patrick-kidger
Interest in new solvers
I have two classes of solvers I'm implementing with diffrax which I thought could be good to actually just put in diffrax, but I wanted to check if there was interest in having them in diffrax before I go through the process to get them ready for a PR.
First are some high weak order SDE solvers (Fixed step weak order 2.0 for Ito SDE solvers, e.g. SIEA etc. from https://docs.sciml.ai/DiffEqDocs/stable/solvers/sde_solve/)
Second are some diffusion model specific solvers (e.g. https://arxiv.org/abs/2105.14080). These come in two flavors: solvers that are applicable to general SDEs (or general SDEs of a certain type of noise) but perform well/better on diffusion models and solvers that are specific to (reverse) diffusion processes.
Would any subset of these be interesting to have in diffrax?
Definitely!
We'd need to think about how to correctly express solvers that are specific to certain diffusion processes, I suspect. Ideally these would throw an error if misused. (That's not crucial though.)
Awesome, I think I have 3 open PRs right now 😅 , so that should give some time to get things into a presentable shape (and think on solver representation for specific diffusion processes)
Closing to open more specific issues as we work on getting these solvers in (e.g. https://github.com/patrick-kidger/diffrax/issues/481)