Merge pull request #350 from SciML/error_nondiagonal

Properly throw an error for non-diagonal noise in EnsembleGPUArray

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/Project.toml

@@ -15,6 +15,7 @@ SafeTestsets = "1bc83da4-3b8d-516f-aca4-4fe02f6d838f"
 StaticArrays = "90137ffa-7385-5640-81b9-e52037218182"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 StochasticDiffEq = "789caeaf-c7a9-5a7d-9973-96adeb23e2a0"
+SparseArrays = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
 TOML = "fa267f1f-6049-4f14-aa54-33bafae1ed76"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f"

test/ensemblegpuarray_sde.jl

@@ -1,4 +1,4 @@
-using DiffEqGPU, StochasticDiffEq, Test
+using DiffEqGPU, StochasticDiffEq, SparseArrays, Test
 
 include("utils.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)