The SOSRI() solver for SDEProblem evaluates the drift coefficient f on time points outside of the specified timespan

[Wu-Chenyang]

Describe the bug 🐞

The SOSRI() solver for SDEProblem evaluates the drift coefficient f on time points outside of the specified timespan.

Expected behavior

The drift coefficient is expected to be evaluated only on time points within the specified timespan.

Minimal Reproducible Example 👇

julia> using DifferentialEquations
julia> solve(SDEProblem((u,p,t)->(t<0 ? error("f:$t") : t), (u, p, t)->(t<0 ? error("g:$t") : t), 0., (0.,1.), nothing), SOSRI())

Error & Stacktrace ⚠️

ERROR: f:-4.1992244213164675e-6
Stacktrace:
  [1] error(s::String)
    @ Base ./error.jl:35
  [2] #197
    @ ./REPL[60]:1 [inlined]
  [3] SDEFunction
    @ ~/.julia/packages/SciMLBase/XzPx0/src/scimlfunctions.jl:2509 [inlined]
  [4] perform_step!(integrator::StochasticDiffEq.SDEIntegrator{…}, cache::StochasticDiffEq.FourStageSRIConstantCache{…})
    @ StochasticDiffEq ~/.julia/packages/StochasticDiffEq/vo3vZ/src/perform_step/sri.jl:334
  [5] solve!(integrator::StochasticDiffEq.SDEIntegrator{…})
    @ StochasticDiffEq ~/.julia/packages/StochasticDiffEq/vo3vZ/src/solve.jl:634
  [6] __solve(prob::SDEProblem{…}, alg::SOSRI, timeseries::Vector{…}, ts::Vector{…}, ks::Nothing, recompile::Type{…}; kwargs::@Kwargs{})
    @ StochasticDiffEq ~/.julia/packages/StochasticDiffEq/vo3vZ/src/solve.jl:7
  [7] __solve (repeats 5 times)
    @ ~/.julia/packages/StochasticDiffEq/vo3vZ/src/solve.jl:1 [inlined]
  [8] #solve_call#44
    @ ~/.julia/packages/DiffEqBase/R2Vjs/src/solve.jl:634 [inlined]
  [9] solve_call
    @ ~/.julia/packages/DiffEqBase/R2Vjs/src/solve.jl:591 [inlined]
 [10] #solve_up#53
    @ ~/.julia/packages/DiffEqBase/R2Vjs/src/solve.jl:1122 [inlined]
 [11] solve_up
    @ ~/.julia/packages/DiffEqBase/R2Vjs/src/solve.jl:1101 [inlined]
 [12] #solve#51
    @ ~/.julia/packages/DiffEqBase/R2Vjs/src/solve.jl:1038 [inlined]
 [13] solve(prob::SDEProblem{…}, args::SOSRI)
    @ DiffEqBase ~/.julia/packages/DiffEqBase/R2Vjs/src/solve.jl:1028
 [14] top-level scope
    @ REPL[60]:1

Note that only the drift coefficients are evaluated on out-of-scope time points. The following code, as a contrast, is error-free.

solve(SDEProblem((u,p,t)->t, (u, p, t)->(t<0 ? error("g:$t") : t), 0., (0.,1.), nothing), SOSRI())

Environment (please complete the following information):

• Output of using Pkg; Pkg.status()

julia> using Pkg; Pkg.status()
Project test v0.1.0
Status `~/workspace/test/Project.toml`
  [0c46a032] DifferentialEquations v7.15.0

• Output of using Pkg; Pkg.status(; mode = PKGMODE_MANIFEST)

