search

patrick-kidger / diffrax

Numerical differential equation solvers in JAX. Autodifferentiable and GPU-capable. https://docs.kidger.site/diffrax/
Apache License 2.0
1.45k stars 132 forks source link

Add weak order to solvers? #497

Closed lockwo closed 1 month ago

lockwo commented 3 months ago

strong order is a attribute of the SDE solvers, but they also possess a weak order. Is there any reason not to include weak order as well (or should it wait until the first weak solver is going in)?

patrick-kidger commented 3 months ago

I left these off mostly because I didn't feel like tracking them down for every solver! A lot of these just aren't well-documented.

That aside it's just not that useful -- strong order is used in the theory of adaptive stepping, so it is needed programmatically. The same isn't true for weak.