From 32ceae8e9d699f9fb55e3c3b49fbe8e3431887d2 Mon Sep 17 00:00:00 2001
From: Ricardo Rosa <rmsrosa@gmail.com>
Date: Wed, 3 Aug 2022 07:52:54 -0300
Subject: [PATCH 1/8] first steps new rode solver

---
 src/StochasticDiffEq.jl           |   1 +
 src/algorithms.jl                 |   2 +
 src/caches/basic_method_caches.jl |  16 ++++
 src/perform_step/low_order.jl     |  15 ++++
 test/rode_linear_tests.jl         |   5 ++
 test/runtests copy.jl             | 133 ++++++++++++++++++++++++++++++
 test/runtests.jl                  |   2 +-
 7 files changed, 173 insertions(+), 1 deletion(-)
 create mode 100644 test/runtests copy.jl

diff --git a/src/StochasticDiffEq.jl b/src/StochasticDiffEq.jl
index 72be39028..78e9a1df8 100644
--- a/src/StochasticDiffEq.jl
+++ b/src/StochasticDiffEq.jl
@@ -166,6 +166,7 @@ using DocStringExtensions
          StochasticDiffEqRODECompositeAlgorithm
 
   export RandomEM
+  export RandomHeun
 
   export IteratedIntegralApprox, IICommutative, IILevyArea
 
diff --git a/src/algorithms.jl b/src/algorithms.jl
index 4e9b75084..6e12881f0 100644
--- a/src/algorithms.jl
+++ b/src/algorithms.jl
@@ -848,6 +848,8 @@ end
 
 struct RandomEM <: StochasticDiffEqRODEAlgorithm end
 
+struct RandomHeun <: StochasticDiffEqRODEAlgorithm end
+
 const SplitSDEAlgorithms = Union{IIF1M,IIF2M,IIF1Mil,SKenCarp,SplitEM}
 
 @doc raw"""
diff --git a/src/caches/basic_method_caches.jl b/src/caches/basic_method_caches.jl
index 1eebfa252..b120222d0 100644
--- a/src/caches/basic_method_caches.jl
+++ b/src/caches/basic_method_caches.jl
@@ -72,6 +72,22 @@ function alg_cache(alg::RandomEM,prob,u,ΔW,ΔZ,p,rate_prototype,noise_rate_prot
   RandomEMCache(u,uprev,tmp,rtmp)
 end
 
+struct RandomHeunConstantCache <: StochasticDiffEqConstantCache end
+@cache struct RandomHeunCache{uType,rateType} <: StochasticDiffEqMutableCache
+  u::uType
+  uprev::uType
+  tmp::uType
+  rtmp1::rateType
+  rtmp2::rateType
+end
+
+alg_cache(alg::RandomHeun,prob,u,ΔW,ΔZ,p,rate_prototype,noise_rate_prototype,jump_rate_prototype,::Type{uEltypeNoUnits},::Type{uBottomEltypeNoUnits},::Type{tTypeNoUnits},uprev,f,t,dt,::Type{Val{false}}) where {uEltypeNoUnits,uBottomEltypeNoUnits,tTypeNoUnits} = RandomHeunConstantCache()
+
+function alg_cache(alg::RandomHeun,prob,u,ΔW,ΔZ,p,rate_prototype,noise_rate_prototype,jump_rate_prototype,::Type{uEltypeNoUnits},::Type{uBottomEltypeNoUnits},::Type{tTypeNoUnits},uprev,f,t,dt,::Type{Val{true}}) where {uEltypeNoUnits,uBottomEltypeNoUnits,tTypeNoUnits}
+  tmp = zero(u); rtmp1 = zero(rate_prototype); rtmp2 = zero(rate_prototype)
+  RandomHeunCache(u,uprev,tmp,rtmp1,rtmp2)
+end
+
 struct SimplifiedEMConstantCache <: StochasticDiffEqConstantCache end
 @cache struct SimplifiedEMCache{randType,uType,rateType,rateNoiseType} <: StochasticDiffEqMutableCache
   u::uType
diff --git a/src/perform_step/low_order.jl b/src/perform_step/low_order.jl
index 46cc0a66d..378283191 100644
--- a/src/perform_step/low_order.jl
+++ b/src/perform_step/low_order.jl
@@ -121,6 +121,21 @@ end
   @.. u = uprev + dt * rtmp
 end
 
+@muladd function perform_step!(integrator,cache::RandomHeunConstantCache)
+    @unpack t,dt,uprev,u,W,p,f = integrator
+    ftmp = integrator.f(uprev,p,t,W.curW)
+    tmp = @.. uprev + dt * ftmp 
+    u = uprev .+ (dt / 2) .* (ftmp .+ integrator.f(tmp,p,t+dt, W.curW .+ W.dW)) # Need to check the last argument, if it should also be in terms of an intermediate step
+    integrator.u = u
+end
+  
+@muladd function perform_step!(integrator,cache::RandomHeunCache)
+    @unpack rtmp1, rtmp2 = cache
+    @unpack t,dt,uprev,u,W,p,f = integrator
+    integrator.f(rtmp1,uprev,p,t,W.curW)
+    @.. u = uprev + dt * rtmp1
+end
+
 # weak approximation EM
 @muladd function perform_step!(integrator,cache::SimplifiedEMConstantCache)
   @unpack t,dt,uprev,u,W,p,f = integrator
diff --git a/test/rode_linear_tests.jl b/test/rode_linear_tests.jl
index 5ff1dcf99..23a6c6e99 100644
--- a/test/rode_linear_tests.jl
+++ b/test/rode_linear_tests.jl
@@ -5,17 +5,20 @@ u0 = 1.00
 tspan = (0.0,1.0)
 prob = RODEProblem(f,u0,tspan)
 sol = solve(prob,RandomEM(),dt=1/100)
+sol2 = solve(prob,RandomHeun(),dt=1/100)
 
 f(u,p,t,W,du) = (du.=1.01u.+0.87u.*W)
 u0 = ones(4)
 prob = RODEProblem(f,u0,tspan)
 sol = solve(prob,RandomEM(),dt=1/100)
+sol2 = solve(prob,RandomHeun(),dt=1/100)
 
 f(u,p,t,W) = 2u*sin(W)
 u0 = 1.00
 tspan = (0.0,5.0)
 prob = RODEProblem{false}(f,u0,tspan)
 sol = solve(prob,RandomEM(),dt=1/100)
+sol2 = solve(prob,RandomHeun(),dt=1/100)
 
 function f(du,u,p,t,W)
   du[1] = 2u[1]*sin(W[1] - W[2])
@@ -25,6 +28,7 @@ u0 = [1.00;1.00]
 tspan = (0.0,5.0)
 prob = RODEProblem(f,u0,tspan)
 sol = solve(prob,RandomEM(),dt=1/100)
+sol2 = solve(prob,RandomHeun(),dt=1/100)
 
