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Merge pull request #67 from JuliaDiffEq/double_implicit
Noise implicit methods
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,182 @@ | ||
| mutable struct ISSEMCache{uType,rateType,J,JC,UF,uEltypeNoUnits,noiseRateType,F} <: StochasticDiffEqMutableCache | ||
| u::uType | ||
| uprev::uType | ||
| du1::rateType | ||
| fsalfirst::rateType | ||
| k::rateType | ||
| z::uType | ||
| dz::uType | ||
| tmp::uType | ||
| gtmp::noiseRateType | ||
| gtmp2::rateType | ||
| J::J | ||
| W::J | ||
| jac_config::JC | ||
| linsolve::F | ||
| uf::UF | ||
| ηold::uEltypeNoUnits | ||
| κ::uEltypeNoUnits | ||
| tol::uEltypeNoUnits | ||
| newton_iters::Int | ||
| end | ||
|
|
||
| u_cache(c::ISSEMCache) = (c.uprev2,c.z,c.dz) | ||
| du_cache(c::ISSEMCache) = (c.k,c.fsalfirst) | ||
|
|
||
| function alg_cache(alg::ISSEM,prob,u,ΔW,ΔZ,p,rate_prototype,noise_rate_prototype, | ||
| uEltypeNoUnits,uBottomEltype,tTypeNoUnits,uprev,f,t,::Type{Val{true}}) | ||
| du1 = zeros(rate_prototype) | ||
| J = zeros(uEltypeNoUnits,length(u),length(u)) # uEltype? | ||
| W = similar(J) | ||
| z = similar(u) | ||
| dz = similar(u); tmp = similar(u); gtmp = similar(noise_rate_prototype) | ||
| fsalfirst = zeros(rate_prototype) | ||
| k = zeros(rate_prototype) | ||
|
|
||
| uf = DiffEqDiffTools.UJacobianWrapper(f,t,p) | ||
| linsolve = alg.linsolve(Val{:init},uf,u) | ||
| jac_config = build_jac_config(alg,f,uf,du1,uprev,u,tmp,dz) | ||
| ηold = one(uEltypeNoUnits) | ||
|
|
||
| if alg.κ != nothing | ||
| κ = alg.κ | ||
| else | ||
| κ = uEltypeNoUnits(1//100) | ||
| end | ||
| if alg.tol != nothing | ||
| tol = alg.tol | ||
| else | ||
| reltol = 1e-1 # TODO: generalize | ||
| tol = min(0.03,first(reltol)^(0.5)) | ||
| end | ||
|
|
||
| if is_diagonal_noise(prob) | ||
| gtmp2 = gtmp | ||
| else | ||
| gtmp2 = similar(rate_prototype) | ||
| end | ||
|
|
||
| ISSEMCache(u,uprev,du1,fsalfirst,k,z,dz,tmp,gtmp,gtmp2,J,W,jac_config,linsolve,uf, | ||
| ηold,κ,tol,10000) | ||
| end | ||
|
|
||
| mutable struct ISSEMConstantCache{F,uEltypeNoUnits} <: StochasticDiffEqConstantCache | ||
| uf::F | ||
| ηold::uEltypeNoUnits | ||
| κ::uEltypeNoUnits | ||
| tol::uEltypeNoUnits | ||
| newton_iters::Int | ||
| end | ||
|
|
||
| function alg_cache(alg::ISSEM,prob,u,ΔW,ΔZ,p,rate_prototype,noise_rate_prototype, | ||
| uEltypeNoUnits,uBottomEltype,tTypeNoUnits,uprev,f,t,::Type{Val{false}}) | ||
| uf = DiffEqDiffTools.UDerivativeWrapper(f,t,p) | ||
| ηold = one(uEltypeNoUnits) | ||
|
|
||
| if alg.κ != nothing | ||
| κ = alg.κ | ||
| else | ||
| κ = uEltypeNoUnits(1//100) | ||
| end | ||
| if alg.tol != nothing | ||
| tol = alg.tol | ||
| else | ||
| reltol = 1e-1 # TODO: generalize | ||
| tol = min(0.03,first(reltol)^(0.5)) | ||
| end | ||
|
|
||
| ISSEMConstantCache(uf,ηold,κ,tol,100000) | ||
| end | ||
|
|
||
