Diffrax in a nutshell¤

Diffrax is a JAX-based library providing numerical differential equation solvers.

Features include:

ODE/SDE/CDE (ordinary/stochastic/controlled) solvers;
lots of different solvers (including Tsit5, Dopri8, symplectic solvers, implicit solvers);
vmappable everything (including the region of integration);
using a PyTree as the state;
dense solutions;
multiple adjoint methods for backpropagation;
support for neural differential equations.

From a technical point of view, the internal structure of the library is pretty cool -- all kinds of equations (ODEs, SDEs, CDEs) are solved in a unified way (rather than being treated separately), producing a small tightly-written library.

Installation¤

pip install diffrax

Requires Python 3.9+, JAX 0.4.13+, and Equinox 0.10.11+.

Quick example¤

from diffrax import diffeqsolve, ODETerm, Dopri5
import jax.numpy as jnp

def f(t, y, args):
    return -y

term = ODETerm(f)
solver = Dopri5()
y0 = jnp.array([2., 3.])
solution = diffeqsolve(term, solver, t0=0, t1=1, dt0=0.1, y0=y0)

Here, Dopri5 refers to the Dormand--Prince 5(4) numerical differential equation solver, which is a standard choice for many problems.

Citation¤

If you found this library useful in academic research, please cite: (arXiv link)

@phdthesis{kidger2021on,
    title={{O}n {N}eural {D}ifferential {E}quations},
    author={Patrick Kidger},
    year={2021},
    school={University of Oxford},
}

(Also consider starring the project on GitHub!)

Next steps¤

Have a look at the Getting Started page.

Diffrax in a nutshell¤

Installation¤

Quick example¤

Citation¤

Next steps¤

See also: other libraries in the JAX ecosystem¤