Sweeping initial conditions for a set of ODEs using parfor - matlab

I am currently trying to use parfor to sweep across a range of initial conditions for a set of differential equations solved by ode45. The code works fine using two nested for loops but I was hoping parfor could make the process more efficient. Unfortunately, I have run into an issue where the solver is able to solve one of the combinations in the matrix representing initial conditions across a range of variables, but the others seem to have their initial values all set at 0, instead of the values specified by the initial conditions. It may have something to do with the fact that I need to create a matrix of zeros ('P') that the results will be written into, perhaps overwriting the initial conditions(?) Any help would be greatly appreciated.
Thanks,
Kyle
function help(C, R)
A = 0.01;
B = 0.00;
C = [0.001,0.01];
D = 0.00;
R = [1e-10,1e-9];
[CGrid,RGrid] = meshgrid(C,R);
parfor ij = 1 : numel(CGrid)
c2 = [A; B; CGrid(ij); D; RGrid(ij)];
[t,c] = ode45('ode_sys',[0:1:300],c2);
for k=1:length([0:1:300])
for l=1:length(c2)
if c(k,l)<0
c(k,l)=0;
end
end
end
P = zeros(301,5,numel(R),numel(C));
temp = zeros(301,5);
temp(:,1) = c(:,1);
temp(:,2) = c(:,2);
temp(:,3) = c(:,3);
temp(:,4) = c(:,4);
temp(:,5) = c(:,5);
P(:,:,ij)=temp;
parsave('data.mat', P);
end
end

You have one error, and a few opportunities to simplify the code.
In the parfor loop, you have this line P = zeros(301,5,numel(R),numel(C)); which overwrites P with all zeros at each iteration. Put this before the parfor loop.
The first double-for loop that makes negative elements of c zero can be done using max(c,0), which should be more efficient. You can also do P(:,:,ij)=c(:,1:5) directly.
So you can replace your parfor loop with
P = zeros(301,5,numel(R),numel(C));
for ij = 1 : numel(CGrid)
c2 = [A; B; CGrid(ij); D; RGrid(ij)];
[t,c] = ode45('ode_sys',0:300,c2);
c = max(c,0);
P(:,:,ij) = c(:,1:5);
parsave('data.mat',P);
end

Related

How to make non iterative code faster than the iterative when using line by line backslash inverse?

This code creats a matrix B contains the product of the each line of A by the backslash inverse of a aline of x
A = [1,2,3,8,1;10,45,7,3,1;9,8,15,75,65,];
x = [14,5,11,15,33;7,1,9,1,1;87,45,11,0,65];
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tic
for k = 1:size(x,1)
B(k) = A(k,:)*(x(k,:)\1);
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t1 = toc;
disp(B)
How do I avoid the for loop, and keep the code faster?
I notice that, in MATLAB, the backslash of a vector x returns a vector y which inverse the maximum element and make the rest 0,the I tried to make the code without for loop:
tic
% code without iteration
ind = x==max(abs(x),[],2);
y = (1./x).*ind;
y(isnan(y))=0;
C = sum(A.*y,2);
t2 = toc;
disp(C)
I got the same output. However, the second code was slower in my pc than the first code
t1 = 0.000681.
t2 = 0.002536 .
I tried the pinv() function but it doesn't give the same results (the backslash inverse is better for my code)

How to run a for loop using two variables at the same time in Matlab

I am using this command in Matlab:
grazAng = grazingang(H,R)
If i fix H, I can treat R as a vector:
z=[];
for i=1:1000
z(i)=abs(grazingang(1,i));
end
Now I would like to have both H and R to by dynamic. For example:
H=[0,0.25,0.5]
R=[1,2,3]
And I would like my loop to run three times, each time selecting a pair of (H,R) values with the same indexes, i.e. (0,1),(0.25,2),(0.5,3) and then store the result in z. Could anyone help me out with this?
Remember, everything in MATLAB is an array. To do this with a loop, you need to index into the arrays:
H = [0,0.25,0.5];
R = [1,2,3];
z = zeros(size(H)); % Pre-allocation is generally advised
for i = 1:1000
z(i) = abs(grazingang(H(i),R(i)));
end
But MATLAB functions generally accept vectors and do this for you, so all you need to do is:
H=[0,0.25,0.5];
R=[1,2,3];
z = abs(grazingang(H,R));

How to break loop if number repeats -Matlab

I recognized this is a quite hard problem for me. I asked this problem on official Matlab side but no-one could help me either so maybe someone of you can come up with an outstanding approach.
In detail my Problem consist of:
N = 100 %some number
G = 21 %random guess < N
for x = 1:N;
a = mod(G^x,N);
end
Now I want the calculation of a to stop, if a number repeats.
For example: a = 1, 2, 3, 1 -break
Seems simple but I just can't handle it right after many tries.
For instance I've put:
for x = 1:N
a = mod(G^x,N);
b = unique(a);
if a ~= b
break
end
end
but doesn't seem to work bc. it's not element wise I guess.
This approach keeps a running log of the past Results and uses the ismember() function to check if the current value of a has been previously seen.
clc;
N = 100; %some number
G = 21; %random guess < N
Results = NaN(1,N);
for x = 1:N
a = mod(G^x,N);
disp(a);
if ismember(a,Results)
disp("-break");
break
end
Results(x) = a;
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Ran using MATLAB R2019b

