public CrankNicolsonScheme(double theta,
FdmLinearOpComposite map,
List <BoundaryCondition <FdmLinearOp> > bcSet = null,
double relTol = 1E-8,
ImplicitEulerScheme.SolverType solverType = ImplicitEulerScheme.SolverType.BiCGstab)
{
dt_ = null;
theta_ = theta;
explicit_ = new ExplicitEulerScheme(map, bcSet);
implicit_ = new ImplicitEulerScheme(map, bcSet, relTol, solverType);
}
public void rollback(ref object a,
double from, double to,
int steps, int dampingSteps)
{
double deltaT = from - to;
int allSteps = steps + dampingSteps;
double dampingTo = from - (deltaT * dampingSteps) / allSteps;
if (dampingSteps > 0 &&
schemeDesc_.type != FdmSchemeDesc.FdmSchemeType.ImplicitEulerType)
{
ImplicitEulerScheme implicitEvolver = new ImplicitEulerScheme(map_, bcSet_);
FiniteDifferenceModel <ImplicitEulerScheme> dampingModel
= new FiniteDifferenceModel <ImplicitEulerScheme>(implicitEvolver, condition_.stoppingTimes());
dampingModel.rollback(ref a, from, dampingTo,
dampingSteps, condition_);
}
switch (schemeDesc_.type)
{
case FdmSchemeDesc.FdmSchemeType.HundsdorferType:
{
HundsdorferScheme hsEvolver = new HundsdorferScheme(schemeDesc_.theta, schemeDesc_.mu,
map_, bcSet_);
FiniteDifferenceModel <HundsdorferScheme>
hsModel = new FiniteDifferenceModel <HundsdorferScheme>(hsEvolver, condition_.stoppingTimes());
hsModel.rollback(ref a, dampingTo, to, steps, condition_);
}
break;
case FdmSchemeDesc.FdmSchemeType.DouglasType:
{
DouglasScheme dsEvolver = new DouglasScheme(schemeDesc_.theta, map_, bcSet_);
FiniteDifferenceModel <DouglasScheme>
dsModel = new FiniteDifferenceModel <DouglasScheme>(dsEvolver, condition_.stoppingTimes());
dsModel.rollback(ref a, dampingTo, to, steps, condition_);
}
break;
case FdmSchemeDesc.FdmSchemeType.CraigSneydType:
{
CraigSneydScheme csEvolver = new CraigSneydScheme(schemeDesc_.theta, schemeDesc_.mu,
map_, bcSet_);
FiniteDifferenceModel <CraigSneydScheme>
csModel = new FiniteDifferenceModel <CraigSneydScheme>(csEvolver, condition_.stoppingTimes());
csModel.rollback(ref a, dampingTo, to, steps, condition_);
}
break;
case FdmSchemeDesc.FdmSchemeType.ModifiedCraigSneydType:
{
ModifiedCraigSneydScheme csEvolver = new ModifiedCraigSneydScheme(schemeDesc_.theta,
schemeDesc_.mu,
map_, bcSet_);
FiniteDifferenceModel <ModifiedCraigSneydScheme>
mcsModel = new FiniteDifferenceModel <ModifiedCraigSneydScheme>(csEvolver, condition_.stoppingTimes());
mcsModel.rollback(ref a, dampingTo, to, steps, condition_);
}
break;
case FdmSchemeDesc.FdmSchemeType.ImplicitEulerType:
{
ImplicitEulerScheme implicitEvolver = new ImplicitEulerScheme(map_, bcSet_);
FiniteDifferenceModel <ImplicitEulerScheme>
implicitModel = new FiniteDifferenceModel <ImplicitEulerScheme>(implicitEvolver, condition_.stoppingTimes());
implicitModel.rollback(ref a, from, to, allSteps, condition_);
}
break;
case FdmSchemeDesc.FdmSchemeType.ExplicitEulerType:
{
ExplicitEulerScheme explicitEvolver = new ExplicitEulerScheme(map_, bcSet_);
FiniteDifferenceModel <ExplicitEulerScheme>
explicitModel = new FiniteDifferenceModel <ExplicitEulerScheme>(explicitEvolver, condition_.stoppingTimes());
explicitModel.rollback(ref a, dampingTo, to, steps, condition_);
}
break;
default:
Utils.QL_FAIL("Unknown scheme type");
break;
}
}
