ilt-inversion 0.1.5

Fast numerical inverse Laplace transforms: GWR (arbitrary precision) + Fixed Talbot, with optional Rust/MPFR acceleration

ilt-inversion

Numerical inverse Laplace transforms for Python.

Why?

If you've ever needed to numerically invert a Laplace transform in Python, you've probably discovered that the standard tools either don't exist or fall over quietly when things get difficult.

NumPy and SciPy don't have one. There's no numpy.inverse_laplace or scipy.special.ilt. The standard scientific Python stack just doesn't cover this.

SymPy tries, but it's symbolic. inverse_laplace_transform attempts to find a closed-form f(t) via pattern matching and table lookups. That works for textbook problems - rational functions, simple exponentials - but hand it a Bessel-function ratio or anything defined by a numerical subroutine and it silently returns an unevaluated integral. You can't pass it a Python function that calls a numerical solver.

mpmath has invertlaplace, and it's actually decent. Three methods: de Hoog, Fixed Talbot, and Stehfest. But mpmath doesn't implement GWR, and its de Hoog and Talbot methods evaluate F(s) at complex values of s. That's a problem when your F(s) only works on the real axis - common in reservoir engineering where you're dealing with real-valued Bessel function ratios or feeding in results from a numerical ODE solver. GWR only needs F(s) at real, positive points.

Stehfest is the one everyone implements first, because it's simple and works at f64 precision. Handles smooth, monotonic transforms fine, but give it anything oscillatory or steep and it falls apart. The fixed-precision coefficients hit catastrophic cancellation at higher orders, capping you at ~6-8 significant figures no matter how many terms you throw at it.

David Fulford's gwr_inversion is the package that got this right in Python. It implements GWR with arbitrary precision via mpmath and optional gmpy2 acceleration (~10x speedup) - a clean, correct implementation that made GWR accessible to the Python community. For most general-purpose ILT work, gwr_inversion is all you need and this library owes a debt to it.

Where this library adds value

For straightforward gwr(my_function, times) calls, this library's Python path is essentially the same algorithm as Fulford's, with the same gmpy2 acceleration option. If that's your use case, either package will serve you well.

The differences show up in two specific areas:

Bulk inversion with simple callables. When M is small enough that f64 precision suffices (M <= 7, covering ~15 significant figures), the Rust/MPFR backend bypasses Python entirely and runs the full GWR algorithm in compiled code. That's a ~15x speedup per call, which adds up if you're inverting across large parameter sweeps or Monte Carlo runs. For higher M, the Rust path can't help with a general Python callable (the f64 boundary at the Python-Rust interface becomes the bottleneck), and the Python path with gmpy2 is the right choice - same as Fulford's package.

Bessel-function Laplace domains at full MPFR precision. For Laplace-domain functions built from modified Bessel functions (pressure transient analysis, radial diffusion, heat conduction), the library includes MPFR-precision implementations of I_0, I_1, K_0, K_1 with numerical safeguards that matter when you're evaluating these functions across a wide range of arguments:

• Dynamic guard bits on the K_0 power series to compensate for catastrophic cancellation between the -(ln(x/2) + gamma) * I_0(x) term and the harmonic series. At x = 20, that's ~18 digits of cancellation that silently corrupts the result if you compute at working precision.
• Exponentially-scaled forms (I_ne(x) = I_n(x) * exp(-x), K_ne(x) = K_n(x) * exp(x)) that stay O(1) for all x, avoiding the overflow/underflow that hits f64 past x > 700.
• Optimal truncation of asymptotic expansions for large arguments, switching from the power series at x = 25.

When the Laplace-domain function is implemented entirely in Rust using these Bessel functions (as it is for the Van Everdingen-Hurst radial flow solution in pyResToolbox), the full pipeline - Bessel evaluation, GWR coefficients, Wynn-rho acceleration - runs in compiled MPFR precision without crossing the Python boundary. That's where the ~70x number comes from.

