From 58ba18914deeec964285b4b2e90c4b0e234b20cd Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Fri, 3 Nov 2023 14:47:14 +0100 Subject: [PATCH 01/15] Use FiniteHorizonGramians.jl --- Project.toml | 1 + src/ProbNumDiffEq.jl | 1 + src/priors/ltisde.jl | 12 +++++++++++- 3 files changed, 13 insertions(+), 1 deletion(-) diff --git a/Project.toml b/Project.toml index 594700144..f5294dd00 100644 --- a/Project.toml +++ b/Project.toml @@ -10,6 +10,7 @@ DiffEqDevTools = "f3b72e0c-5b89-59e1-b016-84e28bfd966d" ExponentialUtilities = "d4d017d3-3776-5f7e-afef-a10c40355c18" FastBroadcast = "7034ab61-46d4-4ed7-9d0f-46aef9175898" FastGaussQuadrature = "442a2c76-b920-505d-bb47-c5924d526838" +FiniteHorizonGramians = "b59a298d-d283-4a37-9369-85a9f9a111a5" ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210" FunctionWrappersWrappers = "77dc65aa-8811-40c2-897b-53d922fa7daf" GaussianDistributions = "43dcc890-d446-5863-8d1a-14597580bb8d" diff --git a/src/ProbNumDiffEq.jl b/src/ProbNumDiffEq.jl index b782372b4..f1f67f724 100644 --- a/src/ProbNumDiffEq.jl +++ b/src/ProbNumDiffEq.jl @@ -28,6 +28,7 @@ using Octavian using FastGaussQuadrature import Kronecker using ArrayAllocators +using FiniteHorizonGramians @reexport using GaussianDistributions using GaussianDistributions: logpdf diff --git a/src/priors/ltisde.jl b/src/priors/ltisde.jl index 30ba4efda..a8f5e299a 100644 --- a/src/priors/ltisde.jl +++ b/src/priors/ltisde.jl @@ -37,7 +37,7 @@ function matrix_fraction_decomposition( return A, Q end -function discretize_sqrt(sde::LTISDE, dt::Real) +function discretize_sqrt_with_quadraturetrick(sde::LTISDE, dt::Real) F, L = drift(sde), dispersion(sde) D = size(F, 1) @@ -71,3 +71,13 @@ function discretize_sqrt(sde::LTISDE, dt::Real) return Ah, Qh_R end + + +function discretize_sqrt(sde::LTISDE, dt::Real) + Fdt, Ldt = dt*drift(sde), sqrt(dt)*dispersion(sde) + + method = FiniteHorizonGramians.ExpAndGram{eltype(Fdt),13}() + Ah, Qh_R = FiniteHorizonGramians.exp_and_gram_chol(Fdt, Ldt, method) + + return Ah, Qh_R +end From 0f320b794849e26c51bfae522fa1865214ecf397 Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Fri, 15 Dec 2023 14:11:21 -0600 Subject: [PATCH 02/15] Working version with FiniteHorizonGramians.jl --- Project.toml | 1 + src/ProbNumDiffEq.jl | 3 +- src/caches.jl | 18 ++++++++++-- src/priors/common.jl | 15 ++-------- src/priors/ioup.jl | 69 ++++++++++++++++++++++++-------------------- src/priors/iwp.jl | 10 +++++-- src/priors/ltisde.jl | 15 ++++------ src/priors/matern.jl | 12 +++----- 8 files changed, 75 insertions(+), 68 deletions(-) diff --git a/Project.toml b/Project.toml index f5294dd00..f0d1fc52d 100644 --- a/Project.toml +++ b/Project.toml @@ -10,6 +10,7 @@ DiffEqDevTools = "f3b72e0c-5b89-59e1-b016-84e28bfd966d" ExponentialUtilities = "d4d017d3-3776-5f7e-afef-a10c40355c18" FastBroadcast = "7034ab61-46d4-4ed7-9d0f-46aef9175898" FastGaussQuadrature = "442a2c76-b920-505d-bb47-c5924d526838" +FillArrays = "1a297f60-69ca-5386-bcde-b61e274b549b" FiniteHorizonGramians = "b59a298d-d283-4a37-9369-85a9f9a111a5" ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210" FunctionWrappersWrappers = "77dc65aa-8811-40c2-897b-53d922fa7daf" diff --git a/src/ProbNumDiffEq.jl b/src/ProbNumDiffEq.jl index f1f67f724..ffd774d6d 100644 --- a/src/ProbNumDiffEq.jl +++ b/src/ProbNumDiffEq.jl @@ -2,7 +2,7 @@ __precompile__() module ProbNumDiffEq -import Base: copy, copy!, show, size, ndims, similar, isapprox, isequal, iterate, == +import Base: copy, copy!, show, size, ndims, similar, isapprox, isequal, iterate, ==, length using LinearAlgebra import LinearAlgebra: mul! @@ -29,6 +29,7 @@ using FastGaussQuadrature import Kronecker using ArrayAllocators using FiniteHorizonGramians +using FillArrays @reexport using GaussianDistributions using GaussianDistributions: logpdf diff --git a/src/caches.jl b/src/caches.jl index 6d6adf8a8..1c50a0b3c 100644 --- a/src/caches.jl +++ b/src/caches.jl @@ -3,7 +3,9 @@ ######################################################################################## mutable struct EKCache{ RType,CFacType,ProjType,SolProjType,PType,PIType,EType,uType,duType,xType,PriorType, - AType,QType,HType,matType,bkType,diffusionType,diffModelType,measModType,measType, + AType,QType, + FType,LType,FHGMethodType,FHGCacheType, + HType,matType,bkType,diffusionType,diffModelType,measModType,measType, puType,llType,dtType,rateType,UF,JC,uNoUnitsType, } <: AbstractODEFilterCache # Constants @@ -15,6 +17,10 @@ mutable struct EKCache{ Q::QType Ah::AType Qh::QType + F::FType # Prior SDE drift + L::LType # Prior SDE dispersion + FHG_method::FHGMethodType + FHG_cache::FHGCacheType diffusionmodel::diffModelType measurement_model::measModType R::RType @@ -125,6 +131,10 @@ function OrdinaryDiffEq.alg_cache( error("Invalid prior $(alg.prior)") end A, Q, Ah, Qh, P, PI = initialize_transition_matrices(FAC, prior, dt) + F, L = to_sde(prior) + F, L = to_factorized_matrix(FAC, F), to_factorized_matrix(FAC, L) + FHG_method = FiniteHorizonGramians.ExpAndGram{eltype(F),13}() + FHG_cache = FiniteHorizonGramians.alloc_mem(F, L, FHG_method) # Measurement Model measurement_model = make_measurement_model(f) @@ -213,12 +223,14 @@ function OrdinaryDiffEq.alg_cache( ll = zero(uEltypeNoUnits) return EKCache{ typeof(R),typeof(FAC),typeof(Proj),typeof(SolProj),typeof(P),typeof(PI),typeof(E0), - uType,typeof(du),typeof(x0),typeof(prior),typeof(A),typeof(Q),typeof(H),matType, + uType,typeof(du),typeof(x0),typeof(prior),typeof(A),typeof(Q), + typeof(F),typeof(L),typeof(FHG_method),typeof(FHG_cache), + typeof(H),matType, typeof(backward_kernel),typeof(initdiff), typeof(diffmodel),typeof(measurement_model),typeof(measurement),typeof(pu_tmp), uEltypeNoUnits,typeof(dt),typeof(du1),typeof(uf),typeof(jac_config),typeof(atmp), }( - d, q, FAC, prior, A, Q, Ah, Qh, diffmodel, measurement_model, R, Proj, SolProj, + d, q, FAC, prior, A, Q, Ah, Qh, F, L, FHG_method, FHG_cache, diffmodel, measurement_model, R, Proj, SolProj, P, PI, E0, E1, E2, u, u_pred, u_filt, tmp, atmp, x0, xprev, x_pred, x_filt, x_tmp, x_tmp2, diff --git a/src/priors/common.jl b/src/priors/common.jl index a4cad3f70..fcebb0a52 100644 --- a/src/priors/common.jl +++ b/src/priors/common.jl @@ -99,17 +99,8 @@ make_transition_matrices!(cache::AbstractODEFilterCache, dt) = make_transition_matrices!(cache, cache.prior, dt) """ - to_1d_sde(p::AbstractODEFilterPrior) + to_sde(p::AbstractODEFilterPrior) -Convert the prior to a 1-dimensional SDE. This is only possible for independent dimensions. +Convert the prior to the corresponding SDE. """ -to_1d_sde(p::AbstractODEFilterPrior) - -function to_sde(p::AbstractODEFilterPrior) - d = p.wiener_process_dimension - _sde = to_1d_sde(p) - F_breve, L_breve = drift(_sde), dispersion(_sde) - F = kron(I(d), F_breve) - L = kron(I(d), L_breve) - return LTISDE(F, L) -end +to_sde(p::AbstractODEFilterPrior) diff --git a/src/priors/ioup.jl b/src/priors/ioup.jl index 0840138d7..58e9dcf17 100644 --- a/src/priors/ioup.jl +++ b/src/priors/ioup.jl @@ -61,13 +61,9 @@ IOUP{T}( update_rate_parameter, ) -function to_1d_sde(p::IOUP) +function to_sde(p::IOUP{T,D,<:Number}) where {T,D} q = p.num_derivatives r = p.rate_parameter - if !(r isa Number) - m = "The rate parameter must be a scalar to convert the IOUP to a 1D SDE." - throw(ArgumentError(m)) - end F_breve = diagm(1 => ones(q)) F_breve[end, end] = r @@ -75,22 +71,16 @@ function to_1d_sde(p::IOUP) L_breve = zeros(q + 1) L_breve[end] = 1.0 - return LTISDE(F_breve, L_breve) + d = p.wiener_process_dimension + F = IsometricKroneckerProduct(d, F_breve) + L = IsometricKroneckerProduct(d, L_breve) + return LTISDE(F, L) end function to_sde(p::IOUP) d = p.wiener_process_dimension q = p.num_derivatives r = p.rate_parameter - if r isa Number - d = p.wiener_process_dimension - _sde = to_1d_sde(p) - F_breve, L_breve = drift(_sde), dispersion(_sde) - F = kron(I(d), F_breve) - L = kron(I(d), L_breve) - return LTISDE(F, L) - end - R = if r isa AbstractVector @assert length(r) == d Diagonal(r) @@ -112,21 +102,38 @@ function to_sde(p::IOUP) end function discretize(p::IOUP, dt::Real) - r = p.rate_parameter - A, Q = if p.rate_parameter isa Number - A_breve, QR_breve = discretize_sqrt(to_1d_sde(p), dt) - - d = p.wiener_process_dimension - A = kron(I(d), A_breve) - QR = kron(I(d), QR_breve) - Q = PSDMatrix(QR) - A, Q - else - @assert r isa AbstractVector || r isa AbstractMatrix - A, QR = discretize_sqrt(to_sde(p), dt) - Q = PSDMatrix(QR) - A, Q - end - + A, QR = discretize_sqrt(to_sde(p), dt) + Q = PSDMatrix(QR) return A, Q end + +function update_sde_drift!(F::AbstractMatrix, prior::IOUP{<:Any,<:Any,<:AbstractMatrix}) + q = prior.num_derivatives + r = prior.rate_parameter + F[q+1:q+1:end, q+1:q+1:end] = r +end +function update_sde_drift!