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Published 20 hours ago • verified publisher icon SciML

Integrate `NNStopping` and `NNKolmogorov ` in HighDimPDE.jl

Open vboussange opened this issue 2 years ago • 3 comments

NeuralPDE.KolmogorovPDEProblem, documented in

  • https://neuralpde.sciml.ai/dev/solvers/kolmogorovbackwards_solver/
  • https://neuralpde.sciml.ai/dev/examples/kolmogorovbackwards/

are HighDimPDE.PIDEProblem where the nonlinear term is 0. Associated code and documentation should be migrated to HighDimPDE.jl, which is a more appropriate package to host those types of problem.

Similarly, the optimal stopping problem solver NeuralPDE.NNStopping, documented in

  • https://neuralpde.sciml.ai/dev/solvers/optimal_stopping/
  • https://neuralpde.sciml.ai/dev/examples/optimal_stopping_american/

should be transferred to HighDimPDE.jl.

vboussange avatar Jun 23 '22 14:06 vboussange

@vboussange which can I help with it issue?

KirillZubov avatar Jun 27 '22 15:06 KirillZubov

@KirillZubov yes, it would be great! I have not started any of those. You could try to implement KolmogorovPDEProblem and NNStopping on the branch https://github.com/SciML/HighDimPDE.jl/tree/NeuralPDE_integration, as well as transferring the documentation.

vboussange avatar Jun 28 '22 06:06 vboussange

ok, I will do it

KirillZubov avatar Jun 28 '22 12:06 KirillZubov