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Milstein function #615

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Milstein function #615

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psotom
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@psotom psotom commented Jun 12, 2024

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Describe the proposed changes

Added milstein function which computes the Milstein scheme for Stochastic Differential Equations (SDEs). Additionally, examples which show the functionality of the SDE solvers are added.

Additional information

Checklist before requesting a review

  • I have performed a self-review of my code
  • The code conforms to the style used in this package
  • The code is fully documented and typed (type-checked with Mypy)
  • I have added thorough tests for the new/changed functionality

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codecov bot commented Jun 28, 2024

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 86.90%. Comparing base (73161f7) to head (9ba66a5).
Report is 30 commits behind head on develop.

Additional details and impacted files
@@             Coverage Diff             @@
##           develop     #615      +/-   ##
===========================================
+ Coverage    86.65%   86.90%   +0.24%     
===========================================
  Files          156      158       +2     
  Lines        13322    13568     +246     
===========================================
+ Hits         11544    11791     +247     
+ Misses        1778     1777       -1     

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I have tried to do a quick review, so that you can incorporate the feedback before your presentation, but I did not review the math nor the code/tests correctness.

examples/plot_langevin_dynamics.py Outdated Show resolved Hide resolved
examples/plot_langevin_dynamics.py Outdated Show resolved Hide resolved
examples/plot_langevin_dynamics.py Outdated Show resolved Hide resolved
examples/plot_langevin_dynamics.py Outdated Show resolved Hide resolved
examples/plot_langevin_dynamics.py Outdated Show resolved Hide resolved
skfda/datasets/_samples_generators.py Outdated Show resolved Hide resolved
skfda/datasets/_samples_generators.py Outdated Show resolved Hide resolved
skfda/datasets/_samples_generators.py Outdated Show resolved Hide resolved
and Postintervention in Structural Equation Models. PhD thesis, USA,
2020. AAI29605510
"""
random_state = validate_random_state(random_state)
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I do not have the bandwidth now to check for code correctness in depth. I will assume that Alberto has reviewed the code and tests with you thoroughly. If that is not true, please let me now to recheck it later before merging.

skfda/tests/test_milstein.py Outdated Show resolved Hide resolved
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