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Differentiating convex optimization programs w.r.t. program parameters
...With the help of automatic differentiation, differentiable optimization can have a significant impact on creating end-to-end differentiable systems to model neural networks, stochasticprocesses, or a game.
Statistics and stochastic calculus for Markov processes in continuous time, include univariate and multivariate stochasticprocesses such as stochastic differential equations or diffusions (SDE's) or Levy processes.