Add DynamicalSDEFunction and Problem

src/SciMLBase.jl

@@ -543,6 +543,7 @@ export ODEProblem, ODESolution
 export DynamicalODEFunction, DynamicalODEProblem,
        SecondOrderODEProblem, SplitFunction, SplitODEProblem
 export SplitSDEProblem
+export DynamicalSDEFunction, DynamicalSDEProblem
 export RODEProblem, RODESolution, SDEProblem
 export DAEProblem, DAESolution
 export DDEProblem

src/problems/sde_problems.jl

@@ -83,3 +83,35 @@ function SplitSDEProblem{iip}(f::SplitSDEFunction,g,u0,tspan,p=NullParameters();
   end
   SDEProblem(_f,g,u0,tspan,p;kwargs...)
 end
+
+"""
+$(TYPEDEF)
+"""
+abstract type AbstractDynamicalSDEProblem end
+
+"""
+$(TYPEDEF)
+"""
+struct DynamicalSDEProblem{iip} <: AbstractDynamicalSDEProblem end
+
+function DynamicalSDEProblem(f1,f2,g,v0,u0,tspan,p=NullParameters();kwargs...)
+  DynamicalSDEProblem(DynamicalSDEFunction(f1,f2,g),g,v0,u0,tspan,p;kwargs...)
+end
+
+DynamicalSDEProblem(f::DynamicalSDEFunction,g,v0,u0,tspan,p=NullParameters();kwargs...) =
+  DynamicalSDEProblem{isinplace(f)}(f,g,u0,v0,tspan,p;kwargs...)
+
+function DynamicalSDEProblem{iip}(f1,f2,g,v0,u0,tspan,p=NullParameters();kwargs...) where iip
+  DynamicalSDEProblem(DynamicalSDEFunction(f1,f2,g),g,v0,u0,tspan,p;kwargs...)
+end
+function DynamicalSDEProblem{iip}(f::DynamicalSDEFunction,g,v0,u0,tspan,p=NullParameters();
+                                     func_cache=nothing,kwargs...) where iip
+  if f.cache === nothing && iip
+    cache = similar(u0)
+    _f = DynamicalSDEFunction{iip}(f.f1, f.f2, f.g; mass_matrix=f.mass_matrix,
+                              _func_cache=cache, analytic=f.analytic)
+  else
+    _f = f
+  end
+  SDEProblem(_f,g,ArrayPartition(v0,u0),tspan,p;kwargs...)
+end

src/scimlfunctions.jl

@@ -194,6 +194,30 @@ struct SplitSDEFunction{iip,F1,F2,G,TMM,C,Ta,Tt,TJ,JVP,VJP,JP,SP,TW,TWt,TPJ,S,TC
   colorvec::TCV
 end
 
+"""
+$(TYPEDEF)
+"""
+struct DynamicalSDEFunction{iip,F1,F2,G,TMM,C,Ta,Tt,TJ,JVP,VJP,JP,SP,TW,TWt,TPJ,S,TCV} <: AbstractSDEFunction{iip}
+  # This is a direct copy of the SplitSDEFunction, maybe it's not necessary and the above can be used instead.
+  f1::F1
+  f2::F2
+  g::G
+  mass_matrix::TMM
+  cache::C
+  analytic::Ta
+  tgrad::Tt
+  jac::TJ
+  jvp::JVP
+  vjp::VJP
+  jac_prototype::JP
+  sparsity::SP
+  Wfact::TW
+  Wfact_t::TWt
+  paramjac::TPJ
+  syms::S
+  colorvec::TCV
+end
+
 """
 $(TYPEDEF)
 """
@@ -745,6 +769,66 @@ SplitSDEFunction{iip}(f1,f2, g; kwargs...) where iip =
 SplitSDEFunction{iip,RECOMPILE_BY_DEFAULT}(SDEFunction(f1,g), SDEFunction{iip}(f2,g), g; kwargs...)
 SplitSDEFunction(f::SplitSDEFunction; kwargs...) = f
 
