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Using odesolve to produce non-negative solutions

15 messages · Jeremy Goldhaber-Fiebert, Spencer Graves, Martin Henry H. Stevens +3 more

#
Hello,

I am using odesolve to simulate a group of people moving through time and transmitting infections to one another. 

In Matlab, there is a NonNegative option which tells the Matlab solver to keep the vector elements of the ODE solution non-negative at all times. What is the right way to do this in R?

Thanks,
Jeremy

P.S., Below is a simplified version of the code I use to try to do this, but I am not sure that it is theoretically right 

dynmodel <- function(t,y,p) 
{ 
## Initialize parameter values

	birth <- p$mybirth(t)
	death <- p$mydeath(t)
	recover <- p$myrecover
	beta <- p$mybeta
	vaxeff <- p$myvaxeff
	vaccinated <- p$myvax(t)

	vax <- vaxeff*vaccinated/100

## If the state currently has negative quantities (shouldn't have), then reset to reasonable values for computing meaningful derivatives

	for (i in 1:length(y)) {
		if (y[i]<0) {
			y[i] <- 0
		}
	}

	S <- y[1]
	I <- y[2]
	R <- y[3]
	N <- y[4]

	shat <- (birth*(1-vax)) - (death*S) - (beta*S*I/N)
	ihat <- (beta*S*I/N) - (death*I) - (recover*I)
	rhat <- (birth*(vax)) + (recover*I) - (death*R)

## Do we overshoot into negative space, if so shrink derivative to bring state to 0 
## then rescale the components that take the derivative negative

	if (shat+S<0) {
		shat_old <- shat
		shat <- -1*S
		scaled_transmission <- (shat/shat_old)*(beta*S*I/N)
		ihat <- scaled_transmission - (death*I) - (recover*I)
		
	}	
	if (ihat+I<0) {
		ihat_old <- ihat
		ihat <- -1*I
		scaled_recovery <- (ihat/ihat_old)*(recover*I)
		rhat <- scaled_recovery +(birth*(vax)) - (death*R)
	
	}	
	if (rhat+R<0) {
		rhat <- -1*R
	}	

	nhat <- shat + ihat + rhat

	if (nhat+N<0) {
		nhat <- -1*N	
	}	

## return derivatives

	list(c(shat,ihat,rhat,nhat),c(0))

}
#
Hello,

I am using odesolve to simulate a group of people moving through time and transmitting infections to one another. 

In Matlab, there is a NonNegative option which tells the Matlab solver to keep the vector elements of the ODE solution non-negative at all times. What is the right way to do this in R?

Thanks,
Jeremy

P.S., Below is a simplified version of the code I use to try to do this, but I am not sure that it is theoretically right 

dynmodel <- function(t,y,p) 
{ 
## Initialize parameter values

	birth <- p$mybirth(t)
	death <- p$mydeath(t)
	recover <- p$myrecover
	beta <- p$mybeta
	vaxeff <- p$myvaxeff
	vaccinated <- p$myvax(t)

	vax <- vaxeff*vaccinated/100

## If the state currently has negative quantities (shouldn't have), then reset to reasonable values for computing meaningful derivatives

	for (i in 1:length(y)) {
		if (y[i]<0) {
			y[i] <- 0
		}
	}

	S <- y[1]
	I <- y[2]
	R <- y[3]
	N <- y[4]

	shat <- (birth*(1-vax)) - (death*S) - (beta*S*I/N)
	ihat <- (beta*S*I/N) - (death*I) - (recover*I)
	rhat <- (birth*(vax)) + (recover*I) - (death*R)

## Do we overshoot into negative space, if so shrink derivative to bring state to 0 
## then rescale the components that take the derivative negative

	if (shat+S<0) {
		shat_old <- shat
		shat <- -1*S
		scaled_transmission <- (shat/shat_old)*(beta*S*I/N)
		ihat <- scaled_transmission - (death*I) - (recover*I)
		
	}	
	if (ihat+I<0) {
		ihat_old <- ihat
		ihat <- -1*I
		scaled_recovery <- (ihat/ihat_old)*(recover*I)
		rhat <- scaled_recovery +(birth*(vax)) - (death*R)
	
	}	
	if (rhat+R<0) {
		rhat <- -1*R
	}	

	nhat <- shat + ihat + rhat

	if (nhat+N<0) {
		nhat <- -1*N	
	}	

## return derivatives

	list(c(shat,ihat,rhat,nhat),c(0))

}
1 day later
#
On the 'lsoda' help page, I did not see any option to force some 
or all parameters to be nonnegative. 

