Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

https://github.com/google-research/torchsde

GitHub – google-research/torchsde: Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
Examples. demo.ipynb in the examples folder is a short guide on how one may use the codebase for solving SDEs without considering gradient computation. It covers subtle points such as fixing the randomness in the solver and the consequence of noise types.Unlike with ordinary differential equation (ODE), where general high-order solvers can be applied, the numerical efficiency of SDE solvers …
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