+@add_kwonly function DynamicalSDEFunction(f1,f2,g,mass_matrix,cache,analytic,tgrad,jac,jvp,vjp,
+                                   jac_prototype,Wfact,Wfact_t,paramjac,
+                                   syms,colorvec)
+  f1 = typeof(f1) <: AbstractDiffEqOperator ? f1 : SDEFunction(f1)
+  f2 = SDEFunction(f2)
+  DynamicalSDEFunction{isinplace(f2),typeof(f1),typeof(f2),typeof(g),typeof(mass_matrix),
+              typeof(cache),typeof(analytic),typeof(tgrad),typeof(jac),typeof(jvp),typeof(vjp),
+              typeof(Wfact),typeof(Wfact_t),typeof(paramjac),typeof(syms),
+              typeof(colorvec)}(f1,f2,g,mass_matrix,cache,analytic,tgrad,jac,
+              jac_prototype,Wfact,Wfact_t,paramjac,syms,colorvec)
+end
+
+function DynamicalSDEFunction{iip,true}(f1,f2,g; mass_matrix=I,
+                           _func_cache=nothing,analytic=nothing,
+                           tgrad = nothing,
+                           jac = nothing,
+                           jac_prototype=nothing,
+                           sparsity=jac_prototype,
+                           jvp=nothing,
+                           vjp=nothing,
+                           Wfact = nothing,
+                           Wfact_t = nothing,
+                           paramjac = nothing,
+                           syms = nothing,
+                           colorvec = nothing) where iip
+  DynamicalSDEFunction{iip,typeof(f1),typeof(f2),typeof(g),
+              typeof(mass_matrix),typeof(_func_cache),
+              typeof(analytic),
+              typeof(tgrad),typeof(jac),typeof(jvp),typeof(vjp),typeof(jac_prototype),typeof(sparsity),
+              typeof(Wfact),typeof(Wfact_t),typeof(paramjac),typeof(syms),
+              typeof(colorvec)}(f1,f2,g,mass_matrix,_func_cache,analytic,
+              tgrad,jac,jvp,vjp,jac_prototype,sparsity,
+              Wfact,Wfact_t,paramjac,syms,colorvec)
+end
+function DynamicalSDEFunction{iip,false}(f1,f2,g; mass_matrix=I,
+                            _func_cache=nothing,analytic=nothing,
+                            tgrad = nothing,
+                            jac = nothing,
+                            jvp=nothing,
+                            vjp=nothing,
+                            jac_prototype=nothing,
+                            sparsity=jac_prototype,
+                            Wfact = nothing,
+                            Wfact_t = nothing,
+                            paramjac = nothing,
+                            syms = nothing,
+                            colorvec = nothing) where iip
+  DynamicalSDEFunction{iip,Any,Any,Any,Any,Any,
+                   Any,Any,Any,Any,
+                   Any,Any,Any,Any,Any}(
+                   f1,f2,g,mass_matrix,_func_cache,analytic,
+                   tgrad,jac,jvp,vjp,jac_prototype,sparsity,
+                   Wfact,Wfact_t,paramjac,syms,colorvec)
+end
+# Here I changed `isinplace(f2, 4) -> isinplace(f2, 5)` to allow for extra arguments for dynamical functions.
+DynamicalSDEFunction(f1,f2,g; kwargs...) = DynamicalSDEFunction{isinplace(f2, 5)}(f1, f2, g; kwargs...)
+DynamicalSDEFunction{iip}(f1,f2, g; kwargs...) where iip =
+DynamicalSDEFunction{iip,RECOMPILE_BY_DEFAULT}(SDEFunction(f1,g), SDEFunction{iip}(f2,g), g; kwargs...)
+DynamicalSDEFunction(f::DynamicalSDEFunction; kwargs...) = f
+
 function RODEFunction{iip,true}(f;
                  mass_matrix=I,
                  analytic=nothing,