      Have you considered replacing the parameters that must be 
nonnegative with their logarithms?  This effective moves the 0 lower 
limit to (-Inf) and seems to have worked well for me in the past.  
Often, it can even make the log likelihood or sum of squares surface 
more elliptical, which means that the standard normal approximation for 
the sampling distribution of parameter estimates will likely be more 
accurate. 

      Hope this helps. 
      Spencer Graves
p.s.  Your example seems not to be self contained.  If I could have 
easily copied it from your email and run it myself, I might have been 
able to offer more useful suggestions.
Jeremy Goldhaber-Fiebert wrote:
3 days later
#
Hi Spencer,

Thank you for your response. I also did not see anything on the lsoda help page which is the reason that I wrote to the list.
I am modeling a group of people (in a variety of health states) moving through time (and getting infected with an infectious disease). This means that the count of the number of people in each state should be positive at all times. 

What appears to happen is that lsoda asks for a derivative at a given point in time t and then adjusts the state of the population. However, perhaps due to numerical instability, it occasionally lower the population count below 0 for one of the health states (perhaps because it's step size is too big or something). 

I have tried both the logarithm trick and also changing the relative and absolute tolerance inputs but I still get the problem for certain combinations of parameters and initial conditions. 

It occurs both under MS Windows XP Service Pack 2 and on a Linux cluster so I am pretty sure it is not platform specific.

My real question to the group is if there is not a work around in lsoda are there other ode solvers in R that will allow the constraint of solutions to the ODEs remain non-negative?

Best regards,
Jeremy
On the 'lsoda' help page, I did not see any option to force some 
or all parameters to be nonnegative. 

      Have you considered replacing the parameters that must be 
nonnegative with their logarithms?  This effective moves the 0 lower 
limit to (-Inf) and seems to have worked well for me in the past.  
Often, it can even make the log likelihood or sum of squares surface 
more elliptical, which means that the standard normal approximation for 
the sampling distribution of parameter estimates will likely be more 
accurate. 

      Hope this helps. 
      Spencer Graves
p.s.  Your example seems not to be self contained.  If I could have 
easily copied it from your email and run it myself, I might have been 
able to offer more useful suggestions.
Jeremy Goldhaber-Fiebert wrote:
#
Hi Jeremy,
First, setting hmax to a small number could prevent a large step, if  
you think that is a problem. Second, however, I don't see how you can  
get a negative population size when using the log trick. I would  
think that that would prevent completely any negative values of N  
(i.e. e^-100000 > 0). Can you explain? or do you want to a void that  
trick? The only other solver I know of is rk4 and it is not recommended.
Hank
On Jun 11, 2007, at 11:46 AM, Jeremy Goldhaber-Fiebert wrote:

            
Dr. Hank Stevens, Assistant Professor
338 Pearson Hall
Botany Department
Miami University
Oxford, OH 45056

Office: (513) 529-4206
Lab: (513) 529-4262
FAX: (513) 529-4243
http://www.cas.muohio.edu/~stevenmh/
http://www.muohio.edu/ecology/
http://www.muohio.edu/botany/

"E Pluribus Unum"
#
<in line>
Martin Henry H. Stevens wrote:
SG:  Can lsoda estimate complex or imaginary parameters?
<snip>
#
Hi Spencer,
I have copied Woody Setzer. I have no idea whether lsoda can estimate  
parameters that could take imaginary values.
Hank
On Jun 11, 2007, at 12:52 PM, Spencer Graves wrote:

            
Hmm. I have no idea.
Dr. Hank Stevens, Assistant Professor
338 Pearson Hall
Botany Department
Miami University
Oxford, OH 45056

Office: (513) 529-4206
Lab: (513) 529-4262
FAX: (513) 529-4243
http://www.cas.muohio.edu/~stevenmh/
http://www.muohio.edu/ecology/
http://www.muohio.edu/botany/

"E Pluribus Unum"
#
Hi Jeremy,

A smaller step size may or may not help.  If the issue is simply truncation
error, that is the error involved in discretizing the differential
equations, then a smaller step size would help.  If, however, the true
solution to the differential equation is negative, for some t, then the
numerical solution should also be negative.  If the negative solution does
not make sense, then the system of equation needs to be examined to see when
and why negative solutions arise.  Perhaps, I am just making this up - there
needs to be a "barrier function" that slows down the trajectory as it
approaches zero from its initial value. It is also possible that only
certain regions of the parameter space are allowed in the sense that only
there the solution is feasible for all t.  So, in your example, the
parameters might not be realistic.  In short, if you are sure that the
numerical solution is accurate, then you need to go back to your system of
equations and analyze them carefully.


