Julia

Differentiable programming (∂P), i.e., the ability to differentiate general computer program structures, has enabled the efficient combination of existing packages for scientific computation and machine learning1. The Julia2 language is well suited for ∂P, see also Chris’ article3 for a detailed examination.

In this post, we dig into sensitivity analysis of chaotic systems. Chaotic systems are dynamical, deterministic systems that are extremely sensitive to small changes in the initial state or the system parameters.

I am delighted that I have been awarded my second GSoC stipend this year. I look forward to carrying out the ambitious project scope with my mentors Chris Rackauckas, Moritz Schauer, Yingbo Ma, and Mohamed Tarek.

This post summarizes our new high weak order methods for the SciML ecosystem, as implemented within the Google Summer of Code 2020 project. After an introductory part highlighting the differences between the strong and the weak approximation for stochastic differential equations, we look into the convergence and performance properties of a few representative new methods in case of a non-commutative noise process.

First and foremost, I would like to thank my mentors Chris Rackauckas, Moritz Schauer, and Yingbo Ma for their willingness to supervise me in this Google Summer of Code project. Although we are still at the very beginning of the project, we already had plenty of very inspiring discussion.