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Releases: riberaborrell/sde-importance-sampling

v1.0.0

08 Jun 09:01

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  • code refactoring
  • sampling notation changed
  • stochastic gradient based methods re-structured

v0.1.0

08 Jun 08:54

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v0.1.0 Pre-release
Pre-release

importance sampling strategies for metastable diffusion processes

  • Monte Carlo sampling
  • Adapted metadynamics algorithm for path dependent problems
  • Finite differences solver of the associated HJB equation
  • Importance sampling given a control (null, random, meta, hjb)
  • Related stochastic optimization control (SOC) problem with different control representations (ansatz type and neural networks) and different initializations (null, random, meta, hjb)