Ravi.


----------------------------------------------------------------------------
-------

Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

----------------------------------------------------------------------------
--------


-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Martin Henry H.
Stevens
Sent: Monday, June 11, 2007 1:03 PM
To: Spencer Graves
Cc: Jeremy Goldhaber-Fiebert; R-Help; Setzer.Woodrow at epamail.epa.gov
Subject: Re: [R] Fwd: Using odesolve to produce non-negative solutions

Hi Spencer,
I have copied Woody Setzer. I have no idea whether lsoda can estimate  
parameters that could take imaginary values.
Hank
On Jun 11, 2007, at 12:52 PM, Spencer Graves wrote:

            
Hmm. I have no idea.
Dr. Hank Stevens, Assistant Professor
338 Pearson Hall
Botany Department
Miami University
Oxford, OH 45056

Office: (513) 529-4206
Lab: (513) 529-4262
FAX: (513) 529-4243
http://www.cas.muohio.edu/~stevenmh/
http://www.muohio.edu/ecology/
http://www.muohio.edu/botany/

"E Pluribus Unum"

______________________________________________
R-help at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
#
Spencer,

Lsoda does not "estimate" any parameters (nlmeODE does parameter
estimation).  It just computes the solution trajectory, at discrete times,
of a dynamical systems (i.e. set of differential equations).  It only works
with real numbers, as far as I know.


Ravi.

----------------------------------------------------------------------------
-------

Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

----------------------------------------------------------------------------
--------


-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Spencer Graves
Sent: Monday, June 11, 2007 12:53 PM
To: Martin Henry H. Stevens
Cc: Jeremy Goldhaber-Fiebert; r-help at stat.math.ethz.ch
Subject: Re: [R] Fwd: Using odesolve to produce non-negative solutions

<in line>
Martin Henry H. Stevens wrote:
SG:  Can lsoda estimate complex or imaginary parameters?
<snip>

______________________________________________
R-help at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
#
Hi Jeremy,

A smaller step size may or may not help.  If the issue is simply truncation
error, that is the error involved in discretizing the differential
equations, then a smaller step size would help.  If, however, the true
solution to the differential equation is negative, for some t, then the
numerical solution should also be negative.  If the negative solution does
not make sense, then the system of equation needs to be examined to see when
and why negative solutions arise.  Perhaps, I am just making this up - there
needs to be a "dampening function" that slows down the trajectory as it
approaches zero from its initial value. It is also possible that only
certain regions of the parameter space (note that initial conditions are
also parameters) are allowed in the sense that only there the solution is
feasible for all t.  So, in your example, the parameters might not be
realistic.  In short, if you are sure that the numerical solution is
accurate, then you need to go back to your system of equations and analyze
them carefully.  


Ravi.


----------------------------------------------------------------------------
-------

Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

----------------------------------------------------------------------------
--------


-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Jeremy
Goldhaber-Fiebert
Sent: Monday, June 11, 2007 11:47 AM
To: Spencer Graves
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] Fwd: Using odesolve to produce non-negative solutions

Hi Spencer,

Thank you for your response. I also did not see anything on the lsoda help
page which is the reason that I wrote to the list.
I am modeling a group of people (in a variety of health states) moving
through time (and getting infected with an infectious disease). This means
that the count of the number of people in each state should be positive at
all times. 

What appears to happen is that lsoda asks for a derivative at a given point
in time t and then adjusts the state of the population. However, perhaps due
to numerical instability, it occasionally lower the population count below 0
for one of the health states (perhaps because it's step size is too big or
something). 

I have tried both the logarithm trick and also changing the relative and
absolute tolerance inputs but I still get the problem for certain
combinations of parameters and initial conditions. 

It occurs both under MS Windows XP Service Pack 2 and on a Linux cluster so
I am pretty sure it is not platform specific.

My real question to the group is if there is not a work around in lsoda are
there other ode solvers in R that will allow the constraint of solutions to
the ODEs remain non-negative?

Best regards,
Jeremy
On the 'lsoda' help page, I did not see any option to force some 
or all parameters to be nonnegative. 

      Have you considered replacing the parameters that must be 
nonnegative with their logarithms?  This effective moves the 0 lower 
limit to (-Inf) and seems to have worked well for me in the past.  
Often, it can even make the log likelihood or sum of squares surface 
more elliptical, which means that the standard normal approximation for 
the sampling distribution of parameter estimates will likely be more 
accurate. 

