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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.
The text was updated successfully, but these errors were encountered:
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.
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.
The text was updated successfully, but these errors were encountered: