Error in long simulation about torchsde HOT 5 CLOSED

In the file supplied, if you change sim_duration at line 35 from 20 to 1 you exactly recover the example you supplied and it runs with no problems.

from torchsde.

This occurs when trying to solve over a long time interval with a small dt.

You can resolve it by doing import sys; sys.setrecursionlimit(5000). (Or generally some big number -- 1000 is the default.)

It's possible to resolve this more elegantly at the library level, I just haven't gotten around to implementing it yet.

from torchsde.

It does extends the simulation time. Thank you, and it is a good opportunity to thank you in general for this novel project.

Getting back to the subject, the value of dt is internally defined in your library, right?
The input time-vector to sdeint is made of queries times, which do not affect the internal dt value, correct?

Thanks

from torchsde.

Thank you for your kind words.

dt is a separate argument to sdeint and sdeint_adjoint. It has a default value, but it's usually best to set it yourself, as reasonable values can be quite different depending on the problem.

from torchsde.

Thank you

from torchsde.