Properly throw an error for non-diagonal noise in EnsembleGPUArray

Doesn't quite fix #331 but makes the users of the package safe by putting in an appropriate error.

Author: ChrisRackauckas

src/ensemblegpuarray/problem_generation.jl

@@ -70,6 +70,10 @@ function generate_problem(prob::SciMLBase.AbstractODEProblem,
 end
 
 function generate_problem(prob::SDEProblem, u0, p, jac_prototype, colorvec)
+    if prob.noise_rate_prototype !== nothing
+        error("Incompatible problem detected. EnsembleGPUArray currently requires `prob.noise_rate_prototype === nothing`, i.e. only diagonal noise is currently supported. Track https://github.com/SciML/DiffEqGPU.jl/issues/331 for more information.")
+    end
+
     _f = let f = prob.f.f, kernel = DiffEqBase.isinplace(prob) ? gpu_kernel : gpu_kernel_oop
         function (du, u, p, t)
             version = get_backend(u)

test/ensemblegpuarray_sde.jl

@@ -28,3 +28,31 @@ monteprob = EnsembleProblem(prob, prob_func = prob_func)
 # CUDAnative.CUDAdrv.@profile
 @time sol = solve(monteprob, SOSRI(), EnsembleGPUArray(backend), trajectories = 10,
     saveat = 1.0f0)
+
+function lorenz(du, u, p, t)
+    du[1] = p[1] * (u[2] - u[1])
+    du[2] = u[1] * (p[2] - u[3]) - u[2]
+    du[3] = u[1] * u[2] - p[3] * u[3]
+    du[4] = 0
+end
+
+function multiplicative_noise(du, u, p, t)
+    du[1, 1] = 0.1
+    du[2, 2] = 0.4
+    du[4, 1] = 1.0
+end
+
+NRate = spzeros(4, 2)
+NRate[1, 1] = 1
+NRate[4, 1] = 1
+NRate[2, 2] = 1
+
+u0 = ComplexF32[1.0; 0.0; 0.0; 0.0]
+tspan = (0.0f0, 10.0f0)
+p = (10.0f0, 28.0f0, 8 / 3.0f0)
+prob = SDEProblem(lorenz, multiplicative_noise, u0, tspan, p, noise_rate_prototype=NRate)
+
+prob_func = (prob, i, repeat) -> remake(prob, p=p)
+monteprob = EnsembleProblem(prob, prob_func=prob_func)
+
+@test_throws "Incompatible problem detected. EnsembleGPUArray currently requires `prob.noise_rate_prototype === nothing`, i.e. only diagonal noise is currently supported. Track https://github.com/SciML/DiffEqGPU.jl/issues/331 for more information." sol = solve(monteprob, SRA1(), EnsembleCPUArray(), trajectories=10_000, saveat=1.0f0)