HighDimPDE.jl

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Replace "map do" with Ensemble Simulations for DeepBSDE solver.

8

ashutosh-b-b

https://github.com/SciML/NeuralPDE.jl/issues/536

vboussange

Generalize Deep Splitting Algorithm

2

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...

ChrisRackauckas

https://github.com/SciML/NeuralPDE.jl/issues/514

ChrisRackauckas

For now gradients `∇v_y,∇v_z` cannot be used in the nonlinear function ``` f(y,z,v_y,v_z,∇v_y,∇v_z, p, t) ``` Uncommenting those two line https://github.com/vboussange/HighDimPDE.jl/blob/21a25b7f13f15332a1b5872961315b7bcedc5a5b/src/DeepSplitting.jl#L92-L93 should make this work. Nonetheless, possibly because of issue...

vboussange

This PR adds `HighDimPDE_reflect_outs`, another implementation of `HighDimPDE._reflect`/`HighDimPDE._reflect_GPU`, which computes `out` (`out1` and `out2`) along with `rtemp`/`rmin` exclusively from indices of `b` where it "lies outside the boundary of `[s,e]^d`"....

elisno

## Checklist - [x] Appropriate tests were added - [x] Any code changes were done in a way that does not break public API - [ ] All documentation related...

leo-ai-for-trading

Update the documentation setup

2

This sets everything up as built doc examples, splits tutorials from examples, adds more informative titles, and sets up buildkite

ChrisRackauckas

This pull request changes the compat entry for the `HighDimPDE` package from `2` to `2, 1` for package docs. This keeps the compat entries for earlier versions. Note: I have...

github-actions[bot]

**Describe the bug 🐞** The format check fails because it tries to format the `docs/` directory. We should exclude it and limit to `src` and `test` directories only. **Expected behavior**...

ashutosh-b-b