julia> using Pkg; Pkg.status(; mode = PKGMODE_MANIFEST)
Project test v0.1.0
Status `~/workspace/test/Manifest.toml`
  [47edcb42] ADTypes v1.11.0
  [7d9f7c33] Accessors v0.1.40
  [79e6a3ab] Adapt v4.1.1
  [66dad0bd] AliasTables v1.1.3
  [ec485272] ArnoldiMethod v0.4.0
  [4fba245c] ArrayInterface v7.18.0
  [4c555306] ArrayLayouts v1.11.0
  [aae01518] BandedMatrices v1.9.0
  [62783981] BitTwiddlingConvenienceFunctions v0.1.6
  [764a87c0] BoundaryValueDiffEq v5.12.0
  [56b672f2] BoundaryValueDiffEqCore v1.2.0
  [85d9eb09] BoundaryValueDiffEqFIRK v1.2.0
  [1a22d4ce] BoundaryValueDiffEqMIRK v1.2.0
  [ed55bfe0] BoundaryValueDiffEqShooting v1.2.0
  [fa961155] CEnum v0.5.0
  [2a0fbf3d] CPUSummary v0.2.6
  [d360d2e6] ChainRulesCore v1.25.1
  [fb6a15b2] CloseOpenIntervals v0.1.13
  [38540f10] CommonSolve v0.2.4
  [bbf7d656] CommonSubexpressions v0.3.1
  [f70d9fcc] CommonWorldInvalidations v1.0.0
  [34da2185] Compat v4.16.0
  [a33af91c] CompositionsBase v0.1.2
  [2569d6c7] ConcreteStructs v0.2.3
  [187b0558] ConstructionBase v1.5.8
  [adafc99b] CpuId v0.3.1
  [9a962f9c] DataAPI v1.16.0
  [864edb3b] DataStructures v0.18.20
  [e2d170a0] DataValueInterfaces v1.0.0
  [bcd4f6db] DelayDiffEq v5.52.0
  [2b5f629d] DiffEqBase v6.161.0
  [459566f4] DiffEqCallbacks v4.2.2
  [77a26b50] DiffEqNoiseProcess v5.24.0
  [163ba53b] DiffResults v1.1.0
  [b552c78f] DiffRules v1.15.1
  [0c46a032] DifferentialEquations v7.15.0
  [a0c0ee7d] DifferentiationInterface v0.6.28
  [b4f34e82] Distances v0.10.12
  [31c24e10] Distributions v0.25.116
  [ffbed154] DocStringExtensions v0.9.3
  [4e289a0a] EnumX v1.0.4
  [f151be2c] EnzymeCore v0.8.8
  [d4d017d3] ExponentialUtilities v1.27.0
  [e2ba6199] ExprTools v0.1.10
⌅ [6b7a57c9] Expronicon v0.8.5
  [9d29842c] FastAlmostBandedMatrices v0.1.4
  [7034ab61] FastBroadcast v0.3.5
  [9aa1b823] FastClosures v0.3.2
  [442a2c76] FastGaussQuadrature v1.0.2
  [29a986be] FastLapackInterface v2.0.4
  [a4df4552] FastPower v1.1.1
  [1a297f60] FillArrays v1.13.0
  [6a86dc24] FiniteDiff v2.26.2
  [f6369f11] ForwardDiff v0.10.38
  [069b7b12] FunctionWrappers v1.1.3
  [77dc65aa] FunctionWrappersWrappers v0.1.3
  [d9f16b24] Functors v0.5.2
  [46192b85] GPUArraysCore v0.2.0
  [c145ed77] GenericSchur v0.5.4
  [86223c79] Graphs v1.12.0
  [3e5b6fbb] HostCPUFeatures v0.1.17
  [34004b35] HypergeometricFunctions v0.3.25
  [615f187c] IfElse v0.1.1
  [d25df0c9] Inflate v0.1.5
  [3587e190] InverseFunctions v0.1.17
  [92d709cd] IrrationalConstants v0.2.2
  [82899510] IteratorInterfaceExtensions v1.0.0
  [692b3bcd] JLLWrappers v1.7.0
  [ccbc3e58] JumpProcesses v9.14.0
  [ef3ab10e] KLU v0.6.0
  [ba0b0d4f] Krylov v0.9.8
  [10f19ff3] LayoutPointers v0.1.17
  [5078a376] LazyArrays v2.3.1
  [2d8b4e74] LevyArea v1.0.0
  [87fe0de2] LineSearch v0.1.4
  [d3d80556] LineSearches v7.3.0
  [7ed4a6bd] LinearSolve v2.38.0
  [2ab3a3ac] LogExpFunctions v0.3.29
  [bdcacae8] LoopVectorization v0.12.171
  [d8e11817] MLStyle v0.4.17
  [1914dd2f] MacroTools v0.5.15
  [d125e4d3] ManualMemory v0.1.8
  [a3b82374] MatrixFactorizations v3.0.1
  [bb5d69b7] MaybeInplace v0.1.4
  [e1d29d7a] Missings v1.2.0
  [46d2c3a1] MuladdMacro v0.2.4
