non-diagional noise with SOSRA()

[oameye]

Describe the bug 🐞

The SOSRA() solver doesn't seem to work for non-diagonal noise problems.

Expected behavior

I expected the SOSRA() to work with non-diagonal noise as described in the docs.

Minimal Reproducible Example 👇

using StochasticDiffEq

f(u, p, t) = u
function g(u, p, t)
    return [-0.80 -0.3; -0.8 0.3]
end

u0 = ones(2)
dt = 1//2^(4)
tspan = (0., 1.)

prototype = zeros(2,2)

oop_prob = SDEProblem{false}(f, g, u0, tspan, noise_rate_prototype = prototype)
oop_sol = solve(oop_prob, EM(), dt = dt)
oop_sol = solve(oop_prob, SOSRA())

ERROR: DimensionMismatch: dimensions must match: a has dims (Base.OneTo(2), Base.OneTo(2)), must have singleton at dim 2
Stacktrace:
  [1] promote_shape
    @ .\indices.jl:183 [inlined]
  [2] promote_shape
    @ .\indices.jl:174 [inlined]
  [3] promote_shape(a::Vector{Float64}, b::Matrix{Float64})
    @ Base .\indices.jl:169
  [4] +(A::Vector{Float64}, Bs::Matrix{Float64})
    @ Base .\arraymath.jl:14
  [5] perform_step!(integrator::StochasticDiffEq.SDEIntegrator{…}, cache::StochasticDiffEq.ThreeStageSRAConstantCache{…})
    @ StochasticDiffEq C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\perform_step\sra.jl:181
  [6] solve!(integrator::StochasticDiffEq.SDEIntegrator{…})
    @ StochasticDiffEq C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\solve.jl:618
  [7] #__solve#107
    @ C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\solve.jl:7 [inlined]
  [8] __solve (repeats 3 times)
    @ C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\solve.jl:1 [inlined]
  [9] __solve(prob::SDEProblem{…}, alg::SOSRA, timeseries::Vector{…})
    @ StochasticDiffEq C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\solve.jl:1
 [10] __solve
    @ C:\Users\orjan\.julia\packages\StochasticDiffEq\M3bKo\src\solve.jl:1 [inlined]
 [11] #solve_call#44
    @ C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:612 [inlined]
 [12] solve_call
    @ C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:569 [inlined]
 [13] #solve_up#53
    @ C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:1080 [inlined]
 [14] solve_up
    @ C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:1066 [inlined]
 [15] #solve#51
    @ C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:1003 [inlined]
 [16] solve(prob::SDEProblem{…}, args::SOSRA)
    @ DiffEqBase C:\Users\orjan\.julia\packages\DiffEqBase\V6SCE\src\solve.jl:993
 [17] top-level scope
    @ e:\DynamicalSystemsBase.jl\test\using StochasticDiffEq.jl:25

For in-place problem I just get that there is no noise applied?

using StochasticDiffEq

f(du, u, p, t) = du .= u
function g(du, u, p, t)
    du .= [-0.80 -0.3; -0.8 0.3]
end

u0 = ones(2)
dt = 1//2^(4)
tspan = (0., 1.)

prototype = zeros(2,2)

iip_prob = SDEProblem{true}(f, g, u0, tspan, noise_rate_prototype = prototype)
iip_sol = solve(iip_prob, EM(), dt = dt)
iip_sol = solve(iip_prob, SOSRA())

retcode: Success
Interpolation: 1st order linear
t: 315-element Vector{Float64}:
 0.0
 0.0020926751066120968
 0.002538416595762327
 0.003039875771056336
 0.003604017343262096
 0.004238676611993576
 0.004952668289316491
 0.005755908926304771
 ⋮
 0.9800839851496779
 0.9834429976234172
 0.9867491652921374
 0.9900961346195399
 0.9934720019392905
 0.9968005450348317
 1.0
u: 315-element Vector{Vector{Float64}}:
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]
 ⋮
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]
 [1.0, 1.0]

Environment (please complete the following information):

• Output of using Pkg; Pkg.status()

  [789caeaf] StochasticDiffEq v6.67.0

• Output of using Pkg; Pkg.status(; mode = PKGMODE_MANIFEST)

