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torchsde
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
Apache License 2.0
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Add falling back imports for brownian_lib
#50
dboyliao
closed
3 years ago
6
Added double adjoint
#49
patrick-kidger
closed
3 years ago
9
Latent experiment
#48
mtsokol
closed
3 years ago
10
>0.2.0 feature list
#47
patrick-kidger
opened
3 years ago
3
`dg_ga_jvp_column_sum_v2` can break
#46
patrick-kidger
closed
3 years ago
7
Bugfixes for log-ODE
#45
patrick-kidger
closed
3 years ago
2
BInterval - U fix
#44
patrick-kidger
closed
3 years ago
2
Add log-ODE scheme and simplify typing.
#43
lxuechen
closed
3 years ago
10
Binterval recursion fix
#42
patrick-kidger
closed
3 years ago
0
Support jvp term for adjoint sde.
#41
lxuechen
closed
3 years ago
1
Improved heuristic for BrownianInterval's dependency tree.
#40
patrick-kidger
closed
3 years ago
3
Euler-Heun method
#39
mtsokol
closed
3 years ago
14
Attempt to fix latent_sde
#38
mtsokol
closed
3 years ago
7
[On dev branch] Tuple rewrite
#37
lxuechen
closed
3 years ago
6
[On dev branch] New BrownianInterval hangs when `dt` is very small
#36
lxuechen
closed
3 years ago
7
Binterval improvements
#35
patrick-kidger
closed
3 years ago
0
Added BrownianReturn
#34
patrick-kidger
closed
3 years ago
1
Tweaked to not hang on adaptive solvers.
#33
patrick-kidger
closed
3 years ago
7
bumped numpy version
#32
patrick-kidger
closed
3 years ago
0
Milstein (Strat), Milstein grad-free (Ito + Strat)
#31
mtsokol
closed
3 years ago
19
New solvers
#30
patrick-kidger
opened
3 years ago
2
Use of `np.searchsorted` in `BrownianTree`.
#29
patrick-kidger
closed
3 years ago
3
BrownianInterval tests + bugfixes
#28
patrick-kidger
closed
3 years ago
8
Scalar noise SDE shape check fails
#27
lxuechen
closed
3 years ago
1
Make `dtype` of BrownianInterval constructor an optional argument
#26
lxuechen
closed
3 years ago
1
Bug in BrownianInterval
#25
lxuechen
closed
3 years ago
1
Heun's method
#24
mtsokol
closed
3 years ago
13
Further Python-end optimizations
#23
lxuechen
closed
3 years ago
2
Slight refactor, eventually
#22
patrick-kidger
opened
3 years ago
1
Add support for Stratonovich adjoint
#21
lxuechen
closed
3 years ago
24
Add efficient gdg_jvp term for log-ODE schemes.
#20
lxuechen
closed
3 years ago
3
Dev kidger2
#19
patrick-kidger
closed
3 years ago
6
Made changes in response to review
#18
patrick-kidger
closed
3 years ago
0
Continuous integration
#17
lxuechen
closed
3 years ago
0
dev-kidger
#16
patrick-kidger
closed
3 years ago
0
0.2.0 TODO list
#15
patrick-kidger
opened
3 years ago
19
Python version
#14
patrick-kidger
closed
3 years ago
3
Lots of code reuse between solvers, and between adjoint SDEs
#13
patrick-kidger
closed
3 years ago
6
Replace `trapezoidal_approx` with integrated Brownian bridge for speed
#12
lxuechen
closed
3 years ago
1
Workaround PyTorch bug #39784
#11
patrick-kidger
closed
3 years ago
0
Calling `BrownianTree` with `t > t1` returns `None`
#10
patrick-kidger
closed
3 years ago
2
Global entropy doesn't determine sampled values outside of [t0, t1] for `BrownianTree`
#9
lxuechen
closed
3 years ago
1
Operate on tensors rather than tuple-of-tensors?
#8
patrick-kidger
closed
3 years ago
3
Made `BrownianTree` deterministic wrt entropy
#7
patrick-kidger
closed
3 years ago
4
Using `names` argument without a prior drift on the SDE fails.
#6
patrick-kidger
closed
3 years ago
0
Install command fails if SSH key not set
#5
patrick-kidger
closed
3 years ago
1
PoC Heun's method
#4
mtsokol
closed
3 years ago
11
Commit "Mask out private packages." broke library import
#3
AdrienCorenflos
closed
3 years ago
6
torchsde vs DiffEqFlux.jl
#2
AdrienCorenflos
closed
3 years ago
2
Project
#1
cauangomes725
closed
3 years ago
0
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