      Hope this helps. 
      Spencer Graves
p.s.  Your example seems not to be self contained.  If I could have 
easily copied it from your email and run it myself, I might have been 
able to offer more useful suggestions.
Jeremy Goldhaber-Fiebert wrote:
transmitting infections to one another.
keep the vector elements of the ODE solution non-negative at all times. What
is the right way to do this in R?
but I am not sure that it is theoretically right
reset to reasonable values for computing meaningful derivatives
state to 0
http://www.R-project.org/posting-guide.html
______________________________________________
R-help at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
#
Hi Ravi,

Thanks for your response. I tried this in Berkeley Madonna and in Matlab. In Berkeley Madonna I did not have the problem (RK4 solver). In Matlab (ode45 solver), I had the problem if I did not use their NonNegative option. My thought was that NonNegative uses something like an additional piece of logic in modifying step size (maybe something like: if stepsize * derivative + current condition is negative, then reduce step size), but I don't know.

My original application was to generate ode output for a variety of unknown parameters, comparing the output to observed data and thereby using a likelihood-based approach to identify unknown parameter combinations that are most consistent with observed data given the uncertainty. First, I wanted to get a sense of how the model performed over a range of parameters that seem plausible based on literature review. I had originally thought to do this in Matlab and built a little proof of concept searching program, but given that R is free and has many other great packages for doing optimization and statistical analysis (and is easy to setup which is great for cluster computing situations), I thought it would be better to do it in R. When I did this, I got negative values and hence sent to the list.

Once again, thanks for your help. Not sure if this clarification email will generate other suggestions or thoughts.

Best,
Jeremy
Hi Jeremy,

A smaller step size may or may not help.  If the issue is simply truncation
error, that is the error involved in discretizing the differential
equations, then a smaller step size would help.  If, however, the true
solution to the differential equation is negative, for some t, then the
numerical solution should also be negative.  If the negative solution does
not make sense, then the system of equation needs to be examined to see when
and why negative solutions arise.  Perhaps, I am just making this up - there
needs to be a "dampening function" that slows down the trajectory as it
approaches zero from its initial value. It is also possible that only
certain regions of the parameter space (note that initial conditions are
also parameters) are allowed in the sense that only there the solution is
feasible for all t.  So, in your example, the parameters might not be
realistic.  In short, if you are sure that the numerical solution is
accurate, then you need to go back to your system of equations and analyze
them carefully.  


Ravi.


----------------------------------------------------------------------------
-------

Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu 

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html 

 

----------------------------------------------------------------------------
--------


-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch 
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Jeremy
Goldhaber-Fiebert
Sent: Monday, June 11, 2007 11:47 AM
To: Spencer Graves
Cc: r-help at stat.math.ethz.ch 
Subject: Re: [R] Fwd: Using odesolve to produce non-negative solutions

Hi Spencer,

Thank you for your response. I also did not see anything on the lsoda help
page which is the reason that I wrote to the list.
I am modeling a group of people (in a variety of health states) moving
through time (and getting infected with an infectious disease). This means
that the count of the number of people in each state should be positive at
all times. 

What appears to happen is that lsoda asks for a derivative at a given point
in time t and then adjusts the state of the population. However, perhaps due
to numerical instability, it occasionally lower the population count below 0
for one of the health states (perhaps because it's step size is too big or
something). 

I have tried both the logarithm trick and also changing the relative and
absolute tolerance inputs but I still get the problem for certain
combinations of parameters and initial conditions. 

It occurs both under MS Windows XP Service Pack 2 and on a Linux cluster so
I am pretty sure it is not platform specific.

My real question to the group is if there is not a work around in lsoda are
there other ode solvers in R that will allow the constraint of solutions to
the ODEs remain non-negative?

Best regards,
Jeremy
On the 'lsoda' help page, I did not see any option to force some 
or all parameters to be nonnegative. 

      Have you considered replacing the parameters that must be 
nonnegative with their logarithms?  This effective moves the 0 lower 
limit to (-Inf) and seems to have worked well for me in the past.  
Often, it can even make the log likelihood or sum of squares surface 
more elliptical, which means that the standard normal approximation for 
the sampling distribution of parameter estimates will likely be more 
accurate. 