  [d41bc354] NLSolversBase v7.8.3
  [2774e3e8] NLsolve v4.5.1
  [77ba4419] NaNMath v1.0.3
⌅ [8913a72c] NonlinearSolve v3.15.1
  [be0214bd] NonlinearSolveBase v1.4.0
  [5959db7a] NonlinearSolveFirstOrder v1.2.0
  [6fe1bfb0] OffsetArrays v1.15.0
  [429524aa] Optim v1.10.0
  [bac558e1] OrderedCollections v1.7.0
  [1dea7af3] OrdinaryDiffEq v6.90.1
  [89bda076] OrdinaryDiffEqAdamsBashforthMoulton v1.1.0
  [6ad6398a] OrdinaryDiffEqBDF v1.2.0
  [bbf590c4] OrdinaryDiffEqCore v1.14.1
  [50262376] OrdinaryDiffEqDefault v1.2.0
  [4302a76b] OrdinaryDiffEqDifferentiation v1.3.0
  [9286f039] OrdinaryDiffEqExplicitRK v1.1.0
  [e0540318] OrdinaryDiffEqExponentialRK v1.2.0
  [becaefa8] OrdinaryDiffEqExtrapolation v1.3.0
  [5960d6e9] OrdinaryDiffEqFIRK v1.6.0
  [101fe9f7] OrdinaryDiffEqFeagin v1.1.0
  [d3585ca7] OrdinaryDiffEqFunctionMap v1.1.1
  [d28bc4f8] OrdinaryDiffEqHighOrderRK v1.1.0
  [9f002381] OrdinaryDiffEqIMEXMultistep v1.2.0
  [521117fe] OrdinaryDiffEqLinear v1.1.0
  [1344f307] OrdinaryDiffEqLowOrderRK v1.2.0
  [b0944070] OrdinaryDiffEqLowStorageRK v1.2.1
  [127b3ac7] OrdinaryDiffEqNonlinearSolve v1.3.0
  [c9986a66] OrdinaryDiffEqNordsieck v1.1.0
  [5dd0a6cf] OrdinaryDiffEqPDIRK v1.2.0
  [5b33eab2] OrdinaryDiffEqPRK v1.1.0
  [04162be5] OrdinaryDiffEqQPRK v1.1.0
  [af6ede74] OrdinaryDiffEqRKN v1.1.0
  [43230ef6] OrdinaryDiffEqRosenbrock v1.4.0
  [2d112036] OrdinaryDiffEqSDIRK v1.2.0
  [669c94d9] OrdinaryDiffEqSSPRK v1.2.0
  [e3e12d00] OrdinaryDiffEqStabilizedIRK v1.2.0
  [358294b1] OrdinaryDiffEqStabilizedRK v1.1.0
  [fa646aed] OrdinaryDiffEqSymplecticRK v1.1.0
  [b1df2697] OrdinaryDiffEqTsit5 v1.1.0
  [79d7bb75] OrdinaryDiffEqVerner v1.1.1
  [90014a1f] PDMats v0.11.31
  [65ce6f38] PackageExtensionCompat v1.0.2
  [d96e819e] Parameters v0.12.3
  [e409e4f3] PoissonRandom v0.4.4
  [f517fe37] Polyester v0.7.16
  [1d0040c9] PolyesterWeave v0.2.2
  [85a6dd25] PositiveFactorizations v0.2.4
  [d236fae5] PreallocationTools v0.4.24
  [aea7be01] PrecompileTools v1.2.1
  [21216c6a] Preferences v1.4.3
  [43287f4e] PtrArrays v1.2.1
  [1fd47b50] QuadGK v2.11.1
  [74087812] Random123 v1.7.0
  [e6cf234a] RandomNumbers v1.6.0
  [3cdcf5f2] RecipesBase v1.3.4
  [731186ca] RecursiveArrayTools v3.27.4
  [f2c3362d] RecursiveFactorization v0.2.23
  [189a3867] Reexport v1.2.2
  [ae029012] Requires v1.3.0
  [ae5879a3] ResettableStacks v1.1.1
  [79098fc4] Rmath v0.8.0
  [7e49a35a] RuntimeGeneratedFunctions v0.5.13
  [94e857df] SIMDTypes v0.1.0
  [476501e8] SLEEFPirates v0.6.43
  [0bca4576] SciMLBase v2.70.0
  [19f34311] SciMLJacobianOperators v0.1.1
  [c0aeaf25] SciMLOperators v0.3.12
  [53ae85a6] SciMLStructures v1.6.1
  [efcf1570] Setfield v1.1.1
⌅ [727e6d20] SimpleNonlinearSolve v1.12.3
  [699a6c99] SimpleTraits v0.9.4
  [ce78b400] SimpleUnPack v1.1.0
  [a2af1166] SortingAlgorithms v1.2.1
  [9f842d2f] SparseConnectivityTracer v0.6.9
  [47a9eef4] SparseDiffTools v2.23.1
  [0a514795] SparseMatrixColorings v0.4.10
  [e56a9233] Sparspak v0.3.9
  [276daf66] SpecialFunctions v2.5.0
  [aedffcd0] Static v1.1.1
  [0d7ed370] StaticArrayInterface v1.8.0
  [90137ffa] StaticArrays v1.9.10
