ProbNumDiffEq.jl
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Question: Should the EK0 by default use a diagonal diffusion?
The issue:
The uncertainties returned by the EK0 can be a bit surprising, as it only returns sacalar covariances (s^2 * I). That is, each output dimension obtains the same amount of uncertainty, independent of its scale. This has previously lead to confusion #25.
Proposal:
Changing the default diffusion model to a DynamicMVDiffusion allows the EK0 to scale each output dimension independently. This could lead to (somewhat) more interpretable output uncertainties.
Related PR: #65 applies the proposed change.