Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Generalize Deep Splitting Algorithm #5

Open
ChrisRackauckas opened this issue Oct 2, 2021 · 2 comments
Open

Generalize Deep Splitting Algorithm #5

ChrisRackauckas opened this issue Oct 2, 2021 · 2 comments

Comments

@ChrisRackauckas
Copy link
Member

https://github.com/vboussange/HighDimPDE.jl/blob/main/src/DeepSplitting.jl#L110

This is hardcoded to Euler-Maruyama. This could potentially be improved by making this use StochasticDiffEq to generalize the time stepping algorithms which could be used. It would be interesting research wise to just see whether a higher order method with a larger dt ends up being more efficient here.

@ChrisRackauckas
Copy link
Member Author

Could multilevel Picard be generalized as well?

https://github.com/vboussange/HighDimPDE.jl/blob/main/src/MLP.jl#L263

I don't know that one as much.

@vboussange
Copy link
Collaborator

vboussange commented Jun 10, 2022

Both are interesting ideas. MLP could potentially be generalised, although I have some concerns about the numerical cost, as it heavily relies on nested calls.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

2 participants