Merge pull request #3084 from ArnoStrouwen/docs2

Rewrite of SDE tutorial

Author: ChrisRackauckas

docs/src/tutorials/stochastic_diffeq.md

@@ -1,38 +1,94 @@
 # Modeling with Stochasticity
 
-All models with `ODESystem` are deterministic. `SDESystem` adds another element
-to the model: randomness. This is a
+All previous differential equations tutorials deal with deterministic `ODESystem`s.
+In this tutorial, we add randomness.
+In particular, we show how to represent a
 [stochastic differential equation](https://en.wikipedia.org/wiki/Stochastic_differential_equation)
-which has a deterministic (drift) component and a stochastic (diffusion)
-component. Let's take the Lorenz equation from the first tutorial and extend
-it to have multiplicative noise by creating `@brownian` variables in the equations.
+as a `SDESystem`.
+
+!!! note
+    
+    The high level `@mtkmodel` macro used in the
+    [getting started tutorial](@ref getting_started)
+    is not yet compatible with `SDESystem`.
+    We thus have to use a lower level interface to define stochastic differential equations.
+    For an introduction to this interface, read the
+    [programmatically generating ODESystems tutorial](@ref programmatically).
+
+Let's take the Lorenz equation and add noise to each of the states.
+To show the flexibility of ModelingToolkit,
+we do not use homogeneous noise, with constant variance,
+but instead use heterogeneous noise,
+where the magnitude of the noise scales with (0.3 times) the magnitude of each of the states:
+
+```math
+\begin{aligned}
+\frac{dx}{dt} &= (\sigma (y-x))  &+ 0.1x\frac{dB}{dt} \\
+\frac{dy}{dt} &= (x(\rho-z) - y) &+ 0.1y\frac{dB}{dt}  \\
+\frac{dz}{dt} &= (xy - \beta z)  &+ 0.1z\frac{dB}{dt}  \\
+\end{aligned}
+```
+
+Where $B$, is standard Brownian motion, also called the
+[Wiener process](https://en.wikipedia.org/wiki/Wiener_process).
+We use notation similar to the
+[Langevin equation](https://en.wikipedia.org/wiki/Stochastic_differential_equation#Use_in_physics),
+often used in physics.
+By "multiplying" the equations by $dt$, the notation used in
+[probability theory](https://en.wikipedia.org/wiki/Stochastic_differential_equation#Use_in_probability_and_mathematical_finance)
+can be recovered.
+
+We use this Langevin-like notation because it allows us to extend MTK modeling capacity from ODEs to SDEs,
+using only a single new concept, `@brownian` variables, which represent $\frac{dB}{dt}$ in the above equation.
 
 ```@example SDE
 using ModelingToolkit, StochasticDiffEq
 using ModelingToolkit: t_nounits as t, D_nounits as D
+using Plots
 
-# Define some variables
-@parameters σ ρ β
-@variables x(t) y(t) z(t)
-@brownian a
-eqs = [D(x) ~ σ * (y - x) + 0.1a * x,
-    D(y) ~ x * (ρ - z) - y + 0.1a * y,
-    D(z) ~ x * y - β * z + 0.1a * z]
+@parameters σ=10.0 ρ=2.33 β=26.0
+@variables x(t)=5.0 y(t)=5.0 z(t)=1.0
+@brownian B
+eqs = [D(x) ~ σ * (y - x) + 0.3x * B,
+    D(y) ~ x * (ρ - z) - y + 0.3y * B,
+    D(z) ~ x * y - β * z + 0.3z * B]
 
 @mtkbuild de = System(eqs, t)
+```
+
+Even though we did not explicitly use `SDESystem`, ModelingToolkit can still infer this from the equations.
+
+```@example SDE
+typeof(de)
+```
+
+We continue by solving and plotting the SDE.
+
+```@example SDE
+prob = SDEProblem(de, [], (0.0, 100.0), [])
+sol = solve(prob, SRIW1())
+plot(sol, idxs = [(1, 2, 3)])
+```
 
-u0map = [
-    x => 1.0,
-    y => 0.0,
-    z => 0.0
-]
+The noise present in all 3 equations is correlated, as can be seen on the below figure.
+The figure also shows the multiplicative nature of the noise.
+Because states `x` and `y` generally take on larger values,
+the noise also takes on a more pronounced effect on these states compared to the state `z`.
 
-parammap = [
-    σ => 10.0,
-    β => 26.0,
-    ρ => 2.33
-]
+```@example SDE
+plot(sol)
+```
+
+If you want uncorrelated noise for each equation,
+multiple `@brownian` variables have to be declared.
 
-prob = SDEProblem(de, u0map, (0.0, 100.0), parammap)
-sol = solve(prob, LambaEulerHeun())
+```@example SDE
+@brownian Bx By Bz
+eqs = [D(x) ~ σ * (y - x) + 0.3x * Bx,
+    D(y) ~ x * (ρ - z) - y + 0.3y * By,
+    D(z) ~ x * y - β * z + 0.3z * Bz]
+@mtkbuild de = System(eqs, t)
+prob = SDEProblem(de, [], (0.0, 100.0), [])
+sol = solve(prob, SRIW1())
+plot(sol)
 ```