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SciML / StochasticDiffEq.jl

Solvers for stochastic differential equations which connect with the scientific machine learning (SciML) ecosystem
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High weak order methods for Hamiltonian systems #259

Open ChrisRackauckas opened 4 years ago

ChrisRackauckas commented 4 years ago

https://arxiv.org/abs/1304.3269

jamesgardner1421 commented 3 years ago

I'd be interested in implementing the BAOAB algorithm from the reference here. Could you provide some instruction on how best to begin? I've looked at the general developer documentation but wanted to check with you first in case there are any extra specifics I should consider.

ChrisRackauckas commented 3 years ago

Yeah the devdocs are a good place to start to get a good feel for how it's all constructed:

http://devdocs.sciml.ai/latest/contributing/adding_algorithms/

Though this kind of system will require a partitioned system, so it might need something similar to DynamicalODEProblem for SDEs to be implemented in SciMLBase.jl. So the symplectic integrators for ODE systems + the devdocs is a good place to look, and from there, take a stab at it and I'll help you along the way.

HadrienNU commented 10 months ago

I will be interested to implement the remaining algorithm in the paper (ABOBA and OBABO at least).

I was thinking to implement as well the GJ set of integrator https://arxiv.org/abs/1909.04380v1 , if this is of interest

ChrisRackauckas commented 10 months ago

That would be great to have, and definitely of interest.