torchsde VS equinox

Github: https://github.com/google-research/torchsde

So not just that paper, but also our follow-up papers on the same topic: Neural SDEs as Infinite-Dimensional GANs Efficient and Accurate Gradients for Neural SDEs are in fact implemented in PyTorch, specifically the torchsde library. (Disclaimer: of which I am a developer.)

Code: SDE-GAN example in torchsde.

If you're interested in finance then I'd recommend Neural SDEs: https://arxiv.org/abs/2102.03657 https://arxiv.org/abs/2105.13493 https://github.com/google-research/torchsde/blob/master/examples/sde_gan.py

This may or may not fit what you're after.

I wrote a JAX-based neural network library (Equinox [1]) and numerical differential equation solving library (Diffrax [2]).

At the time I was just exploring some new research ideas in numerics -- and frankly, procrastinating from writing up my PhD thesis!

But then one of the teams at Google starting using them, so they offered me a job to keep developing them for their needs. Plus I'd get to work in biotech, which was a big interest of mine. This was a clear dream job offer, so I accepted.

Since then both have grown steadily in popularity (~2.6k GitHub stars) and now see pretty widespread use! I've since started writing several other JAX libraries and we now have a bit of an ecosystem going.

[1] https://github.com/patrick-kidger/equinox

The elevator pitch is Optimistix is really fast, especially to compile. It plays nicely with Optax for first-order gradient-based methods, and takes a lot of design inspiration from Equinox, representing the state of all the solvers as standard JAX PyTrees.

If you like PyTorch then you might like Equinox, by the way. (https://github.com/patrick-kidger/equinox ; 1.4k GitHub stars now!)

You're thinking of `jax.closure_convert`. :)

(Although technically that works by tracing and extracting all constants from the jaxpr, rather than introspecting the function's closure cells -- it sounds like your trick is the latter.)

When you discuss dynamic allocation, I'm guessing you're mainly referring to not being able to backprop through `jax.lax.while_loop`. If so, you might find `equinox.internal.while_loop` interesting, which is an unbounded while loop that you can backprop through! The secret sauce is to use a treeverse-style checkpointing scheme.

https://github.com/patrick-kidger/equinox/blob/f95a8ba13fb35...

I'm a big fan of using ABCs to declare interfaces -- so much so that I have an improved abc.ABCMeta that also handles abstract instance variables and abstract class variables: https://github.com/patrick-kidger/equinox/blob/main/equinox/_better_abstract.py

For the daily research, I use Equinox (https://github.com/patrick-kidger/equinox) as a DL librarry in JAX.

It sounds like you're concerned about how downstream libraries tend to wrap JAX transformations to handle their own thing? (E.g. `haiku.grad`.)

If so, then allow me to make my usual advert here for Equinox:

https://github.com/patrick-kidger/equinox

This actually works with JAX's native transformations. (There's no `equinox.vmap` for example.)

On higher-order functions more generally, Equinox offers a way to control these quite carefully, by making ubiquitous use of callables that are also pytrees. E.g. a neural network is both a callable in that it has a forward pass, and a pytree in that it records its parameters in its tree structure.