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SciML / HighDimPDE.jl

A Julia package for Deep Backwards Stochastic Differential Equation (Deep BSDE) and Feynman-Kac methods to solve high-dimensional PDEs without the curse of dimensionality
https://docs.sciml.ai/HighDimPDE/stable/
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Integrate `NNStopping` and `NNKolmogorov ` in HighDimPDE.jl #75

Open vboussange opened 2 years ago

vboussange commented 2 years ago

NeuralPDE.KolmogorovPDEProblem, documented in

are HighDimPDE.PIDEProblem where the nonlinear term is 0. Associated code and documentation should be migrated to HighDimPDE.jl, which is a more appropriate package to host those types of problem.

Similarly, the optimal stopping problem solver NeuralPDE.NNStopping, documented in

should be transferred to HighDimPDE.jl.

KirillZubov commented 2 years ago

@vboussange which can I help with it issue?

vboussange commented 2 years ago

@KirillZubov yes, it would be great! I have not started any of those. You could try to implement KolmogorovPDEProblem and NNStopping on the branch https://github.com/SciML/HighDimPDE.jl/tree/NeuralPDE_integration, as well as transferring the documentation.

KirillZubov commented 2 years ago

ok, I will do it