| mutable struct ISSEulerHeunCache{uType,rateType,J,JC,UF,uEltypeNoUnits,noiseRateType,F} <: StochasticDiffEqMutableCache | ||
| u::uType | ||
| uprev::uType | ||
| du1::rateType | ||
| fsalfirst::rateType | ||
| k::rateType | ||
| z::uType | ||
| dz::uType | ||
| tmp::uType | ||
| gtmp::noiseRateType | ||
| gtmp2::rateType | ||
| gtmp3::noiseRateType | ||
| J::J | ||
| W::J | ||
| jac_config::JC | ||
| linsolve::F | ||
| uf::UF | ||
| ηold::uEltypeNoUnits | ||
| κ::uEltypeNoUnits | ||
| tol::uEltypeNoUnits | ||
| newton_iters::Int | ||
| end | ||
|
|
||
| u_cache(c::ISSEulerHeunCache) = (c.uprev2,c.z,c.dz) | ||
| du_cache(c::ISSEulerHeunCache) = (c.k,c.fsalfirst) | ||
|
|
||
| function alg_cache(alg::ISSEulerHeun,prob,u,ΔW,ΔZ,p,rate_prototype,noise_rate_prototype, | ||
| uEltypeNoUnits,uBottomEltype,tTypeNoUnits,uprev,f,t,::Type{Val{true}}) | ||
| du1 = zeros(rate_prototype) | ||
| J = zeros(uEltypeNoUnits,length(u),length(u)) # uEltype? | ||
| W = similar(J) | ||
| z = similar(u) | ||
| dz = similar(u); tmp = similar(u); gtmp = similar(noise_rate_prototype) | ||
| fsalfirst = zeros(rate_prototype) | ||
| k = zeros(rate_prototype) | ||
|
|
||
| uf = DiffEqDiffTools.UJacobianWrapper(f,t,p) | ||
| linsolve = alg.linsolve(Val{:init},uf,u) | ||
| jac_config = build_jac_config(alg,f,uf,du1,uprev,u,tmp,dz) | ||
| ηold = one(uEltypeNoUnits) | ||
|
|
||
| if alg.κ != nothing | ||
| κ = alg.κ | ||
| else | ||
| κ = uEltypeNoUnits(1//100) | ||
| end | ||
| if alg.tol != nothing | ||
| tol = alg.tol | ||
| else | ||
| reltol = 1e-1 # TODO: generalize | ||
| tol = min(0.03,first(reltol)^(0.5)) | ||
| end | ||
|
|
||
| gtmp2 = similar(rate_prototype) | ||
|
|
||
| if is_diagonal_noise(prob) | ||
| gtmp3 = gtmp2 | ||
| else | ||
| gtmp3 = similar(noise_rate_prototype) | ||
| end | ||
|
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||
| ISSEulerHeunCache(u,uprev,du1,fsalfirst,k,z,dz,tmp,gtmp,gtmp2,gtmp3, | ||
| J,W,jac_config,linsolve,uf,ηold,κ,tol,10000) | ||
| end | ||
|
|
||
| mutable struct ISSEulerHeunConstantCache{F,uEltypeNoUnits} <: StochasticDiffEqConstantCache | ||
| uf::F | ||
| ηold::uEltypeNoUnits | ||
| κ::uEltypeNoUnits | ||
| tol::uEltypeNoUnits | ||
| newton_iters::Int | ||
| end | ||
|
|
||
| function alg_cache(alg::ISSEulerHeun,prob,u,ΔW,ΔZ,p,rate_prototype,noise_rate_prototype, | ||
| uEltypeNoUnits,uBottomEltype,tTypeNoUnits,uprev,f,t,::Type{Val{false}}) | ||
| uf = DiffEqDiffTools.UDerivativeWrapper(f,t,p) | ||
| ηold = one(uEltypeNoUnits) | ||
|
|
||
| if alg.κ != nothing | ||
| κ = alg.κ | ||
| else | ||
| κ = uEltypeNoUnits(1//100) | ||
| end | ||
| if alg.tol != nothing | ||
| tol = alg.tol | ||
| else | ||
| reltol = 1e-1 # TODO: generalize | ||
| tol = min(0.03,first(reltol)^(0.5)) | ||
| end | ||
|
|
||
| ISSEulerHeunConstantCache(uf,ηold,κ,tol,100000) | ||
| end |
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