Computational Rough Paths

Oxford, UK.

Topic: The CoRoPa software packages
Topic: The future of CoRoPa
Topic: CoRoPa latest release
Topic: CoRoPa in action: Hall Basis of Free Lie Algebra
Topic: You said Rough Paths?
Topic: Acknowledgments

Synopsis. CoRoPa stands for Computational Rough Paths. The aim of CoRoPa is to provide two software frameworks to test various ideas related to Rough Paths Theory for digital description of serial data streams (sound compression, ...). The CoRoPa project results from a research program leaded by Pr. Terry J. Lyons and funded by the MathFIT/EPSRC-LMS grant GR/R2962/8/01 [HBKBU].
Additional Matlab code (the second package) was contributed later by Christophe Ladroue.

Keywords. Rough Paths, Stochastic Analysis, Digital Description of Serial Data Streams, Signal Processing, Inverse Problems, Data Compression, Information Theory, Free (Lie) Algebras, Heisenberg Groups.

The two CoRoPa software packages

Two independent software packages are provided with CoRoPa: the first one is written in C++ and the second one in matlab.

The C++ package

The current development environment for CoRoPa is GCC under Debian GNU/Linux. However, the code is quite portable. For the moment, CoRoPa is a console C++ software package which consists in

Books.

Documentation

You can have some rough documentation for CoRoPa, produced with Doxygen.

Authors

University of Oxford.

CoRoPa needs developers! Currently, the main author of CoRoPa is D. Chafaï. CoRoPa is a derivation of newgenesis, a software package developed by D. Chafaï (2002-2003), while working as a post-doc at the Mathematical Institute of Oxford, under the advisory of Pr. Terry J. Lyons and Dr. Ben Hambly, using funding provided by MathFIT/EPSRC-LMS grant GR/R2962/8/01 [HBKBU].

License

The library code of CoRoPa is protected by the GNU Lesser General Public License, the programs code is protected by the GNU General Public License, whereas the documentation is protected by the GNU Free Documentation License.

The Matlab package

The Matlab code is independent from the C++ software and provides objects (as in Object Oriented Programming) for the easy manipulation of stochastic expansions, as well as some functions relating to this field.

Books.

Documentation

Some online (and pdf) documentation is available. There also are a few scripts (test_*.m) in the folder 'utils_II' of the project, which showcase the different objects in context.
You can browse the code here. The html was generated by the very useful m2html.

Authors

University of Warwick.

Christophe Ladroue contributed the Matlab code, which was developed while working with A.Papavassiliou on "Applications of the Theory of Rough Paths to Speech Recognition", research funded by a Marie Curie International Reintegration Grant.

License

The Matlab code of CoRoPa is protected by the GNU Lesser General Public License, the programs code is protected by the GNU General Public License, whereas the documentation is protected by the GNU Free Documentation License.

CoRoPa latest release

The C++ package

The latest published version of CoRoPa is available at SourceForge. You can download an archive containing the source code as well as a compiled version for Intel IA32.

The base URL for CoRoPa on SourceForge is http://sf.net/projects/coropa/

You can also get the nightly SVN tarball [tar.bz2 2.2M]. To access the SVN tree, please read the CoRoPa SVN page.

The Matlab Package

The Matlab code can be downloaded here (tar.gz, ~240Kb). A possibly more recent version can be downloaded via the SVN tree with
svn co https://coropa.svn.sourceforge.net/svnroot/coropa/trunk/MatlabII

The future of CoRoPa

The C++ Package

Note. We believe that generic programming is the right way for mathematicians to do programming, since it corresponds to the conceptual aspects of data structures and algorithms regardless of the precise implementation in terms of data types. Generic programming is provided for example by C++ and ADA. Unfortunately, there is no Standard Templates Library (STL) equivalent for ADA to our knowledge. However, C++ is not perfect. Its ISO standard is sometimes obscure and the language itself is in the same time limited and too complex. Even if C++ is the de facto industry standard, it could be interesing to implement CoRoPa in a smarter programming language.

The Matlab Package

There is room for improvement for a few methods and there is a tentative todo list in the 'utils_II' folder of the project. We welcome any suggestions or, even better, some contributions of new functions or extensions of the existing objects.

Online computation of Philip Hall Basis of a Free Lie Algebra

Automation.

This CGI program computes a Philip Hall basis of a free Lie algebra. It makes use of the libalgebra code provided by the CoRoPa software package. Enter the requested numbers to get the Hall basis elements.

Number of letters
Minimum degree
Maximum degree

You said Rough Paths?

Acknowledgements

LMS logo EPSRC logo SourceForge.net Logo