 function f(du,u,p,t,W)
   du[1] = -2W[3]*u[1]*sin(W[1] - W[2])
@@ -34,3 +38,4 @@ u0 = [1.00;1.00]
 tspan = (0.0,5.0)
 prob = RODEProblem(f,u0,tspan,rand_prototype=zeros(3))
 sol = solve(prob,RandomEM(),dt=1/100)
+sol2 = solve(prob,RandomHeun(),dt=1/100)
diff --git a/test/runtests copy.jl b/test/runtests copy.jl
new file mode 100644
index 000000000..a8b505c3f
--- /dev/null
+++ b/test/runtests copy.jl	
@@ -0,0 +1,133 @@
+using SafeTestsets
+using Pkg
+
+function activate_gpu_env()
+    Pkg.activate("gpu")
+    Pkg.develop(PackageSpec(path=dirname(@__DIR__)))
+    Pkg.instantiate()
+end
+
+const LONGER_TESTS = false
+
+const GROUP = get(ENV, "GROUP", "All")
+
+const is_APPVEYOR = Sys.iswindows() && haskey(ENV,"APPVEYOR")
+
+@time begin
+  if GROUP == "All" || GROUP == "Interface"
+    @time @safetestset "First Rand Tests" begin include("first_rand_test.jl") end
+    @time @safetestset "Inference Tests" begin include("inference_test.jl") end
+    @time @safetestset "Linear RODE Tests" begin include("rode_linear_tests.jl") end
+    @time @safetestset "Complex Number Tests" begin include("complex_tests.jl") end
+    @time @safetestset "Static Array Tests" begin include("static_array_tests.jl") end
+    @time @safetestset "Noise Type Tests" begin include("noise_type_test.jl") end
+    @time @safetestset "Mass matrix tests" begin include("mass_matrix_tests.jl") end
+    #@time @safetestset "Sparse Jacobian tests" begin include("sparsediff_tests.jl") end
+    @time @safetestset "Outofplace Arrays Tests" begin include("outofplace_arrays.jl") end
+    @time @safetestset "tdir Tests" begin include("tdir_tests.jl") end
+    @time @safetestset "tstops Tests" begin include("tstops_tests.jl") end
+    @time @safetestset "saveat Tests" begin include("saveat_tests.jl") end
+    @time @safetestset "Oval2" begin include("oval2_test.jl") end
+  end
+
+  if GROUP == "All" || GROUP == "Interface2"
+    @time @safetestset "Basic Tau Leaping Tests" begin include("tau_leaping.jl") end
+    @time @safetestset "Linear SDE Tests" begin include("sde/sde_linear_tests.jl") end
+    @time @safetestset "Two-dimensional Linear SDE Tests" begin include("sde/sde_twodimlinear_tests.jl") end
+    @time @safetestset "Element-wise Tolerances Tests" begin include("tolerances_tests.jl") end
+    @time @safetestset "Zero'd Noise Tests" begin include("zerod_noise_test.jl") end
+    @time @safetestset "Scalar Tests" begin include("scalar_noise.jl") end
+    @time @safetestset "Stiffness Detection Test" begin include("stiffness_detection_test.jl") end
+    @time @safetestset "Adaptive SDE Linear Tests" begin include("adaptive/sde_linearadaptive_tests.jl") end
+  end
+
+  if GROUP == "All" || GROUP == "Interface3"
+    @time @safetestset "Composite Tests" begin include("composite_algorithm_test.jl") end
+    @time @safetestset "Events Tests" begin include("events_test.jl") end
+    @time @safetestset "Cache Tests" begin include("cache_test.jl") end
+    @time @safetestset "Adaptive Complex Mean Test" begin include("adaptive/sde_complex_adaptive_mean_test.jl") end
+    @time @safetestset "Utility Tests" begin include("utility_tests.jl") end
+    @time @safetestset "Non-diagonal SDE Tests" begin include("nondiagonal_tests.jl") end
+    @time @safetestset "No Index Tests" begin include("noindex_tests.jl") end
+    @time @safetestset "Multiple Dimension Linear Adaptive Test" begin include("adaptive/sde_twodimlinearadaptive_tests.jl") end
+    @time @safetestset "Autostepsize Test" begin include("adaptive/sde_autostepsize_test.jl") end
+    @time @safetestset "Additive Lorenz Attractor Test" begin include("adaptive/sde_lorenzattractor_tests.jl") end
+    @time @safetestset "Stochastic iterated integrals" begin include("levy_areas.jl") end
+  end
+
+  if !is_APPVEYOR && (GROUP == "All" || GROUP == "AlgConvergence")
+    @time @safetestset "Convergence Tests" begin include("sde/sde_convergence_tests.jl") end
+    @time @safetestset "Dynamical SDE Tests" begin include("sde/sde_dynamical.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "AlgConvergence2"
+    @time @safetestset "IIF Convergence Tests" begin include("iif_methods.jl") end
+    @time @safetestset "Commutative Noise Methods Tests" begin include("commutative_tests.jl") end
+    @time @safetestset "Multivariate Geometric Tests" begin include("multivariate_geometric.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "AlgConvergence3"
+    @time @safetestset "Rossler Order Tests" begin include("sde/sde_rosslerorder_tests.jl") end
+    @time @safetestset "ODE Convergence Regression Tests" begin include("ode_convergence_regression.jl") end
+    @time @safetestset "Additive SDE Tests" begin include("sde/sde_additive_tests.jl") end
+    @time @safetestset "Split Tests" begin include("split_tests.jl") end
+    @time @safetestset "Stratonovich Convergence Tests" begin include("stratonovich_convergence_tests.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "WeakConvergence1"
+    @time @safetestset "Multidimensional IIP Weak Convergence Tests" begin include("weak_convergence/multidim_iip_weak.jl") end
+    @time @safetestset "Platen's PL1WM weak second order" begin include("weak_convergence/PL1WM.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "WeakConvergence2"
+    @time @safetestset "Roessler weak SRK Tests" begin include("weak_convergence/srk_weak_final.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "WeakConvergence3"
+    @time @safetestset "Roessler weak SRK (non-diagonal) Tests" begin include("weak_convergence/srk_weak_final_non_diagonal.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "WeakConvergence4"
+    @time @safetestset "Weak Stratonovich (non-diagonal) Tests" begin include("weak_convergence/weak_strat_non_diagonal.jl") end
+    @time @safetestset "SIE SME weak Tests" begin include("weak_convergence/SIE_SME.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "WeakConvergence5"
+    @time @safetestset "Weak Stratonovich Tests" begin include("weak_convergence/weak_strat.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "WeakConvergence6"
+    @time @safetestset "Roessler weak SRK diagonal Tests" begin include("weak_convergence/srk_weak_diagonal_final.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "OOPWeakConvergence"
+    @time @safetestset "OOP Weak Convergence Tests" begin include("weak_convergence/oop_weak.jl") end
+    @time @safetestset "Additive Weak Convergence Tests" begin include("weak_convergence/additive_weak.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "IIPWeakConvergence"
+    #activate_gpu_env()
+    @time @safetestset "IIP Weak Convergence Tests" begin include("weak_convergence/iip_weak.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "SROCKC2WeakConvergence"
+    #activate_gpu_env()
+    @time @safetestset "SROCKC2 Weak Convergence Tests" begin include("weak_convergence/weak_srockc2.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "WeakAdaptiveCPU"
+    @time @safetestset "CPU Weak adaptive step size Brusselator " begin include("adaptive/sde_weak_brusselator_adaptive.jl") end
+    @time @safetestset "CPU Weak adaptive" begin include("adaptive/sde_weak_adaptive.jl") end
+  end
+
+  if !is_APPVEYOR && GROUP == "WeakAdaptiveGPU"
+    activate_gpu_env()
+    @time @safetestset "GPU Weak adaptive step size scalar noise SDE" begin include("gpu/sde_weak_scalar_adaptive_gpu.jl") end
+    @time @safetestset "GPU Weak adaptive" begin include("gpu/sde_weak_adaptive_gpu.jl") end
+  end
+  
+  if !is_APPVEYOR && GROUP == "Multithreaded"
+    @time @safetestset "Mulithreaded Jump Thread Safety Tests" begin include("multithreaded_jump_test.jl") end
+  end
+
+end
diff --git a/test/runtests.jl b/test/runtests.jl
index a8b505c3f..aeb829376 100644
--- a/test/runtests.jl
+++ b/test/runtests.jl
@@ -9,7 +9,7 @@ end
 
