StochasticDiffEq.jl

StochasticDiffEq.jl copied to clipboard

ChrisRackauckas

ChrisRackauckas

https://arxiv.org/abs/1210.0933 https://arxiv.org/abs/2105.14080

ChrisRackauckas

https://link.springer.com/article/10.1007/s10543-022-00924-0

ChrisRackauckas

Allocation in SROCK2 solver

5

https://github.com/SciML/StochasticDiffEq.jl/blob/11f3a3c22e1ac73355ae3c76109e88fed6c89d91/src/perform_step/SROCK_perform_step.jl#L428 The line in question is allocating `zeros` In my case the allocation makes up for 6% of total solver time. Not a huge thing but I thought I'd bring...

axsk

ChrisRackauckas

ChrisRackauckas

ChrisRackauckas

Symplectic SRK

8

https://www.cambridge.org/core/journals/communications-in-computational-physics/article/construction-of-symplectic-rungekutta-methods-for-stochastic-hamiltonian-systems/B09EE7BFE177D4B79DCB7C840F599319

ChrisRackauckas

Non-diagonal noise SDEs with non-vector variables

1

Currently, the SDE interface only allows vectors for variables, and matrices for the noise_rate_prototype. Please find a minimal example failing below ``` using DifferentialEquations f(du,u,p,t) = du .= 1.01u function...

tbilitewski