torchsde VS torchtyping

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.

Not really an answer to your question, but there are Python packages that try to solve the problem of tensor shapes that you mentioned, e.g. https://github.com/patrick-kidger/torchtyping or https://github.com/deepmind/tensor_annotations

I disagree. I've had a serious attempt at array typing using variadic generics and I'm not impressed. Python's type system has numerous issues... and now they just apply to any "ArrayWithNDimensions" type as well as any "ArrayWith2Dimenensions" type.

Variadic protocols don't exist; many operations like stacking are inexpressible; the synatx is awful and verbose; etc. etc.

I've written more about this here as part of my TorchTyping project: [0]

[0] https://github.com/patrick-kidger/torchtyping/issues/37#issu...

also https://github.com/patrick-kidger/torchtyping

FWIW I'm the author of torchtyping so happy to answer any questions about that. :) I think people are using it!

The one thing I really *really* wish got more attention was named tensors and the tensor type system. Tensor misalignment errors are a constant source of silently-failing bugs. While 3rd party libraries have attempted to fill this gap, it really needs better native support. In particular it seems like bad form to me for programmers to have to remember the specific alignment and broadcasting rules, and then have to apply them to an often poorly documented order of tensor indices. I'd really like to see something like tsalib's warp operator made part of the main library and generalized to arbitrary function application, like a named-tensor version of fold. But preferably using notation closer to that of torchtyping.

Yes it does work with numerical literals! It support using integers to specify an absolute size, strings to specify names for dimensions that should all be consistently sized (and optionally also checks named tensors), "..." to indicate batch dimensions, and so on. See the full list here.