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We just open-sourced differentiable SDE solvers in PyTorch:
https://t.co/v1f08mjgCq
Now you can put stochastic differential equations in your deep learning models, and neural nets in your SDEs! Credit to @lxuechen.
Training Neural SDEs: We worked out how to do scalable reverse-mode autodiff for stochastic differential equations. This lets us fit SDEs defined by neural nets with black-box adaptive higher-order solvers.
https://t.co/9Wc6d0Vjbt
With @lxuechen, @rtqichen and @wongtkleonard.