LambaEM pass

src/alg_utils.jl

@@ -6,6 +6,7 @@ isadaptive(alg::Union{StochasticDiffEqAdaptiveAlgorithm,StochasticDiffEqRODEAdap
 isadaptive(alg::Union{StochasticDiffEqCompositeAlgorithm,StochasticDiffEqRODECompositeAlgorithm}) = isadaptive(alg.algs[1])
 
 alg_order(alg::EM) = 1//2
+alg_order(alg::LambaEM) = 1//2
 alg_order(alg::ImplicitEM) = 1//2
 alg_order(alg::ImplicitEulerHeun) = 1//2
 alg_order(alg::ImplicitRKMil) = 1//1
@@ -15,6 +16,7 @@ alg_order(alg::IIF1M) = 1//2
 alg_order(alg::IIF2M) = 1//2
 alg_order(alg::IIF1Mil) = 1//1
 alg_order(alg::EulerHeun) = 1//2
+alg_order(alg::LambaEulerHeun) = 1//2
 alg_order(alg::RandomEM) = 1//2
 alg_order(alg::RKMil) = 1//1
 alg_order(alg::RKMilCommute) = 1//1
@@ -39,6 +41,7 @@ isdtchangeable(alg::Union{StochasticDiffEqAlgorithm,StochasticDiffEqRODEAlgorith
 
 alg_interpretation(alg::StochasticDiffEqAlgorithm) = :Ito
 alg_interpretation(alg::EulerHeun) = :Stratonovich
+alg_interpretation(alg::LambaEulerHeun) = :Stratonovich
 alg_interpretation(alg::RKMil{interpretation}) where {interpretation} = interpretation
 alg_interpretation(alg::RKMilCommute{interpretation}) where {interpretation} = interpretation
 alg_interpretation(alg::ImplicitRKMil{CS,AD,F,S,K,T,T2,Controller,interpretation}) where {CS,AD,F,S,K,T,T2,Controller,interpretation} = interpretation
@@ -59,7 +62,9 @@ alg_compatible(prob,alg::SOSRA) = true
 alg_compatible(prob,alg::SOSRA2) = true
 alg_compatible(prob,alg::SKenCarp) = true
 alg_compatible(prob,alg::EM) = true
+alg_compatible(prob,alg::LambaEM) = true
 alg_compatible(prob,alg::EulerHeun) = true
+alg_compatible(prob,alg::LambaEulerHeun) = true
 alg_compatible(prob,alg::SplitEM) = true
 alg_compatible(prob,alg::PCEuler) = true
 alg_compatible(prob,alg::ImplicitEM) = true

test/sde/sde_convergence_tests.jl

@@ -9,6 +9,8 @@ sim  = test_convergence(dts,prob,ImplicitRKMil(),numMonte=Int(1e2))
 @test abs(sim.𝒪est[:l2]-1) < 0.2
 sim  = test_convergence(dts,prob,EM(),numMonte=Int(1e2))
 @test abs(sim.𝒪est[:l2]-.5) < 0.2
+sim  = test_convergence(dts,prob,LambaEM(),numMonte=Int(1e2))
+@test abs(sim.𝒪est[:l2]-.5) < 0.2
 sim2 = test_convergence(dts,prob,RKMil(),numMonte=Int(2e2))
 @test abs(sim2.𝒪est[:l∞]-1) < 0.2
 sim3 = test_convergence(dts,prob,SRI(),numMonte=Int(1e1))
@@ -25,6 +27,8 @@ sim7 = test_convergence(dts,prob,SOSRI2(),numMonte=Int(1e1))
 prob = prob_sde_cubic
 sim  = test_convergence(dts,prob,EM(),numMonte=Int(1e1))
 @test abs(sim.𝒪est[:l2]-.5) < 0.2
+sim  = test_convergence(dts,prob,LambaEM(),numMonte=Int(1e1))
+@test abs(sim.𝒪est[:l2]-.5) < 0.2
 sim  = test_convergence(dts,prob,ImplicitEM(),numMonte=Int(1e2))
 @test abs(sim.𝒪est[:l2]-.5) < 0.2
 sim  = test_convergence(dts,prob,ImplicitRKMil(),numMonte=Int(1e2))
@@ -45,6 +49,8 @@ sim7 = test_convergence(dts,prob,SOSRI2(),numMonte=Int(1e1))
 prob = prob_sde_additive
 sim  = test_convergence(dts,prob,EM(),numMonte=Int(1e1))
 @test abs(sim.𝒪est[:l2]-1) < 0.2
+sim  = test_convergence(dts,prob,LambaEM(),numMonte=Int(1e1))
+@test abs(sim.𝒪est[:l2]-1) < 0.2
 sim  = test_convergence(dts,prob,ImplicitEM(),numMonte=Int(1e1))
 @test abs(sim.𝒪est[:l2]-1.5) < 0.2
 sim  = test_convergence(dts,prob,ImplicitRKMil(),numMonte=Int(1e1))

test/sde/sde_twodimlinear_tests.jl

@@ -5,6 +5,8 @@ prob = prob_sde_2Dlinear
 ## Solve and plot
 println("Solve and Plot")
 sol = solve(prob,EM(),dt=1/2^(3))
+sol = solve(prob,LambaEM(),dt=1/2^(3))
+sol = solve(prob,LambaEulerHeun(),dt=1/2^(3))
 sol = solve(prob,RKMil(),dt=1/2^(3))
 sol = solve(prob,SRI(),dt=1/2^(3))
 sol = solve(prob,SRIW1(),dt=1/2^(3))
@@ -33,6 +35,9 @@ dts = 1./2.^(7:-1:4) #14->7 good plot
 sim = test_convergence(dts,prob,EM(),numMonte=1000)
 @test abs(sim.𝒪est[:l2]-.5) < 0.1
 
+sim = test_convergence(dts,prob,LambaEM(),numMonte=1000)
+@test abs(sim.𝒪est[:l2]-.5) < 0.1
+
 sim = test_convergence(dts,prob,ImplicitEM(),numMonte=100)
 @test abs(sim.𝒪est[:l2]-.5) < 0.1