Showing 1 open source project for "white noise generator"

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    PyTorch Implementation of SDE Solvers

    PyTorch Implementation of SDE Solvers

    Differentiable SDE solvers with GPU support and efficient sensitivity

    This library provides stochastic differential equation (SDE) solvers with GPU support and efficient backpropagation. examples/demo.ipynb gives a short guide on how to solve SDEs, including subtle points such as fixing the randomness in the solver and the choice of noise types. examples/latent_sde.py learns a latent stochastic differential equation, as in Section 5 of [1]. The example fits an SDE to data, whilst regularizing it to be like an Ornstein-Uhlenbeck prior process. The model can...
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