      Hope this helps. 
      Spencer Graves
p.s.  Your example seems not to be self contained.  If I could have 
easily copied it from your email and run it myself, I might have been 
able to offer more useful suggestions.
Jeremy Goldhaber-Fiebert wrote:
transmitting infections to one another.
keep the vector elements of the ODE solution non-negative at all times. What
is the right way to do this in R?
but I am not sure that it is theoretically right
reset to reasonable values for computing meaningful derivatives
state to 0
http://www.R-project.org/posting-guide.html
______________________________________________
R-help at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help 
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html 
and provide commented, minimal, self-contained, reproducible code.
#
Hi, all.
lsoda can certainly not handle complex parameters.  You can try (as Hank
suggested) limiting hmax.  You can also crank up relative and absolute
precision by specifying smaller values of  rtol and atol.  I've seen
similar problems in which the state variable becomes negative, with very
small absolute value, when theoretically, the system has a non-negative
solution.  This is certainly due to imprecision in the numerical
solution.  Have you tried including an analytic jacobian?  That could
improve the numeric properties of the solution.

Woody

R. Woodrow Setzer, Ph. D.
National Center for Computational Toxicology
US Environmental Protection Agency
Mail Drop B205-01/US EPA/RTP, NC 27711
Ph: (919) 541-0128    Fax: (919) 541-1194


                                                                        
             "Martin Henry H.                                           
             Stevens"                                                   
             <HStevens at muohio                                        To 
             .edu>                    Spencer Graves                    
                                      <spencer.graves at pdf.com>          
             06/11/2007 01:02                                        cc 
             PM                       Jeremy Goldhaber-Fiebert          
                                      <JGOLDHAB at hsph.harvard.edu>,      
                                      R-Help                            
                                      <r-help at stat.math.ethz.ch>,       
                                      Woodrow Setzer/RTP/USEPA/US at EPA   
                                                                Subject 
                                      Re: [R] Fwd: Using odesolve to    
                                      produce non-negative solutions    
                                                                        
                                                                        
                                                                        
                                                                        
                                                                        
                                                                        




Hi Spencer,
I have copied Woody Setzer. I have no idea whether lsoda can estimate
parameters that could take imaginary values.
Hank
On Jun 11, 2007, at 12:52 PM, Spencer Graves wrote:

            
Hmm. I have no idea.
Dr. Hank Stevens, Assistant Professor
338 Pearson Hall
Botany Department
Miami University
Oxford, OH 45056

Office: (513) 529-4206
Lab: (513) 529-4262
FAX: (513) 529-4243
http://www.cas.muohio.edu/~stevenmh/
http://www.muohio.edu/ecology/
http://www.muohio.edu/botany/

"E Pluribus Unum"
#
By the way, if someone could forward the original question to me (I'm
subscribed to but not currently receiving R-help, as I found I was
spending too much time reading it!) I might think of something more
useful. (alternatively, when was it posted; I can find it on gmane,
too).

Woody
R. Woodrow Setzer, Ph. D.
National Center for Computational Toxicology
US Environmental Protection Agency
Mail Drop B205-01/US EPA/RTP, NC 27711
Ph: (919) 541-0128    Fax: (919) 541-1194


                                                                        
             "Martin Henry H.                                           
             Stevens"                                                   
             <HStevens at muohio                                        To 
             .edu>                    Spencer Graves                    
                                      <spencer.graves at pdf.com>          
             06/11/2007 01:02                                        cc 
             PM                       Jeremy Goldhaber-Fiebert          
                                      <JGOLDHAB at hsph.harvard.edu>,      
                                      R-Help                            
                                      <r-help at stat.math.ethz.ch>,       
                                      Woodrow Setzer/RTP/USEPA/US at EPA   
                                                                Subject 
                                      Re: [R] Fwd: Using odesolve to    
                                      produce non-negative solutions    
                                                                        
                                                                        
                                                                        
                                                                        
                                                                        
                                                                        




Hi Spencer,
I have copied Woody Setzer. I have no idea whether lsoda can estimate
parameters that could take imaginary values.
Hank
On Jun 11, 2007, at 12:52 PM, Spencer Graves wrote:

            
Hmm. I have no idea.
Dr. Hank Stevens, Assistant Professor
338 Pearson Hall
Botany Department
Miami University
Oxford, OH 45056

Office: (513) 529-4206
Lab: (513) 529-4262
FAX: (513) 529-4243
http://www.cas.muohio.edu/~stevenmh/
http://www.muohio.edu/ecology/
http://www.muohio.edu/botany/

"E Pluribus Unum"
#
Jeremy,

You should examine the steady-state solution to your system of equations, by
setting the time-derivatives to zero and then solving/analyzing the
resulting algebraic equations.  This should give you some insights.  