(F::AbstractMatrix, prior::IOUP{<:Any,<:Any,<:AbstractVector}) + q = prior.num_derivatives + r = prior.rate_parameter + F[q+1:q+1:end, q+1:q+1:end] = Diagonal(r) +end +function update_sde_drift!(F::AbstractMatrix, prior::IOUP{<:Any,<:Any,<:Number}) + d = prior.wiener_process_dimension + q = prior.num_derivatives + r = prior.rate_parameter + F[q+1:q+1:end, q+1:q+1:end] = Diagonal(Fill(r, d)) +end + +function make_transition_matrices!(cache, prior::IOUP, dt) + @unpack F, L, A, Q, Ah, Qh, P, PI = cache + + update_sde_drift!(F, prior) + + make_preconditioners!(cache, dt) + + FiniteHorizonGramians.exp_and_gram_chol!( + Ah, Qh.R, F, L, dt, cache.FHG_method, cache.FHG_cache) + + _matmul!(A, P, _matmul!(A, Ah, PI)) + fast_X_A_Xt!(Q, Qh, P) +end diff --git a/src/priors/iwp.jl b/src/priors/iwp.jl index cbe9a4cab..f675c6352 100644 --- a/src/priors/iwp.jl +++ b/src/priors/iwp.jl @@ -36,12 +36,16 @@ IWP{elType}(wiener_process_dimension, num_derivatives) where {elType} = IWP(wiener_process_dimension, num_derivatives) = IWP{typeof(1.0)}(wiener_process_dimension, num_derivatives) -function to_1d_sde(p::IWP) - q = p.num_derivatives +function to_sde(p::IWP) + d, q = p.wiener_process_dimension, p.num_derivatives + F_breve = diagm(1 => ones(q)) L_breve = zeros(q + 1) L_breve[end] = 1.0 - return LTISDE(F_breve, L_breve) + + F = IsometricKroneckerProduct(d, F_breve) + L = IsometricKroneckerProduct(d, L_breve) + return LTISDE(F, L) end """ diff --git a/src/priors/ltisde.jl b/src/priors/ltisde.jl index a8f5e299a..4574c087b 100644 --- a/src/priors/ltisde.jl +++ b/src/priors/ltisde.jl @@ -21,6 +21,11 @@ end drift(sde::LTISDE) = sde.F dispersion(sde::LTISDE) = sde.L +iterate(sde::LTISDE) = sde.F, true +iterate(sde::LTISDE, s) = s ? (sde.L, false) : nothing +length(sde::LTISDE) = 2 + + discretize(sde::LTISDE, dt::Real) = matrix_fraction_decomposition(drift(sde), dispersion(sde), dt) @@ -71,13 +76,3 @@ function discretize_sqrt_with_quadraturetrick(sde::LTISDE, dt::Real) return Ah, Qh_R end - - -function discretize_sqrt(sde::LTISDE, dt::Real) - Fdt, Ldt = dt*drift(sde), sqrt(dt)*dispersion(sde) - - method = FiniteHorizonGramians.ExpAndGram{eltype(Fdt),13}() - Ah, Qh_R = FiniteHorizonGramians.exp_and_gram_chol(Fdt, Ldt, method) - - return Ah, Qh_R -end diff --git a/src/priors/matern.jl b/src/priors/matern.jl index e1fbcee67..55eda6fab 100644 --- a/src/priors/matern.jl +++ b/src/priors/matern.jl @@ -43,9 +43,10 @@ Matern{T}(wiener_process_dimension, num_derivatives, lengthscale) where {T} = lengthscale, ) -function to_1d_sde(p::Matern) +function to_sde(p::Matern) q = p.num_derivatives l = p.lengthscale + @assert l isa Number ν = q - 1 / 2 λ = sqrt(2ν) / l @@ -56,14 +57,9 @@ function to_1d_sde(p::Matern) L_breve = zeros(q + 1) L_breve[end] = 1.0 - return LTISDE(F_breve, L_breve) -end -function to_sde(p::Matern) d = p.wiener_process_dimension - _sde = to_1d_sde(p) - F_breve, L_breve = drift(_sde), dispersion(_sde) - F = kron(I(d), F_breve) - L = kron(I(d), L_breve) + F = IsometricKroneckerProduct(d, F_breve) + L = IsometricKroneckerProduct(d, L_breve) return LTISDE(F, L) end function discretize(p::Matern, dt::Real) From 49920774733cc4172fc07e7f92d529e758246374 Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Sat, 16 Dec 2023 09:11:26 -0600 Subject: [PATCH 03/15] Fix tests --- Project.toml | 1 + src/caches.jl | 4 ++-- src/priors/ioup.jl | 16 +++++++++++++--- src/priors/ltisde.jl | 14 +++++++++++++- src/priors/matern.jl | 20 ++++++++------------ test/core/priors.jl | 5 ----- test/secondorderode.jl | 21 +++++++-------------- test/stiff_problem.jl | 3 ++- 8 files changed, 46 insertions(+), 38 deletions(-) diff --git a/Project.toml b/Project.toml index f0d1fc52d..806c7374c 100644 --- a/Project.toml +++ b/Project.toml @@ -47,6 +47,7 @@ DiffEqDevTools = "2" ExponentialUtilities = "1" FastBroadcast = "0.2" FastGaussQuadrature = "0.5, 1" +FiniteHorizonGramians = "0.1" ForwardDiff = "0.10" FunctionWrappersWrappers = "0.1.3" GaussianDistributions = "0.5" diff --git a/src/caches.jl b/src/caches.jl index 1c50a0b3c..ea299b801 100644 --- a/src/caches.jl +++ b/src/caches.jl @@ -133,8 +133,8 @@ function OrdinaryDiffEq.alg_cache( A, Q, Ah, Qh, P, PI = initialize_transition_matrices(FAC, prior, dt) F, L = to_sde(prior) F, L = to_factorized_matrix(FAC, F), to_factorized_matrix(FAC, L) - FHG_method = FiniteHorizonGramians.ExpAndGram{eltype(F),13}() - FHG_cache = FiniteHorizonGramians.alloc_mem(F, L, FHG_method) + FHG_method = !(prior isa IWP) ? FiniteHorizonGramians.ExpAndGram{eltype(F),13}() : nothing + FHG_cache = !(prior isa IWP) ? FiniteHorizonGramians.alloc_mem(F, L, FHG_method) : nothing # Measurement Model measurement_model = make_measurement_model(f) diff --git a/src/priors/ioup.jl b/src/priors/ioup.jl index 58e9dcf17..65006bac9 100644 --- a/src/priors/ioup.jl +++ b/src/priors/ioup.jl @@ -102,9 +102,19 @@ function to_sde(p::IOUP) end function discretize(p::IOUP, dt::Real) - A, QR = discretize_sqrt(to_sde(p), dt) - Q = PSDMatrix(QR) - return A, Q + F, L = to_sde(p) + if F isa IsometricKroneckerProduct + method = FiniteHorizonGramians.ExpAndGram{eltype(F.B),13}() + A_breve, QR_breve = FiniteHorizonGramians.exp_and_gram_chol(F.B, L.B, dt, method) + A = IsometricKroneckerProduct(F.ldim, A_breve) + Q = PSDMatrix(IsometricKroneckerProduct(F.ldim, QR_breve)) + return A, Q + else + method = FiniteHorizonGramians.ExpAndGram{eltype(F),13}() + A, QR = FiniteHorizonGramians.exp_and_gram_chol(F, L, dt, method) + Q = PSDMatrix(QR) + return A, Q + end end function update_sde_drift!(F::AbstractMatrix, prior::IOUP{<:Any,<:Any,<:AbstractMatrix}) diff --git a/src/priors/ltisde.jl b/src/priors/ltisde.jl index 4574c087b..db3f6c581 100644 --- a/src/priors/ltisde.jl +++ b/src/priors/ltisde.jl @@ -29,6 +29,17 @@ length(sde::LTISDE) = 2 discretize(sde::LTISDE, dt::Real) = matrix_fraction_decomposition(drift(sde), dispersion(sde), dt) + +function matrix_fraction_decomposition( + drift::IsometricKroneckerProduct, + dispersion::IsometricKroneckerProduct, + dt::Real, +) + d = drift.ldim + A_breve, Q_breve = matrix_fraction_decomposition(drift.B, dispersion.B, dt) + return IsometricKroneckerProduct(d, A_breve), IsometricKroneckerProduct(d, Q_breve) +end + function matrix_fraction_decomposition( drift::AbstractMatrix, dispersion::AbstractVecOrMat, @@ -42,7 +53,8 @@ function matrix_fraction_decomposition( return A, Q end -function discretize_sqrt_with_quadraturetrick(sde::LTISDE, dt::Real) +# Previous implementation, outdated thanks to FiniteHorizonGramians.jl: +function _discretize_sqrt_with_quadraturetrick(sde::LTISDE, dt::Real) F, L = drift(sde), dispersion(sde) D = size(F, 1) diff --git a/src/priors/matern.jl b/src/priors/matern.jl index 55eda6fab..48b8d7bce 100644 --- a/src/priors/matern.jl +++ b/src/priors/matern.jl @@ -65,18 +65,14 @@ end function discretize(p::Matern, dt::Real) l = p.lengthscale @assert l isa Number - A, Q = begin - A_breve, Q_breve = discretize(to_1d_sde(p), dt) - d = p.wiener_process_dimension - # QR_breve = cholesky!(Symmetric(Q_breve)).L' - E = eigen(Symmetric(Q_breve)) - QR_breve = Diagonal(sqrt.(max.(E.values, 0))) * E.vectors' - - A = kron(I(d), A_breve) - QR = kron(I(d), QR_breve) - Q = PSDMatrix(QR) - A, Q - end + A, Q = discretize(to_sde(p), dt) + @assert Q isa IsometricKroneckerProduct + d = Q.ldim + Q_breve = Q.B + E = eigen(Symmetric(Q_breve)) + QR_breve = Diagonal(sqrt.(max.(E.values, 0))) * E.vectors' + QR = IsometricKroneckerProduct(d, QR_breve) + Q = PSDMatrix(QR) return A, Q end diff --git a/test/core/priors.jl b/test/core/priors.jl index 788af07a3..d6b57d4fb 100644 --- a/test/core/priors.jl +++ b/test/core/priors.jl @@ -9,17 +9,12 @@ h = 0.1 @testset "General prior API" begin for prior in (IWP(2, 3), IOUP(2, 3, 1), Matern(2, 3, 1)) - @test_nowarn PNDE.to_1d_sde(prior) sde = PNDE.to_sde(prior) A1, Q1 = PNDE.discretize(sde, h) A2, Q2 = PNDE.discretize(prior, h) @test A1 ≈ A2 @test Q1 ≈ Matrix(Q2) end - - for prior in (IOUP(2, 3, ones(2)), IOUP(2, 3, I(2))) - @test_throws ArgumentError PNDE.to_1d_sde(prior) - end end @testset "Test IWP (d=2,q=2)" begin diff --git a/test/secondorderode.jl b/test/secondorderode.jl index 8143c2c5b..b849af055 100644 --- a/test/secondorderode.jl +++ b/test/secondorderode.jl @@ -9,7 +9,7 @@ function twobody(du, u, p, t) @. du[1:2] = u[3:4] end u0, du0 = [0.4, 0.0], [0.0, 2.0] -tspan = (0, 2π) +tspan = (0, 0.1) prob_base = ODEProblem(twobody, [u0...; du0...], tspan) function twobody2_iip(ddu, du, u, p, t) @@ -26,32 +26,25 @@ prob_oop = SecondOrderODEProblem(twobody2_oop, du0, u0, tspan) appxsol = solve(prob_iip, Vern9(), abstol=1e-10, reltol=1e-10) -ALGS = ( - EK0(), - EK1(), -) - @testset "$S" for (S, _prob) in (("IIP", prob_iip), ("OOP", prob_oop)) @testset "$alg" for alg in ( EK0(), EK1(), EK0(initialization=ForwardDiffInit(2)), EK1(initialization=ForwardDiffInit(2)), + # EK1(initialization=ClassicSolverInit()), # unstable for this problem EK1(diffusionmodel=FixedDiffusion()), EK0(diffusionmodel=FixedMVDiffusion()), EK0(diffusionmodel=DynamicMVDiffusion()), ) - @test solve(_prob, alg) isa ProbNumDiffEq.AbstractProbODESolution + sol = solve(_prob, alg) - sol = solve(_prob, alg, abstol=1e-7, reltol=1e-7) @test sol isa ProbNumDiffEq.ProbODESolution @test sol.u[end] ≈ appxsol.u[end] rtol = 1e-3 - @test sol(π).