 const LONGER_TESTS = false
 
-const GROUP = get(ENV, "GROUP", "All")
+const GROUP = "Interface" # get(ENV, "GROUP", "All")
 
 const is_APPVEYOR = Sys.iswindows() && haskey(ENV,"APPVEYOR")
 

From 913719502ccd981e7dfda1059a662d27b8dbe30e Mon Sep 17 00:00:00 2001
From: Ricardo Rosa <rmsrosa@gmail.com>
Date: Thu, 11 Aug 2022 12:27:47 -0300
Subject: [PATCH 2/8] alg

---
 src/alg_utils.jl              | 1 +
 src/perform_step/low_order.jl | 3 ++-
 2 files changed, 3 insertions(+), 1 deletion(-)

diff --git a/src/alg_utils.jl b/src/alg_utils.jl
index 6e25c42b8..fc1910bb4 100644
--- a/src/alg_utils.jl
+++ b/src/alg_utils.jl
@@ -59,6 +59,7 @@ alg_order(alg::IIF1Mil) = 1 // 1
 alg_order(alg::EulerHeun) = 1 // 2
 alg_order(alg::LambaEulerHeun) = 1 // 2
 alg_order(alg::RandomEM) = 1 // 2
+alg_order(alg::RandomHeun) = 3 // 2
 alg_order(alg::SimplifiedEM) = 1 // 2
 alg_order(alg::RKMil) = 1 // 1
 alg_order(alg::RKMilCommute) = 1 // 1
diff --git a/src/perform_step/low_order.jl b/src/perform_step/low_order.jl
index 378283191..df075f9a1 100644
--- a/src/perform_step/low_order.jl
+++ b/src/perform_step/low_order.jl
@@ -125,7 +125,7 @@ end
     @unpack t,dt,uprev,u,W,p,f = integrator
     ftmp = integrator.f(uprev,p,t,W.curW)
     tmp = @.. uprev + dt * ftmp 
-    u = uprev .+ (dt / 2) .* (ftmp .+ integrator.f(tmp,p,t+dt, W.curW .+ W.dW)) # Need to check the last argument, if it should also be in terms of an intermediate step
+    u = uprev .+ (dt / 2) .* (ftmp .+ integrator.f(tmp,p,t+dt, W.curW .+ W.dW))
     integrator.u = u
 end
   
@@ -134,6 +134,7 @@ end
     @unpack t,dt,uprev,u,W,p,f = integrator
     integrator.f(rtmp1,uprev,p,t,W.curW)
     @.. u = uprev + dt * rtmp1
+    integrator.f(rtmp1,u,p,t,W.curW)
 end
 
 # weak approximation EM

From 4ed7a4362ce44b187b95171741e4d9cc3326ada1 Mon Sep 17 00:00:00 2001
From: Ricardo Rosa <rmsrosa@gmail.com>
Date: Thu, 11 Aug 2022 16:44:27 -0300
Subject: [PATCH 3/8] fix alg_order for RandomHeun

---
 src/alg_utils.jl | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/src/alg_utils.jl b/src/alg_utils.jl
index fc1910bb4..7b35e580e 100644
--- a/src/alg_utils.jl
+++ b/src/alg_utils.jl
@@ -59,7 +59,7 @@ alg_order(alg::IIF1Mil) = 1 // 1
 alg_order(alg::EulerHeun) = 1 // 2
 alg_order(alg::LambaEulerHeun) = 1 // 2
 alg_order(alg::RandomEM) = 1 // 2
-alg_order(alg::RandomHeun) = 3 // 2
+alg_order(alg::RandomHeun) = 1 // 2
 alg_order(alg::SimplifiedEM) = 1 // 2
 alg_order(alg::RKMil) = 1 // 1
 alg_order(alg::RKMilCommute) = 1 // 1

From 205d4c3215c2aa87676173074d7255f51bee6fa9 Mon Sep 17 00:00:00 2001
From: Ricardo Rosa <rmsrosa@gmail.com>
Date: Thu, 11 Aug 2022 18:13:56 -0300
Subject: [PATCH 4/8] implement step for RandomHeunCache