Let us say you have 3 groups, A,B, and C, with initial conditions:
N_A(t=0) = N_{A0}, N_B(t=0) = N_{B0}, and N_C(t=0) = N_{C0}, and that people
transition in and out of these 3 states (one of the states could even be
absorbing, e.g. death), but it is true for any time t that N_A(t) + N_B(t) +
N_C(t) = N_{A0} + N_{B0} + N_{C0}.  Furthermore, you have 3 diff-equations
that describe the rate of change of N_A, N_B, and N_C, for t > 0.  If it
happens that one of the N's, say N_A, becomes negative, you could set it
equal to zero.  But then you have to figure out how to re-adjust N_B and N_C
so that they add up to the initial total count.  After re-adjustment, you
also have to think about whether the resulting system of equations are
valid, when there are no A people.

Ravi. 


----------------------------------------------------------------------------
-------

Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

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-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Jeremy
Goldhaber-Fiebert
Sent: Monday, June 11, 2007 11:47 AM
To: Spencer Graves
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] Fwd: Using odesolve to produce non-negative solutions

Hi Spencer,

Thank you for your response. I also did not see anything on the lsoda help
page which is the reason that I wrote to the list.
I am modeling a group of people (in a variety of health states) moving
through time (and getting infected with an infectious disease). This means
that the count of the number of people in each state should be positive at
all times. 

What appears to happen is that lsoda asks for a derivative at a given point
in time t and then adjusts the state of the population. However, perhaps due
to numerical instability, it occasionally lower the population count below 0
for one of the health states (perhaps because it's step size is too big or
something). 

I have tried both the logarithm trick and also changing the relative and
absolute tolerance inputs but I still get the problem for certain
combinations of parameters and initial conditions. 

It occurs both under MS Windows XP Service Pack 2 and on a Linux cluster so
I am pretty sure it is not platform specific.

My real question to the group is if there is not a work around in lsoda are
there other ode solvers in R that will allow the constraint of solutions to
the ODEs remain non-negative?

Best regards,
Jeremy
On the 'lsoda' help page, I did not see any option to force some 
or all parameters to be nonnegative. 

      Have you considered replacing the parameters that must be 
nonnegative with their logarithms?  This effective moves the 0 lower 
limit to (-Inf) and seems to have worked well for me in the past.  
Often, it can even make the log likelihood or sum of squares surface 
more elliptical, which means that the standard normal approximation for 
the sampling distribution of parameter estimates will likely be more 
accurate. 

      Hope this helps. 
      Spencer Graves
p.s.  Your example seems not to be self contained.  If I could have 
easily copied it from your email and run it myself, I might have been 
able to offer more useful suggestions.
Jeremy Goldhaber-Fiebert wrote:
transmitting infections to one another.
keep the vector elements of the ODE solution non-negative at all times. What
is the right way to do this in R?
but I am not sure that it is theoretically right
reset to reasonable values for computing meaningful derivatives
state to 0
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2 days later
#
Dear Jeremy,

a few notes about your model: The equations of your derivatives are 
designed in a way that can lead to negative state variables with certain 
parameter combinations. In order to avoid this, you are using "if 
constructions" which are intended to correct this. This method is 
however (as far as I have learned from theory and own experience ;-) a 
bad idea and should be strictly avoided.

This trick may violate assumptions of the ODE solvers and in many cases 
also mass-balances (or similar).

Instead of this, processes should be modeled in a way that avoids 
"crossing zero", e.g. exponential decay (x, k > 0):

dx = - k * x  (1)

and not a linear decay like

dx = -k       (2)

which by its nature can lead to negative state values.

Case (1) can be managed almost perfectly by lsoda with his automatic 
internal time step algorithm. hmax is intended for non-autonomous models 
to ensure that external signals are not skipped by the automatism, which 
may be appropriate in your case because p seems to contain time 
dependent functions.

As far as I can see, your equations belong to type (1) and should not 
need any of the if and for constructs, as long as your parameters (which 
are not given in your post) do have the correct sign and range (for 
example, vax <= 1, death >= 0  etc.).

If you perform optimization, you must ensure that parameters stay in the 
plausible range is met using transformations of the parameters or 
constraints in the optimization procedure.

Thomas

PS: another question, what is the purpose of the state variable N?
I guess it can be derived from the other states.
Jeremy Goldhaber-Fiebert wrote:
[... code deleted, see original post ...]