scirs2-integrate

Numerical integration, ODE/PDE/SDE solvers, and physics simulation for the SciRS2 scientific computing library (v0.6.5).

scirs2-integrate provides a comprehensive suite of numerical integration methods modeled after SciPy's integrate module, extended with advanced capabilities including Stochastic Differential Equation (SDE) solvers, Lattice Boltzmann Method (LBM) fluid simulation, Discontinuous Galerkin (DG) finite elements, phase field models, Boundary Element Methods, Isogeometric Analysis, Port-Hamiltonian discretization, and Monte Carlo / Quasi-Monte Carlo integration — all as pure Rust.

Features (v0.6.5)

Quadrature (Definite Integrals)

• Adaptive quadrature: Automatic error control; quad, dblquad, tplquad, nquad
• Gaussian quadrature: Gauss-Legendre, Gauss-Hermite, Gauss-Laguerre, Gauss-Chebyshev
• Romberg integration: Richardson extrapolation with configurable depth
• Tanh-sinh quadrature: High accuracy near endpoint singularities
• Lebedev rules: Spherical integration with angular quadrature
• Newton-Cotes rules: Coefficient generation for arbitrary orders
• quad_vec: Vectorized quadrature for array-valued integrands
• Cubature: Adaptive multidimensional cubature rules

Monte Carlo and Quasi-Monte Carlo Integration

• Standard Monte Carlo: Importance sampling, stratified sampling, control variates
• Quasi-Monte Carlo (QMC): Sobol sequences, Halton sequences, lattice rules
• qmc_quad: High-dimensional integration with low-discrepancy sequences
• Parallel Monte Carlo: Work-stealing parallel evaluation for throughput

ODE Solvers (Initial Value Problems)

• Explicit methods: Euler, RK4 (fixed step), RK23 (Bogacki-Shampine), RK45 (Dormand-Prince)
• High-order explicit: DOP853 (Dormand-Prince 8(5,3)), high-precision adaptive
• Implicit / stiff methods: BDF (orders 1-5), Radau IIA (L-stable), LSODA (auto-switching)
• solve_ivp: Unified solver interface supporting all methods
• Event detection: Zero-crossing with direction control, terminal events, dense output
• Mass matrix support: Constant, time-dependent, and state-dependent M(t,y)·y' = f(t,y)
• IMEX methods: Implicit-Explicit splitting for stiff + non-stiff additive systems

Boundary Value Problem Solvers

• Collocation BVP: solve_bvp with adaptive mesh refinement
• Shooting methods: Single and multiple shooting for two-point BVPs
• Continuation methods: Parameter-dependent BVP families, arc-length continuation

Differential-Algebraic Equations (DAE)

• Index-1 DAE: BDF-based solver for semi-explicit index-1 systems
• Higher-index DAE: Pantelides algorithm for automatic index reduction
• Block preconditioners: Scalable Krylov methods for large DAE systems

Partial Differential Equations (PDE)

• Finite Difference: 1D/2D/3D spatial schemes; central, upwind, WENO
• Finite Element (FEM): Linear/quadratic triangular elements (TriangularMesh, ElementType::{Linear, Quadratic})
• Spectral methods: Fourier, Chebyshev, Legendre, spectral element
• Finite Volume: Conservative schemes; upwind and Lax-Wendroff flux, MUSCL reconstruction with minmod/superbee/van Leer limiters
• Time-stepping FEM: θ-method for parabolic (heat) problems and Newmark-β for hyperbolic (wave) problems (time_fem)
• Adaptive Mesh Refinement: Automatic grid refinement and coarsening

Stochastic Differential Equations (SDE)

• Euler-Maruyama: First-order explicit SDE solver
• Milstein scheme: Strong order 1.0 SDE solver
• Strong order 1.5: Iterated stochastic integral methods
• Multi-dimensional SDEs: Correlated noise, vector Wiener processes
• Stochastic PDE (SPDE): Space-time white and colored noise PDEs

Lattice Boltzmann Method (LBM)