[47edcb42] ADTypes v1.6.2
  [7d9f7c33] Accessors v0.1.37
  [79e6a3ab] Adapt v4.0.4
  [66dad0bd] AliasTables v1.1.3
  [ec485272] ArnoldiMethod v0.4.0
  [4fba245c] ArrayInterface v7.15.0
  [4c555306] ArrayLayouts v1.10.2
  [62783981] BitTwiddlingConvenienceFunctions v0.1.6
  [2a0fbf3d] CPUSummary v0.2.6
  [49dc2e85] Calculus v0.5.1
  [d360d2e6] ChainRulesCore v1.24.0
  [fb6a15b2] CloseOpenIntervals v0.1.13
  [38540f10] CommonSolve v0.2.4
  [bbf7d656] CommonSubexpressions v0.3.0
  [f70d9fcc] CommonWorldInvalidations v1.0.0
  [34da2185] Compat v4.15.0
  [a33af91c] CompositionsBase v0.1.2
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  [187b0558] ConstructionBase v1.5.6
  [adafc99b] CpuId v0.3.1
  [9a962f9c] DataAPI v1.16.0
  [864edb3b] DataStructures v0.18.20
  [e2d170a0] DataValueInterfaces v1.0.0
  [2b5f629d] DiffEqBase v6.152.2
  [77a26b50] DiffEqNoiseProcess v5.22.0
  [163ba53b] DiffResults v1.1.0
  [b552c78f] DiffRules v1.15.1
  [a0c0ee7d] DifferentiationInterface v0.5.11
  [b4f34e82] Distances v0.10.11
  [31c24e10] Distributions v0.25.109
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  [fa6b7ba4] DualNumbers v0.6.8
  [4e289a0a] EnumX v1.0.4
  [f151be2c] EnzymeCore v0.7.7
  [d4d017d3] ExponentialUtilities v1.26.1
  [e2ba6199] ExprTools v0.1.10
⌅ [6b7a57c9] Expronicon v0.8.5
  [7034ab61] FastBroadcast v0.3.5
  [9aa1b823] FastClosures v0.3.2
  [29a986be] FastLapackInterface v2.0.4
  [1a297f60] FillArrays v1.11.0
  [6a86dc24] FiniteDiff v2.23.1
  [f6369f11] ForwardDiff v0.10.36
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  [77dc65aa] FunctionWrappersWrappers v0.1.3
  [46192b85] GPUArraysCore v0.1.6
  [c145ed77] GenericSchur v0.5.4
  [86223c79] Graphs v1.11.2
  [3e5b6fbb] HostCPUFeatures v0.1.17
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  [82899510] IteratorInterfaceExtensions v1.0.0
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⌃ [ccbc3e58] JumpProcesses v9.13.0
  [ef3ab10e] KLU v0.6.0
  [ba0b0d4f] Krylov v0.9.6
  [10f19ff3] LayoutPointers v0.1.17
  [5078a376] LazyArrays v2.1.9
  [2d8b4e74] LevyArea v1.0.0
  [d3d80556] LineSearches v7.3.0
  [7ed4a6bd] LinearSolve v2.31.2
  [2ab3a3ac] LogExpFunctions v0.3.28
  [bdcacae8] LoopVectorization v0.12.171
  [d8e11817] MLStyle v0.4.17
  [1914dd2f] MacroTools v0.5.13
  [d125e4d3] ManualMemory v0.1.8
  [bb5d69b7] MaybeInplace v0.1.3
  [e1d29d7a] Missings v1.2.0
  [46d2c3a1] MuladdMacro v0.2.4
  [d41bc354] NLSolversBase v7.8.3
  [2774e3e8] NLsolve v4.5.1
  [77ba4419] NaNMath v1.0.2
  [8913a72c] NonlinearSolve v3.13.1
  [6fe1bfb0] OffsetArrays v1.14.1
  [429524aa] Optim v1.9.4
  [bac558e1] OrderedCollections v1.6.3
  [1dea7af3] OrdinaryDiffEq v6.87.0
  [90014a1f] PDMats v0.11.31
  [65ce6f38] PackageExtensionCompat v1.0.2
  [d96e819e] Parameters v0.12.3
  [e409e4f3] PoissonRandom v0.4.4
  [f517fe37] Polyester v0.7.15
  [1d0040c9] PolyesterWeave v0.2.2
  [85a6dd25] PositiveFactorizations v0.2.4
  [d236fae5] PreallocationTools v0.4.23
  [aea7be01] PrecompileTools v1.2.1
  [21216c6a] Preferences v1.4.3
  [43287f4e] PtrArrays v1.2.0
  [1fd47b50] QuadGK v2.10.1
  [74087812] Random123 v1.7.0
  [e6cf234a] RandomNumbers v1.5.3
  [3cdcf5f2] RecipesBase v1.3.4
  [731186ca] RecursiveArrayTools v3.26.0
  [f2c3362d] RecursiveFactorization v0.2.23
  [189a3867] Reexport v1.2.2
  [ae029012] Requires v1.3.0
  [ae5879a3] ResettableStacks v1.1.1
  [79098fc4] Rmath v0.7.1
