neurai.math.sde package#

Submodules#

class neurai.math.sde.heun.Heun(differential_eq, diffusions_eq, noise_key=Array([0, 0], dtype=uint32), dt=0.1)#

Bases: SDESolver

Heun method for SDE.

Parameters:

  • differential_eq (Callable) – the differential equation

  • diffusions_eq (Callable) – the diffusion function

  • noise_key (PRNGKey, optional) – the key for noise, by default PRNGKey(0)

  • dt (float, optional) – the step size, by default 0.1

class neurai.math.sde.mislteain.Mislteain(differential_eq, diffusions_eq, noise_key=Array([0, 0], dtype=uint32), dt=0.1)#

Bases: SDESolver

Milsteain method for SDE.

Parameters:

  • differential_eq (Callable) – the differential equation

  • diffusions_eq (Callable) – the diffusion function

  • noise_key (PRNGKey, optional) – the key for noise, by default PRNGKey(0)

  • dt (float, optional) – the step size, by default 0.1

class neurai.math.sde.sde.SDESolver(differential_eq, diffusions_eq, noise_key=Array([0, 0], dtype=uint32), dt=0.1)#

Bases: Solver

Numerical solvers for Stochastic Differential Equations (SDEs)

Parameters:

  • differential_eq (Callable) – the differential equations

  • diffusions_eq (Callable) – the diffusion function

  • dt (float, optional) – the step size, by default 0.1

  • noise_key (PRNGKey) –

neurai.math.sde.sde.register_sde_solver(name, sdesolver)#

Register a new sde solver

Parameters:

  • name (SolverMethodSDE) – the name of solver method for SDE

  • sdesolver (SDE) – the solver of sdes

neurai.math.sde.sde.sde_solve(method=None, differential_eq=None, diffusions_eq=None, dt=None, **kwargs)#

Instantiate a numerical solver for SDEs.

Parameters:

  • method (SolverMethodSDE, optional) – the method name for solving differential equations, by default None

  • differential_eq (Callable, optional) – the differential equation, by default None

  • diffusions_eq (Callable) – the diffusion function, by default None

  • dt (float, optional) – the step size, by default None

Returns:

diffeq_solve (SDESolver)

Module contents#