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google-research / torchsde

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
Apache License 2.0
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Solver for "general"-type noise missing... #116

Open hanmingcr opened 2 years ago

hanmingcr commented 2 years ago

I was trying to use general noise with either sdeint or sdeint_adjoint. But I always get the error message below:

SDE has noise type general but solver only supports noise types ('additive', 'diagonal', 'scalar')

Would you mind implementing the corresponding solver?

Another question: what are the meanings of g_prod, gdg_prod and g_prod_and_gdg_prod?

Thanks