normal-computing / thermox

Exact OU processes with JAX
Apache License 2.0
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remove comments and update README #2

Closed KaelanDt closed 8 months ago

SamDuffield commented 8 months ago

The start of the README should probably be changed to read

Standalone JAX-accelerated package to simulate Ornstein-Uhlenbeck processes

This package provides a very simple interface to simulate OU processes of the form $$ dx = - A(x - b) dt + \mathcal{N}(0, D dt) $$ To collect samples from this process, define $A, b, D$ a JAX random key as well as start position $x_0$ and sampling times $ts$. Then run the collect_samples function:

collect_samples(key, ts, x0, A, b, D=D) 

Samples are then collected by exact diagonalization (therefore there is no discretization error) and JAX scans.

SamDuffield commented 8 months ago

We can also remove the fori_loop import from sampler.py