with the function signature
double f(int n, double *x, void *user_data), where x is an
array containing the point the function f is evaluated at, and user_data
to arbitrary additional data you want to provide.
/* testlib.c */
double f(int n, double *x, void *user_data) {
double c = *(double *)user_data;
return c + x[0] - x[1] * x[2]; /* corresponds to c + x - y * z */
}
2.) Now compile this file to a shared/dynamic library (a quick search will help with this as it is OS-dependent). The user must link any math libraries, etc. used. On linux this looks like:
$ gcc -shared -fPIC -o testlib.so testlib.c
The output library will be referred to as testlib.so, but it may have a
different file extension. A library has now been created that can be loaded
into Python with ctypes.
3.) Load shared library into Python using ctypes and set restypes and
argtypes - this allows Scipy to interpret the function correctly:
import os, ctypes
from scipy import integrate, LowLevelCallable
lib = ctypes.CDLL(os.path.abspath('testlib.so'))
lib.f.restype = ctypes.c_double
lib.f.argtypes = (ctypes.c_int, ctypes.POINTER(ctypes.c_double), ctypes.c_void_p)
c = ctypes.c_double(1.0)
user_data = ctypes.cast(ctypes.pointer(c), ctypes.c_void_p)
func = LowLevelCallable(lib.f, user_data)
The last void *user_data in the function is optional and can be omitted
(both in the C function and ctypes argtypes) if not needed. Note that the
coordinates are passed in as an array of doubles rather than a separate argument.
4.) Now integrate the library function as normally, here using nquad:
>>> integrate.nquad(func, [[0, 10], [-10, 0], [-1, 1]])
(1200.0, 1.1102230246251565e-11)
The Python tuple is returned as expected in a reduced amount of time. All optional parameters can be used with this method including specifying singularities, infinite bounds, etc.
Ordinary differential equations (odeint)¶
Integrating a set of ordinary differential equations (ODEs) given
initial conditions is another useful example. The function
odeint is available in SciPy for integrating a first-order
vector differential equation:
given initial conditions \(\mathbf{y}\left(0\right)=y_{0}\), where \(\mathbf{y}\) is a length \(N\) vector and \(\mathbf{f}\) is a mapping from \(\mathcal{R}^{N}\) to \(\mathcal{R}^{N}.\) A higher-order ordinary differential equation can always be reduced to a differential equation of this type by introducing intermediate derivatives into the \(\mathbf{y}\) vector.
For example suppose it is desired to find the solution to the following second-order differential equation:
with initial conditions \(w\left(0\right)=\frac{1}{\sqrt[3]{3^{2}}\Gamma\left(\frac{2}{3}\right)}\) and \(\left.\frac{dw}{dz}\right|_{z=0}=-\frac{1}{\sqrt[3]{3}\Gamma\left(\frac{1}{3}\right)}.\) It is known that the solution to this differential equation with these boundary conditions is the Airy function
which gives a means to check the integrator using special.airy.
First, convert this ODE into standard form by setting \(\mathbf{y}=\left[\frac{dw}{dz},w\right]\) and \(t=z\). Thus, the differential equation becomes
In other words,
As an interesting reminder, if \(\mathbf{A}\left(t\right)\) commutes with \(\int_{0}^{t}\mathbf{A}\left(\tau\right)\, d\tau\) under matrix multiplication, then this linear differential equation has an exact solution using the matrix exponential:
However, in this case, \(\mathbf{A}\left(t\right)\) and its integral do not commute.
There are many optional inputs and outputs available when using odeint
which can help tune the solver. These additional inputs and outputs
are not needed much of the time, however, and the three required input
arguments and the output solution suffice. The required inputs are the
function defining the derivative, fprime, the initial conditions
vector, y0, and the time points to obtain a solution, t, (with
the initial value point as the first element of this sequence). The
output to odeint is a matrix where each row contains the
solution vector at each requested time point (thus, the initial
conditions are given in the first output row).
The following example illustrates the use of odeint including the usage of the Dfun option which allows the user to specify a gradient (with respect to \(\mathbf{y}\) ) of the function, \(\mathbf{f}\left(\mathbf{y},t\right)\).
>>> from scipy.integrate import odeint
>>> from scipy.special import gamma, airy
>>> y1_0 = 1.0 / 3**(2.0/3.0) / gamma(2.0/3.0)
>>> y0_0 = -1.0 / 3**(1.0/3.0) / gamma(1.0/3.0)
>>> y0 = [y0_0, y1_0]
>>> def func(y, t):
... return [t*y[1],y[0]]
...
>>> def gradient(y, t):
... return [[0,t], [1,0]]
...
>>> x = np.arange(0, 4.0, 0.01)
>>> t = x
>>> ychk = airy(x)[0]
>>> y = odeint(func, y0, t)
>>> y2 = odeint(func, y0, t, Dfun=gradient)
>>> ychk[:36:6]
array([0.355028, 0.339511, 0.324068, 0.308763, 0.293658, 0.278806])
>>> y[:36:6,1]
array([0.355028, 0.339511, 0.324067, 0.308763, 0.293658, 0.278806])
>>> y2[:36:6,1]
array([0.355028, 0.339511, 0.324067, 0.308763, 0.293658, 0.278806])
Solving a system with a banded Jacobian matrix¶
odeint can be told that the Jacobian is banded. For a large
system of differential equations that are known to be stiff, this
can improve performance significantly.
