Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Implement a preconditioned version as suggested by Krämer et al. #6

Closed
nathanaelbosch opened this issue Oct 12, 2023 · 0 comments · Fixed by #7
Closed

Implement a preconditioned version as suggested by Krämer et al. #6

nathanaelbosch opened this issue Oct 12, 2023 · 0 comments · Fixed by #7

Comments

@nathanaelbosch
Copy link
Collaborator

nathanaelbosch commented Oct 12, 2023

The paper "Stable Implementation of Probabilistic ODE Solvers" by Krämer and Hennig (see arXiv) suggests preconditioned state transition matrices which then do not depend on the step-size, together with a diagonal preconditioner that does. Is it possible to compute these quantities directly in square-root form? If yes, that would be a great addition to the package.

@nathanaelbosch nathanaelbosch linked a pull request Oct 13, 2023 that will close this issue
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging a pull request may close this issue.

1 participant