Merge branch 'master' into patch-1

.github/dependabot.yml

@@ -0,0 +1,7 @@
+# https://docs.github.com/github/administering-a-repository/configuration-options-for-dependency-updates
+version: 2
+updates:
+  - package-ecosystem: "github-actions"
+    directory: "/" # Location of package manifests
+    schedule:
+      interval: "weekly"

.github/workflows/CI.yml

@@ -17,11 +17,11 @@ jobs:
           - '1'
           - '1.6'
     steps:
-      - uses: actions/checkout@v2
+      - uses: actions/checkout@v3
       - uses: julia-actions/setup-julia@v1
         with:
           version: ${{ matrix.version }}
-      - uses: actions/cache@v1
+      - uses: actions/cache@v3
         env:
           cache-name: cache-artifacts
         with:
@@ -36,6 +36,6 @@ jobs:
       - uses: julia-actions/julia-processcoverage@v1
         with:
           directories: src, ext
-      - uses: codecov/codecov-action@v1
+      - uses: codecov/codecov-action@v3
         with:
           file: lcov.info

.github/workflows/Documentation.yml

@@ -12,7 +12,7 @@ jobs:
   build:
     runs-on: ubuntu-latest
     steps:
-      - uses: actions/checkout@v2
+      - uses: actions/checkout@v3
       - uses: julia-actions/setup-julia@latest
         with:
           version: '1'
@@ -24,6 +24,6 @@ jobs:
           DOCUMENTER_KEY: ${{ secrets.DOCUMENTER_KEY }} # For authentication with SSH deploy key
         run: julia --project=docs/ --code-coverage=user docs/make.jl
       - uses: julia-actions/julia-processcoverage@v1
-      - uses: codecov/codecov-action@v1
+      - uses: codecov/codecov-action@v3
         with:
           file: lcov.info

.github/workflows/Downstream.yml

@@ -23,14 +23,14 @@ jobs:
           - {user: SciML, repo: SciMLSensitivity.jl, group: SDE2}
           - {user: SciML, repo: SciMLSensitivity.jl, group: SDE3}
     steps:
-      - uses: actions/checkout@v2
+      - uses: actions/checkout@v3
       - uses: julia-actions/setup-julia@v1
         with:
           version: ${{ matrix.julia-version }}
           arch: x64
       - uses: julia-actions/julia-buildpkg@latest
       - name: Clone Downstream
-        uses: actions/checkout@v2
+        uses: actions/checkout@v3
         with:
           repository: ${{ matrix.package.user }}/${{ matrix.package.repo }}
           path: downstream
@@ -52,6 +52,6 @@ jobs:
             exit(0)  # Exit immediately, as a success
           end
       - uses: julia-actions/julia-processcoverage@v1
-      - uses: codecov/codecov-action@v1
+      - uses: codecov/codecov-action@v3
         with:
           file: lcov.info

.github/workflows/FormatCheck.yml

@@ -21,7 +21,7 @@ jobs:
         with:
           version: ${{ matrix.julia-version }}
 
-      - uses: actions/checkout@v1
+      - uses: actions/checkout@v3
       - name: Install JuliaFormatter and format
         # This will use the latest version by default but you can set the version like so:
         #

Project.toml

@@ -1,7 +1,7 @@
 name = "DiffEqNoiseProcess"
 uuid = "77a26b50-5914-5dd7-bc55-306e6241c503"
 authors = ["Chris Rackauckas <[email protected]>"]
-version = "5.16.0"
+version = "5.17.1"
 
 [deps]
 DiffEqBase = "2b5f629d-d688-5b77-993f-72d75c75574e"
@@ -20,7 +20,7 @@ RecursiveArrayTools = "731186ca-8d62-57ce-b412-fbd966d074cd"
 Requires = "ae029012-a4dd-5104-9daa-d747884805df"
 ResettableStacks = "ae5879a3-cd67-5da8-be7f-38c6eb64a37b"
 SciMLBase = "0bca4576-84f4-4d90-8ffe-ffa030f20462"
-StaticArrays = "90137ffa-7385-5640-81b9-e52037218182"
+StaticArraysCore = "1e83bf80-4336-4d27-bf5d-d5a4f845583c"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 
 [weakdeps]
@@ -43,7 +43,7 @@ RecursiveArrayTools = "2"
 ResettableStacks = "0.6, 1.0"
 Requires = "1"
 SciMLBase = "1"
-StaticArrays = "0.10, 0.11, 0.12, 1.0"
+StaticArraysCore = "1.4"
 julia = "1.6"
 
