Skip to content

define modelingtoolkitize for SDESystem with conversion tests #513

New issue

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

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

Already on GitHub? Sign in to your account

Merged
merged 3 commits into from
Jul 12, 2020

Conversation

frankschae
Copy link
Member

This PR adds a dispatch for modelingtoolkitize of an SDESystem and allows us to convert the drift term from Ito to Stratonovich sense and vice versa. This should be useful to support also SDE adjoints for Ito SDEs, see SciML/SciMLSensitivity.jl#279 .

The conversion factor of 1//2 is not strictly fixed, as in the adjoints, one needs to apply the correction term two times. Therefore, this could now be handled by

sys = modelingtoolkitize(prob,correction_factor=-1)

@ChrisRackauckas ChrisRackauckas merged commit ff97a38 into SciML:master Jul 12, 2020
@frankschae frankschae deleted the ito_strat_conversion branch April 23, 2021 10:19
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

2 participants