Hi,
I've been using this package for my master's thesis. I ran into problems with high-dimensional systems, where an unreasonable amount of memory was required. I rewrote the main loop for the itoint solver to generate the Brownian increments to be generated on the fly. This may be slightly lower but allowed me to handle much larger systems.
I would like to share this with you since this package helped me a lot.
I could either incorporate this into the current solver or write an additional option for larger systems. Please let me know your preferences.
Hi,
I've been using this package for my master's thesis. I ran into problems with high-dimensional systems, where an unreasonable amount of memory was required. I rewrote the main loop for the itoint solver to generate the Brownian increments to be generated on the fly. This may be slightly lower but allowed me to handle much larger systems.
I would like to share this with you since this package helped me a lot.
I could either incorporate this into the current solver or write an additional option for larger systems. Please let me know your preferences.