---
 src/perform_step/low_order.jl | 9 +++++----
 1 file changed, 5 insertions(+), 4 deletions(-)

diff --git a/src/perform_step/low_order.jl b/src/perform_step/low_order.jl
index df075f9a1..2b3c0540f 100644
--- a/src/perform_step/low_order.jl
+++ b/src/perform_step/low_order.jl
@@ -125,16 +125,17 @@ end
     @unpack t,dt,uprev,u,W,p,f = integrator
     ftmp = integrator.f(uprev,p,t,W.curW)
     tmp = @.. uprev + dt * ftmp 
-    u = uprev .+ (dt / 2) .* (ftmp .+ integrator.f(tmp,p,t+dt, W.curW .+ W.dW))
+    u = uprev .+ (dt/2) .* (ftmp .+ integrator.f(tmp,p,t+dt, W.curW .+ W.dW))
     integrator.u = u
 end
   
 @muladd function perform_step!(integrator,cache::RandomHeunCache)
-    @unpack rtmp1, rtmp2 = cache
+    @unpack tmp, rtmp1, rtmp2 = cache
     @unpack t,dt,uprev,u,W,p,f = integrator
     integrator.f(rtmp1,uprev,p,t,W.curW)
-    @.. u = uprev + dt * rtmp1
-    integrator.f(rtmp1,u,p,t,W.curW)
+    @.. tmp = uprev + dt * rtmp1
+    integrator.f(rtmp2,tmp,p,t+dt,W.curW+W.dW)
+    @.. u = uprev + (dt/2) * (rtmp1 + rtmp2)
 end
 
 # weak approximation EM

From 4a96cd6c4ac76846ec3a90f14e092ee396a7a3e0 Mon Sep 17 00:00:00 2001
From: Ricardo Rosa <rmsrosa@gmail.com>
Date: Sat, 13 Aug 2022 08:57:50 -0300
Subject: [PATCH 5/8] add newline

---
 src/StochasticDiffEq.jl | 1 +
 1 file changed, 1 insertion(+)

diff --git a/src/StochasticDiffEq.jl b/src/StochasticDiffEq.jl
index 78e9a1df8..4469d7d5e 100644
--- a/src/StochasticDiffEq.jl
+++ b/src/StochasticDiffEq.jl
@@ -166,6 +166,7 @@ using DocStringExtensions
          StochasticDiffEqRODECompositeAlgorithm
 
   export RandomEM
+  
   export RandomHeun
 
   export IteratedIntegralApprox, IICommutative, IILevyArea

From 6d81d6471bfc6bc22cfd9e7f98352ce24b45e760 Mon Sep 17 00:00:00 2001
From: Ricardo Rosa <rmsrosa@gmail.com>
Date: Sat, 13 Aug 2022 09:03:22 -0300
Subject: [PATCH 6/8] back with original runtests.jl

---
 test/runtests copy.jl | 133 ------------------------------------------
 test/runtests.jl      |   2 +-
 2 files changed, 1 insertion(+), 134 deletions(-)
 delete mode 100644 test/runtests copy.jl

