CodPy: a Python library for numerics, machine learning, and statistics

Abstract: This monograph offers an introduction to a collection of numerical algorithms implemented in the library CodPy (an acronym that stands for the Curse Of Dimensionality in PYthon), which has found widespread applications across various areas, including machine learning, statistics, and computational physics. We develop here a strategy based on the theory of reproducing kernel Hilbert spaces (RKHS) and the theory of optimal transport. Initially designed for mathematical finance, this library has since been enhanced and broadened to be applicable to problems arising in engineering and industry. In order to present the general principles and techniques employed in CodPy and its applications, we have structured this monograph into two main parts. First of all, we focus on the fundamental principles of kernel-based representations of data and solutions, also that the presentation therein is supplemented with illustrative examples only. Next, we discuss the application of these principles to many classes of concrete problems, spanning from the numerical approximation of partial differential equations to (supervised, unsupervised) machine learning, extending to generative methods with a focus on stochastic aspects.