Ella Maija Tamir

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

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. These methods are general-purpose and used with parametric and non-parametric models, and neural SDEs. Stochastic Runge–Ku…