diff --git a/test/runtests copy.jl b/test/runtests copy.jl
deleted file mode 100644
index a8b505c3f..000000000
--- a/test/runtests copy.jl	
+++ /dev/null
@@ -1,133 +0,0 @@
-using SafeTestsets
-using Pkg
-
-function activate_gpu_env()
-    Pkg.activate("gpu")
-    Pkg.develop(PackageSpec(path=dirname(@__DIR__)))
-    Pkg.instantiate()
-end
-
-const LONGER_TESTS = false
-
-const GROUP = get(ENV, "GROUP", "All")
-
-const is_APPVEYOR = Sys.iswindows() && haskey(ENV,"APPVEYOR")
-
-@time begin
-  if GROUP == "All" || GROUP == "Interface"
-    @time @safetestset "First Rand Tests" begin include("first_rand_test.jl") end
-    @time @safetestset "Inference Tests" begin include("inference_test.jl") end
-    @time @safetestset "Linear RODE Tests" begin include("rode_linear_tests.jl") end
-    @time @safetestset "Complex Number Tests" begin include("complex_tests.jl") end
-    @time @safetestset "Static Array Tests" begin include("static_array_tests.jl") end
-    @time @safetestset "Noise Type Tests" begin include("noise_type_test.jl") end
-    @time @safetestset "Mass matrix tests" begin include("mass_matrix_tests.jl") end
-    #@time @safetestset "Sparse Jacobian tests" begin include("sparsediff_tests.jl") end
-    @time @safetestset "Outofplace Arrays Tests" begin include("outofplace_arrays.jl") end
-    @time @safetestset "tdir Tests" begin include("tdir_tests.jl") end
-    @time @safetestset "tstops Tests" begin include("tstops_tests.jl") end
-    @time @safetestset "saveat Tests" begin include("saveat_tests.jl") end
-    @time @safetestset "Oval2" begin include("oval2_test.jl") end
-  end
-
-  if GROUP == "All" || GROUP == "Interface2"
-    @time @safetestset "Basic Tau Leaping Tests" begin include("tau_leaping.jl") end
-    @time @safetestset "Linear SDE Tests" begin include("sde/sde_linear_tests.jl") end
-    @time @safetestset "Two-dimensional Linear SDE Tests" begin include("sde/sde_twodimlinear_tests.jl") end
-    @time @safetestset "Element-wise Tolerances Tests" begin include("tolerances_tests.jl") end
-    @time @safetestset "Zero'd Noise Tests" begin include("zerod_noise_test.jl") end
-    @time @safetestset "Scalar Tests" begin include("scalar_noise.jl") end
-    @time @safetestset "Stiffness Detection Test" begin include("stiffness_detection_test.jl") end
-    @time @safetestset "Adaptive SDE Linear Tests" begin include("adaptive/sde_linearadaptive_tests.jl") end
-  end
-
-  if GROUP == "All" || GROUP == "Interface3"
-    @time @safetestset "Composite Tests" begin include("composite_algorithm_test.jl") end
-    @time @safetestset "Events Tests" begin include("events_test.jl") end
-    @time @safetestset "Cache Tests" begin include("cache_test.jl") end
-    @time @safetestset "Adaptive Complex Mean Test" begin include("adaptive/sde_complex_adaptive_mean_test.jl") end
-    @time @safetestset "Utility Tests" begin include("utility_tests.jl") end
-    @time @safetestset "Non-diagonal SDE Tests" begin include("nondiagonal_tests.jl") end
-    @time @safetestset "No Index Tests" begin include("noindex_tests.jl") end
-    @time @safetestset "Multiple Dimension Linear Adaptive Test" begin include("adaptive/sde_twodimlinearadaptive_tests.jl") end
-    @time @safetestset "Autostepsize Test" begin include("adaptive/sde_autostepsize_test.jl") end
-    @time @safetestset "Additive Lorenz Attractor Test" begin include("adaptive/sde_lorenzattractor_tests.jl") end
-    @time @safetestset "Stochastic iterated integrals" begin include("levy_areas.jl") end
-  end
-
-  if !is_APPVEYOR && (GROUP == "All" || GROUP == "AlgConvergence")
-    @time @safetestset "Convergence Tests" begin include("sde/sde_convergence_tests.jl") end
-    @time @safetestset "Dynamical SDE Tests" begin include("sde/sde_dynamical.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "AlgConvergence2"
-    @time @safetestset "IIF Convergence Tests" begin include("iif_methods.jl") end
-    @time @safetestset "Commutative Noise Methods Tests" begin include("commutative_tests.jl") end
-    @time @safetestset "Multivariate Geometric Tests" begin include("multivariate_geometric.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "AlgConvergence3"
-    @time @safetestset "Rossler Order Tests" begin include("sde/sde_rosslerorder_tests.jl") end
-    @time @safetestset "ODE Convergence Regression Tests" begin include("ode_convergence_regression.jl") end
-    @time @safetestset "Additive SDE Tests" begin include("sde/sde_additive_tests.jl") end
-    @time @safetestset "Split Tests" begin include("split_tests.jl") end
-    @time @safetestset "Stratonovich Convergence Tests" begin include("stratonovich_convergence_tests.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "WeakConvergence1"
-    @time @safetestset "Multidimensional IIP Weak Convergence Tests" begin include("weak_convergence/multidim_iip_weak.jl") end
-    @time @safetestset "Platen's PL1WM weak second order" begin include("weak_convergence/PL1WM.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "WeakConvergence2"
-    @time @safetestset "Roessler weak SRK Tests" begin include("weak_convergence/srk_weak_final.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "WeakConvergence3"
-    @time @safetestset "Roessler weak SRK (non-diagonal) Tests" begin include("weak_convergence/srk_weak_final_non_diagonal.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "WeakConvergence4"
-    @time @safetestset "Weak Stratonovich (non-diagonal) Tests" begin include("weak_convergence/weak_strat_non_diagonal.jl") end
-    @time @safetestset "SIE SME weak Tests" begin include("weak_convergence/SIE_SME.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "WeakConvergence5"
-    @time @safetestset "Weak Stratonovich Tests" begin include("weak_convergence/weak_strat.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "WeakConvergence6"
-    @time @safetestset "Roessler weak SRK diagonal Tests" begin include("weak_convergence/srk_weak_diagonal_final.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "OOPWeakConvergence"
-    @time @safetestset "OOP Weak Convergence Tests" begin include("weak_convergence/oop_weak.jl") end
-    @time @safetestset "Additive Weak Convergence Tests" begin include("weak_convergence/additive_weak.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "IIPWeakConvergence"
-    #activate_gpu_env()
-    @time @safetestset "IIP Weak Convergence Tests" begin include("weak_convergence/iip_weak.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "SROCKC2WeakConvergence"
-    #activate_gpu_env()
-    @time @safetestset "SROCKC2 Weak Convergence Tests" begin include("weak_convergence/weak_srockc2.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "WeakAdaptiveCPU"
-    @time @safetestset "CPU Weak adaptive step size Brusselator " begin include("adaptive/sde_weak_brusselator_adaptive.jl") end
-    @time @safetestset "CPU Weak adaptive" begin include("adaptive/sde_weak_adaptive.jl") end
-  end
-
-  if !is_APPVEYOR && GROUP == "WeakAdaptiveGPU"
-    activate_gpu_env()
-    @time @safetestset "GPU Weak adaptive step size scalar noise SDE" begin include("gpu/sde_weak_scalar_adaptive_gpu.jl") end
-    @time @safetestset "GPU Weak adaptive" begin include("gpu/sde_weak_adaptive_gpu.jl") end
-  end
-  
-  if !is_APPVEYOR && GROUP == "Multithreaded"
-    @time @safetestset "Mulithreaded Jump Thread Safety Tests" begin include("multithreaded_jump_test.jl") end
-  end
-
-end
diff --git a/test/runtests.jl b/test/runtests.jl
index aeb829376..a8b505c3f 100644
--- a/test/runtests.jl
+++ b/test/runtests.jl
@@ -9,7 +9,7 @@ end
 
