Bug in BrownianInterval

[lxuechen]

This bug relates to my concern that there's virtually no test for BrownianInterval at the moment, and in retrospect it shouldn't have been merged into dev without testing out the aspects I mentioned in #15. Shape tests are basic, though it is helpful at most times. The change of API for the solvers also breaks backward compatibility.

The data structure couldn't produce A with the correct shape

import torch

from torchsde import BrownianInterval

device = torch.device('cuda:0' if torch.cuda.is_available() else 'cpu')

batch_size, d, m = 16, 3, 2
t0, t1 = 0.0, 0.3
dtype = torch.get_default_dtype()

bm_general = BrownianInterval(
    t0=t0, t1=t1, shape=(batch_size, m), dtype=dtype, device=device, levy_area_approximation='foster'
)
W, U, A = bm_general(0.0, 0.1)  # Fails.
print(W.size())
print(U.size())
print(A.size())

[patrick-kidger]

Resolved in #28