μ ≈ appxsol(π) rtol = 1e-3 - end - - @testset "ClassicSolverInit" begin - @test solve(_prob, EK1(initialization=ClassicSolverInit())) isa - ProbNumDiffEq.AbstractProbODESolution + @test sol(tspan[2] / π).μ ≈ appxsol(tspan[2] / π) rtol = 1e-3 end end +@testset "ClassicSolverInit" begin + @test_nowarn solve(prob_iip, EK1(initialization=ClassicSolverInit())) +end diff --git a/test/stiff_problem.jl b/test/stiff_problem.jl index 3a93da105..8e3de31ae 100644 --- a/test/stiff_problem.jl +++ b/test/stiff_problem.jl @@ -5,5 +5,6 @@ using ODEProblemLibrary: prob_ode_vanderpol_stiff prob = prob_ode_vanderpol_stiff appxsol = solve(prob, RadauIIA5()) -sol = solve(prob, EK1(order=3), abstol=1e-6, reltol=1e-6) +sol = solve(prob, EK1(order=3)) @test appxsol[end] ≈ sol[end] rtol = 5e-3 +@test appxsol(0.5) ≈ sol(0.5) rtol = 5e-3 From 42b53cd8433615136b16f742b9bec7a097ac600a Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Sat, 16 Dec 2023 09:18:00 -0600 Subject: [PATCH 04/15] Fix a typo that I introdced in my last committ --- test/stiff_problem.jl | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/test/stiff_problem.jl b/test/stiff_problem.jl index 8e3de31ae..4274116a6 100644 --- a/test/stiff_problem.jl +++ b/test/stiff_problem.jl @@ -7,4 +7,4 @@ prob = prob_ode_vanderpol_stiff appxsol = solve(prob, RadauIIA5()) sol = solve(prob, EK1(order=3)) @test appxsol[end] ≈ sol[end] rtol = 5e-3 -@test appxsol(0.5) ≈ sol(0.5) rtol = 5e-3 +@test appxsol(0.5) ≈ sol(0.5).μ rtol = 5e-3 From adc7d2d58d3e65402ca25a2dd982659beafdec93 Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Sat, 16 Dec 2023 17:20:06 +0100 Subject: [PATCH 05/15] Ran Hodgkin-Huxley benchmarks --- .../benchmarks/figures/hodgkinhuxley_2_1.svg | 834 ++++++++--------- .../benchmarks/figures/hodgkinhuxley_3_1.svg | 462 +++++----- .../benchmarks/figures/hodgkinhuxley_4_1.svg | 464 +++++----- .../benchmarks/figures/hodgkinhuxley_5_1.svg | 844 +++++++++--------- .../benchmarks/figures/hodgkinhuxley_6_1.svg | 512 +++++------ .../benchmarks/figures/hodgkinhuxley_7_1.svg | 316 ++++--- .../benchmarks/figures/hodgkinhuxley_8_1.svg | 300 +++---- docs/src/benchmarks/hodgkinhuxley.md | 155 ++-- 8 files changed, 1951 insertions(+), 1936 deletions(-) diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg index 57e779959..c8c08b743 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg @@ -1,444 +1,444 @@ - 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+ - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg index 90d26f609..cdb946fad 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg @@ -1,164 +1,164 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/hodgkinhuxley.md b/docs/src/benchmarks/hodgkinhuxley.md index 2b60fafa8..815b913d4 100644 --- a/docs/src/benchmarks/hodgkinhuxley.md +++ b/docs/src/benchmarks/hodgkinhuxley.md @@ -378,6 +378,7 @@ Platform Info: Environment: JULIA_NUM_THREADS = auto JULIA_STACKTRACE_MINIMAL = true + JULIA_IMAGE_THREADS = 1 ``` ```@raw html @@ -395,24 +396,24 @@ Pkg.status() ``` Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Project.toml` - [f3b72e0c] DiffEqDevTools v2.42.0 - [31c24e10] Distributions v0.25.103 + [f3b72e0c] DiffEqDevTools v2.44.0 + [31c24e10] Distributions v0.25.104 [7073ff75] IJulia v1.24.2 [7f56f5a3] LSODA v0.7.5 [e6f89c97] LoggingExtras v1.0.3 [e2752cbe] MATLABDiffEq v1.2.0 -⌃ [961ee093] ModelingToolkit v8.73.0 +⌃ [961ee093] ModelingToolkit v8.73.2 [54ca160b] ODEInterface v0.5.0 [09606e27] ODEInterfaceDiffEq v3.13.3 - [1dea7af3] OrdinaryDiffEq v6.59.1 + [1dea7af3] OrdinaryDiffEq v6.63.0 [65888b18] ParameterizedFunctions v5.16.0 [91a5bcdd] Plots v1.39.0 [bf3e78b0] ProbNumDiffEq v0.13.0 `~/.julia/dev/ProbNumDiffEq` - [0bca4576] SciMLBase v2.8.1 +⌃ [0bca4576] SciMLBase v2.10.0 [505e40e9] SciPyDiffEq v0.2.1 [ce78b400] SimpleUnPack v1.1.0 - [90137ffa] StaticArrays v1.6.5 - [c3572dad] Sundials v4.20.1 + [90137ffa] StaticArrays v1.8.0 + [c3572dad] Sundials v4.22.1 [44d3d7a6] Weave v0.10.12 [0518478a] deSolveDiffEq v0.1.1 Info Packages marked with ⌃ have new versions available and may be upgradable. @@ -433,15 +434,16 @@ Pkg.status(mode=Pkg.PKGMODE_MANIFEST) ``` Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [47edcb42] ADTypes v0.2.5 -⌅ [c3fe647b] AbstractAlgebra v0.32.5 +⌅ [c3fe647b] AbstractAlgebra v0.33.0 [621f4979] AbstractFFTs v1.5.0 [1520ce14] AbstractTrees v0.4.4 [7d9f7c33] Accessors v0.1.33 - [79e6a3ab] Adapt v3.7.1 + [79e6a3ab] Adapt v3.7.2 [ec485272] ArnoldiMethod v0.2.0 [c9d4266f] ArrayAllocators v0.3.0 - [4fba245c] ArrayInterface v7.5.1 - [6e4b80f9] BenchmarkTools v1.3.2 + [4fba245c] ArrayInterface v7.6.1 + [4c555306] ArrayLayouts v1.4.5 + [6e4b80f9] BenchmarkTools v1.4.0 [e2ed5e7c] Bijections v0.1.6 [d1d4a3ce] BitFlags v0.1.8 [62783981] BitTwiddlingConvenienceFunctions v0.1.5 @@ -461,15 +463,15 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [a80b9123] CommonMark v0.8.12 [38540f10] CommonSolve v0.2.4 [bbf7d656] CommonSubexpressions v0.3.0 - [34da2185] Compat v4.10.0 + [34da2185] Compat v4.10.1 [b152e2b5] CompositeTypes v0.1.3 [a33af91c] CompositionsBase v0.1.2 [2569d6c7] ConcreteStructs v0.2.3 [f0e56b4a] ConcurrentUtilities v2.3.0 -⌃ [8f4d0f93] Conda v1.9.1 + [8f4d0f93] Conda v1.10.0 [187b0558] ConstructionBase v1.5.4 [d38c429a] Contour v0.6.2 - [587fd27a] CovarianceEstimation v0.2.9 + [587fd27a] CovarianceEstimation v0.2.11 [adafc99b] CpuId v0.3.1 [a8cc5b0e] Crayons v4.1.1 [717857b8] DSP v0.7.9 @@ -478,33 +480,34 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [864edb3b] DataStructures v0.18.15 [e2d170a0] DataValueInterfaces v1.0.0 [8bb1440f] DelimitedFiles v1.9.1 - [2b5f629d] DiffEqBase v6.139.0 - [459566f4] DiffEqCallbacks v2.33.1 - [f3b72e0c] DiffEqDevTools v2.42.0 - [77a26b50] DiffEqNoiseProcess v5.19.0 + [2b5f629d] DiffEqBase v6.143.0 + [459566f4] DiffEqCallbacks v2.35.0 + [f3b72e0c] DiffEqDevTools v2.44.0 + [77a26b50] DiffEqNoiseProcess v5.20.0 [163ba53b] DiffResults v1.1.0 [b552c78f] DiffRules v1.15.1 - [b4f34e82] Distances v0.10.10 - [31c24e10] Distributions v0.25.103 + [b4f34e82] Distances v0.10.11 + [31c24e10] Distributions v0.25.104 [ffbed154] DocStringExtensions v0.9.3 ⌅ [5b8099bc] DomainSets v0.6.7 [fa6b7ba4] DualNumbers v0.6.8 [7c1d4256] DynamicPolynomials v0.5.3 [b305315f] Elliptic v1.0.1 [4e289a0a] EnumX v1.0.4 - [f151be2c] EnzymeCore v0.6.3 + [f151be2c] EnzymeCore v0.6.4 [6912e4f1] Espresso v0.6.1 [460bff9d] ExceptionUnwrapping v0.1.9 [d4d017d3] ExponentialUtilities v1.25.0 [e2ba6199] ExprTools v0.1.10 [c87230d0] FFMPEG v0.4.1 - [7a1cc6ca] FFTW v1.7.1 + [7a1cc6ca] FFTW v1.7.2 [7034ab61] FastBroadcast v0.2.8 [9aa1b823] FastClosures v0.3.2 - [442a2c76] FastGaussQuadrature v1.0.0 + [442a2c76] FastGaussQuadrature v1.0.1 [29a986be] FastLapackInterface v2.0.0 - [1a297f60] FillArrays v1.7.0 + [1a297f60] FillArrays v1.9.3 [6a86dc24] FiniteDiff v2.21.1 + [b59a298d] FiniteHorizonGramians v0.1.0 [53c48c17] FixedPointNumbers v0.8.4 [59287772] Formatting v0.4.2 [f6369f11] ForwardDiff v0.10.36 @@ -512,15 +515,15 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [77dc65aa] FunctionWrappersWrappers v0.1.3 [d9f16b24] Functors v0.4.5 [46192b85] GPUArraysCore v0.1.5 - [28b8d3ca] GR v0.72.10 +⌅ [28b8d3ca] GR v0.72.10 [43dcc890] GaussianDistributions v0.5.2 [c145ed77] GenericSchur v0.5.3 [c27321d9] Glob v1.3.1 [86223c79] Graphs v1.9.0 [42e2da0e] Grisu v1.0.2 -⌅ [0b43b601] Groebner v0.4.4 - [d5909c97] GroupsCore v0.4.0 - [cd3eb016] HTTP v1.10.0 + [0b43b601] Groebner v0.5.0 +⌅ [d5909c97] GroupsCore v0.4.2 + [cd3eb016] HTTP v1.10.1 [eafb193a] Highlights v0.5.2 [3e5b6fbb] HostCPUFeatures v0.1.16 [34004b35] HypergeometricFunctions v0.3.23 @@ -535,25 +538,26 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [92d709cd] IrrationalConstants v0.2.2 [c8e1da08] IterTools v1.8.0 [82899510] IteratorInterfaceExtensions v1.0.0 - [1019f520] JLFzf v0.1.6 + [1019f520] JLFzf v0.1.7 [692b3bcd] JLLWrappers v1.5.0 [682c06a0] JSON v0.21.4 - [98e50ef6] JuliaFormatter v1.0.42 - [ccbc3e58] JumpProcesses v9.8.0 + [98e50ef6] JuliaFormatter v1.0.45 + [ccbc3e58] JumpProcesses v9.10.1 [ef3ab10e] KLU v0.4.1 - [2c470bb0] Kronecker v0.5.4 - [ba0b0d4f] Krylov v0.9.4 + [2c470bb0] Kronecker v0.5.5 + [ba0b0d4f] Krylov v0.9.5 [7f56f5a3] LSODA v0.7.5 [b964fa9f] LaTeXStrings v1.3.1 - [2ee39098] LabelledArrays v1.14.0 + [2ee39098] LabelledArrays v1.15.0 [984bce1d] LambertW v0.4.6 [23fbe1c1] Latexify v0.16.1 [73f95e8e] LatticeRules v0.0.1 [10f19ff3] LayoutPointers v0.1.15 [50d2b5c4] Lazy v0.15.1 + [5078a376] LazyArrays v1.8.3 [1d6d02ad] LeftChildRightSiblingTrees v0.2.0 [d3d80556] LineSearches v7.2.0 - [7ed4a6bd] LinearSolve v2.20.0 + [7ed4a6bd] LinearSolve v2.21.0 [2ab3a3ac] LogExpFunctions v0.3.26 [e6f89c97] LoggingExtras v1.0.3 [bdcacae8] LoopVectorization v0.12.166 @@ -562,29 +566,31 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [d8e11817] MLStyle v0.4.17 [1914dd2f] MacroTools v0.5.11 [d125e4d3] ManualMemory v0.1.8 - [739be429] MbedTLS v1.1.8 + [a3b82374] MatrixFactorizations v2.1.0 + [bb5d69b7] MaybeInplace v0.1.1 + [739be429] MbedTLS v1.1.9 [442fdcdd] Measures v0.3.2 [e1d29d7a] Missings v1.1.0 -⌃ [961ee093] ModelingToolkit v8.73.0 +⌃ [961ee093] ModelingToolkit v8.73.2 [46d2c3a1] MuladdMacro v0.2.4 - [102ac46a] MultivariatePolynomials v0.5.2 + [102ac46a] MultivariatePolynomials v0.5.3 [ffc61752] Mustache v1.0.19 - [d8a4904e] MutableArithmetics v1.3.3 + [d8a4904e] MutableArithmetics v1.4.0 [d41bc354] NLSolversBase v7.8.3 [2774e3e8] NLsolve v4.5.1 [77ba4419] NaNMath v1.0.2 -⌅ [356022a1] NamedDims v0.2.50 - [8913a72c] NonlinearSolve v2.8.0 + [356022a1] NamedDims v1.2.1 + [8913a72c] NonlinearSolve v3.1.0 [54ca160b] ODEInterface v0.5.0 [09606e27] ODEInterfaceDiffEq v3.13.3 [6fd5a793] Octavian v0.3.27 [6fe1bfb0] OffsetArrays v1.12.10 [4d8831e6] OpenSSL v1.4.1 [429524aa] Optim v1.7.8 - [bac558e1] OrderedCollections v1.6.2 - [1dea7af3] OrdinaryDiffEq v6.59.1 - [90014a1f] PDMats v0.11.29 - [fe68d972] PSDMatrices v0.4.6 + [bac558e1] OrderedCollections v1.6.3 + [1dea7af3] OrdinaryDiffEq v6.63.0 + [90014a1f] PDMats v0.11.31 + [fe68d972] PSDMatrices v0.4.7 [65ce6f38] PackageExtensionCompat v1.0.2 [65888b18] ParameterizedFunctions v5.16.0 [d96e819e] Parameters v0.12.3 @@ -600,36 +606,35 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` ⌅ [f27b6e38] Polynomials v3.2.13 [2dfb63ee] PooledArrays v1.4.3 [85a6dd25] PositiveFactorizations v0.2.4 - [d236fae5] PreallocationTools v0.4.12 + [d236fae5] PreallocationTools v0.4.13 [aea7be01] PrecompileTools v1.2.0 [21216c6a] Preferences v1.4.1 - [08abe8d2] PrettyTables v2.3.0 + [08abe8d2] PrettyTables v2.3.1 [27ebfcd6] Primes v0.5.5 [bf3e78b0] ProbNumDiffEq v0.13.0 `~/.julia/dev/ProbNumDiffEq` [33c8b6b6] ProgressLogging v0.1.4 - [438e738f] PyCall v1.96.2 + [438e738f] PyCall v1.96.4 [1fd47b50] QuadGK v2.9.1 -⌃ [8a4e6c94] QuasiMonteCarlo v0.3.2 + [8a4e6c94] QuasiMonteCarlo v0.3.3 [6f49c342] RCall v0.13.18 [74087812] Random123 v1.6.1 [fb686558] RandomExtensions v0.4.4 [e6cf234a] RandomNumbers v1.5.3 [3cdcf5f2] RecipesBase v1.3.4 [01d81517] RecipesPipeline v0.6.12 - [731186ca] RecursiveArrayTools v2.38.10 +⌅ [731186ca] RecursiveArrayTools v2.38.10 [f2c3362d] RecursiveFactorization v0.2.21 [189a3867] Reexport v1.2.2 [05181044] RelocatableFolders v1.0.1 [ae029012] Requires v1.3.0 [ae5879a3] ResettableStacks v1.1.1 [79098fc4] Rmath v0.7.1 - [47965b36] RootedTrees v2.19.2 + [47965b36] RootedTrees v2.20.0 [7e49a35a] RuntimeGeneratedFunctions v0.5.12 [fdea26ae] SIMD v3.4.6 [94e857df] SIMDTypes v0.1.0 [476501e8] SLEEFPirates v0.6.42 - [0bca4576] SciMLBase v2.8.1 - [e9a6253c] SciMLNLSolve v0.1.9 +⌃ [0bca4576] SciMLBase v2.10.0 [c0aeaf25] SciMLOperators v0.3.7 [505e40e9] SciPyDiffEq v0.2.1 [6c6a2e73] Scratch v1.2.1 @@ -638,37 +643,36 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [1277b4bf] ShiftedArrays v2.0.0 [992d4aef] Showoff v1.0.3 [777ac1f9] SimpleBufferStream v1.1.0 - [727e6d20] SimpleNonlinearSolve v0.1.25 + [727e6d20] SimpleNonlinearSolve v1.0.2 [699a6c99] SimpleTraits v0.9.4 [ce78b400] SimpleUnPack v1.1.0 - [66db9d55] SnoopPrecompile v1.0.3 [ed01d8cd] Sobol v1.5.0 [b85f4697] SoftGlobalScope v1.1.0 [a2af1166] SortingAlgorithms v1.2.0 -⌃ [47a9eef4] SparseDiffTools v2.11.0 + [47a9eef4] SparseDiffTools v2.15.0 [e56a9233] Sparspak v0.3.9 [276daf66] SpecialFunctions v2.3.1 [928aab9d] SpecialMatrices v3.0.0 [aedffcd0] Static v0.8.8 - [0d7ed370] StaticArrayInterface v1.4.1 - [90137ffa] StaticArrays v1.6.5 + [0d7ed370] StaticArrayInterface v1.5.0 + [90137ffa] StaticArrays v1.8.0 [1e83bf80] StaticArraysCore v1.4.2 [82ae8749] StatsAPI v1.7.0 [2913bbd2] StatsBase v0.34.2 [4c63d2b9] StatsFuns v1.3.0 [3eaba693] StatsModels v0.7.3 - [7792a7ef] StrideArraysCore v0.5.1 + [7792a7ef] StrideArraysCore v0.5.2 [69024149] StringEncodings v0.3.7 [892a3eda] StringManipulation v0.3.4 [09ab397b] StructArrays v0.6.16 - [c3572dad] Sundials v4.20.1 - [2efcf032] SymbolicIndexingInterface v0.2.2 - [d1185830] SymbolicUtils v1.4.0 - [0c5d862f] Symbolics v5.10.0 + [c3572dad] Sundials v4.22.1 +⌅ [2efcf032] SymbolicIndexingInterface v0.2.2 +⌃ [d1185830] SymbolicUtils v1.4.0 +⌃ [0c5d862f] Symbolics v5.11.0 [3783bdb8] TableTraits v1.0.1 [bd369af6] Tables v1.11.1 - [92b13dbe] TaylorIntegration v0.14.4 - [6aa5eb33] TaylorSeries v0.15.2 + [92b13dbe] TaylorIntegration v0.14.5 + [6aa5eb33] TaylorSeries v0.15.4 [62fd8b95] TensorCore v0.1.1 [5d786b92] TerminalLoggers v0.1.7 [8290d209] ThreadingUtilities v0.5.2 @@ -676,18 +680,17 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [c751599d] ToeplitzMatrices v0.8.2 [0796e94c] Tokenize v0.5.26 [3bb67fe8] TranscodingStreams v0.10.2 - [a2a6695c] TreeViews v0.3.0 [d5829a12] TriangularSolve v0.1.20 [410a4b4d] Tricks v0.1.8 [781d530d] TruncatedStacktraces v1.4.0 [5c2747f8] URIs v1.5.1 [3a884ed6] UnPack v1.0.2 [1cfade01] UnicodeFun v0.4.1 - [1986cc42] Unitful v1.18.0 + [1986cc42] Unitful v1.19.0 [45397f5d] UnitfulLatexify v1.6.3 [a7c27f48] Unityper v0.1.5 [41fe7b60] Unzip v0.2.0 - [3d5dd08c] VectorizationBase v0.21.64 + [3d5dd08c] VectorizationBase v0.21.65 [81def892] VersionParsing v1.3.0 [19fa3120] VertexSafeGraphs v0.2.0 [44d3d7a6] Weave v0.10.12 @@ -705,13 +708,13 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [d7e528f0] FreeType2_jll v2.13.1+0 [559328eb] FriBidi_jll v1.0.10+0 [0656b61e] GLFW_jll v3.3.8+0 - [d2c73de3] GR_jll v0.72.10+0 +⌅ [d2c73de3] GR_jll v0.72.10+0 [78b55507] Gettext_jll v0.21.0+0 [7746bdde] Glib_jll v2.76.5+0 [3b182d85] Graphite2_jll v1.3.14+0 [2e76f6c2] HarfBuzz_jll v2.8.1+1 - [1d5cc7b8] IntelOpenMP_jll v2023.2.0+0 - [aacddb02] JpegTurbo_jll v2.1.91+0 + [1d5cc7b8] IntelOpenMP_jll v2024.0.0+0 + [aacddb02] JpegTurbo_jll v3.0.1+0 [c1c5ebd0] LAME_jll v3.100.1+0 [88015f11] LERC_jll v3.0.0+1 [1d63c593] LLVMOpenMP_jll v15.0.4+0 @@ -723,9 +726,9 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [7add5ba3] Libgpg_error_jll v1.42.0+0 [94ce4f54] Libiconv_jll v1.17.0+0 [4b2f31a3] Libmount_jll v2.35.0+0 - [89763e89] Libtiff_jll v4.5.1+1 +⌅ [89763e89] Libtiff_jll v4.5.1+1 [38a345b3] Libuuid_jll v2.36.0+0 - [856f044c] MKL_jll v2023.2.0+0 + [856f044c] MKL_jll v2024.0.0+0 [c771fb93] ODEInterface_jll v0.0.1+0 [e7412a2a] Ogg_jll v1.3.5+1 [458c3c95] OpenSSL_jll v3.0.12+0 @@ -738,7 +741,7 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [a44049a8] Vulkan_Loader_jll v1.3.243+0 [a2964d1f] Wayland_jll v1.21.0+1 [2381bf8a] Wayland_protocols_jll v1.25.0+0 - [02c8fc9c] XML2_jll v2.11.5+0 + [02c8fc9c] XML2_jll v2.12.2+0 [aed1982a] XSLT_jll v1.1.34+0 [ffd25f8a] XZ_jll v5.4.5+0 [f67eecfb] Xorg_libICE_jll v1.0.10+1 @@ -768,14 +771,14 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [8f1865be] ZeroMQ_jll v4.3.4+0 [3161d3a3] Zstd_jll v1.5.5+0 [35ca27e7] eudev_jll v3.2.9+0 -⌅ [214eeab7] fzf_jll v0.35.1+0 + [214eeab7] fzf_jll v0.43.0+0 [1a1c6b14] gperf_jll v3.1.1+0 [a4ae2306] libaom_jll v3.4.0+0 [0ac62f75] libass_jll v0.15.1+0 [2db6ffa8] libevdev_jll v1.11.0+0 [f638f0a6] libfdk_aac_jll v2.0.2+0 [36db933b] libinput_jll v1.18.0+0 - [b53b4c65] libpng_jll v1.6.38+0 + [b53b4c65] libpng_jll v1.6.40+0 [a9144af2] libsodium_jll v1.0.20+0 [f27f6e37] libvorbis_jll v1.3.7+1 [009596ad] mtdev_jll v1.1.6+0 From 49da52bf6f33ad60cd67ecfcc45943920f15bb09 Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Sat, 16 Dec 2023 10:10:04 -0600 Subject: [PATCH 06/15] Add compat for FillArrays --- Project.toml | 1 + 1 file changed, 1 insertion(+) diff --git a/Project.toml b/Project.toml index 806c7374c..244f6a2d0 100644 --- a/Project.toml +++ b/Project.toml @@ -47,6 +47,7 @@ DiffEqDevTools = "2" ExponentialUtilities = "1" FastBroadcast = "0.2" FastGaussQuadrature = "0.5, 1" +FillArrays = "1.9" FiniteHorizonGramians = "0.1" ForwardDiff = "0.10" FunctionWrappersWrappers = "0.1.3" From d0c00d828dd9d8fd5b70f29a1306f93bb14aeafe Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Wed, 3 Jan 2024 12:07:38 +0100 Subject: [PATCH 07/15] 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) From 69ad9ce95f53bcdc5b5e87d325b88b30fb0ef6a6 Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Wed, 3 Jan 2024 12:11:52 +0100 Subject: [PATCH 08/15] JuliaFormatter.jl --- src/caches.jl | 9 ++++++--- src/priors/ltisde.jl | 2 -- 2 files changed, 6 insertions(+), 5 deletions(-) diff --git a/src/caches.jl b/src/caches.jl index ea299b801..6d4a2cfa1 100644 --- a/src/caches.jl +++ b/src/caches.jl @@ -133,8 +133,10 @@ function OrdinaryDiffEq.alg_cache( A, Q, Ah, Qh, P, PI = initialize_transition_matrices(FAC, prior, dt) F, L = to_sde(prior) F, L = to_factorized_matrix(FAC, F), to_factorized_matrix(FAC, L) - FHG_method = !