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To the Roman mind, religion was concerned with the relationships between man and the Gods, while philosophy was concerned with the relationships between men. Even an adherent of a relatively rationalistic and deist philosophical system would not think twice about also honoring the rituals and practices of the Religio Romana (and might very well be initiated into one or more Mysteries on top of all that!).
There were several major philosophical systems, most imported from Greece, that flourished during the Roman Empire, but the most popular among them were Stoicism, Epicureanism and Neoplatonism.
If you are interested in reading more about philosophy, see our Reading list for philosophy.