fix: set max time span to 1e16 for CoupledSDEs (#230)

* fix: set max time span to 1e6 for CoupledSDEs

* fix approximate covariance test

* tag patch version

Author: oameye

Project.toml

@@ -1,7 +1,7 @@
 name = "DynamicalSystemsBase"
 uuid = "6e36e845-645a-534a-86f2-f5d4aa5a06b4"
 repo = "https://github.com/JuliaDynamics/DynamicalSystemsBase.jl.git"
-version = "3.12.1"
+version = "3.12.2"
 
 [deps]
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"

ext/src/CoupledSDEs.jl

@@ -51,7 +51,7 @@ function DynamicalSystemsBase.CoupledSDEs(
         f,
         g,
         s,
-        (T(t0), T(Inf)),
+        (T(t0), T(1e11)),
         p;
         noise_rate_prototype=noise_prototype,
         noise=noise_process,

test/stochastic.jl

@@ -1,6 +1,6 @@
 using DynamicalSystemsBase, Test
 using OrdinaryDiffEq: Tsit5
-using StochasticDiffEq: SDEProblem, SRA, SOSRA, LambaEM, CorrelatedWienerProcess
+using StochasticDiffEq: SDEProblem, SRA, SOSRA, LambaEM, CorrelatedWienerProcess, EM
 
 StochasticSystemsBase = Base.get_extension(DynamicalSystemsBase, :StochasticSystemsBase)
 diffusion_matrix = StochasticSystemsBase.diffusion_matrix
@@ -148,10 +148,11 @@ end
     @testset "approximate cov" begin
         Γ = [1.0 0.3; 0.3 1]
         f(u, p, t) = [0.0, 0.0]
+        diffeq_cov = (alg = EM(), abstol = 1e-2, reltol = 1e-2, dt=0.1)
+
         ds = CoupledSDEs(f, zeros(2), (); covariance = Γ, diffeq=diffeq_cov)
-        tr, _ = trajectory(ds, 1_000)
-        approx = cov(diff(reduce(hcat, tr.data), dims=2), dims=2)
-        @test approx ≈ Γ atol=1e-1 broken = true
-        # I think I understand something wromg here
+        tr, _ = trajectory(ds, 10_000, Δt=0.1)
+        approx = cov(diff(reduce(hcat, tr.data), dims=2)./sqrt(0.1), dims=2)
+        @test approx ≈ Γ atol=1e-1
     end
 end