Periodic orbits based on orthogonal collocation

We compute Ntst time slices of a periodic orbit using orthogonal collocation. This is implemented in the structure PeriodicOrbitOCollProblem.

Large scale

The current implementation is optimized for ODE and for large scale problems for which the jacobian is sparse.

The general method is very well exposed in [Dankowicz],[Doedel] and we adopt the notations of [Dankowicz]. However our implementation is based on [Doedel] because it is more economical (less equations) when it enforces the continuity of the solution.

We look for periodic orbits as solutions $(x(0), T)$ of

\[\dot x = T\cdot F(x),\ x(0)=x(1)\in\mathbb R^n.\]

We focus on the differential equality and consider a partition of the time domain


where the points are referred to as mesh points. On each mesh interval $[\tau_j,\tau_{j+1}]$ for $j=1,\cdots,N_{tst}$, we define the affine transformation

\[\tau=\tau^{(j)}(\sigma):=\tau_{j}+\frac{(1+\sigma)}{2}\left(\tau_{j+1}-\tau_{j}\right), \sigma \in[-1,1].\]

The functions $x^{(j)}$ defined on $[-1,1]$ by $x^{(j)}(\sigma) \equiv x(\tau_j(\sigma))$ satisfies the following equation on $[-1,1]$:

\[\dot x^{(j)} = T\frac{\tau_{j+1}-\tau_j}{2}\cdot F(x^{(j)})\tag{$E_j$}\]

with the continuity equation $x^{(j+1)}(-1) = x^{(j)}(1)$.

We now aim at solving $(E_j)$ by using an approximation with a polynomial of degree $m$. Following [Dankowicz], we define a (uniform) partition:


The points $\tau_{i,j} = \tau^{(i)}(\sigma_j)$ are called the base points: they serve as collocation points.

The associated $m+1$ Lagrange polynomials of degree $m$ are:

\[\mathcal{L}_{i}(\sigma):=\prod_{k=1, k \neq i}^{m+1} \frac{\sigma-\sigma_{k}}{\sigma_{i}-\sigma_{k}}, i=1, \ldots, m+1.\]

We then introduce the approximation $p_j$ of $x^{(j)}$:

\[\mathcal p_j(\sigma)\equiv \sum\limits_{k=1}^{m+1}\mathcal L_k(\sigma)x_{j,k}\]

and the problem to be solved at the nodes $z_l$, $l=1,\cdots,m$:

\[\forall 1\leq l\leq m,\quad 1\leq j\leq N_{tst},\quad \dot p_j(z_l) = T\frac{\tau_{j+1}-\tau_j}{2}\cdot F(p_j(z_l))\tag{$E_j^2$}.\]

The nodes $(z_l)$ are associated with a Gauss–Legendre quadrature.

In order to have a unique solution, we need to remove the phase freedom. This is done by imposing a phase condition.

Number of unknowns

Putting the period unknown aside, we have to find the $x_{j,k}$ which gives $n\times N_{tst}\times (m+1)$ unknowns.

The equations $E_j^2$ provides $n\times N_{tst}\times m$ plus the $(N_{tst}-1)\times n$ equations for the continuity equations. This makes a total of $(N_{tst}-1)\times m\times n+n\times N_{tst}\times m = n[N_{tst}(m+1)-1]$ equations to which we add the $n$ equations for the periodic boundary condition. In total, we have

\[n\times N_{tst}\times (m+1)\]

equations which matches the number of unknowns.

Phase condition

To ensure uniqueness of the solution to the functional, we add the following phase condition

\[\frac{1}{T} \int_{0}^{T}\left\langle x(s), \dot x_0(s)\right\rangle d s =0\]

During continuation at step $k$, we use $\frac{1}{T} \int_{0}^{T}\left\langle x(s), \dot x_{k-1}(s)\right\rangle d s$



Structure to encode the solution associated to a functional like ::PeriodicOrbitOCollProblem or ::ShootingProblem. In the particular case of ::PeriodicOrbitOCollProblem, this allows to use the collocation polynomials to interpolate the solution. Hence, if sol::POSolution, one can call

sol = BifurcationKit.POSolution(prob_coll, x)

on any time t.

Mesh adaptation

The goal of this method[Russell] is to adapt the mesh $\tau_i$ in order to minimize the error. It is particularly helpful near homoclinic solutions where the period diverge. It can also be useful in order to use a smaller $N_{tst}$.

