Change the ordering of the state-space model (#305)

* Change the ordering of the state-space model: reorder the Kronecker

* Fix the Kronecker vectrick to do the correct thing

* Test the ldiv trick and fix it

* Make Kronecker h/v/hvcattable and change SolProj object

* Simplify and fix things that relied on the previous more complicated stuff

* JuliaFormatter.jl

* Check that ldiv actually works

* Fix some issues with the prior tests

* Fix more stuff in the diffusion

* Make the kronecker.jl file diff smaller

* Fix more kronecker vec trick issues

* Rename BlockDiag into BlocksOfDiagonals, as that's what it is now

* Make BlocksOfDiagonals work OK

* Fix the update and smooth parts

* Implement hcat and vcat. THIS FIXES 2nd ORDER ODES!

* Add the DiagonalEK1 back into the tests!

* Add the BlockArrays extension that replaces the BlockDiagonal one

* Fix more tests

* JuliaFormatter.jl

* Reduce the prior diff again

* Add DiagonalEK1 to second order ODE tests

* Fix the second order ODE tests

* Add a BlocksOfDiagonals docstring

Project.toml

@@ -35,18 +35,18 @@ TaylorSeries = "6aa5eb33-94cf-58f4-a9d0-e4b2c4fc25ea"
 ToeplitzMatrices = "c751599d-da0a-543b-9d20-d0a503d91d24"
 
 [weakdeps]
-BlockDiagonals = "0a1fb500-61f7-11e9-3c65-f5ef3456f9f0"
+BlockArrays = "8e7c35d0-a365-5155-bbbb-fb81a777f24e"
 DiffEqDevTools = "f3b72e0c-5b89-59e1-b016-84e28bfd966d"
 RecipesBase = "3cdcf5f2-1ef4-517c-9805-6587b60abb01"
 
 [extensions]
-BlockDiagonalsExt = "BlockDiagonals"
+BlockArraysExt = "BlockArrays"
 DiffEqDevToolsExt = "DiffEqDevTools"
 RecipesBaseExt = "RecipesBase"
 
 [compat]
 ArrayAllocators = "0.3"
-BlockDiagonals = "0.1"
+BlockArrays = "0.16"
 DiffEqBase = "6.122"
 DiffEqCallbacks = "2.36, 3"
 DiffEqDevTools = "2"

ext/BlockArraysExt.jl

@@ -0,0 +1,13 @@
+module BlockArraysExt
+
+import ProbNumDiffEq: BlocksOfDiagonals
+import BlockArrays: BlockArray, mortar
+import LinearAlgebra: Diagonal
+
+BlockArray(M::BlocksOfDiagonals) = begin
+    d = length(M.blocks)
+    a, b = size(M.blocks[1])
+    return mortar([Diagonal([M.blocks[k][i, j] for k in 1:d]) for i in 1:a, j in 1:b])
+end
+
+end

src/ProbNumDiffEq.jl

@@ -62,7 +62,7 @@ add!(out, toadd) = (out .+= toadd)
 
 include("fast_linalg.jl")
 include("kronecker.jl")
-include("blockdiagonals.jl")
+include("blocksofdiagonals.jl")
 include("covariance_structure.jl")
 export IsometricKroneckerCovariance, DenseCovariance, BlockDiagonalCovariance