fix non-diagonal lamba

SciML · Apr 5, 2018 · 396c871 · 396c871
1 parent 13e8f07
commit 396c871
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Showing 2 changed files with 7 additions and 7 deletions.
diff --git a/src/caches/lamba_caches.jl b/src/caches/lamba_caches.jl
@@ -6,7 +6,7 @@ struct LambaEMCache{uType,rateType,rateNoiseType,dWType} <: StochasticDiffEqMuta
   du2::rateType
   K::rateType
   tmp::uType
-  L::rateType
+  L::rateNoiseType
   gtmp::rateNoiseType
   dW_cache::dWType
 end
@@ -37,7 +37,7 @@ struct LambaEulerHeunCache{uType,rateType,rateNoiseType,dWType} <: StochasticDif
   du2::rateType
   K::rateType
   tmp::uType
-  L::rateType
+  L::rateNoiseType
   gtmp::rateNoiseType
   dW_cache::dWType
 end

diff --git a/src/perform_step/lamba.jl b/src/perform_step/lamba.jl
@@ -56,16 +56,16 @@ end
       g_sized = L
     end
 
-    @. tmp = @muladd K + L*integrator.sqdt
-
     if !is_diagonal_noise(integrator.sol.prob)
+      @. tmp = @muladd K + g_sized*integrator.sqdt
       integrator.g(gtmp,tmp,p,t)
       g_sized2 = norm(gtmp,2)
       @. dW_cache = dW.^2 - dt
       diff_tmp = integrator.opts.internalnorm(dW_cache)
       En = (g_sized2-g_sized)/(2integrator.sqdt)*diff_tmp
       @. tmp = En
     else
+      @. tmp = @muladd K + L*integrator.sqdt
       integrator.g(gtmp,tmp,p,t)
       @. tmp = (gtmp-L)/(2integrator.sqdt)*(W.dW.^2 - dt)
     end
@@ -163,16 +163,16 @@ end
       g_sized = L
     end
 
-    @. tmp = @muladd uprev + L*integrator.sqdt
-
     if !is_diagonal_noise(integrator.sol.prob)
+      @. tmp = @muladd uprev + g_sized*integrator.sqdt
       integrator.g(gtmp,tmp,p,t)
       g_sized2 = norm(gtmp,2)
-      @. dW_cache = dW.^2
+      @. dW_cache = W.dW.^2
       diff_tmp = integrator.opts.internalnorm(dW_cache)
       En = (g_sized2-g_sized)/(2integrator.sqdt)*diff_tmp
       @. tmp = En
     else
+      @. tmp = @muladd uprev + L*integrator.sqdt
       integrator.g(gtmp,tmp,p,t)
       @. tmp = (gtmp-L)/(2integrator.sqdt)*(W.dW.^2)
     end