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JuliaDecisionFocusedLearning/DifferentiableExpectations.jl

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DifferentiableExpectations.jl

Stable Dev Build Status Coverage Code Style: Blue

A Julia package for differentiating through expectations with Monte-Carlo estimates.

It allows the computation of approximate derivatives for functions of the form

$$F(\theta) = \mathbb{E}_{p(\theta)}[f(X)]$$

The following estimators are implemented:

Warning: this package is experimental, use at your own risk and expect frequent breaking releases.