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PyTorch Implementation of SDE Solvers
Differentiable SDE solvers with GPU support and efficient sensitivity
... be loosely viewed as a variational autoencoder with its prior and approximate posterior being SDEs. The program outputs figures to the path specified by <TRAIN_DIR>. Training should stabilize after 500 iterations with the default hyperparameters. examples/sde_gan.py learns an SDE as a GAN, as in [2], [3]. The example trains an SDE as the generator of a GAN, whilst using a neural CDE [4] as the discriminator.
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