yeah that’s a bit difficult to implement in this form. I think DiffEqFlux.jl: High Level Scientific Machine Learning (SciML) Pre-Built Architectures · DiffEqFlux.jl, specifically https://diffeqflux.sciml.ai/dev/examples/LV-stochastic/ can be more helpful here because then you can define a loss over ensemble problems directly in a way where AD works over it.
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