As an example, we’ll solve the one-dimensional Gray-Scott partial differential equations using the method of lines [MOL]. The Gray-Scott equations for the functions \(u(x, t)\) and \(v(x, t)\) on the interval \(x \in [0, L]\) are
where \(D_u\) and \(D_v\) are the diffusion coefficients of the components \(u\) and \(v\), respectively, and \(f\) and \(k\) are constants. (For more information about the system, see http://groups.csail.mit.edu/mac/projects/amorphous/GrayScott/)
We’ll assume Neumann (i.e. “no flux”) boundary conditions:
To apply the method of lines, we discretize the \(x\) variable by defining the uniformly spaced grid of \(N\) points \(\left\{x_0, x_1, \ldots, x_{N-1}\right\}\), with \(x_0 = 0\) and \(x_{N-1} = L\). We define \(u_j(t) \equiv u(x_k, t)\) and \(v_j(t) \equiv v(x_k, t)\), and replace the \(x\) derivatives with finite differences. That is,
We then have a system of \(2N\) ordinary differential equations:
For convenience, the \((t)\) arguments have been dropped.
To enforce the boundary conditions, we introduce “ghost” points \(x_{-1}\) and \(x_N\), and define \(u_{-1}(t) \equiv u_1(t)\), \(u_N(t) \equiv u_{N-2}(t)\); \(v_{-1}(t)\) and \(v_N(t)\) are defined analogously.
Then
and
Our complete system of \(2N\) ordinary differential equations is (1) for \(k = 1, 2, \ldots, N-2\), along with (2) and (3).
We can now starting implementing this system in code. We must combine
\(\{u_k\}\) and \(\{v_k\}\) into a single vector of length \(2N\).
The two obvious choices are
\(\{u_0, u_1, \ldots, u_{N-1}, v_0, v_1, \ldots, v_{N-1}\}\)
and
\(\{u_0, v_0, u_1, v_1, \ldots, u_{N-1}, v_{N-1}\}\).
Mathematically, it does not matter, but the choice affects how
efficiently odeint can solve the system. The reason is in how
the order affects the pattern of the nonzero elements of the Jacobian matrix.
When the variables are ordered as \(\{u_0, u_1, \ldots, u_{N-1}, v_0, v_1, \ldots, v_{N-1}\}\), the pattern of nonzero elements of the Jacobian matrix is
The Jacobian pattern with variables interleaved as \(\{u_0, v_0, u_1, v_1, \ldots, u_{N-1}, v_{N-1}\}\) is
In both cases, there are just five nontrivial diagonals, but
when the variables are interleaved, the bandwidth is much
smaller.
That is, the main diagonal and the two diagonals immediately
above and the two immediately below the main diagonal
are the nonzero diagonals.
This is important, because the inputs mu and ml
of odeint are the upper and lower bandwidths of the
Jacobian matrix. When the variables are interleaved,
mu and ml are 2. When the variables are stacked
with \(\{v_k\}\) following \(\{u_k\}\), the upper
and lower bandwidths are \(N\).
With that decision made, we can write the function that implements the system of differential equations.
First, we define the functions for the source and reaction terms of the system:
def G(u, v, f, k):
return f * (1 - u) - u*v**2
def H(u, v, f, k):
return -(f + k) * v + u*v**2
Next we define the function that computes the right-hand-side of the system of differential equations:
def grayscott1d(y, t, f, k, Du, Dv, dx):
"""
Differential equations for the 1D Gray-Scott equations.
The ODEs are derived using the method of lines.
"""
# The vectors u and v are interleaved in y. We define
# views of u and v by slicing y.
u = y[::2]
v = y[1::2]
# dydt is the return value of this function.
dydt = np.empty_like(y)
# Just like u and v are views of the interleaved vectors
# in y, dudt and dvdt are views of the interleaved output
# vectors in dydt.
dudt = dydt[::2]
dvdt = dydt[1::2]
# Compute du/dt and dv/dt. The end points and the interior points
# are handled separately.
dudt[0] = G(u[0], v[0], f, k) + Du * (-2.0*u[0] + 2.0*u[1]) / dx**2
dudt[1:-1] = G(u[1:-1], v[1:-1], f, k) + Du * np.diff(u,2) / dx**2
dudt[-1] = G(u[-1], v[-1], f, k) + Du * (- 2.0*u[-1] + 2.0*u[-2]) / dx**2
dvdt[0] = H(u[0], v[0], f, k) + Dv * (-2.0*v[0] + 2.0*v[1]) / dx**2
dvdt[1:-1] = H(u[1:-1], v[1:-1], f, k) + Dv * np.diff(v,2) / dx**2
dvdt[-1] = H(u[-1], v[-1], f, k) + Dv * (-2.0*v[-1] + 2.0*v[-2]) / dx**2
return dydt
We won’t implement a function to compute the Jacobian, but we will tell
odeint that the Jacobian matrix is banded. This allows the underlying
solver (LSODA) to avoid computing values that it knows are zero. For a large
system, this improves the performance significantly, as demonstrated in the
following ipython session.
First, we define the required inputs:
In [31]: y0 = np.random.randn(5000)
In [32]: t = np.linspace(0, 50, 11)
In [33]: f = 0.024
In [34]: k = 0.055
In [35]: Du = 0.01
In [36]: Dv = 0.005
In [37]: dx = 0.025
Time the computation without taking advantage of the banded structure of the Jacobian matrix:
In [38]: %timeit sola = odeint(grayscott1d, y0, t, args=(f, k, Du, Dv, dx))
1 loop, best of 3: 25.2 s per loop
Now set ml=2 and mu=2, so odeint knows that the Jacobian matrix
is banded:
In [39]: %timeit solb = odeint(grayscott1d, y0, t, args=(f, k, Du, Dv, dx), ml=2, mu=2)
10 loops, best of 3: 191 ms per loop
That is quite a bit faster!
Let’s ensure that they have computed the same result:
In [41]: np.allclose(sola, solb)
Out[41]: True