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Published 20 hours ago • verified publisher icon google-research

New solvers

Open patrick-kidger opened this issue 4 years ago • 2 comments

Creating an issue to keep track of the various solvers that would be nice to add (eventually): Ito

  • [x] Derivative-free Milstein ref (#31)
  • [ ] Talay
  • [ ] SRK: DRI1 ref

Stratonovich

  • [x] Euler-Heun ref (#39)
  • [x] Milstein ref (#31)
  • [x] Derivative-free Milstein ref (#31)
  • [ ] Ninomiya-Victoir ref
  • [ ] SRK: Komori ref
  • [ ] SRK: Rossler ref

patrick-kidger avatar Aug 18 '20 08:08 patrick-kidger

Adding to this thread I would also advocate for including more high weak order schemes and implicit schemes.

lxuechen avatar Aug 19 '20 20:08 lxuechen

I agree. IIRC both of the SRKs, and NV, are high weak order schemes.

patrick-kidger avatar Aug 19 '20 20:08 patrick-kidger