feat: implement initialize_dae! for SDEIntegrator

Author: AayushSabharwal

src/StochasticDiffEq.jl

@@ -119,6 +119,7 @@ end
   include("cache_utils.jl")
   include("integrators/integrator_interface.jl")
   include("iterator_interface.jl")
+  include("initialize_dae.jl")
   include("solve.jl")
   include("initdt.jl")
   include("perform_step/low_order.jl")

src/initialize_dae.jl

@@ -0,0 +1,14 @@
+struct SDEDefaultInit <: DiffEqBase.DAEInitializationAlgorithm end
+
+function DiffEqBase.initialize_dae!(integrator::SDEIntegrator, initializealg = integrator.initializealg)
+    OrdinaryDiffEq._initialize_dae!(integrator, integrator.sol.prob, initializealg, Val(DiffEqBase.isinplace(integrator.sol.prob)))
+end
+
+function OrdinaryDiffEq._initialize_dae!(integrator::SDEIntegrator, prob, ::SDEDefaultInit, isinplace)
+    if SciMLBase.has_initializeprob(prob.f)
+        OrdinaryDiffEq._initialize_dae!(integrator, prob, SciMLBase.OverrideInit(), isinplace)
+    else
+        OrdinaryDiffEq._initialize_dae!(integrator, prob, SciMLBase.CheckInit(), isinplace)
+    end
+end
+

src/solve.jl

@@ -602,6 +602,7 @@ function DiffEqBase.__init(
                   QT(qoldinit),q11,stats,initializealg)
 
   if initialize_integrator
+    DiffEqBase.initialize_dae!(integrator)
     initialize_callbacks!(integrator, initialize_save)
     initialize!(integrator,integrator.cache)
     save_start && alg isa Union{StochasticDiffEqCompositeAlgorithm,