  [1e83bf80] StaticArraysCore v1.4.3
  [10745b16] Statistics v1.11.1
  [82ae8749] StatsAPI v1.7.0
  [2913bbd2] StatsBase v0.34.4
  [4c63d2b9] StatsFuns v1.3.2
  [9672c7b4] SteadyStateDiffEq v2.4.1
  [789caeaf] StochasticDiffEq v6.72.1
  [7792a7ef] StrideArraysCore v0.5.7
  [c3572dad] Sundials v4.26.1
  [2efcf032] SymbolicIndexingInterface v0.3.37
  [3783bdb8] TableTraits v1.0.1
  [bd369af6] Tables v1.12.0
  [8290d209] ThreadingUtilities v0.5.2
  [a759f4b9] TimerOutputs v0.5.26
  [d5829a12] TriangularSolve v0.2.1
  [781d530d] TruncatedStacktraces v1.4.0
  [3a884ed6] UnPack v1.0.2
  [3d5dd08c] VectorizationBase v0.21.71
  [19fa3120] VertexSafeGraphs v0.2.0
  [1d5cc7b8] IntelOpenMP_jll v2024.2.1+0
  [856f044c] MKL_jll v2024.2.0+0
  [efe28fd5] OpenSpecFun_jll v0.5.6+0
  [f50d1b31] Rmath_jll v0.5.1+0
⌅ [fb77eaff] Sundials_jll v5.2.3+0
  [1317d2d5] oneTBB_jll v2021.12.0+0
  [0dad84c5] ArgTools v1.1.2
  [56f22d72] Artifacts v1.11.0
  [2a0f44e3] Base64 v1.11.0
  [ade2ca70] Dates v1.11.0
  [8ba89e20] Distributed v1.11.0
  [f43a241f] Downloads v1.6.0
  [7b1f6079] FileWatching v1.11.0
  [9fa8497b] Future v1.11.0
  [b77e0a4c] InteractiveUtils v1.11.0
  [4af54fe1] LazyArtifacts v1.11.0
  [b27032c2] LibCURL v0.6.4
  [76f85450] LibGit2 v1.11.0
  [8f399da3] Libdl v1.11.0
  [37e2e46d] LinearAlgebra v1.11.0
  [56ddb016] Logging v1.11.0
  [d6f4376e] Markdown v1.11.0
  [a63ad114] Mmap v1.11.0
  [ca575930] NetworkOptions v1.2.0
  [44cfe95a] Pkg v1.11.0
  [de0858da] Printf v1.11.0
  [9a3f8284] Random v1.11.0
  [ea8e919c] SHA v0.7.0
  [9e88b42a] Serialization v1.11.0
  [1a1011a3] SharedArrays v1.11.0
  [6462fe0b] Sockets v1.11.0
  [2f01184e] SparseArrays v1.11.0
  [4607b0f0] SuiteSparse
  [fa267f1f] TOML v1.0.3
  [a4e569a6] Tar v1.10.0
  [8dfed614] Test v1.11.0
  [cf7118a7] UUIDs v1.11.0
  [4ec0a83e] Unicode v1.11.0
  [e66e0078] CompilerSupportLibraries_jll v1.1.1+0
  [deac9b47] LibCURL_jll v8.6.0+0
  [e37daf67] LibGit2_jll v1.7.2+0
  [29816b5a] LibSSH2_jll v1.11.0+1
  [c8ffd9c3] MbedTLS_jll v2.28.6+0
  [14a3606d] MozillaCACerts_jll v2023.12.12
  [4536629a] OpenBLAS_jll v0.3.27+1
  [05823500] OpenLibm_jll v0.8.1+2
  [bea87d4a] SuiteSparse_jll v7.7.0+0
  [83775a58] Zlib_jll v1.2.13+1
  [8e850b90] libblastrampoline_jll v5.11.0+0
  [8e850ede] nghttp2_jll v1.59.0+0
  [3f19e933] p7zip_jll v17.4.0+2
Info Packages marked with ⌅ have new versions available but compatibility constraints restrict them from upgrading. To see why use `status --outdated -m`

• Output of versioninfo()

julia> versioninfo()
Julia Version 1.11.2
Commit 5e9a32e7af2 (2024-12-01 20:02 UTC)
Build Info:
  Official https://julialang.org/ release
Platform Info:
  OS: Linux (x86_64-linux-gnu)
  CPU: 16 × Intel(R) Xeon(R) CPU E5-2620 v4 @ 2.10GHz
  WORD_SIZE: 64
  LLVM: libLLVM-16.0.6 (ORCJIT, broadwell)
Threads: 1 default, 0 interactive, 1 GC (on 16 virtual cores)
Environment:
  LD_LIBRARY_PATH = :/home/wucy/.mujoco/mujoco210/bin:/usr/lib/nvidia:/usr/lib/x86_64-linux-gnu/libGLEW.so:/home/wucy/.mujoco/mujoco210/bin:/usr/lib/nvidia:/usr/lib/x86_64-linux-gnu/libGLEW.so
  JULIA_EDITOR = vim

Additional context

Add any other context about the problem here.