Open oameye opened 1 month ago
Describe the bug 🐞
The SOSRA() solver doesn't seem to work for non-diagonal noise problems.
SOSRA()
Expected behavior
I expected the SOSRA() to work with non-diagonal noise as described in the docs.
Minimal Reproducible Example 👇
using StochasticDiffEq f(u, p, t) = u function g(u, p, t) return [-0.80 -0.3; -0.8 0.3] end u0 = ones(2) dt = 1//2^(4) tspan = (0., 1.) prototype = zeros(2,2) oop_prob = SDEProblem{false}(f, g, u0, tspan, noise_rate_prototype = prototype) oop_sol = solve(oop_prob, EM(), dt = dt) oop_sol = solve(oop_prob, SOSRA())
ERROR: DimensionMismatch: dimensions must match: a has dims (Base.OneTo(2), Base.OneTo(2)), must have singleton at dim 2 Stacktrace: [1] promote_shape @ .\indices.jl:183 [inlined] [2] promote_shape @ .\indices.jl:174 [inlined] [3] promote_shape(a::Vector{Float64}, b::Matrix{Float64}) @ Base .\indices.jl:169 [4] +(A::Vector{Float64}, Bs::Matrix{Float64}) @ Base .\arraymath.jl:14 [5] perform_step!(integrator::StochasticDiffEq.SDEIntegrator{…}, cache::StochasticDiffEq.ThreeStageSRAConstantCache{…}) @ StochasticDiffEq C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\perform_step\sra.jl:181 [6] solve!(integrator::StochasticDiffEq.SDEIntegrator{…}) @ StochasticDiffEq C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\solve.jl:618 [7] #__solve#107 @ C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\solve.jl:7 [inlined] [8] __solve (repeats 3 times) @ C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\solve.jl:1 [inlined] [9] __solve(prob::SDEProblem{…}, alg::SOSRA, timeseries::Vector{…}) @ StochasticDiffEq C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\solve.jl:1 [10] __solve @ C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\solve.jl:1 [inlined] [11] #solve_call#44 @ C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:612 [inlined] [12] solve_call @ C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:569 [inlined] [13] #solve_up#53 @ C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:1080 [inlined] [14] solve_up @ C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:1066 [inlined] [15] #solve#51 @ C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:1003 [inlined] [16] solve(prob::SDEProblem{…}, args::SOSRA) @ DiffEqBase C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:993 [17] top-level scope @ e:\DynamicalSystemsBase.jl\test\using StochasticDiffEq.jl:25
For in-place problem I just get that there is no noise applied?
using StochasticDiffEq f(du, u, p, t) = du .= u function g(du, u, p, t) du .= [-0.80 -0.3; -0.8 0.3] end u0 = ones(2) dt = 1//2^(4) tspan = (0., 1.) prototype = zeros(2,2) iip_prob = SDEProblem{true}(f, g, u0, tspan, noise_rate_prototype = prototype) iip_sol = solve(iip_prob, EM(), dt = dt) iip_sol = solve(iip_prob, SOSRA())
retcode: Success Interpolation: 1st order linear t: 315-element Vector{Float64}: 0.0 0.0020926751066120968 0.002538416595762327 0.003039875771056336 0.003604017343262096 0.004238676611993576 0.004952668289316491 0.005755908926304771 ⋮ 0.9800839851496779 0.9834429976234172 0.9867491652921374 0.9900961346195399 0.9934720019392905 0.9968005450348317 1.0 u: 315-element Vector{Vector{Float64}}: [1.0, 1.0] [1.0, 1.0] [1.0, 1.0] [1.0, 1.0] [1.0, 1.0] [1.0, 1.0] [1.0, 1.0] [1.0, 1.0] ⋮ [1.0, 1.0] [1.0, 1.0] [1.0, 1.0] [1.0, 1.0] [1.0, 1.0] [1.0, 1.0] [1.0, 1.0]
Environment (please complete the following information):
using Pkg; Pkg.status()
[789caeaf] StochasticDiffEq v6.67.0
using Pkg; Pkg.status(; mode = PKGMODE_MANIFEST)
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Julia Version 1.10.4 Commit 48d4fd4843 (2024-06-04 10:41 UTC) Build Info: Official https://julialang.org/ release Platform Info: OS: Windows (x86_64-w64-mingw32) CPU: 12 × AMD Ryzen 5 5600X 6-Core Processor WORD_SIZE: 64 LIBM: libopenlibm LLVM: libLLVM-15.0.7 (ORCJIT, znver3) Threads: 10 default, 0 interactive, 5 GC (on 12 virtual cores) Environment: JULIA_PKG_PRESERVE_TIERED_INSTALLED = true JULIA_EDITOR = code JULIA_NUM_THREADS = 10
Additional context
Add any other context about the problem here.
Describe the bug 🐞
The
SOSRA()solver doesn't seem to work for non-diagonal noise problems.Expected behavior
I expected the
SOSRA()to work with non-diagonal noise as described in the docs.Minimal Reproducible Example 👇
For in-place problem I just get that there is no noise applied?
Environment (please complete the following information):
using Pkg; Pkg.status()using Pkg; Pkg.status(; mode = PKGMODE_MANIFEST)Additional context
Add any other context about the problem here.