Solving Stochastic Differential Equations (SDE) in R with diffeqr

1D SDEs

Solving stochastic differential equations (SDEs) is the similar to ODEs. To solve an SDE, you use diffeqr::sde.solve and give two functions: f and g, where du = f(u,t)dt + g(u,t)dW_t

de <- diffeqr::diffeq_setup()
f <- function(u,p,t) {
  return(1.01*u)
}
g <- function(u,p,t) {
  return(0.87*u)
}
u0 <- 1/2
tspan <- list(0.0,1.0)
prob <- de$SDEProblem(f,g,u0,tspan)
sol <- de$solve(prob)
udf <- as.data.frame(t(sapply(sol$u,identity)))
plotly::plot_ly(udf, x = sol$t, y = sol$u, type = 'scatter', mode = 'lines')

geometric_sdes

Systems of Diagonal Noise SDEs

Let’s add diagonal multiplicative noise to the Lorenz attractor. diffeqr defaults to diagonal noise when a system of equations is given. This is a unique noise term per system variable. Thus we generalize our previous functions as follows:

f <- function(u,p,t) {
  du1 = p[1]*(u[2]-u[1])
  du2 = u[1]*(p[2]-u[3]) - u[2]
  du3 = u[1]*u[2] - p[3]*u[3]
  return(c(du1,du2,du3))
}
g <- function(u,p,t) {
  return(c(0.3*u[1],0.3*u[2],0.3*u[3]))
}
u0 <- c(1.0,0.0,0.0)
tspan <- c(0.0,1.0)
p <- c(10.0,28.0,8/3)
prob <- de$SDEProblem(f,g,u0,tspan,p)
sol <- de$solve(prob,saveat=0.005)
udf <- as.data.frame(t(sapply(sol$u,identity)))
plotly::plot_ly(udf, x = ~V1, y = ~V2, z = ~V3, type = 'scatter3d', mode = 'lines')

Using a JIT compiled function for the drift and diffusion functions can greatly enhance the speed here. With the speed increase we can comfortably solve over long time spans:

tspan <- c(0.0,100.0)
prob <- de$SDEProblem(f,g,u0,tspan,p)
fastprob <- diffeqr::jitoptimize_sde(de,prob)
sol <- de$solve(fastprob,saveat=0.005)
udf <- as.data.frame(t(sapply(sol$u,identity)))
plotly::plot_ly(udf, x = ~V1, y = ~V2, z = ~V3, type = 'scatter3d', mode = 'lines')

stochastic_lorenz Let’s see how much faster the JIT-compiled version was:

> system.time({ for (i in 1:5){ de$solve(prob    ) }})
   user  system elapsed
 146.40    0.75  147.22
> system.time({ for (i in 1:5){ de$solve(fastprob) }})
   user  system elapsed
   1.07    0.10    1.17

Holy Monster’s Inc. that’s about 145x faster.

Systems of SDEs with Non-Diagonal Noise

In many cases you may want to share noise terms across the system. This is known as non-diagonal noise. The DifferentialEquations.jl SDE Tutorial explains how the matrix form of the diffusion term corresponds to the summation style of multiple Wiener processes. Essentially, the row corresponds to which system the term is applied to, and the column is which noise term. So du[i,j] is the amount of noise due to the jth Wiener process that’s applied to u[i]. We solve the Lorenz system with correlated noise as follows:

f <- JuliaCall::julia_eval("
function f(du,u,p,t)
  du[1] = 10.0*(u[2]-u[1])
  du[2] = u[1]*(28.0-u[3]) - u[2]
  du[3] = u[1]*u[2] - (8/3)*u[3]
end")
g <- JuliaCall::julia_eval("
function g(du,u,p,t)
  du[1,1] = 0.3u[1]
  du[2,1] = 0.6u[1]
  du[3,1] = 0.2u[1]
  du[1,2] = 1.2u[2]
  du[2,2] = 0.2u[2]
  du[3,2] = 0.3u[2]
end")
u0 <- c(1.0,0.0,0.0)
tspan <- c(0.0,100.0)
noise_rate_prototype <- matrix(c(0.0,0.0,0.0,0.0,0.0,0.0), nrow = 3, ncol = 2)

JuliaCall::julia_assign("u0", u0)
JuliaCall::julia_assign("tspan", tspan)
JuliaCall::julia_assign("noise_rate_prototype", noise_rate_prototype)
prob <- JuliaCall::julia_eval("SDEProblem(f, g, u0, tspan, p, noise_rate_prototype=noise_rate_prototype)")
sol <- de$solve(prob)
udf <- as.data.frame(t(sapply(sol$u,identity)))
plotly::plot_ly(udf, x = ~V1, y = ~V2, z = ~V3, type = 'scatter3d', mode = 'lines')

noise_corr

Here you can see that the warping effect of the noise correlations is quite visible! Note that we applied JIT compilation since it’s quite necessary for any difficult stochastic example.