Replace `trapezoidal_approx` with integrated Brownian bridge for speed

google-research / torchsde

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

Apache License 2.0

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Closed lxuechen closed 3 years ago

lxuechen commented 3 years ago

Prototype here

patrick-kidger commented 3 years ago

Resolved in #19, as trapezoidal_approx no longer exists.