The software package
The latest release
Previous versions of CoRoPa
CoRoPa in action: Hall Basis of a Free Lie Algebra
You said Rough Paths?
Acknowledgments
Synopsis. CoRoPa stands for Computational
Rough Paths. The aim of CoRoPa is to provide a software framework for various ideas related to Rough Path Theory, including rough differential equations and the digital description of serial data streams. In particular, signatures can be used in machine learning to achieve better description of information (see references below).
The CoRoPa project results from a research programme led
by Professor Terry J. Lyons.
The programme is supported by ERC advanced grant ESig
(no. 291244). The intial code was written by Djalil Chafai and Terry Lyons with the support of the
MathFIT/EPSRC-LMS grant
GR/R2962/8/01 [HBKBU] and has been available for several years. Additional Matlab code was contributed later by
Christophe Ladroue. The RDE package was substantially updated and rewritten by Stephen Buckley, Greg Gyurkó, Christian Litterer, Terry Lyons, Arend Janssen and ChangLiang Xu.
Keywords.
Rough Paths, ESig, Libalgebra, Rough Differential Equation, Stochastic Analysis, Digital Description of Serial Data
Streams,
Signal Processing, Inverse Problems,
Data Compression, Information Theory, Free (Lie) Algebras, Heisenberg
Groups, Free Tensors, Polynomial Vector Fields.
The latest published version is the ESig package which is available on SourceForge. It can be downloaded at
http://sourceforge.net/projects/coropa.
The RDE package provides the software for the solution of rough differential equations (in the form of a Microsoft Visual Studio 2008 project). It also contains the newest version of libalgebra and implementations of Brownian paths and fractional Brownian paths.
Further details, including animated examples (for Internet Explorer), and the documentation can be found here.
The software package has been written in C++ and it contains:
The original version of CoRoPa, which was written by Djalil Chafai and Terry Lyons with the support of the MathFIT/EPSRC-LMS grant GR/R2962/8/01 [HBKBU], can also be downloaded at http://sourceforge.net/projects/coropa/files/coropa-source. The library code of this version of CoRoPa is protected by the GNU Lesser General Public License and the program code of this version is protected by the GNU General Public License.
The Matlab package was developed by Christophe Ladroue, 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). It is independent from the C++ software and provides
objects for the easy manipulation of stochastic expansions, as well as some functions relating to this
field.
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 Matlab code of CoRoPa is protected by the
GNU Lesser General
Public License and
the program code is protected by the
GNU General Public
License.
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.
Written by