 [extras]

ext/DiffEqNoiseProcessReverseDiffExt.jl

@@ -4,19 +4,19 @@ using DiffEqNoiseProcess, DiffEqBase, Random
 isdefined(Base, :get_extension) ? (import ReverseDiff) : (import ..ReverseDiff)
 
 @inline function DiffEqNoiseProcess.wiener_randn(rng::Random.AbstractRNG,
-    proto::ReverseDiff.TrackedArray)
-ReverseDiff.track(convert.(eltype(proto.value), randn(rng, size(proto))))
+                                                 proto::ReverseDiff.TrackedArray)
+    ReverseDiff.track(convert.(eltype(proto.value), randn(rng, size(proto))))
 end
 @inline function DiffEqNoiseProcess.wiener_randn!(rng::AbstractRNG,
-     rand_vec::Array{<:ReverseDiff.TrackedReal
-                     })
-rand_vec .= ReverseDiff.track.(randn.((rng,), typeof.(DiffEqBase.value.(rand_vec))))
+                                                  rand_vec::Array{<:ReverseDiff.TrackedReal
+                                                                  })
+    rand_vec .= ReverseDiff.track.(randn.((rng,), typeof.(DiffEqBase.value.(rand_vec))))
 end
 @inline function DiffEqNoiseProcess.wiener_randn!(rng::AbstractRNG,
-     rand_vec::AbstractArray{
-                             <:ReverseDiff.TrackedReal
-                             })
-rand_vec .= ReverseDiff.track.(randn.((rng,), typeof.(DiffEqBase.value.(rand_vec))))
+                                                  rand_vec::AbstractArray{
+                                                                          <:ReverseDiff.TrackedReal
+                                                                          })
+    rand_vec .= ReverseDiff.track.(randn.((rng,), typeof.(DiffEqBase.value.(rand_vec))))
 end
 
-end
+end

src/DiffEqNoiseProcess.jl

@@ -1,7 +1,7 @@
 module DiffEqNoiseProcess
 
 using ResettableStacks, DiffEqBase, RecipesBase
-using RecursiveArrayTools, StaticArrays, Random, Statistics
+using RecursiveArrayTools, StaticArraysCore, Random, Statistics
 using LinearAlgebra
 
 import RandomNumbers: Xorshifts

src/noise_interfaces/common.jl

@@ -226,3 +226,4 @@ function Base.reverse(W::AbstractNoiseProcess)
     end
     return backwardnoise
 end
+Base.reverse(W::VirtualBrownianTree) = W

src/noise_interfaces/virtual_brownian_tree_interface.jl

@@ -152,9 +152,9 @@ end
 function split_VBT_seed(rng::Random123.AbstractR123, parent_seed, current_depth, Nt)
 
     # seed left
-    seed_l = convert(typeof(parent_seed), parent_seed - (Nt - 1) / 2^(current_depth + 1))
+    seed_l = convert(typeof(parent_seed), parent_seed - (Nt - 1) ÷ 2^(current_depth + 1))
     # seed right
-    seed_r = convert(typeof(parent_seed), parent_seed + (Nt - 1) / 2^(current_depth + 1))
+    seed_r = convert(typeof(parent_seed), parent_seed + (Nt - 1) ÷ 2^(current_depth + 1))
 
     RandomNumbers.Random123.set_counter!(rng, parent_seed)
     return seed_l, seed_r, parent_seed

src/ornstein_uhlenbeck.jl

@@ -10,9 +10,9 @@ function (X::OrnsteinUhlenbeck)(dW, W, dt, u, p, t, rng) #dist
     else
         rand_val = wiener_randn(rng, typeof(dW))
     end
-    drift = X.μ .+ (W[end] .- X.μ) .* exp.(-X.Θ * dt)
+    drift = X.μ .+ (W.curW .- X.μ) .* exp.(-X.Θ * dt)
     diffusion = X.σ .* sqrt.((1 .- exp.(-2X.Θ * dt)) ./ (2X.Θ))
-    drift .+ rand_val .* diffusion .- W[end]
+    drift .+ rand_val .* diffusion .- W.curW
 end
 
