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WIP: fix SROCK2 for NoiseWrapper noise #507

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WIP: fix SROCK2 for NoiseWrapper noise #507

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9a556d7
fix SROCK2 for NoiseWrapper noise
axsk Sep 30, 2022
3126544
use W.rng for vec_\chi in all SROCK solvers
axsk Sep 30, 2022
0fba9cf
extract rng from NoiseWrapper
axsk Sep 30, 2022
b67ed07
add forgotten typeof
axsk Sep 30, 2022
21fa594
access instead of
axsk Sep 30, 2022
9650ab7
switch to dispatch on rng(<:AbstractNoiseProcess)
axsk Sep 30, 2022
38e63ba
Merge branch 'SciML:master' into noisefix
axsk Nov 28, 2022
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30 changes: 23 additions & 7 deletions src/perform_step/SROCK_perform_step.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -183,7 +183,10 @@ end
@unpack recf, recf2, mα, mσ, mτ = cache

gen_prob = !((is_diagonal_noise(integrator.sol.prob)) || (typeof(W.dW) <: Number) || (length(W.dW) == 1))
gen_prob && (vec_χ = 2 .* floor.(false .* W.dW .+ 1//2 .+ oftype(W.dW, rand(W.rng,length(W.dW)))) .- true)
if gen_prob
vec_χ = similar(W.dW)
init_χ!(vec_χ, W)
end

alg = unwrap_alg(integrator, true)
alg.eigen_est === nothing ? maxeig!(integrator, cache) : alg.eigen_est(integrator)
Expand Down Expand Up @@ -316,6 +319,9 @@ end
@unpack recf, recf2, mα, mσ, mτ = cache.constantcache
ccache = cache.constantcache
gen_prob = !((is_diagonal_noise(integrator.sol.prob)) || (typeof(W.dW) <: Number) || (length(W.dW) == 1))
if gen_prob
init_χ!(vec_χ, W)
end

alg = unwrap_alg(integrator, true)
alg.eigen_est === nothing ? maxeig!(integrator, cache) : alg.eigen_est(integrator)
Expand All @@ -331,10 +337,6 @@ end
τ = 1//2*((1-α)^2) + 2*α*(1-α)*mσ[deg_index] + (α^2)*(mσ[deg_index]*(mσ[deg_index]+mτ[deg_index]))

sqrt_dt = sqrt(abs(dt))
if gen_prob
vec_χ .= 1//2 .+ oftype(W.dW, rand(W.rng, length(W.dW)))
@.. vec_χ = 2*floor(vec_χ) - 1
end

μ = recf[start] # here κ = 0
tᵢ = t + α*dt*μ
Expand Down Expand Up @@ -1110,6 +1112,10 @@ end
@unpack recf, mσ, mτ, mδ = cache

gen_prob = !((is_diagonal_noise(integrator.sol.prob)) || (typeof(W.dW) <: Number) || (length(W.dW) == 1))
if gen_prob
vec_χ = similar(W.dW)
init_χ!(vec_χ, W)
end

alg = unwrap_alg(integrator, true)
alg.eigen_est === nothing ? maxeig!(integrator, cache) : alg.eigen_est(integrator)
Expand All @@ -1125,7 +1131,6 @@ end
τ = mτ[deg_index]

sqrt_dt = sqrt(abs(dt))
(gen_prob) && (vec_χ = 2 .* floor.( 1//2 .+ false .* W.dW .+ rand(length(W.dW))) .- 1)

tᵢ₋₂ = t
uᵢ₋₂ = uprev
Expand Down Expand Up @@ -1299,6 +1304,9 @@ end

ccache = cache.constantcache
gen_prob = !((is_diagonal_noise(integrator.sol.prob)) || (typeof(W.dW) <: Number) || (length(W.dW) == 1))
if gen_prob
init_χ!(vec_χ, W)
end

alg = unwrap_alg(integrator, true)
alg.eigen_est === nothing ? maxeig!(integrator, cache) : alg.eigen_est(integrator)
Expand All @@ -1314,7 +1322,7 @@ end
τ = mτ[deg_index]

sqrt_dt = sqrt(abs(dt))
(gen_prob) && (vec_χ .= 2 .* floor.(1//2 .+ false .* vec_χ .+ rand(length(vec_χ))) .- 1)


tᵢ₋₂ = t
@.. uᵢ₋₂ = uprev
Expand Down Expand Up @@ -1680,3 +1688,11 @@ end

integrator.u = u
end

function init_χ!(vec_χ, W)
rand!(rng(W), vec_χ)
@.. vec_χ = 2*floor(vec_χ + 1//2) - 1
end

rng(W::DiffEqNoiseProcess.AbstractNoiseProcess) = W.rng
rng(W::NoiseWrapper) = W.source.rng