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[FEAT]: Add NNStopping #81

Merged
merged 38 commits into from
Feb 9, 2024
Merged

[FEAT]: Add NNStopping #81

merged 38 commits into from
Feb 9, 2024

Commits on Jan 23, 2024

  1. feat: Add NNStopping for Optimal Stopping Problems

    @ashutosh-b-b
    ashutosh-b-b committed Jan 23, 2024
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  2. test: add tests for NNStopping

    @ashutosh-b-b
    ashutosh-b-b committed Jan 23, 2024
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Commits on Jan 26, 2024

  1. feat: add NNStopping for OptimalStopping Problem 

    Refactors old code from NeuralPDE
    @ashutosh-b-b
    ashutosh-b-b committed Jan 26, 2024
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  2. chore: export NNStopping

    @ashutosh-b-b
    ashutosh-b-b committed Jan 26, 2024
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  3. test: add tests for NNStopping 

    - adds test for a Bermudan max call example from paper
- adds test for a Put Basket in Duprie's local volatility model
    @ashutosh-b-b
    ashutosh-b-b committed Jan 26, 2024
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  4. docs: add docstring for NNStopping

    @ashutosh-b-b
    ashutosh-b-b committed Jan 26, 2024
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  5. test: enable tests

    @ashutosh-b-b
    ashutosh-b-b committed Jan 26, 2024
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  6. chore: fix formatting

    @ashutosh-b-b
    ashutosh-b-b committed Jan 26, 2024
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  7. Merge branch 'main' into bb/nn_stopping

    @ashutosh-b-b
    ashutosh-b-b authored Jan 26, 2024
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Commits on Jan 30, 2024

  1. docs: add docs for NNStopping

    @ashutosh-b-b
    ashutosh-b-b committed Jan 30, 2024
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  2. docs: add tutorial for NNStopping

    @ashutosh-b-b
    ashutosh-b-b committed Jan 30, 2024
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  3. docs: add tutorial and page to pages.jl

    @ashutosh-b-b
    ashutosh-b-b committed Jan 30, 2024
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  4. feat: add dispatch on PIDEProblem for non linear term 0 

    This dipatch will cater to defining optimal stopping problems and kolmogorov PDE problems
    @ashutosh-b-b
    ashutosh-b-b committed Jan 30, 2024
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  5. fix: update NNStopping to work with PIDEProblem

    @ashutosh-b-b
    ashutosh-b-b committed Jan 30, 2024
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  6. test: update tests

    @ashutosh-b-b
    ashutosh-b-b committed Jan 30, 2024
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  7. docs: update docs

    @ashutosh-b-b
    ashutosh-b-b committed Jan 30, 2024
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  8. chore: fix formatting in pages.jl

    @ashutosh-b-b
    ashutosh-b-b committed Jan 30, 2024
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  9. docs: fix spelling errors

    @ashutosh-b-b
    ashutosh-b-b committed Jan 30, 2024
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  10. test: update tests

    @ashutosh-b-b
    ashutosh-b-b committed Jan 30, 2024
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Commits on Jan 31, 2024

  1. test: Increase maxiters in DeepSplitting heat eqn tests

    @ashutosh-b-b
    ashutosh-b-b committed Jan 31, 2024
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Commits on Feb 1, 2024

  1. feat: update PIDEProblem definition to accomodate all kinds of equations

    @ashutosh-b-b
    ashutosh-b-b committed Feb 1, 2024
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  2. test: add tests for PIDEProblem

    @ashutosh-b-b
    ashutosh-b-b committed Feb 1, 2024
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  3. chore: update all tests with the new definition of PIDEProblem

    @ashutosh-b-b
    ashutosh-b-b committed Feb 1, 2024
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  4. docs: update all docs with the new definition of PIDEProblem

    @ashutosh-b-b
    ashutosh-b-b committed Feb 1, 2024
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  5. test: add Random.seed! to MLP tests

    @ashutosh-b-b
    ashutosh-b-b committed Feb 1, 2024
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  6. test: add Random.seed! to DeepSplitting

    @ashutosh-b-b
    ashutosh-b-b committed Feb 1, 2024
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Commits on Feb 3, 2024

  1. feat: add ParabolicPDEProblem

    @ashutosh-b-b
    ashutosh-b-b committed Feb 3, 2024
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  2. fix: update solve dispatches for ParabolicPDEProblem

    @ashutosh-b-b
    ashutosh-b-b committed Feb 3, 2024
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  3. test: update tests

    @ashutosh-b-b
    ashutosh-b-b committed Feb 3, 2024
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  4. test: make chain f64 in NNStopping tests

    @ashutosh-b-b
    ashutosh-b-b committed Feb 3, 2024
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Commits on Feb 4, 2024

  1. test: fix bug in runtests

    @ashutosh-b-b
    ashutosh-b-b committed Feb 4, 2024
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  2. test: increase error tolerance

    @ashutosh-b-b
    ashutosh-b-b committed Feb 4, 2024
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Commits on Feb 9, 2024

  1. docs: update docs for MLP and DeepSplitting

    @ashutosh-b-b
    ashutosh-b-b committed Feb 9, 2024
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  2. docs: add eqn for ParabolicPDEProblem

    @ashutosh-b-b
    ashutosh-b-b committed Feb 9, 2024
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  3. docs: add section on problems and add notes on defining problems

    @ashutosh-b-b
    ashutosh-b-b committed Feb 9, 2024
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  4. Update docs/src/problems.md

    @ChrisRackauckas
    ChrisRackauckas authored Feb 9, 2024
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  5. docs: make docstrings have TYPEDSIGNATURES

    @ashutosh-b-b
    ashutosh-b-b committed Feb 9, 2024
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  6. docs: explicilty add section for supported problems for each solver

    @ashutosh-b-b
    ashutosh-b-b committed Feb 9, 2024
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