  [7e49a35a] RuntimeGeneratedFunctions v0.5.13
  [94e857df] SIMDTypes v0.1.0
  [476501e8] SLEEFPirates v0.6.43
  [0bca4576] SciMLBase v2.48.1
  [c0aeaf25] SciMLOperators v0.3.8
  [53ae85a6] SciMLStructures v1.4.2
  [efcf1570] Setfield v1.1.1
  [727e6d20] SimpleNonlinearSolve v1.11.0
  [699a6c99] SimpleTraits v0.9.4
  [ce78b400] SimpleUnPack v1.1.0
  [a2af1166] SortingAlgorithms v1.2.1
  [47a9eef4] SparseDiffTools v2.19.0
  [0a514795] SparseMatrixColorings v0.3.6
  [e56a9233] Sparspak v0.3.9
  [276daf66] SpecialFunctions v2.4.0
  [aedffcd0] Static v1.1.1
  [0d7ed370] StaticArrayInterface v1.5.1
  [90137ffa] StaticArrays v1.9.7
  [1e83bf80] StaticArraysCore v1.4.3
  [10745b16] Statistics v1.11.1
  [82ae8749] StatsAPI v1.7.0
  [2913bbd2] StatsBase v0.34.3
  [4c63d2b9] StatsFuns v1.3.1
  [789caeaf] StochasticDiffEq v6.67.0
  [7792a7ef] StrideArraysCore v0.5.7
  [2efcf032] SymbolicIndexingInterface v0.3.27
  [3783bdb8] TableTraits v1.0.1
  [bd369af6] Tables v1.12.0
  [8290d209] ThreadingUtilities v0.5.2
  [a759f4b9] TimerOutputs v0.5.24
  [d5829a12] TriangularSolve v0.2.1
  [410a4b4d] Tricks v0.1.9
  [781d530d] TruncatedStacktraces v1.4.0
  [3a884ed6] UnPack v1.0.2
  [3d5dd08c] VectorizationBase v0.21.70
  [19fa3120] VertexSafeGraphs v0.2.0
  [1d5cc7b8] IntelOpenMP_jll v2024.2.0+0
  [856f044c] MKL_jll v2024.2.0+0
  [efe28fd5] OpenSpecFun_jll v0.5.5+0
  [f50d1b31] Rmath_jll v0.4.2+0
  [1317d2d5] oneTBB_jll v2021.12.0+0
  [0dad84c5] ArgTools v1.1.2
  [56f22d72] Artifacts v1.11.0
  [2a0f44e3] Base64 v1.11.0
  [ade2ca70] Dates v1.11.0
  [8ba89e20] Distributed v1.11.0
  [f43a241f] Downloads v1.6.0
  [7b1f6079] FileWatching v1.11.0
  [9fa8497b] Future v1.11.0
  [b77e0a4c] InteractiveUtils v1.11.0
  [4af54fe1] LazyArtifacts v1.11.0
  [b27032c2] LibCURL v0.6.4
  [76f85450] LibGit2 v1.11.0
  [8f399da3] Libdl v1.11.0
  [37e2e46d] LinearAlgebra v1.11.0
  [56ddb016] Logging v1.11.0
  [d6f4376e] Markdown v1.11.0
  [a63ad114] Mmap v1.11.0
  [ca575930] NetworkOptions v1.2.0
  [44cfe95a] Pkg v1.11.0
  [de0858da] Printf v1.11.0
  [9a3f8284] Random v1.11.0
  [ea8e919c] SHA v0.7.0
  [9e88b42a] Serialization v1.11.0
  [1a1011a3] SharedArrays v1.11.0
  [6462fe0b] Sockets v1.11.0
  [2f01184e] SparseArrays v1.11.0
  [4607b0f0] SuiteSparse
  [fa267f1f] TOML v1.0.3
  [a4e569a6] Tar v1.10.0
  [8dfed614] Test v1.11.0
  [cf7118a7] UUIDs v1.11.0
  [4ec0a83e] Unicode v1.11.0
  [e66e0078] CompilerSupportLibraries_jll v1.1.1+0
  [deac9b47] LibCURL_jll v8.6.0+0
  [e37daf67] LibGit2_jll v1.7.2+0
  [29816b5a] LibSSH2_jll v1.11.0+1
  [c8ffd9c3] MbedTLS_jll v2.28.6+0
  [14a3606d] MozillaCACerts_jll v2023.12.12
  [4536629a] OpenBLAS_jll v0.3.27+1
  [05823500] OpenLibm_jll v0.8.1+2
  [bea87d4a] SuiteSparse_jll v7.7.0+0
  [83775a58] Zlib_jll v1.2.13+1
  [8e850b90] libblastrampoline_jll v5.10.1+0
  [8e850ede] nghttp2_jll v1.59.0+0
  [3f19e933] p7zip_jll v17.4.0+2

• Output of ``

Julia Version 1.10.4
Commit 48d4fd4843 (2024-06-04 10:41 UTC)
Build Info:
  Official https://julialang.org/ release
Platform Info:
  OS: Windows (x86_64-w64-mingw32)
  CPU: 12 × AMD Ryzen 5 5600X 6-Core Processor
  WORD_SIZE: 64
  LIBM: libopenlibm
  LLVM: libLLVM-15.0.7 (ORCJIT, znver3)
Threads: 10 default, 0 interactive, 5 GC (on 12 virtual cores)
Environment:
  JULIA_PKG_PRESERVE_TIERED_INSTALLED = true
  JULIA_EDITOR = code
  JULIA_NUM_THREADS = 10

Additional context

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