From d0c00d828dd9d8fd5b70f29a1306f93bb14aeafe Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Wed, 3 Jan 2024 12:07:38 +0100 Subject: [PATCH] Make the quadrature-based discretize slower but more robust --- src/priors/ltisde.jl | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/src/priors/ltisde.jl b/src/priors/ltisde.jl index db3f6c581..fc1aea401 100644 --- a/src/priors/ltisde.jl +++ b/src/priors/ltisde.jl @@ -59,7 +59,7 @@ function _discretize_sqrt_with_quadraturetrick(sde::LTISDE, dt::Real) D = size(F, 1) d = size(L, 2) - N = Int(D / d) + N = D # more robust than Int(D / d) R = similar(F, N * d, D) method = ExpMethodHigham2005() expcache = ExponentialUtilities.alloc_mem(F, method)