 const LONGER_TESTS = false
 
-const GROUP = "Interface" # get(ENV, "GROUP", "All")
+const GROUP = get(ENV, "GROUP", "All")
 
 const is_APPVEYOR = Sys.iswindows() && haskey(ENV,"APPVEYOR")
 

From cf5c12b0862fdea95056a05e3b4f298f312e4e37 Mon Sep 17 00:00:00 2001
From: Ricardo Rosa <rmsrosa@gmail.com>
Date: Sat, 13 Aug 2022 16:10:12 -0300
Subject: [PATCH 7/8] add basic comparison tests for RODE solvers

---
 test/rode_linear_tests.jl | 29 ++++++++++++++++++++---------
 1 file changed, 20 insertions(+), 9 deletions(-)

diff --git a/test/rode_linear_tests.jl b/test/rode_linear_tests.jl
index 23a6c6e99..98dce55f2 100644
--- a/test/rode_linear_tests.jl
+++ b/test/rode_linear_tests.jl
@@ -1,34 +1,43 @@
-using StochasticDiffEq
+using StochasticDiffEq, DiffEqNoiseProcess, Random, Test
+Random.seed!(100)
 
 f(u,p,t,W) = 1.01u.+0.87u.*W
 u0 = 1.00
 tspan = (0.0,1.0)
 prob = RODEProblem(f,u0,tspan)
-sol = solve(prob,RandomEM(),dt=1/100)
+sol = solve(prob,RandomEM(),dt=1/100, save_noise=true)
+prob = RODEProblem(f,u0,tspan, noise=NoiseWrapper(sol.W))
 sol2 = solve(prob,RandomHeun(),dt=1/100)
+@test abs(sol[end] - sol2[end]) < 0.1
 
-f(u,p,t,W,du) = (du.=1.01u.+0.87u.*W)
+f!(du,u,p,t,W) = (du.=1.01u.+0.87u.*W)
 u0 = ones(4)
-prob = RODEProblem(f,u0,tspan)
-sol = solve(prob,RandomEM(),dt=1/100)
+prob = RODEProblem(f!,u0,tspan)
+sol = solve(prob,RandomEM(),dt=1/100, save_noise=true)
+prob = RODEProblem(f!,u0,tspan, noise=NoiseWrapper(sol.W))
 sol2 = solve(prob,RandomHeun(),dt=1/100)
+@test sum(abs,sol[end]-sol2[end]) < 0.1 * sum(abs, sol[end])
 
 f(u,p,t,W) = 2u*sin(W)
 u0 = 1.00
 tspan = (0.0,5.0)
 prob = RODEProblem{false}(f,u0,tspan)
-sol = solve(prob,RandomEM(),dt=1/100)
+sol = solve(prob,RandomEM(),dt=1/100, save_noise=true)
+prob = RODEProblem{false}(f,u0,tspan, noise=NoiseWrapper(sol.W))
 sol2 = solve(prob,RandomHeun(),dt=1/100)
+@test abs(sol[end]-sol2[end]) < 0.1
 
 function f(du,u,p,t,W)
   du[1] = 2u[1]*sin(W[1] - W[2])
   du[2] = -2u[2]*cos(W[1] + W[2])
 end
 u0 = [1.00;1.00]
-tspan = (0.0,5.0)
+tspan = (0.0,4.0)
 prob = RODEProblem(f,u0,tspan)
-sol = solve(prob,RandomEM(),dt=1/100)
+sol = solve(prob,RandomEM(),dt=1/100, save_noise=true)
+prob = RODEProblem(f,u0,tspan, noise=NoiseWrapper(sol.W))
 sol2 = solve(prob,RandomHeun(),dt=1/100)
+@test sum(abs,sol[end]-sol2[end]) < 0.1 * sum(abs, sol[end])
 
 function f(du,u,p,t,W)
   du[1] = -2W[3]*u[1]*sin(W[1] - W[2])
@@ -37,5 +46,7 @@ end
 u0 = [1.00;1.00]
 tspan = (0.0,5.0)
 prob = RODEProblem(f,u0,tspan,rand_prototype=zeros(3))
-sol = solve(prob,RandomEM(),dt=1/100)
+sol = solve(prob,RandomEM(),dt=1/100, save_noise=true)
+prob = RODEProblem(f,u0,tspan, noise=NoiseWrapper(sol.W))
 sol2 = solve(prob,RandomHeun(),dt=1/100)
+@test sum(abs,sol[end]-sol2[end]) < 0.1 * sum(abs, sol[end])

