Unify ode/sde_determine_initdt into single implementation#3137
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ChrisRackauckas merged 3 commits intoSciML:masterfrom Mar 17, 2026
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Move the SDE initial timestep determination algorithm (stochastic
Hairer-Wanner with diffusion terms) from StochasticDiffEq into
OrdinaryDiffEqCore's initdt.jl. This adds two methods dispatching on
AbstractRODEProblem{uType,tType,true/false} that handle both in-place
and out-of-place SDE problems.
The _determine_initdt hook remains extensible — SDE overrides it to
call sde_determine_initdt with the correct alg_order.
Bump version to 3.22.0.
Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com>
Replace separate sde_determine_initdt with unified internal functions _ode_initdt_iip and _ode_initdt_oop that conditionally fold diffusion terms into the Hairer-Wanner initial timestep estimate when g !== nothing. - d₁ uses max(|f₀±3g₀|)/sk instead of f₀/sk when noise present - d₂ uses max(|Δf±ΔgMax|)/sk instead of Δf/sk when noise present - Order correction (+1/2) applied via entry point dispatch - Fixes bug in old iip SDE code: f₁/g₁ were evaluated at (u0,t) instead of (u₁,t+dt₀) - RODE/SDE entry points handle jump shortcut (P !== nothing → dtmax/1e6) - ODE SIMD optimizations preserved in no-noise path - Net -55 lines: 2 separate SDE functions → conditional branches in shared code Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com>
ChrisRackauckas-Claude
changed the title
5 tasks
JET's typo mode flagged g₀ as potentially undefined because it was assigned inside one `if g !== nothing` block and used in a separate `if g !== nothing` block. Pre-initialize to nothing so JET can see the variable is always defined. Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com>
9 tasks
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Summary
Details
The stochastic Hairer-Wanner initial timestep algorithm adds noise terms to the standard ODE estimate:
Also fixes a bug in the original SDE iip code where d2 was computed at (u0, t) instead of (u1, t + dt0).
Net: -55 lines (131 insertions, 186 deletions).
Companion PR: SciML/StochasticDiffEq.jl#697
Part of Phase 15 SDE/ODE unification.
Test plan