 #=
@@ -59,8 +59,8 @@ end
 
 function (X::OrnsteinUhlenbeck!)(rand_vec, W, dt, u, p, t, rng) #dist!
     wiener_randn!(rng, rand_vec)
-    @.. rand_vec = X.μ + (W[end] - X.μ) * exp(-X.Θ * dt) +
-                   rand_vec * X.σ * sqrt((1 - exp.(-2 * X.Θ .* dt)) / (2 * X.Θ)) - W[end]
+    @.. rand_vec = X.μ + (W.curW - X.μ) * exp(-X.Θ * dt) +
+                   rand_vec * X.σ * sqrt((1 - exp.(-2 * X.Θ .* dt)) / (2 * X.Θ)) - W.curW
 end
 
 @doc doc"""

src/wiener.jl

@@ -1,19 +1,17 @@
 const one_over_sqrt2 = 1 / sqrt(2)
 @inline wiener_randn(rng::AbstractRNG, ::Type{T}) where {T} = randn(rng, T)
-@inline function wiener_randn(rng::AbstractRNG, proto::Array{T}) where {T}
-    randn(rng, size(proto))
+
+@inline function wiener_randn(rng::AbstractRNG, proto::AbstractArray{T}) where {T<:Number}
+    randn(rng, T, size(proto))
 end
-@inline function wiener_randn(rng::AbstractRNG, proto::T) where {T <: SArray}
+@inline function wiener_randn(rng::AbstractRNG,
+                              proto::T) where {T <: StaticArraysCore.SArray}
     randn(rng, T)
 end
 @inline function wiener_randn(rng::AbstractRNG, proto)
     convert(typeof(proto), randn(rng, size(proto)))
 end
-@inline wiener_randn!(rng::AbstractRNG, rand_vec::Array) = randn!(rng, rand_vec)
-@inline function wiener_randn(y::AbstractRNG, ::Type{Complex{T}}) where {T}
-    convert(T, one_over_sqrt2) * (randn(y, T) + im * randn(y, T))
-end
-
+@inline wiener_randn!(rng::AbstractRNG, rand_vec::AbstractArray) = randn!(rng, rand_vec)
 @inline function wiener_randn!(rng::AbstractRNG, rand_vec)
     rand_vec .= Base.Broadcast.Broadcasted(randn, ())
 end
@@ -32,7 +30,7 @@ end
 end
 
 @inline function WHITE_NOISE_DIST(dW, W, dt, u, p, t, rng)
-    if typeof(dW) <: AbstractArray && !(typeof(dW) <: SArray)
+    if typeof(dW) <: AbstractArray && !(typeof(dW) <: StaticArraysCore.SArray)
         return @fastmath sqrt(abs(dt)) * wiener_randn(rng, dW)
     else
         return @fastmath sqrt(abs(dt)) * wiener_randn(rng, typeof(dW))

test/runtests.jl

@@ -28,4 +28,5 @@ using Test
     include("reinit_test.jl")
     include("BWT_test.jl")
     include("pcn_test.jl")
+    include("savestep_test.jl")
 end

test/savestep_test.jl

@@ -0,0 +1,27 @@
+@testset "save_everystep Keyword" begin
+    #Test whether the result of the process is dependent on 'save_everystep'.
+    using DiffEqNoiseProcess, DiffEqBase, Test, Statistics, Random
+    processes = [   OrnsteinUhlenbeckProcess(1., 1., 0.3, 0., 0., nothing       ),
+                    WienerProcess(0.,0.,nothing                                 ),
+                    CorrelatedWienerProcess([1. 0.; 0. 1.],0.,[0.; 0.],nothing  ),
+                    GeometricBrownianMotionProcess(1., 1., 0., 0., nothing      )
+                ] 
+
+
+
+    @testset "Noise_process = $(proc.dist)" for proc in processes
+
+        cproc = deepcopy(proc)
+        cproc.save_everystep = true
+        prob = NoiseProblem(cproc, (0.0, 1.0); seed=1234)
+        sol_save = solve(prob; dt = 0.1)
+
+
+        cproc = deepcopy(proc)
+        cproc.save_everystep = false
+        prob = NoiseProblem(cproc, (0.0, 1.0); seed=1234)
+        sol_nosave = solve(prob; dt = 0.1)
+
+        @test sol_save.curW == sol_nosave.curW
+    end
+end