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Use 100 ULP's to clip timesteps close to t1 #660

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Merged
patrick-kidger merged 5 commits into from
Aug 2, 2025
Merged

Use 100 ULP's to clip timesteps close to t1 #660

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e8efca1
Use 100 ULP's to clip timesteps close to t1
jpbrodrick89 Jun 27, 2025
f2d1fc3
test that t1-t0 > 100 ULP's
jpbrodrick89 Jun 28, 2025
e150865
revert testing as t1 is traced
jpbrodrick89 Jun 28, 2025
672fafa
remove unnecessary pyright ignores
jpbrodrick89 Jul 14, 2025
a388a93
Merge branch 'dev' into jpb/ulp
jpbrodrick89 Jul 30, 2025
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19 changes: 10 additions & 9 deletions diffrax/_integrate.py
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Original file line number Diff line number Diff line change
Expand Up @@ -263,15 +263,11 @@ def _save(
)


def _clip_to_end(tprev, tnext, t1, keep_step):
# The tolerance means that we don't end up with too-small intervals for
# dense output, which then gives numerically unstable answers due to floating
def _clip_to_end(tprev, tnext, t1, t1_clip_floor, keep_step):
# The tolerance of ~100 ULP's means that we don't end up with too-small intervals
# for dense output, which then gives numerically unstable answers due to floating
# point errors.
if tnext.dtype is jnp.dtype("float64"):
tol = 1e-10
else:
tol = 1e-6
clip = tnext > t1 - tol
clip = tnext > t1_clip_floor
tclip = jnp.where(keep_step, t1, tprev + 0.5 * (t1 - tprev))
return jnp.where(clip, tclip, tnext)

Expand Down Expand Up @@ -308,6 +304,11 @@ def loop(
outer_while_loop,
progress_meter,
):
# Calculate in advance t1 - 100 ULP's: the threshold at which to round tnext to t1
t1_clip_floor = t1
for _ in range(100):
t1_clip_floor = eqxi.prevbefore(t1_clip_floor)

if saveat.dense:
dense_ts = init_state.dense_ts
dense_ts = dense_ts.at[0].set(t0)
Expand Down Expand Up @@ -397,7 +398,7 @@ def body_fun_aux(state):
#

tprev = jnp.minimum(tprev, t1)
tnext = _clip_to_end(tprev, tnext, t1, keep_step)
tnext = _clip_to_end(tprev, tnext, t1, t1_clip_floor, keep_step)

progress_meter_state = progress_meter.step(
state.progress_meter_state, linear_rescale(t0, tprev, t1)
Expand Down
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