nathanaelbosch / ProbNumDiffEq.jl

Probabilistic Numerical Differential Equation solvers via Bayesian filtering and smoothing
MIT License
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Analytically compute the square root of the IWP transition covariance #264

Closed nathanaelbosch closed 1 year ago

nathanaelbosch commented 1 year ago

Solves #257

But instead of actually using IntegratedWienerProcesses.jl I copied and slightly changed the code to compute the left square root factor, as well as to automatically use BigInt to compute factorials if the desired smoothness gets too large.

Left to do:

nathanaelbosch commented 1 year ago

Held up by Fenrir.jl's patch release with increased ProbNumDiffEq.jl compat: https://github.com/JuliaRegistries/General/pull/94415

codecov[bot] commented 1 year ago

Codecov Report

Merging #264 (011165b) into main (9e8c8e0) will decrease coverage by 0.19%. The diff coverage is 72.72%.

@@            Coverage Diff             @@
##             main     #264      +/-   ##
==========================================
- Coverage   95.67%   95.49%   -0.19%     
==========================================
  Files          35       35              
  Lines        1435     1444       +9     
==========================================
+ Hits         1373     1379       +6     
- Misses         62       65       +3     
Files Coverage Δ
src/priors/iwp.jl 95.77% <72.72%> (-4.23%) :arrow_down:

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