How GWR works

GWR (Valko & Abate, 2004) is a three-stage process. Evaluate F(s) at 2M points along the real axis and combine with pre-computed factorial/binomial coefficients (the Gaver functionals). Apply Wynn-rho sequence acceleration to improve convergence. Extract the best estimate from odd levels of the acceleration tableau.

The factorial coefficients grow as (2M)! and the alternating sums produce catastrophic cancellation. With M=32, the coefficients reach ~10^67 while the result is O(1) - so you need at least 67 decimal digits of working precision, or the answer is pure noise. Standard f64 gives you 15.9 digits. Even quad precision only gets you 33.

The library automatically computes ceil(2.1 * M) decimal digits of working precision to guarantee enough significant figures survive.

Performance tiers

The library picks the fastest backend that will give correct results:

Tier	Backend	Speedup	When used
1	Rust/MPFR	~15-70x	M <= 7 (general callables) or internal Bessel evaluation (any M)
2	gmpy2	~10x	M > 7 with general Python callables
3	mpmath	baseline	Always available

The gmpy2 tier is the same acceleration that Fulford's gwr_inversion already provides - we inherited that design. The Rust/MPFR tier is what's new.

Installation

pip install ilt-inversion

Binary wheels include the Rust/MPFR extension for Linux, macOS, and Windows. If no binary wheel is available for your platform, the pure-Python fallback installs automatically and the Rust acceleration is simply absent.

Optional accelerators for the Python path:

pip install gmpy2         # ~10x faster GWR for high-M
pip install python-flint  # ~15x faster Bessel functions via ARB

Quick start

from ilt import gwr, talbot

# L{e^(-t)} = 1/(s+1)
def F(s):
    return 1 / (s + 1)

# Single time point
result = gwr(F, 1.0)           # 0.36787944... = e^(-1)

# Multiple time points
results = gwr(F, [0.1, 1.0, 10.0])

# Higher accuracy
results = gwr(F, [1.0], M=64)

# Fixed Talbot - faster for well-behaved transforms
result = talbot(F, 1.0)

# Parallel evaluation (fn must be picklable - module-level, not a lambda)
results = gwr(F, times, workers=4)

API

gwr(fn, time, M=32, precin=None, backend='auto', workers=1, as_float=True)

Inverse Laplace transform via Gaver-Wynn-Rho. fn is your Laplace-domain function F(s) or F(s, prec). time accepts a scalar, list, or numpy array (must be > 0). M controls accuracy - 6-12 for smooth transforms, 32 for general use, 768+ for hard oscillatory cases. precin overrides the automatic precision (round(2.1 * M) decimal digits). backend can be 'auto', 'rust', 'gmpy2', or 'mpmath'. workers sets the number of parallel processes for array inputs (default 1 = sequential) - each time point is inverted independently, so this parallelises well, but fn must be picklable (a module-level function, not a lambda or closure). Set as_float=False to get mpmath.mpf values at full precision.

talbot(fn, time, degree=32, as_float=True)

Inverse Laplace transform via Fixed Talbot. Good for well-behaved, non-oscillatory transforms where moderate precision suffices.

besselk(n, x) / besseli(n, x)

Modified Bessel functions K_n(x) and I_n(x) with automatic python-flint/ARB acceleration when available.

Acknowledgements

The GWR algorithm implementation builds on David S. Fulford's gwr_inversion package, which made a clean and correct GWR available to the Python community.

References

• Valko, P.P. & Abate, J. (2004), "Comparison of Sequence Accelerators for the Gaver Method of Numerical Laplace Transform Inversion", Computers and Mathematics with Applications 48(3): 629-636.
• Abramowitz, M. & Stegun, I.A. (1964), Handbook of Mathematical Functions, National Bureau of Standards.
• Van Everdingen, A.F. & Hurst, W. (1949), "The Application of the Laplace Transformation to Flow Problems in Reservoirs", SPE-949305-G.

Licence

GPL-3.0-or-later