 ThotDjehuty
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d6b6018b9c
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release(v2.0.0-alpha.1): top-level reorg + bsde/pde/stochastic_control + mean_field/agent_based/inference/optimization
Phase 1 (top-level reorg):
- matrix_riccati promoted to crate root via re-export
- new top-level groups: bsde, pde, stochastic_control,
agent_based, inference, optimization
Phase 2 (bsde):
- theta_scheme: linear-BSDE theta-scheme
- deep_bsde_bridge: ConditionalExpectation trait + driver
Phase 3 (pde):
- fokker_planck: 1D forward FP with conservative central FD
- hjb_multid: explicit n-D HJB on Cartesian grid (d <= 3)
- elliptic_fd: 2D Poisson SOR solver
Phase 4 (stochastic_control):
- optimal_switching: Snell envelope backward induction
- pontryagin: 1D LQR Riccati shooting
- two_sided_intensity_control: bilateral intensity control
Phase 5/6 (controls):
- optimal_control::quadratic_impact_control (closed-form Riccati)
- stochastic_control::two_sided_intensity_control
Phase 7 (mean_field + agent_based):
- mean_field::mckean_vlasov: interacting-particle Euler scheme
- agent_based::mod: generic interacting-agent simulator
Phase 8 (inference + optimization):
- inference::robust_drift: Huber IRLS drift estimator
- optimization::generative_calibration_hooks: GenerativeSampler trait
+ Gaussian MMD + finite-diff calibration step
Tests: 38 NEW tests, all passing (165/170 lib total; the 5 pre-existing
failures predate v1.1 and are tracked separately).
Versions bumped: Cargo 2.0.0-alpha.1, pyproject 2.0.0a1.
Deferred to subsequent v2.0.x bumps (parallelisable follow-ups):
PyO3 bindings, executed companion notebooks, Sphinx RST pages,
hfthot-lab-instance propagation.
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2026-05-12 12:02:07 +02:00 |
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ThotDjehuty
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d780ed81d7
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release(v1.1.0): additive CPU-only generic numerical primitives
Adds 9 new top-level / sub-modules to the Rust API only (no Python
bindings yet), with at least one analytic unit test per module.
New Rust modules:
- optimal_control::matrix_riccati (RK4 backward solver)
- timeseries_utils::nonsync_covariance (Hayashi-Yoshida)
- timeseries_utils::wavelet (Haar / Daubechies DWT and MODWT)
- risk_measures (VaR, CVaR, projected sub-gradient CVaR minimisation)
- graph::laplacian + graph::spectral_clustering (Jacobi + k-means++)
- topology (Vietoris-Rips persistent homology, bottleneck distance)
- volterra (Caputo Adams, Markovian lift, second-kind Volterra,
Fourier inversion of characteristic functions)
- signatures (truncated tensor signature, log-sig, random reservoir,
Salvi-Cass-Lyons signature kernel, shuffle product)
All previously stable APIs untouched; abi3-py38 ABI preserved.
New module tests: 29/29 passing. Pre-existing 5 unrelated failures
unchanged.
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2026-05-12 10:59:09 +02:00 |
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