Signatory: differentiable computations of the signature and logsignature transforms, on both CPU and GPU

01/03/2020

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by   Patrick Kidger, et al.

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Signatory is a library for calculating signature and logsignature transforms and related functionality. The focus is on making this functionality available for use in machine learning, and as such includes features such as GPU support and backpropagation. To our knowledge it is the first publically available GPU-capable library for these operations. It also implements several new algorithmic improvements, and provides several new features not available in previous libraries. The library operates as a Python wrapper around C++, and is compatible with the PyTorch ecosystem. It may be installed directly via pip. Source code, documentation, examples, benchmarks and tests may be found at <https://github.com/patrick-kidger/signatory>. The license is Apache-2.0.