Scalable Inference in SDEs by Direct Matching of the Fokker–Planck–Kolmogorov Equation

1 code implementation • NeurIPS 2021 • Arno Solin, Ella Maija Tamir, Prakhar Verma

Simulation-based techniques such as variants of stochastic Runge–Kutta are the de facto approach for inference with stochastic differential equations (SDEs) in machine learning.