patrick-kidger / patrick-kidger/diffrax
Vector of Wiener processes
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- Dominant language
- Python
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Description
I want to try and use diffrax to simulate some correlated ("directional") noise in a 3D oscillator i.e. solving the following SDEs
I couldn’t parse from the docs what kind of solver would treat the noise term as a matrix and the dW term as a vector of Wiener processes, at the same time.
Does diffrax have such a solver / can I build one from what diffrax offers?
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start with the Diffrax documentation and the solver-related material to determine whether a matrix noise term and vector of Wiener processes are already supported. Done means establishing whether an existing solver applies, or documenting a concrete implementation path using the capabilities Diffrax exposes.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python
- Domain
- backend
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100