(prior isa IWP) ? FiniteHorizonGramians.ExpAndGram{eltype(F),13}() : nothing - FHG_cache = !(prior isa IWP) ? FiniteHorizonGramians.alloc_mem(F, L, FHG_method) : nothing + FHG_method = + !(prior isa IWP) ? FiniteHorizonGramians.ExpAndGram{eltype(F),13}() : nothing + FHG_cache = + !(prior isa IWP) ? FiniteHorizonGramians.alloc_mem(F, L, FHG_method) : nothing # Measurement Model measurement_model = make_measurement_model(f) @@ -230,7 +232,8 @@ function OrdinaryDiffEq.alg_cache( typeof(diffmodel),typeof(measurement_model),typeof(measurement),typeof(pu_tmp), uEltypeNoUnits,typeof(dt),typeof(du1),typeof(uf),typeof(jac_config),typeof(atmp), }( - d, q, FAC, prior, A, Q, Ah, Qh, F, L, FHG_method, FHG_cache, diffmodel, measurement_model, R, Proj, SolProj, + d, q, FAC, prior, A, Q, Ah, Qh, F, L, FHG_method, FHG_cache, diffmodel, + measurement_model, R, Proj, SolProj, P, PI, E0, E1, E2, u, u_pred, u_filt, tmp, atmp, x0, xprev, x_pred, x_filt, x_tmp, x_tmp2, diff --git a/src/priors/ltisde.jl b/src/priors/ltisde.jl index fc1aea401..c076d7cf9 100644 --- a/src/priors/ltisde.jl +++ b/src/priors/ltisde.jl @@ -25,11 +25,9 @@ iterate(sde::LTISDE) = sde.F, true iterate(sde::LTISDE, s) = s ? (sde.L, false) : nothing length(sde::LTISDE) = 2 - discretize(sde::LTISDE, dt::Real) = matrix_fraction_decomposition(drift(sde), dispersion(sde), dt) - function matrix_fraction_decomposition( drift::IsometricKroneckerProduct, dispersion::IsometricKroneckerProduct, From b7c1af7bf52f9a4ccd021c724a333168ac5debdb Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Wed, 3 Jan 2024 12:30:33 +0100 Subject: [PATCH 09/15] Run Hodgkin-Huxley once more --- .../benchmarks/figures/hodgkinhuxley_2_1.svg | 834 ++++++++--------- .../benchmarks/figures/hodgkinhuxley_3_1.svg | 462 +++++----- .../benchmarks/figures/hodgkinhuxley_4_1.svg | 464 +++++----- .../benchmarks/figures/hodgkinhuxley_5_1.svg | 850 +++++++++--------- .../benchmarks/figures/hodgkinhuxley_6_1.svg | 518 ++++++----- .../benchmarks/figures/hodgkinhuxley_7_1.svg | 314 +++---- .../benchmarks/figures/hodgkinhuxley_8_1.svg | 300 +++---- docs/src/benchmarks/hodgkinhuxley.md | 115 ++- 8 files changed, 1927 insertions(+), 1930 deletions(-) diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg index c8c08b743..dec6ebcb8 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg @@ -1,444 +1,444 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_3_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_3_1.svg index b270121ad..ea4110e63 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_3_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_3_1.svg @@ -1,244 +1,246 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_4_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_4_1.svg index a75ba9e0b..5c59732d3 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_4_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_4_1.svg @@ -1,246 +1,246 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_5_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_5_1.svg index c62a7e576..cc9cea5b5 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_5_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_5_1.svg @@ -1,440 +1,438 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_6_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_6_1.svg index b7efea9af..3bf168310 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_6_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_6_1.svg @@ -1,275 +1,271 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg index 9d0ab83e0..13f722339 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg @@ -1,170 +1,172 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg index cdb946fad..56548dc01 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg @@ -1,164 +1,164 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/hodgkinhuxley.md b/docs/src/benchmarks/hodgkinhuxley.md index 815b913d4..c76a7e6e5 100644 --- a/docs/src/benchmarks/hodgkinhuxley.md +++ b/docs/src/benchmarks/hodgkinhuxley.md @@ -364,8 +364,8 @@ InteractiveUtils.versioninfo() ``` ``` -Julia Version 1.9.4 -Commit 8e5136fa297 (2023-11-14 08:46 UTC) +Julia Version 1.10.0 +Commit 3120989f39b (2023-12-25 18:01 UTC) Build Info: Official https://julialang.org/ release Platform Info: @@ -373,12 +373,10 @@ Platform Info: CPU: 12 × Intel(R) Core(TM) i7-6800K CPU @ 3.40GHz WORD_SIZE: 64 LIBM: libopenlibm - LLVM: libLLVM-14.0.6 (ORCJIT, broadwell) - Threads: 12 on 12 virtual cores + LLVM: libLLVM-15.0.7 (ORCJIT, broadwell) + Threads: 17 on 12 virtual cores Environment: JULIA_NUM_THREADS = auto - JULIA_STACKTRACE_MINIMAL = true - JULIA_IMAGE_THREADS = 1 ``` ```@raw html @@ -396,7 +394,7 @@ Pkg.status() ``` Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Project.toml` - [f3b72e0c] DiffEqDevTools v2.44.0 + [f3b72e0c] DiffEqDevTools v2.44.1 [31c24e10] Distributions v0.25.104 [7073ff75] IJulia v1.24.2 [7f56f5a3] LSODA v0.7.5 @@ -405,15 +403,15 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Project.toml` ⌃ [961ee093] ModelingToolkit v8.73.2 [54ca160b] ODEInterface v0.5.0 [09606e27] ODEInterfaceDiffEq v3.13.3 - [1dea7af3] OrdinaryDiffEq v6.63.0 +⌃ [1dea7af3] OrdinaryDiffEq v6.66.0 [65888b18] ParameterizedFunctions v5.16.0 [91a5bcdd] Plots v1.39.0 - [bf3e78b0] ProbNumDiffEq v0.13.0 `~/.julia/dev/ProbNumDiffEq` + [bf3e78b0] ProbNumDiffEq v0.13.1 `~/.julia/dev/ProbNumDiffEq` ⌃ [0bca4576] SciMLBase v2.10.0 [505e40e9] SciPyDiffEq v0.2.1 [ce78b400] SimpleUnPack v1.1.0 - [90137ffa] StaticArrays v1.8.0 - [c3572dad] Sundials v4.22.1 + [90137ffa] StaticArrays v1.9.0 + [c3572dad] Sundials v4.23.1 [44d3d7a6] Weave v0.10.12 [0518478a] deSolveDiffEq v0.1.1 Info Packages marked with ⌃ have new versions available and may be upgradable. @@ -433,15 +431,15 @@ Pkg.status(mode=Pkg.PKGMODE_MANIFEST) ``` Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` - [47edcb42] ADTypes v0.2.5 -⌅ [c3fe647b] AbstractAlgebra v0.33.0 + [47edcb42] ADTypes v0.2.6 + [c3fe647b] AbstractAlgebra v0.34.7 [621f4979] AbstractFFTs v1.5.0 [1520ce14] AbstractTrees v0.4.4 [7d9f7c33] Accessors v0.1.33 - [79e6a3ab] Adapt v3.7.2 +⌅ [79e6a3ab] Adapt v3.7.2 [ec485272] ArnoldiMethod v0.2.0 [c9d4266f] ArrayAllocators v0.3.0 - [4fba245c] ArrayInterface v7.6.1 + [4fba245c] ArrayInterface v7.7.0 [4c555306] ArrayLayouts v1.4.5 [6e4b80f9] BenchmarkTools v1.4.0 [e2ed5e7c] Bijections v0.1.6 @@ -452,7 +450,7 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [00ebfdb7] CSTParser v3.3.6 [49dc2e85] Calculus v0.5.1 [324d7699] CategoricalArrays v0.10.8 - [d360d2e6] ChainRulesCore v1.18.0 + [d360d2e6] ChainRulesCore v1.19.0 [fb6a15b2] CloseOpenIntervals v0.1.12 [944b1d66] CodecZlib v0.7.3 [35d6a980] ColorSchemes v3.24.0 @@ -480,9 +478,9 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [864edb3b] DataStructures v0.18.15 [e2d170a0] DataValueInterfaces v1.0.0 [8bb1440f] DelimitedFiles v1.9.1 - [2b5f629d] DiffEqBase v6.143.0 - [459566f4] DiffEqCallbacks v2.35.0 - [f3b72e0c] DiffEqDevTools v2.44.0 +⌃ [2b5f629d] DiffEqBase v6.145.2 + [459566f4] DiffEqCallbacks v2.36.1 + [f3b72e0c] DiffEqDevTools v2.44.1 [77a26b50] DiffEqNoiseProcess v5.20.0 [163ba53b] DiffResults v1.1.0 [b552c78f] DiffRules v1.15.1 @@ -496,7 +494,7 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [4e289a0a] EnumX v1.0.4 [f151be2c] EnzymeCore v0.6.4 [6912e4f1] Espresso v0.6.1 - [460bff9d] ExceptionUnwrapping v0.1.9 + [460bff9d] ExceptionUnwrapping v0.1.10 [d4d017d3] ExponentialUtilities v1.25.0 [e2ba6199] ExprTools v0.1.10 [c87230d0] FFMPEG v0.4.1 @@ -506,22 +504,22 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [442a2c76] FastGaussQuadrature v1.0.1 [29a986be] FastLapackInterface v2.0.0 [1a297f60] FillArrays v1.9.3 - [6a86dc24] FiniteDiff v2.21.1 - [b59a298d] FiniteHorizonGramians v0.1.0 + [6a86dc24] FiniteDiff v2.22.0 +⌃ [b59a298d] FiniteHorizonGramians v0.1.1 [53c48c17] FixedPointNumbers v0.8.4 [59287772] Formatting v0.4.2 [f6369f11] ForwardDiff v0.10.36 [069b7b12] FunctionWrappers v1.1.3 [77dc65aa] FunctionWrappersWrappers v0.1.3 [d9f16b24] Functors v0.4.5 - [46192b85] GPUArraysCore v0.1.5 +⌃ [46192b85] GPUArraysCore v0.1.5 ⌅ [28b8d3ca] GR v0.72.10 [43dcc890] GaussianDistributions v0.5.2 [c145ed77] GenericSchur v0.5.3 [c27321d9] Glob v1.3.1 [86223c79] Graphs v1.9.0 [42e2da0e] Grisu v1.0.2 - [0b43b601] Groebner v0.5.0 + [0b43b601] Groebner v0.5.1 ⌅ [d5909c97] GroupsCore v0.4.2 [cd3eb016] HTTP v1.10.1 [eafb193a] Highlights v0.5.2 @@ -536,7 +534,7 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [3587e190] InverseFunctions v0.1.12 [41ab1584] InvertedIndices v1.3.0 [92d709cd] IrrationalConstants v0.2.2 - [c8e1da08] IterTools v1.8.0 + [c8e1da08] IterTools v1.10.0 [82899510] IteratorInterfaceExtensions v1.0.0 [1019f520] JLFzf v0.1.7 [692b3bcd] JLLWrappers v1.5.0 @@ -557,14 +555,14 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [5078a376] LazyArrays v1.8.3 [1d6d02ad] LeftChildRightSiblingTrees v0.2.0 [d3d80556] LineSearches v7.2.0 - [7ed4a6bd] LinearSolve v2.21.0 + [7ed4a6bd] LinearSolve v2.22.0 [2ab3a3ac] LogExpFunctions v0.3.26 [e6f89c97] LoggingExtras v1.0.3 [bdcacae8] LoopVectorization v0.12.166 [10e44e05] MATLAB v0.8.4 [e2752cbe] MATLABDiffEq v1.2.0 [d8e11817] MLStyle v0.4.17 - [1914dd2f] MacroTools v0.5.11 + [1914dd2f] MacroTools v0.5.12 [d125e4d3] ManualMemory v0.1.8 [a3b82374] MatrixFactorizations v2.1.0 [bb5d69b7] MaybeInplace v0.1.1 @@ -580,25 +578,25 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [2774e3e8] NLsolve v4.5.1 [77ba4419] NaNMath v1.0.2 [356022a1] NamedDims v1.2.1 - [8913a72c] NonlinearSolve v3.1.0 +⌃ [8913a72c] NonlinearSolve v3.1.0 [54ca160b] ODEInterface v0.5.0 [09606e27] ODEInterfaceDiffEq v3.13.3 [6fd5a793] Octavian v0.3.27 - [6fe1bfb0] OffsetArrays v1.12.10 + [6fe1bfb0] OffsetArrays v1.13.0 [4d8831e6] OpenSSL v1.4.1 [429524aa] Optim v1.7.8 [bac558e1] OrderedCollections v1.6.3 - [1dea7af3] OrdinaryDiffEq v6.63.0 +⌃ [1dea7af3] OrdinaryDiffEq v6.66.0 [90014a1f] PDMats v0.11.31 [fe68d972] PSDMatrices v0.4.7 [65ce6f38] PackageExtensionCompat v1.0.2 [65888b18] ParameterizedFunctions v5.16.0 [d96e819e] Parameters v0.12.3 - [69de0a69] Parsers v2.8.0 + [69de0a69] Parsers v2.8.1 [b98c9c47] Pipe v1.3.0 [32113eaa] PkgBenchmark v0.2.12 [ccf2f8ad] PlotThemes v3.1.0 - [995b91a9] PlotUtils v1.3.5 + [995b91a9] PlotUtils v1.4.0 [91a5bcdd] Plots v1.39.0 [e409e4f3] PoissonRandom v0.4.4 [f517fe37] Polyester v0.7.9 @@ -606,18 +604,18 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` ⌅ [f27b6e38] Polynomials v3.2.13 [2dfb63ee] PooledArrays v1.4.3 [85a6dd25] PositiveFactorizations v0.2.4 - [d236fae5] PreallocationTools v0.4.13 + [d236fae5] PreallocationTools v0.4.16 [aea7be01] PrecompileTools v1.2.0 [21216c6a] Preferences v1.4.1 [08abe8d2] PrettyTables v2.3.1 [27ebfcd6] Primes v0.5.5 - [bf3e78b0] ProbNumDiffEq v0.13.0 `~/.julia/dev/ProbNumDiffEq` + [bf3e78b0] ProbNumDiffEq v0.13.1 `~/.julia/dev/ProbNumDiffEq` [33c8b6b6] ProgressLogging v0.1.4 [438e738f] PyCall v1.96.4 [1fd47b50] QuadGK v2.9.1 [8a4e6c94] QuasiMonteCarlo v0.3.3 [6f49c342] RCall v0.13.18 - [74087812] Random123 v1.6.1 + [74087812] Random123 v1.6.2 [fb686558] RandomExtensions v0.4.4 [e6cf234a] RandomNumbers v1.5.3 [3cdcf5f2] RecipesBase v1.3.4 @@ -643,19 +641,19 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [1277b4bf] ShiftedArrays v2.0.0 [992d4aef] Showoff v1.0.3 [777ac1f9] SimpleBufferStream v1.1.0 - [727e6d20] SimpleNonlinearSolve v1.0.2 + [727e6d20] SimpleNonlinearSolve v1.2.0 [699a6c99] SimpleTraits v0.9.4 [ce78b400] SimpleUnPack v1.1.0 [ed01d8cd] Sobol v1.5.0 [b85f4697] SoftGlobalScope v1.1.0 - [a2af1166] SortingAlgorithms v1.2.0 + [a2af1166] SortingAlgorithms v1.2.1 [47a9eef4] SparseDiffTools v2.15.0 [e56a9233] Sparspak v0.3.9 [276daf66] SpecialFunctions v2.3.1 [928aab9d] SpecialMatrices v3.0.0 [aedffcd0] Static v0.8.8 [0d7ed370] StaticArrayInterface v1.5.0 - [90137ffa] StaticArrays v1.8.0 + [90137ffa] StaticArrays v1.9.0 [1e83bf80] StaticArraysCore v1.4.2 [82ae8749] StatsAPI v1.7.0 [2913bbd2] StatsBase v0.34.2 @@ -665,7 +663,7 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [69024149] StringEncodings v0.3.7 [892a3eda] StringManipulation v0.3.4 [09ab397b] StructArrays v0.6.16 - [c3572dad] Sundials v4.22.1 + [c3572dad] Sundials v4.23.1 ⌅ [2efcf032] SymbolicIndexingInterface v0.2.2 ⌃ [d1185830] SymbolicUtils v1.4.0 ⌃ [0c5d862f] Symbolics v5.11.0 @@ -688,7 +686,7 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [1cfade01] UnicodeFun v0.4.1 [1986cc42] Unitful v1.19.0 [45397f5d] UnitfulLatexify v1.6.3 - [a7c27f48] Unityper v0.1.5 + [a7c27f48] Unityper v0.1.6 [41fe7b60] Unzip v0.2.0 [3d5dd08c] VectorizationBase v0.21.65 [81def892] VersionParsing v1.3.0 @@ -707,17 +705,17 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [a3f928ae] Fontconfig_jll v2.13.93+0 [d7e528f0] FreeType2_jll v2.13.1+0 [559328eb] FriBidi_jll v1.0.10+0 - [0656b61e] GLFW_jll v3.3.8+0 + [0656b61e] GLFW_jll v3.3.9+0 ⌅ [d2c73de3] GR_jll v0.72.10+0 [78b55507] Gettext_jll v0.21.0+0 [7746bdde] Glib_jll v2.76.5+0 [3b182d85] Graphite2_jll v1.3.14+0 [2e76f6c2] HarfBuzz_jll v2.8.1+1 - [1d5cc7b8] IntelOpenMP_jll v2024.0.0+0 + [1d5cc7b8] IntelOpenMP_jll v2024.0.2+0 [aacddb02] JpegTurbo_jll v3.0.1+0 [c1c5ebd0] LAME_jll v3.100.1+0 [88015f11] LERC_jll v3.0.0+1 - [1d63c593] LLVMOpenMP_jll v15.0.4+0 + [1d63c593] LLVMOpenMP_jll v15.0.7+0 [aae0fff6] LSODA_jll v0.1.2+0 [dd4b983a] LZO_jll v2.10.1+0 ⌅ [e9f186c6] Libffi_jll v3.2.2+1 @@ -737,10 +735,10 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [30392449] Pixman_jll v0.42.2+0 [c0090381] Qt6Base_jll v6.5.3+1 [f50d1b31] Rmath_jll v0.4.0+0 -⌅ [fb77eaff] Sundials_jll v5.2.1+0 +⌅ [fb77eaff] Sundials_jll v5.2.2+0 [a44049a8] Vulkan_Loader_jll v1.3.243+0 [a2964d1f] Wayland_jll v1.21.0+1 - [2381bf8a] Wayland_protocols_jll v1.25.0+0 + [2381bf8a] Wayland_protocols_jll v1.31.0+0 [02c8fc9c] XML2_jll v2.12.2+0 [aed1982a] XSLT_jll v1.1.34+0 [ffd25f8a] XZ_jll v5.4.5+0 @@ -803,7 +801,7 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [d6f4376e] Markdown [a63ad114] Mmap [ca575930] NetworkOptions v1.2.0 - [44cfe95a] Pkg v1.9.2 + [44cfe95a] Pkg v1.10.0 [de0858da] Printf [9abbd945] Profile [3fa0cd96] REPL @@ -812,27 +810,28 @@ Status `~/.julia/dev/ProbNumDiffEq/benchmarks/Manifest.toml` [9e88b42a] Serialization [1a1011a3] SharedArrays [6462fe0b] Sockets - [2f01184e] SparseArrays - [10745b16] Statistics v1.9.0 + [2f01184e] SparseArrays v1.10.0 + [10745b16] Statistics v1.10.0 [4607b0f0] SuiteSparse [fa267f1f] TOML v1.0.3 [a4e569a6] Tar v1.10.0 [8dfed614] Test [cf7118a7] UUIDs [4ec0a83e] Unicode - [e66e0078] CompilerSupportLibraries_jll v1.0.5+0 + [e66e0078] CompilerSupportLibraries_jll v1.0.5+1 [deac9b47] LibCURL_jll v8.4.0+0 + [e37daf67] LibGit2_jll v1.6.4+0 [29816b5a] LibSSH2_jll v1.11.0+1 - [c8ffd9c3] MbedTLS_jll v2.28.2+0 - [14a3606d] MozillaCACerts_jll v2022.10.11 - [4536629a] OpenBLAS_jll v0.3.21+4 - [05823500] OpenLibm_jll v0.8.1+0 - [efcefdf7] PCRE2_jll v10.42.0+0 - [bea87d4a] SuiteSparse_jll v5.10.1+6 - [83775a58] Zlib_jll v1.2.13+0 - [8e850b90] libblastrampoline_jll v5.8.0+0 + [c8ffd9c3] MbedTLS_jll v2.28.2+1 + [14a3606d] MozillaCACerts_jll v2023.1.10 + [4536629a] OpenBLAS_jll v0.3.23+2 + [05823500] OpenLibm_jll v0.8.1+2 + [efcefdf7] PCRE2_jll v10.42.0+1 + [bea87d4a] SuiteSparse_jll v7.2.1+1 + [83775a58] Zlib_jll v1.2.13+1 + [8e850b90] libblastrampoline_jll v5.8.0+1 [8e850ede] nghttp2_jll v1.52.0+1 - [3f19e933] p7zip_jll v17.4.0+0 + [3f19e933] p7zip_jll v17.4.0+2 Info Packages marked with ⌃ and ⌅ have new versions available. Those with ⌃ may be upgradable, but those with ⌅ are restricted by compatibility constraints from upgrading. To see why use `status --outdated -m` ``` From 83cf6f72756f71f8a3c8dcb4567f85fd8db243af Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Wed, 3 Jan 2024 12:35:11 +0100 Subject: [PATCH 10/15] Remove order 5 from the HH benchmark as it breaks --- benchmarks/hodgkinhuxley.jmd | 6 +- .../benchmarks/figures/hodgkinhuxley_2_1.svg | 834 +++++++++--------- .../benchmarks/figures/hodgkinhuxley_3_1.svg | 456 +++++----- .../benchmarks/figures/hodgkinhuxley_4_1.svg | 458 +++++----- .../benchmarks/figures/hodgkinhuxley_5_1.svg | 670 ++++++-------- .../benchmarks/figures/hodgkinhuxley_6_1.svg | 506 ++++++----- .../benchmarks/figures/hodgkinhuxley_7_1.svg | 316 +++---- .../benchmarks/figures/hodgkinhuxley_8_1.svg | 300 +++---- docs/src/benchmarks/hodgkinhuxley.md | 6 +- 9 files changed, 1674 insertions(+), 1878 deletions(-) diff --git a/benchmarks/hodgkinhuxley.jmd b/benchmarks/hodgkinhuxley.jmd index d99f78d29..ed922c2e6 100644 --- a/benchmarks/hodgkinhuxley.jmd +++ b/benchmarks/hodgkinhuxley.jmd @@ -88,9 +88,8 @@ _setups = [ "EK0(3)" => Dict(:alg=>EK0(order=3, smooth=DENSE)) "EK1(2)" => Dict(:alg=>EK1(order=2, smooth=DENSE)) "EK1(3)" => Dict(:alg=>EK1(order=3, smooth=DENSE)) - "EK1(5)" => Dict(:alg=>EK1(order=5, smooth=DENSE)) + "RosenbrockExpEK1(2)" => Dict(:alg=>RosenbrockExpEK(order=2, smooth=DENSE)) "RosenbrockExpEK1(3)" => Dict(:alg=>RosenbrockExpEK(order=3, smooth=DENSE)) - "RosenbrockExpEK1(5)" => Dict(:alg=>RosenbrockExpEK(order=5, smooth=DENSE)) ] labels = first.(_setups) @@ -150,9 +149,8 @@ _setups = [ "EK0(3)" => Dict(:alg=>EK0(order=3, smooth=DENSE)) "EK1(2)" => Dict(:alg=>EK1(order=2, smooth=DENSE)) "EK1(3)" => Dict(:alg=>EK1(order=3, smooth=DENSE)) - "EK1(5)" => Dict(:alg=>EK1(order=5, smooth=DENSE)) + "RosenbrockExpEK1(2)" => Dict(:alg=>RosenbrockExpEK(order=2, smooth=DENSE)) "RosenbrockExpEK1(3)" => Dict(:alg=>RosenbrockExpEK(order=3, smooth=DENSE)) - "RosenbrockExpEK1(5)" => Dict(:alg=>RosenbrockExpEK(order=5, smooth=DENSE)) ] labels = first.(_setups) diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg index dec6ebcb8..bc416690b 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg @@ -1,444 +1,444 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_3_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_3_1.svg index ea4110e63..e99b8ab93 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_3_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_3_1.svg @@ -1,246 +1,238 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - 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+ - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_5_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_5_1.svg index cc9cea5b5..702342d7d 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_5_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_5_1.svg @@ -1,438 +1,260 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_6_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_6_1.svg index 3bf168310..6683daddc 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_6_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_6_1.svg @@ -1,271 +1,263 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg index 13f722339..85713cca8 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg @@ -1,172 +1,172 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg index 56548dc01..c8a198b3c 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg @@ -1,164 +1,164 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/hodgkinhuxley.md b/docs/src/benchmarks/hodgkinhuxley.md index c76a7e6e5..3cd43fbd5 100644 --- a/docs/src/benchmarks/hodgkinhuxley.md +++ b/docs/src/benchmarks/hodgkinhuxley.md @@ -108,9 +108,8 @@ _setups = [ "EK0(3)" => Dict(:alg=>EK0(order=3, smooth=DENSE)) "EK1(2)" => Dict(:alg=>EK1(order=2, smooth=DENSE)) "EK1(3)" => Dict(:alg=>EK1(order=3, smooth=DENSE)) - "EK1(5)" => Dict(:alg=>EK1(order=5, smooth=DENSE)) + "RosenbrockExpEK1(2)" => Dict(:alg=>RosenbrockExpEK(order=2, smooth=DENSE)) "RosenbrockExpEK1(3)" => Dict(:alg=>RosenbrockExpEK(order=3, smooth=DENSE)) - "RosenbrockExpEK1(5)" => Dict(:alg=>RosenbrockExpEK(order=5, smooth=DENSE)) ] labels = first.(_setups) @@ -180,9 +179,8 @@ _setups = [ "EK0(3)" => Dict(:alg=>EK0(order=3, smooth=DENSE)) "EK1(2)" => Dict(:alg=>EK1(order=2, smooth=DENSE)) "EK1(3)" => Dict(:alg=>EK1(order=3, smooth=DENSE)) - "EK1(5)" => Dict(:alg=>EK1(order=5, smooth=DENSE)) + "RosenbrockExpEK1(2)" => Dict(:alg=>RosenbrockExpEK(order=2, smooth=DENSE)) "RosenbrockExpEK1(3)" => Dict(:alg=>RosenbrockExpEK(order=3, smooth=DENSE)) - "RosenbrockExpEK1(5)" => Dict(:alg=>RosenbrockExpEK(order=5, smooth=DENSE)) ] labels = first.(_setups) From 1557e66b4b9554bacc7a5f9f56cda57a14193c71 Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Wed, 3 Jan 2024 13:02:16 +0100 Subject: [PATCH 11/15] Add tstops to make HH benchmark better --- benchmarks/hodgkinhuxley.jmd | 13 +- .../benchmarks/figures/hodgkinhuxley_2_1.svg | 834 +++++++++--------- .../benchmarks/figures/hodgkinhuxley_3_1.svg | 446 +++++----- .../benchmarks/figures/hodgkinhuxley_4_1.svg | 448 +++++----- .../benchmarks/figures/hodgkinhuxley_5_1.svg | 482 +++++----- .../benchmarks/figures/hodgkinhuxley_6_1.svg | 480 +++++----- .../benchmarks/figures/hodgkinhuxley_7_1.svg | 338 +++---- .../benchmarks/figures/hodgkinhuxley_8_1.svg | 324 +++---- docs/src/benchmarks/hodgkinhuxley.md | 13 +- 9 files changed, 1702 insertions(+), 1676 deletions(-) diff --git a/benchmarks/hodgkinhuxley.jmd b/benchmarks/hodgkinhuxley.jmd index ed922c2e6..f679e1aa1 100644 --- a/benchmarks/hodgkinhuxley.jmd +++ b/benchmarks/hodgkinhuxley.jmd @@ -34,7 +34,8 @@ Plots.theme( αh(V, VT) = 0.128 * exp(-(V - VT - 17) / 18) βh(V, VT) = 4 / (1 + exp(-(V - VT - 40) / 5)) -Inj(t) = (5 <= t <= 40) ? 500one(t) : zero(t) +const current_tspan = (5, 40) +Inj(t) = (current_tspan[1] <= t <= current_tspan[2]) ? 500one(t) : zero(t) function f(du, u, p, t) @unpack gNa, gK, ENa, EK, area, C, Eleak, VT, gleak = p @@ -94,7 +95,7 @@ _setups = [ labels = first.(_setups) setups = last.(_setups) -colors = [1 1 2 2 2 3 3] +colors = [1 1 2 2 3 3] abstols = 1.0 ./ 10.0 .^ (6:10) reltols = 1.0 ./ 10.0 .^ (3:7) @@ -107,6 +108,7 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, + tstops = current_tspan, ) plot(wp, title="Adaptive steps - no smoothing", color=colors) @@ -126,6 +128,7 @@ ref_wp_final = WorkPrecisionSet( dense = false, save_everystep = false, maxiters = Int(1e7), + tstops = current_tspan, ) ref_wp_dense = WorkPrecisionSet( prob, abstols ./ 1000, reltols ./ 1000, ref_setups; @@ -134,6 +137,7 @@ ref_wp_dense = WorkPrecisionSet( dense = true, save_everystep = true, maxiters = Int(1e7), + tstops = current_tspan, ) plot!(ref_wp_final, x=:final, color=:gray, alpha=0.7, linestyle=:dash) @@ -155,7 +159,7 @@ _setups = [ labels = first.(_setups) setups = last.(_setups) -colors = [1 1 2 2 2 3 3] +colors = [1 1 2 2 3 3] abstols = 1.0 ./ 10.0 .^ (6:10) reltols = 1.0 ./ 10.0 .^ (3:7) @@ -168,6 +172,7 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, + tstops = current_tspan, ) plot(wp, title="Adaptive steps - with smoothing", color=colors) @@ -231,6 +236,7 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, + tstops = current_tspan, ) plot(wp, title="Fixed steps - no smoothing", color=colors) @@ -265,6 +271,7 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, + tstops = current_tspan, ) plot(wp, title="Fixed steps - with smoothing", color=colors) diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg index bc416690b..98bcb3202 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg @@ -1,444 +1,444 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + - 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+ - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg index 85713cca8..7407ee3a3 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_7_1.svg @@ -1,172 +1,194 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg index c8a198b3c..1aedaa8c3 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_8_1.svg @@ -1,164 +1,188 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/hodgkinhuxley.md b/docs/src/benchmarks/hodgkinhuxley.md index 3cd43fbd5..8b05b7240 100644 --- a/docs/src/benchmarks/hodgkinhuxley.md +++ b/docs/src/benchmarks/hodgkinhuxley.md @@ -44,7 +44,8 @@ Plots.theme( αh(V, VT) = 0.128 * exp(-(V - VT - 17) / 18) βh(V, VT) = 4 / (1 + exp(-(V - VT - 40) / 5)) -Inj(t) = (5 <= t <= 40) ? 500one(t) : zero(t) +const current_tspan = (5, 40) +Inj(t) = (current_tspan[1] <= t <= current_tspan[2]) ? 500one(t) : zero(t) function f(du, u, p, t) @unpack gNa, gK, ENa, EK, area, C, Eleak, VT, gleak = p @@ -114,7 +115,7 @@ _setups = [ labels = first.(_setups) setups = last.(_setups) -colors = [1 1 2 2 2 3 3] +colors = [1 1 2 2 3 3] abstols = 1.0 ./ 10.0 .^ (6:10) reltols = 1.0 ./ 10.0 .^ (3:7) @@ -127,6 +128,7 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, + tstops = current_tspan, ) plot(wp, title="Adaptive steps - no smoothing", color=colors) @@ -146,6 +148,7 @@ ref_wp_final = WorkPrecisionSet( dense = false, save_everystep = false, maxiters = Int(1e7), + tstops = current_tspan, ) ref_wp_dense = WorkPrecisionSet( prob, abstols ./ 1000, reltols ./ 1000, ref_setups; @@ -154,6 +157,7 @@ ref_wp_dense = WorkPrecisionSet( dense = true, save_everystep = true, maxiters = Int(1e7), + tstops = current_tspan, ) plot!(ref_wp_final, x=:final, color=:gray, alpha=0.7, linestyle=:dash) @@ -185,7 +189,7 @@ _setups = [ labels = first.(_setups) setups = last.(_setups) -colors = [1 1 2 2 2 3 3] +colors = [1 1 2 2 3 3] abstols = 1.0 ./ 10.0 .^ (6:10) reltols = 1.0 ./ 10.0 .