Add disclaimer that optimize-than-discretize adjoints for SDE run in O(n^2) #916
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@frankschae were you going to look into it? |
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Yes, I could do that. We should maybe discuss once, before I do it, what other changes might be useful for StochasticDiffEq (e.g. diagonal noise as vector -> diagonal matrix? or SciML/StochasticDiffEq.jl#472?). |
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...until issue #854 is solved. Otherwise, people would maybe waste time trying to use this method even though its implementation is currently not efficient.