TorchCDE
Differentiable controlled differential equation solvers for PyTorch with GPU support and memory-efficient adjoint backpropagation.
neural-ode time-series pytorch torchcde code library

This library provides differentiable GPU-capable solvers for controlled differential equations (CDEs). Backpropagation through the solver or via the adjoint method is supported; the latter allows for improved memory efficiency.

In particular this allows for building Neural Controlled Differential Equation models, which are state-of-the-art models for (arbitrarily irregular!) time series. Neural CDEs can be thought of as a "continuous time RNN".

Powered by the torchdiffeq library.

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A mathematician who enjoys martial arts, ice skating and scuba diving.
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