Encoding of the functional

The functional is encoded in the composite type PeriodicOrbitOCollProblem. See the link for more information, in particular on how to access the underlying functional, its jacobian...

Jacobian and linear solvers

We provide many different linear solvers to take advantage of the formulations or the dimensionality. These solvers are available through the argument jacobian in the constructor of PeriodicOrbitOCollProblem. For example, you can pass jacobian = FullSparse(). Note that all the internal solvers and jacobian are set up automatically, you don't need to do anything. However, for the sake of explanation, we detail how this works.

1. AutoDiffDenseAnalytical()

The jacobian is computed with an analytical formula, works for dense matrices. This is the default algorithm.

2. AutoDiffDense()

The jacobian is computed with automatic differentiation, works for dense matrices. Can be used for debugging.

3. FullSparse()

The jacobian is computed with an analytical formula, works for sparse matrices.

3. FullSparseInplace()

The jacobian is computed in place, limiting memory allocations, with an analytical formula when the sparsity of the jacobian of the vector field is constant. This is much faster than FulSparse().

Floquet multipliers computation

We provide three methods to compute the Floquet coefficients.

  • The algorithm (Default) FloquetColl is based on the condensation of parameters described in [Doedel]. It is the fastest method.
  • The algorithm FloquetCollGEV is a simplified version of the procedure described in [Fairgrieve]. It boils down to solving a large generalized eigenvalue problem. There is clearly room for improvements here but this can be used to check the results of the previous method.

These methods allow to detect bifurcations of periodic orbits. It seems to work reasonably well for the tutorials considered here. However they may be imprecise[Lust].

  • The state of the art method is based on a Periodic Schur decomposition. It is available through the package PeriodicSchurBifurcationKit.jl. For more information, have a look at FloquetPQZ.

Computation with newton

newton(probPO, orbitguess, options; kwargs...)

This is the Newton Solver for computing a periodic orbit using orthogonal collocation method. Note that the linear solver has to be apropriately set up in options.


Similar to newton except that prob is a PeriodicOrbitOCollProblem.

  • prob a problem of type <: PeriodicOrbitOCollProblem encoding the shooting functional G.
  • orbitguess a guess for the periodic orbit.
  • options same as for the regular newton method.

Optional argument

  • jacobian Specify the choice of the linear algorithm, which must belong to (AutoDiffDense(), ). This is used to select a way of inverting the jacobian dG
    • For AutoDiffDense(). The jacobian is formed as a dense Matrix. You can use a direct solver or an iterative one using options. The jacobian is formed inplace.
    • For AutoDiffDenseAnalytical() Same as for AutoDiffDense but the jacobian is formed using a mix of AD and analytical formula.

We provide a simplified call to newton to locate the periodic orbits. newton will look for prob.jacobian in order to select the requested way to compute the jacobian.

The docs for this specific newton are located at newton.


We refer to continuation for more information regarding the arguments. continuation will look for prob.jacobian in order to select the requested way to compute the jacobian.


  • Dankowicz

    Dankowicz, Harry, and Frank Schilder. Recipes for Continuation. Computational Science and Engineering Series. Philadelphia: Society for Industrial and Applied Mathematics, 2013.

  • Doedel

    Doedel, Eusebius, Herbert B. Keller, and Jean Pierre Kernevez. “NUMERICAL ANALYSIS AND CONTROL OF BIFURCATION PROBLEMS (II): BIFURCATION IN INFINITE DIMENSIONS.” International Journal of Bifurcation and Chaos 01, no. 04 (December 1991): 745–72.

  • Fairgrieve

    Fairgrieve, Thomas F., and Allan D. Jepson. “O. K. Floquet Multipliers.” SIAM Journal on Numerical Analysis 28, no. 5 (October 1991): 1446–62.

  • Russell

    Russell, R. D., and J. Christiansen. “Adaptive Mesh Selection Strategies for Solving Boundary Value Problems.” SIAM Journal on Numerical Analysis 15, no. 1 (February 1978): 59–80.

  • Lust

    Lust, Kurt. “Improved Numerical Floquet Multipliers.” International Journal of Bifurcation and Chaos 11, no. 09 (September 2001): 2389–2410.