search

google-research / torchsde

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
Apache License 2.0
1.51k stars 194 forks source link

how to perform the sde with decreasing time #115

Closed Jarvisarmy closed 1 year ago

Jarvisarmy commented 2 years ago

When I run the default sdeint, it says "evaluation times 'ts' must be strictly increasing", is there any setting or solver that can be used to solve the problem with decreasing time.

Jarvisarmy commented 2 years ago

I figure out I can pass in the increasing time, and modify the time in f and g.

lxuechen commented 1 year ago

Exactly, say you'd like to solve from t1 backwards to t0, where t1 > t0.

You could solve another SDE from -t1 to -t0, where the new f and g functions internally negates the time.