^ (3:7) @@ -198,6 +202,7 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, + tstops = current_tspan, ) plot(wp, title="Adaptive steps - with smoothing", color=colors) @@ -291,6 +296,7 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, + tstops = current_tspan, ) plot(wp, title="Fixed steps - no smoothing", color=colors) @@ -335,6 +341,7 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, + tstops = current_tspan, ) plot(wp, title="Fixed steps - with smoothing", color=colors) From a84cf88b675c91b4cd4d48900fa10e0dcfef6a70 Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Wed, 3 Jan 2024 14:40:23 +0100 Subject: [PATCH 12/15] HH again --- benchmarks/hodgkinhuxley.jmd | 2 - .../benchmarks/figures/hodgkinhuxley_2_1.svg | 834 +++++++++--------- .../benchmarks/figures/hodgkinhuxley_3_1.svg | 442 +++++----- .../benchmarks/figures/hodgkinhuxley_4_1.svg | 444 +++++----- .../benchmarks/figures/hodgkinhuxley_5_1.svg | 472 +++++----- .../benchmarks/figures/hodgkinhuxley_6_1.svg | 462 +++++----- .../benchmarks/figures/hodgkinhuxley_7_1.svg | 338 ++++--- .../benchmarks/figures/hodgkinhuxley_8_1.svg | 324 ++++--- docs/src/benchmarks/hodgkinhuxley.md | 2 - 9 files changed, 1634 insertions(+), 1686 deletions(-) diff --git a/benchmarks/hodgkinhuxley.jmd b/benchmarks/hodgkinhuxley.jmd index f679e1aa1..002b499b8 100644 --- a/benchmarks/hodgkinhuxley.jmd +++ b/benchmarks/hodgkinhuxley.jmd @@ -236,7 +236,6 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, - tstops = current_tspan, ) plot(wp, title="Fixed steps - no smoothing", color=colors) @@ -271,7 +270,6 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, - tstops = current_tspan, ) plot(wp, title="Fixed steps - with smoothing", color=colors) diff --git a/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg b/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg index 98bcb3202..0ac554c1c 100644 --- a/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg +++ b/docs/src/benchmarks/figures/hodgkinhuxley_2_1.svg @@ -1,444 +1,444 @@ - + - + - + - + - + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + - 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- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/src/benchmarks/hodgkinhuxley.md b/docs/src/benchmarks/hodgkinhuxley.md index 8b05b7240..8636e842a 100644 --- a/docs/src/benchmarks/hodgkinhuxley.md +++ b/docs/src/benchmarks/hodgkinhuxley.md @@ -296,7 +296,6 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, - tstops = current_tspan, ) plot(wp, title="Fixed steps - no smoothing", color=colors) @@ -341,7 +340,6 @@ wp = WorkPrecisionSet( save_everystep = SAVE_EVERYSTEP, maxiters = Int(1e7), numruns = 5, - tstops = current_tspan, ) plot(wp, title="Fixed steps - with smoothing", color=colors) From e2dd17dee856fb85e6279d5cb011b0d6d49d325a Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Wed, 3 Jan 2024 15:49:53 +0100 Subject: [PATCH 13/15] Fix some things and improve tests --- src/preconditioning.jl | 2 +- src/priors/ltisde.jl | 16 +++++++- src/priors/matern.jl | 8 ---- test/Project.toml | 1 + test/core/priors.jl | 86 +++++++++++++++++++++++++++++++++++------- 5 files changed, 88 insertions(+), 25 deletions(-) diff --git a/src/preconditioning.jl b/src/preconditioning.jl index 5c334f8e9..8dfd9fac8 100644 --- a/src/preconditioning.jl +++ b/src/preconditioning.jl @@ -9,7 +9,7 @@ function init_preconditioner(C::DenseCovariance{elType}) where {elType} return P, PI end -function make_preconditioners!(cache::AbstractODEFilterCache, dt) +function make_preconditioners!(cache, dt) @unpack P, PI, d, q = cache return make_preconditioners!(P, PI, d, q, dt) end diff --git a/src/priors/ltisde.jl b/src/priors/ltisde.jl index c076d7cf9..b6d088194 100644 --- a/src/priors/ltisde.jl +++ b/src/priors/ltisde.jl @@ -25,8 +25,20 @@ iterate(sde::LTISDE) = sde.F, true iterate(sde::LTISDE, s) = s ? (sde.L, false) : nothing length(sde::LTISDE) = 2 -discretize(sde::LTISDE, dt::Real) = - matrix_fraction_decomposition(drift(sde), dispersion(sde), dt) +discretize(sde::LTISDE, dt::Real) = discretize(drift(sde), dispersion(sde), dt) +discretize(F::AbstractMatrix, L::AbstractMatrix, dt::Real) = begin + method = FiniteHorizonGramians.ExpAndGram{eltype(F),13}() + A, QR = FiniteHorizonGramians.exp_and_gram_chol(F, L, dt, method) + Q = PSDMatrix(QR) + return A, Q +end +discretize(F::IsometricKroneckerProduct, L::IsometricKroneckerProduct, dt::Real) = begin + method = FiniteHorizonGramians.ExpAndGram{eltype(F.B),13}() + A_breve, QR_breve = FiniteHorizonGramians.exp_and_gram_chol(F.B, L.B, dt, method) + A = IsometricKroneckerProduct(F.ldim, A_breve) + Q = PSDMatrix(IsometricKroneckerProduct(F.ldim, QR_breve)) + return A, Q +end function matrix_fraction_decomposition( drift::IsometricKroneckerProduct, diff --git a/src/priors/matern.jl b/src/priors/matern.jl index 48b8d7bce..1b5e993a5 100644 --- a/src/priors/matern.jl +++ b/src/priors/matern.jl @@ -66,13 +66,5 @@ function discretize(p::Matern, dt::Real) l = p.lengthscale @assert l isa Number A, Q = discretize(to_sde(p), dt) - @assert Q isa IsometricKroneckerProduct - d = Q.ldim - Q_breve = Q.B - - E = eigen(Symmetric(Q_breve)) - QR_breve = Diagonal(sqrt.(max.(E.values, 0))) * E.vectors' - QR = IsometricKroneckerProduct(d, QR_breve) - Q = PSDMatrix(QR) return A, Q end diff --git a/test/Project.toml b/test/Project.toml index 2af565072..056d6c57e 100644 --- a/test/Project.toml +++ b/test/Project.toml @@ -2,6 +2,7 @@ Aqua = "4c88cf16-eb10-579e-8560-4a9242c79595" DiffEqDevTools = "f3b72e0c-5b89-59e1-b016-84e28bfd966d" FiniteDiff = "6a86dc24-6348-571c-b903-95158fe2bd41" +FiniteHorizonGramians = "b59a298d-d283-4a37-9369-85a9f9a111a5" ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210" Kronecker = "2c470bb0-bcc8-11e8-3dad-c9649493f05e" LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e" diff --git a/test/core/priors.jl b/test/core/priors.jl index d6b57d4fb..5c6687f4e 100644 --- a/test/core/priors.jl +++ b/test/core/priors.jl @@ -3,6 +3,7 @@ using ProbNumDiffEq import ProbNumDiffEq as PNDE using Test using LinearAlgebra +using FiniteHorizonGramians h = 0.1 σ = 0.1 @@ -13,7 +14,13 @@ h = 0.1 A1, Q1 = PNDE.discretize(sde, h) A2, Q2 = PNDE.discretize(prior, h) @test A1 ≈ A2 - @test Q1 ≈ Matrix(Q2) + @test Q1 ≈ Q2 + @test Matrix(Q1) ≈ Matrix(Q2) + + A3, Q3 = PNDE.matrix_fraction_decomposition( + PNDE.drift(sde), PNDE.dispersion(sde), h) + @test A1 ≈ A3 + @test Matrix(Q1) ≈ Q3 end end @@ -103,29 +110,64 @@ end end @testset "Test `make_transition_matrices!`" begin - struct DummyCache <: PNDE.AbstractODEFilterCache - d::Any - q::Any - A::Any - Q::Any - P::Any - PI::Any - Ah::Any - Qh::Any - end - A, Q, Ah, Qh, P, PI = PNDE.initialize_transition_matrices( PNDE.DenseCovariance{Float64}(d, q), prior, h) + @test AH_22_PRE ≈ A @test QH_22_PRE ≈ Matrix(PNDE.apply_diffusion(Q, σ^2)) - cache = DummyCache(d, q, A, Q, P, PI, Ah, Qh) + cache = ( + d=d, + q=q, + A=A, + Q=Q, + P=P, + PI=PI, + Ah=Ah, + Qh=Qh, + ) + make_transition_matrices!(cache, prior, h) - @test AH_22_IBM ≈ Ah + @test AH_22_IBM ≈ cache.Ah @test QH_22_IBM ≈ Matrix(PNDE.apply_diffusion(cache.Qh, σ^2)) end end +function test_make_transition_matrices(prior, Atrue, Qtrue) + d, q = prior.wiener_process_dimension, prior.num_derivatives + @testset "Test `make_transition_matrices!`" begin + A, Q, Ah, Qh, P, PI = PNDE.initialize_transition_matrices( + PNDE.DenseCovariance{Float64}(d, q), prior, h) + F, L = PNDE.to_sde(prior) + FHG_method = FiniteHorizonGramians.ExpAndGram{eltype(F),13}() + FHG_cache = FiniteHorizonGramians.alloc_mem(F, L, FHG_method) + + cache = ( + d=d, + q=q, + A=A, + Q=Q, + P=P, + PI=PI, + Ah=Ah, + Qh=Qh, + F=F, + L=L, + FHG_method=FHG_method, + FHG_cache=FHG_cache, + prior=prior, + ) + + make_transition_matrices!(cache, prior, h) + + @test Atrue ≈ cache.Ah + @test Qtrue ≈ cache.Qh + + @test Atrue ≈ cache.PI * cache.A * cache.P + @test Qtrue ≈ X_A_Xt(cache.Q, cache.PI) + end +end + @testset "Test IOUP (d=2,q=2)" begin d, q = 2, 2 r = randn(d, d) @@ -151,6 +193,14 @@ end ] @test sde.F ≈ F @test sde.L ≈ L + + A1, Q1 = PNDE.discretize(prior, h) + A2, Q2 = PNDE.discretize(sde, h) + @test A1 ≈ A2 + @test Q1 ≈ Q2 + @test Matrix(Q1) ≈ Matrix(Q2) + + test_make_transition_matrices(prior, A1, Q1) end @testset "Test Matern (d=2,q=2)" begin @@ -182,4 +232,12 @@ end ] @test sde.F ≈ F @test sde.L ≈ L + + A1, Q1 = PNDE.discretize(prior, h) + A2, Q2 = PNDE.discretize(sde, h) + @test A1 ≈ A2 + @test Q1 ≈ Q2 + @test Matrix(Q1) ≈ Matrix(Q2) + + test_make_transition_matrices(prior, A1, Q1) end From 59b219c04647c0ae81cbd3ffce775bd5ae708513 Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Wed, 3 Jan 2024 15:53:26 +0100 Subject: [PATCH 14/15] Add a test for `_discretize_sqrt_with_quadraturetrick` even though it's unused --- test/core/priors.jl | 6 ++++++ 1 file changed, 6 insertions(+) diff --git a/test/core/priors.jl b/test/core/priors.jl index 5c6687f4e..00db380eb 100644 --- a/test/core/priors.jl +++ b/test/core/priors.jl @@ -21,6 +21,12 @@ h = 0.1 PNDE.drift(sde), PNDE.dispersion(sde), h) @test A1 ≈ A3 @test Matrix(Q1) ≈ Q3 + + if !(sde.F isa PNDE.IsometricKroneckerProduct) + A4, Q4R = PNDE._discretize_sqrt_with_quadraturetrick(sde, h) + @test A1 ≈ A4 + @test Q1.R ≈ Q4R + end end end From 53b7eef7051c32b19ad3d4f9f58cefd098b530c0 Mon Sep 17 00:00:00 2001 From: Nathanael Bosch Date: Wed, 3 Jan 2024 17:22:04 +0100 Subject: [PATCH 15/15] Actually test the quadraturetrick --- test/core/priors.jl | 9 ++++----- 1 file changed, 4 insertions(+), 5 deletions(-) diff --git a/test/core/priors.jl b/test/core/priors.jl index 00db380eb..e51955131 100644 --- a/test/core/priors.jl +++ b/test/core/priors.jl @@ -22,11 +22,10 @@ h = 0.1 @test A1 ≈ A3 @test Matrix(Q1) ≈ Q3 - if !(sde.F isa PNDE.IsometricKroneckerProduct) - A4, Q4R = PNDE._discretize_sqrt_with_quadraturetrick(sde, h) - @test A1 ≈ A4 - @test Q1.R ≈ Q4R - end + A4, Q4R = PNDE._discretize_sqrt_with_quadraturetrick( + PNDE.LTISDE(Matrix(sde.F), Matrix(sde.L)), h) + @test A1 ≈ A4 + @test Q1.R ≈ Q4R end end