optimally-transported-schemes

A set of C++ classes and code facilities to ease implementation and development of numerical schemes for scientific computing. #sidebar TableOfContents

What this project is forThis Project is intended in the sincere hope to be useful to the numerical analysis community. It aims to provide a quite general framework to implement numerical schemes, including a basic graphical interface, and a set of multidimensional data specialized for scientific computing.

It is always a pain and a lost of time for scientists to rewrite algorithms that have been already written thousands of time. Concentrating such tools in a open source project may be pertinent for all of us, and we could benefit of up-to-date available techniques. Moreover, such a project could act as a repository for numerical schemes, keeping a documented code trace for archive purposes.

For this project, focus is made for evolution problems. We think more particularly to dynamic systems coming from Partial Differential Equations or Stochastic Differential Equations. We also include some basic Stochastic integration tools.

What can this Library do for meWould you like to model numerically a complex dynamic system, then it could save your time prototyping. You may also have a look to this QuickOverview.

A Quick touristical Guide to the (OTS) GalaxyWould you like to install OTS, please refer to the DeveloperInstallation page. Would you like to understand the C++ code structure, please refer to the ProjectStructure page. Would you like what projects are currently developed, please refer to the ListOfProjects page. MotivationsFrom a conceptual point of view, almost all numerical schemes technology share close needs and concepts. This project ambition to give a flexible enough framework to ease their integration, so that the numerical analyst can focus over its core added value, that is designing numerical schemes. We provide examples coming from finite Difference schemes techniques, Entropy conservative or Entropy decreasing schemes, and Quantitative Analysis algorithms coming from mathematical Finance.

Main FocusThis Library has been designed primarily to test and implement numerical schemes and applications coming from the "Optimally Transported Schemes" (OTS) project, a research topic on numerical analysis.

LicensingWould the GPL license be a problem for you, please do not hesitate to contact the owner.

Tags

  quantitative schemes computing cplusplus scientific analysis numerical

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