Yvann Le Fay

bayesianSDEsolver. Efficient SDE samplers including Gaussian-based probabilistic solvers. Written in JAX.

LSVI. Variational inference for exponential family distributions as linear regression, in JAX.

high_dimensional_vector_autoregression. Implementation of High-dimensional vector autoregression time series modeling via tensor decomposition, Di Wang, Yao Zheng, Heng Lian, Guodong Li. Written in JAX.

independent_component_analysis. Project done as part of the course on Probabilistic Graphical Models by Pierre Latouche and Pierre-Alexandre Mattei. JAX Implementation of the FastICA algorithm, a Newton's descent algorithm for linear ICA, and a Flax implementation of VAE for non-linear ICA.

pricing_fft_ensae. Implementation of the Carr-Madan formula for fast derivative pricing of European options.

NMT_SparqlDatalog. A NMT pipeline between english and Sparql/Datalog queries.

unbiased_mcmc_with_couplings. Implementation of a coupled Metropolis-Hasting Algorithm in Jax. Project done as part of the Bayesian Machine Learning course by Rémi Bardenet and Julyan Arbel.

polynomialBrownian. Numerical approximations for stochastic differential equations.

CGB_scrapping. Python