Comments (2)
One thing you could try is to switch to Diffrax. By taking advantage of JAX's JIT compiler, then this can sometimes be substantially faster than torchsde. (Probably due to reduced Python overhead and fewer memory allocations.)
In particular you can find an SDE-GAN example in the documentation here.
Other than that, I don't have any strong recommendations. Neural SDEs were a topic we never really finished with. I think maximising computational efficiency (amongst other things) remains an open research question for them.
from torchsde.
Thanks,that's helpful, I'll refer to that
from torchsde.
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from torchsde.