Speeding up symbolic recursion in Matlab

I have a backwards recursion for a binomial tree. At each node an unknown C enters in such a way that at the starting node we get a formula, A(1,1), that depends upon C. The code is as follows:
A=sym(zeros(1,Steps));
B=zeros(1,Steps);
syms C; % The unknown that enters A at every node
tic
for t=Steps-1:-1:1
% Values needed in A and B
Lambda=1-exp(-(1./S(t,1:t).^b).*h);
Q=((1./D(t))./(1-Lambda)-d)/(u-d);
R=normcdf(a0+a1*Lambda);
% the backward recursion for A and B
A(1:t)=D(t)*C+D(t)*...
(Q.*(1-Lambda).*A(1:t) ...
+ (1-Q).*(1-Lambda).*A(2:t+1));
B(1:t)=Lambda.*(1-R)+D(t)*...
(Q.*(1-Lambda).*B(1:t)...
+ (1-Q.*(1-Lambda).*B(2:t+1)));
end
C = solve(A(1,1)==sym(B(1,1)),C);
This code takes around 4 seconds if Steps = 104. If however we remove C and set matrix A to a regular double matrix, it only takes about 0.02 seconds. Using syms thus increases the calculation time by a factor 200. This seems too much to me. Any suggestions into speeding this up?
I am using Matlab 2013b on a MacBook air 13-inch spring 2013. Furthermore, if you're interested in the code before the above part (not sure whether it is relevant):
a0 = 0.9;
a1 = -3.2557;
b = 1.2594;
S0=18.57;
sigma=0.6579;
h=1/104;
T=1;
Steps=T/h;
f=transpose(normrnd(0.04, 0.001 [1 pl]));
D=exp(-h*f); % discount values
pl=T/h; % pathlength - amount of steps in maturity
u=exp(sigma*sqrt(h));
d=1/u;
u_row = repmat(cumprod([1 u*ones(1,pl-1)]),pl,1);
d_row = cumprod(tril(d*ones(pl),-1)+triu(ones(pl)),1);
path = tril(u_row.*d_row);
S=S0*path;
Unless I'm missing something, there's no need to use symbolic math or use an unknown variable. You can effectively assume that C = 1 in your recursion relation and solve for the actual value at the end. Here's the full code with some other improvements:
rng(1); % Always seed your random number generator
a0 = 0.9;
a1 = -3.2557;
b = 1.2594;
S0 = 18.57;
sigma = 0.6579;
h = 1/104;
T = 1;
Steps = T/h;
pl = T/h;
f = 0.04+0.001*randn(pl,1);
D = exp(-h*f);
u = exp(sigma*sqrt(h));
d = 1/u;
u_row = repmat(cumprod([1 u*ones(1,pl-1)]),pl,1);
d_row = cumprod(tril(d*ones(pl),-1)+triu(ones(pl)),1);
pth = tril(u_row.*d_row);
S = S0*pth;
A = zeros(1,Steps);
B = zeros(1,Steps);
tic
for t = Steps-1:-1:1
Lambda = 1-exp(-h./S(t,1:t).^b);
Q = ((1./D(t))./(1-Lambda)-d)/(u-d);
R = 0.5*erfc((-a0-a1*Lambda)/sqrt(2)); % Faster than normcdf
% Backward recursion for A and B
A = D(t)+D(t)*(Q.*(1-Lambda).*A(1:end-1) + ...
(1-Q).*(1-Lambda).*A(2:end));
B = Lambda.*(1-R)+D(t)*(Q.*(1-Lambda).*B(1:end-1) + ...
(1-Q.*(1-Lambda).*B(2:end)));
end
C = B/A
toc
This take about 0.005 seconds to run on my MacBook Pro. There are certainly other improvements you could make. There are many combinations of variables that are used in multiple places (e.g., 1-Lambda or D(t)*(1-Lambda)), that could be calculated once. Matlab may try to optimize this a bit. And you can try moving Lambda, Q, and R out of the loop – or at least calculate parts of them outside and save the results in arrays.

Parfor issues with population generation

I'm running a genetic algorithm and i'm trying to parallelize the population generation.
My actual code:
Q = [];
parfor i=1:halfPop
pa = P(select(f),:);
pb = P(select(f),:);
...
Q = [Q; pa; pb];
end
Matlab gives me the error The temporary variable Q in a parfor is uninitialized.
So i rewrote it like this:
Q = [];
parfor i=1:halfPop
pa = P(select(f),:);
pb = P(select(f),:);
Q(i,:) pa;
Q(i+halfPop,:) pb;
end
But now i get error The variable Q in a parfor cannot be classified.. In the editor MATLAB tells me i cannot index in two differnt ways the same matrix inside a parfor.
What could i do?
parfor tries to split Q into as many slices as there are iterations, so each iteration gets one slice of Q. In your case, each iteration should get two slices, which parfor cannot handle (yet).
To fix this, you can define two variables, Qa and Qb, which you can combine after the end of the parfor loop.
[Qa,Qb] = deal(zeros(halfPop,size(P,2)));
parfor i=1:halfPop
pa = P(select(f),:);
pb = P(select(f),:);
Qa(i,:) = pa;
Qb(i,:) = pb;
end
Q = zeros(2*halfPop,size(P,2));
Q(1:2:end,:) = Qa;
Q(2:2:end,:) = Qb;
The " concatenation reduction" you're attempting should work if you make the concatenation with a single operand like so
tmp = [pa; pb];
Q = [Q; tmp];
Many different option depending on whther pa and pb are consistently the same size. Matlab wants to make sure there is no risk of data "overwrite" (for lack of a better term), and it is unable to ascertain that in this case. Essentially, you can only write to the matrix once per iteration, and has be done within what it believes are "good practices".
My solution:
Q = zeros(halfPop,size([pa pb]);
parfor i=1:halfPop
pa = P(select(f),:);
pb = P(select(f),:);
Q(i,:)= [pa pb];
end