From d949ca16f323c6a94d951cb54cdd2c9554a39a66 Mon Sep 17 00:00:00 2001
From: Ricardo Rosa <rmsrosa@gmail.com>
Date: Sun, 14 Aug 2022 08:02:25 -0300
Subject: [PATCH 8/8] remove alloc in perform_step for nonscalar noise

---
 src/caches/basic_method_caches.jl |  7 ++++---
 src/perform_step/low_order.jl     | 14 ++++++++++----
 2 files changed, 14 insertions(+), 7 deletions(-)

diff --git a/src/caches/basic_method_caches.jl b/src/caches/basic_method_caches.jl
index b120222d0..fbdef1b39 100644
--- a/src/caches/basic_method_caches.jl
+++ b/src/caches/basic_method_caches.jl
@@ -73,19 +73,20 @@ function alg_cache(alg::RandomEM,prob,u,ΔW,ΔZ,p,rate_prototype,noise_rate_prot
 end
 
 struct RandomHeunConstantCache <: StochasticDiffEqConstantCache end
-@cache struct RandomHeunCache{uType,rateType} <: StochasticDiffEqMutableCache
+@cache struct RandomHeunCache{uType,rateType,randType} <: StochasticDiffEqMutableCache
   u::uType
   uprev::uType
   tmp::uType
   rtmp1::rateType
   rtmp2::rateType
+  wtmp::randType
 end
 
 alg_cache(alg::RandomHeun,prob,u,ΔW,ΔZ,p,rate_prototype,noise_rate_prototype,jump_rate_prototype,::Type{uEltypeNoUnits},::Type{uBottomEltypeNoUnits},::Type{tTypeNoUnits},uprev,f,t,dt,::Type{Val{false}}) where {uEltypeNoUnits,uBottomEltypeNoUnits,tTypeNoUnits} = RandomHeunConstantCache()
 
 function alg_cache(alg::RandomHeun,prob,u,ΔW,ΔZ,p,rate_prototype,noise_rate_prototype,jump_rate_prototype,::Type{uEltypeNoUnits},::Type{uBottomEltypeNoUnits},::Type{tTypeNoUnits},uprev,f,t,dt,::Type{Val{true}}) where {uEltypeNoUnits,uBottomEltypeNoUnits,tTypeNoUnits}
-  tmp = zero(u); rtmp1 = zero(rate_prototype); rtmp2 = zero(rate_prototype)
-  RandomHeunCache(u,uprev,tmp,rtmp1,rtmp2)
+  tmp = zero(u); rtmp1 = zero(rate_prototype); rtmp2 = zero(rate_prototype); wtmp = zero(ΔW)
+  RandomHeunCache(u,uprev,tmp,rtmp1,rtmp2,wtmp)
 end
 
 struct SimplifiedEMConstantCache <: StochasticDiffEqConstantCache end
diff --git a/src/perform_step/low_order.jl b/src/perform_step/low_order.jl
index 2b3c0540f..e14524577 100644
--- a/src/perform_step/low_order.jl
+++ b/src/perform_step/low_order.jl
@@ -124,17 +124,23 @@ end
 @muladd function perform_step!(integrator,cache::RandomHeunConstantCache)
     @unpack t,dt,uprev,u,W,p,f = integrator
     ftmp = integrator.f(uprev,p,t,W.curW)
-    tmp = @.. uprev + dt * ftmp 
-    u = uprev .+ (dt/2) .* (ftmp .+ integrator.f(tmp,p,t+dt, W.curW .+ W.dW))
+    tmp = @.. uprev + dt * ftmp
+    wtmp = @.. W.curW + W.dW
+    u = uprev .+ (dt/2) .* (ftmp .+ integrator.f(tmp,p,t+dt, wtmp))
     integrator.u = u
 end
   
 @muladd function perform_step!(integrator,cache::RandomHeunCache)
-    @unpack tmp, rtmp1, rtmp2 = cache
+    @unpack tmp, rtmp1, rtmp2, wtmp = cache
     @unpack t,dt,uprev,u,W,p,f = integrator
     integrator.f(rtmp1,uprev,p,t,W.curW)
     @.. tmp = uprev + dt * rtmp1
-    integrator.f(rtmp2,tmp,p,t+dt,W.curW+W.dW)
+    if W.dW isa Number
+        wtmp = W.curW + W.dW
+    else
+        @.. wtmp = W.curW + W.dW
+    end
+    integrator.f(rtmp2,tmp,p,t+dt,wtmp)
     @.. u = uprev + (dt/2) * (rtmp1 + rtmp2)
 end