DEVICE AND METHOD FOR TRAINING THE NEURAL DRIFT NETWORK AND THE NEURAL DIFFUSION NETWORK OF A NEURAL STOCHASTIC DIFFERENTIAL EQUATION

摘要

A method for training the neural drift network and the neural diffusion network of a neural stochastic differential equation. The method includes drawing a training trajectory from training sensor data, and, starting from the training data point which the training trajectory includes for a starting instant, determining the data-point mean and the data-point covariance at the prediction instant for each prediction instant of the sequence of prediction instants using the neural networks. The method also includes determining a dependency of the probability that the data-point distributions of the prediction instants—which are given by the ascertained data-point means and the ascertained data-point covariances—will supply the training data points at the prediction instants, on the weights of the neural drift network and of the neural diffusion network, and adapting the neural drift network and the neural diffusion network to increase the probability.