Open tbilitewski opened 2 years ago
Xref https://discourse.julialang.org/t/non-diagonal-sde-with-matrix-variables/82351
Its definition is g(u,p,t)*dW
, so dW
is always a vector. So then noise_rate_prototype
always needs to be a matrix. That means f
has to be vector defined in any case of non-diagonal noise. I think we can generalize it, but that's how the linear algebra works out today.
Currently, the SDE interface only allows vectors for variables, and matrices for the noise_rate_prototype.
Please find a minimal example failing below
with the stack trace
I should mention that it fails in the same way even if using a custom matrix type that properly defines g * dW.
Based on the documentation
I had hoped that overloading mul! in the following might have worked.
but it also seems to fail during initialisation.