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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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Sparse Noise Processes #79

Open hronellenfitsch opened 6 years ago

hronellenfitsch commented 6 years ago

Sometimes one needs stochastic input in only some of your differential equations. If the noise is, e.g., also correlated, that means constructing a CorrelatedWienerProcess with a very large correlation matrix that is mostly zeros, which feels like a large waste of resources.

Therefore, it would be good to have something like a sparse noise process where one could, e.g., specify a map from a subset of the equations to all of them such that only those noise steps are generated that are really necessary.

ChrisRackauckas commented 6 years ago

To do this well we will probably want Julia v0.7's new broadcast.