honglizhaobob/GPHodlr.jl

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Julia
License
MIT License
Created 12 months ago
Updated 6 months ago

honglizhaobob/GPHodlr.jl

honglizhaobob

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A Julia package for scalable Gaussian process regression.

UChicagoCAMStudentSeminar22To23

Winter21Autumn22Stat31120

Python (Jupyter Notebooks) implementation of STAT 31120 mini-projects, focusing on numerical methods for stochastic differential equations and Monte Carlo simulations.

Jupyter Notebook

Sp21Math128B

MATLAB implementations and compiled official course solutions to Math 128B: Numerical Analysis, Spring 2021, by Prof. Olga Holtz

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dl-hidimuq

MATLAB implementation of the reduced-order Fokker Planck equation solutions, with experiments conducted for 1D and 2D quantities of interest in a high-dimensional stochastic power systems model.

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A PyTorch implementation of the Long-Short-Term Memory (LSTM) network architecture along with its variants (e.g. stacked, ensemble, attention-based).

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A PyTorch implementation of "Learning Reduced Systems via Deep Neural Networks with Memory", using the ResNet model.

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C++ implementations of options pricing for European, American, and Bermuda types, with distributed Monte Carlo simulations.

TensorizingFlow

PyTorch and MATLAB implementations of tensorizing-flow for variational inference, focusing on (1) high-dimensional sample generation using tensor-network representation of probability densities. (2) ResNet normalizing flow implementation with sketched tensor-networks as ansatz probability density.

Jupyter Notebook

OverlappingSchwarz.jl

A Julia package for distributed optimal control solutions of nonlinear systems, based on an overlapping domain approach.