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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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SROCK2() not working with NoiseWrapper #505

Open axsk opened 1 year ago

axsk commented 1 year ago

In the case of non-diagonal noise SROCK2() is not working with a W::NoiseWrapper noise as that has no W.rng field, conflicting with

https://github.com/SciML/StochasticDiffEq.jl/blob/5c13cc7f677eaf231b7e4521595f26aea612c250/src/perform_step/SROCK_perform_step.jl#L335

axsk commented 1 year ago

When fixing this maybe it's possible using rand! to avoid extra allocation?