• D2Q9 and D3Q19 lattices: Standard 2D and 3D fluid simulation (D2Q9Lbm, D3Q19Lbm)
• BGK collision operator: Single-relaxation-time (multi-relaxation-time is not yet implemented)
• Boundary conditions: Full bounce-back walls, prescribed-velocity inlets, zero-gradient outlets, and periodic streaming
• GPU-accelerated variant: Separate gpu_lbm module (D2Q9 BGK, periodic/no-slip/free-slip boundaries)

Discontinuous Galerkin (DG)

• Nodal DG: 1D solver on Gauss-Legendre-Lobatto nodes (Dg1dSolver) with RK4 time-stepping
• Modal basis utilities: Legendre modal basis, nodal/modal conversion, troubled-cell indicator, p-refinement (dg_advanced)
• Numerical fluxes: Upwind, Lax-Friedrichs, Roe, HLLC (Euler systems via pde::dg_systems)

Phase Field Models

• Cahn-Hilliard equation: Phase separation with free energy functional
• Allen-Cahn equation: Interface dynamics and crystal growth
• Phase field crystal: Periodic density functional models
• Coupled mechanics: Chemo-mechanical coupling for battery electrode models

Boundary Element Method (BEM)

• Laplace BEM: Potential flow and heat conduction (LaplaceKernel)
• Helmholtz BEM: Acoustic scattering (HelmholtzKernel)
• Collocation formulation: Boundary integral equation solved via element-midpoint collocation (BEMSolver)
• Panel method: Potential-flow panel solver for external aerodynamics (PanelMethod)

Isogeometric Analysis (IGA)

• B-spline and NURBS basis: Exact geometry representation (BSplineBasis, BSplineCurve/BSplineSurface, NurbsCurve/NurbsSurface)
• 1D/2D IGA solvers: Boundary-value problems over B-spline/NURBS geometry (IGASolver1D, IGASolver2D)

Port-Hamiltonian Discretization

• Structure-preserving: Discrete Dirac structures on staggered grids
• Interconnection: Energy-routing between subsystems
• Passivity: Guaranteed energy dissipation bounds

Symplectic Integrators

• Stormer-Verlet: 2nd-order symplectic for separable Hamiltonians
• Ruth 4th-order: Higher-order symplectic Runge-Kutta
• Leapfrog / velocity Verlet: Molecular dynamics and N-body
• Gauss-Legendre collocation: Implicit symplectic for non-separable H

Specialized Domain Solvers

• Quantum mechanics: Schrödinger equation (split-operator, Crank-Nicolson)
• Fluid dynamics: Navier-Stokes (projection, incompressible)
• Financial PDEs: Black-Scholes, Heston, Monte Carlo for exotic derivatives; higher-level facades for AdvancedMonteCarloEngine (Sobol variance reduction), ExoticOptionPricer (barrier/Asian/lookback/digital), RealTimeRiskMonitor/RiskDashboard, and RiskAnalyzer/PortfolioRiskMetrics (historical/Monte Carlo VaR, Greeks)
• Integral equations: Fredholm and Volterra equations of the 1st and 2nd kind

Quick Start

Add to your Cargo.toml:

[dependencies]
scirs2-integrate = "0.6.5"

With optional performance features:

[dependencies]
scirs2-integrate = { version = "0.6.5", features = ["parallel", "simd"] }

Adaptive 1D quadrature

use scirs2_integrate::quad::quad;

// Integrate sin(x) from 0 to pi; exact result = 2.0
let result = quad(|x: f64| x.sin(), 0.0, std::f64::consts::PI, None)?;
assert!((result.value - 2.0).abs() < 1e-10);
println!("integral = {}, error = {}", result.value, result.abs_error);

Solving an ODE with adaptive step size

use scirs2_integrate::ode::{solve_ivp, ODEOptions, ODEMethod};
use scirs2_core::ndarray::array;

// dy/dt = -y, y(0) = 1 -> exact: y = exp(-t)
let opts = ODEOptions { method: ODEMethod::RK45, rtol: 1e-8, atol: 1e-10, ..Default::default() };
let result = solve_ivp(
    |_t, y| array![-y[0]],
    [0.0, 5.0],
    array![1.0],
    Some(opts),
)?;
if let Some(y_final) = result.y.last() {
    println!("y(5) = {} (exact {})", y_final[0], (-5.0f64).exp());
}

Quasi-Monte Carlo integration

use scirs2_core::ndarray::{Array1, ArrayView1};
use scirs2_integrate::qmc::qmc_quad;

// Integrate f(x,y) = sin(x+y) over [0,1]^2
let a = Array1::from_vec(vec![0.0, 0.0]);
let b = Array1::from_vec(vec![1.0, 1.0]);
let result = qmc_quad(
    |pt: ArrayView1<f64>| (pt[0] + pt[1]).sin(),
    &a,
    &b,
    Some(8),       // n_estimates
    Some(100_000), // n_points per estimate
    None,          // qrng: defaults to a Halton sequence
    false,         // log
)?;
println!("QMC result = {}, stderr = {}", result.integral, result.standard_error);

Stochastic Differential Equation (Euler-Maruyama)

use scirs2_integrate::sde_simple::{solve_sde, EulerMaruyama};

// dX = -X dt + 0.5 dW, X(0) = 1.0
let solver = EulerMaruyama::new(
    |x: &[f64], _t: f64| vec![-x[0]],
    |_x: &[f64], _t: f64| vec![vec![0.5]],
    1, // state dimension
    1, // Wiener process dimension
);
let sol = solve_sde(&solver, &[1.0], 0.0, 1.0, 1e-3, 1000, 42);
let final_mean = sol.mean_trajectory().last().map(|v| v[0]).unwrap_or(f64::NAN);
println!("E[X(1)] ≈ {}", final_mean);

Lattice Boltzmann (2D lid-driven cavity)

use scirs2_integrate::lbm::lid_driven_cavity;

// nx=64, ny=64, kinematic viscosity=0.02, lid velocity=0.1
let mut lbm = lid_driven_cavity(64, 64, 0.02, 0.1);
lbm.run(10_000);
let (velocity_x, velocity_y) = (&lbm.velocity_x, &lbm.velocity_y);

Cahn-Hilliard phase field

use scirs2_integrate::phase_field::CahnHilliardSolver;

// nx=128, ny=128, dx=1/128, epsilon=0.05, mobility=1.0
let mut solver = CahnHilliardSolver::new(128, 128, 1.0 / 128.0, 0.05, 1.0);
solver.random_init(0.05, 42); // noise amplitude, seed
solver.run(500, 0.01); // 500 time steps, dt = 0.01
let order_param = &solver.phi; // phase field array (Vec<Vec<f64>>)

API Overview

Feature Flags

Test Coverage

Freshly measured via cargo nextest run -p scirs2-integrate (2026-07-15):

The 4 skipped tests are #[ignore]d in both modes (PINN training tests in src/pinn/high_level.rs; reason: "slow: PINN training exceeds test timeout"). The slowest passing tests in both modes are the finance Monte Carlo Greeks/parity tests (specialized::finance::monte_carlo), each taking 30-90 seconds — expected given their sample sizes, not a hang.

0.6.5 update: the DOP853/RK23 adaptive-step-control fix (see TODO.md "Adaptive ODE step-control fix") added a new tests/integration_ode.rs integration suite (16 tests covering RK23/DOP853 convergence order, step-size control under stiffness, and cross-method agreement), so actual current totals are higher than the 2026-07-15 snapshot above; not independently re-measured this pass. The 4-skipped/PINN figure is unaffected by the workspace-wide #[ignore]-legitimacy audit — this crate's 4 ignores were already reason-tagged in the slow:/etc. taxonomy that the audit went on to enforce workspace-wide.

Documentation

Full API documentation is available at docs.rs/scirs2-integrate.

Additional guides are in the docs/ directory:

• docs/getting_started_scipy_users.md: Migrating from scipy.integrate
• docs/dae_solver_theory.md: Theory behind the DAE solvers
• docs/pde_examples.md: Worked PDE examples
• docs/implementation/ODE_MODULE_ORGANIZATION.md: ODE module internals

License

Licensed under the Apache License 2.0. See LICENSE for details.