相关论文: Path signatures of ODE solutions

The signature of a path is a sequence of tensors whose entries are iterated integrals, playing a key role in stochastic analysis and applications. The set of all signature tensors at a particular level gives rise to the universal signature…

The signature of a path is a non-commutative power series whose coefficients are given by certain iterated integrals over the path coordinates. This series almost uniquely characterizes the path up to translation and reparameterization.…

The signature of a path is a sequence of tensors which allows to uniquely reconstruct the path. In this paper we propose a systematic study of basic properties of signature tensors, starting from their rank, symmetries and conciseness. We…

The signature of a parametric curve is a sequence of tensors whose entries are iterated integrals. This construction is central to the theory of rough paths in stochastic analysis. It is here examined through the lens of algebraic geometry.…

Splines are central objects for the interpolation of discrete data via piecewise smooth paths. Their iterated-integral signature is an infinite collection of tensors which characterizes paths almost uniquely. We study truncations of this…

The signature of a rectifiable path is a tensor series in the tensor algebra whose coefficients are definite iterated integrals of the path. The signature characterises the path up to a generalised form of reparametrisation. It is a…

We provide an introduction to the signature method, focusing on its theoretical properties and machine learning applications. Our presentation is divided into two parts. In the first part, we present the definition and fundamental…

Matrix congruence extends naturally to the setting of tensors. We apply methods from tensor decomposition, algebraic geometry and numerical optimization to this group action. Given a tensor in the orbit of another tensor, we compute a…

In stochastic analysis, a standard method to study a path is to work with its signature. This is a sequence of tensors of different order that encode information of the path in a compact form. When the path varies, such signatures…

We develop a consistent method for estimating the parameters of a rich class of path-dependent SDEs, called signature SDEs, which can model general path-dependent phenomena. Path signatures are iterated integrals of a given path with the…

We introduce a class of operators associated with the signature of a smooth path $X$ with values in a $C^{\star}$ algebra $\mathcal{A}$. These operators serve as the basis of Taylor expansions of solutions to controlled differential…

Rough path theory is focused on capturing and making precise the interactions between highly oscillatory and non-linear systems. It draws on the analysis of LC Young and the geometric algebra of KT Chen. The concepts and the uniform…

We develop two methods to reconstruct a path of bounded variation from its signature. The first method gives a simple and explicit expression of any axis path in terms of its signature, but it does not apply directlty to more general ones.…

We introduce a new feature map for barcodes that arise in persistent homology computation. The main idea is to first realize each barcode as a path in a convenient vector space, and to then compute its path signature which takes values in…

Signatures provide a succinct description of certain features of paths in a reparametrization invariant way. We propose a method for classifying shapes based on signatures, and compare it to current approaches based on the SRV transform and…

The sequential data observed in earth science can be regarded as paths in multidimensional space. To read the path effectively, it is useful to convert it into a sequence of numbers called the signature, which can faithfully describe the…

The signature of a path is an essential object in the theory of rough paths. The signature representation of the data stream can recover standard statistics, e.g. the moments of the data stream. The classification of random walks indicates…

We provide an introduction to the topic of path signatures as means of feature extraction for machine learning from data streams. The article stresses the mathematical theory underlying the signature methodology, highlighting the conceptual…

Path signatures have been proposed as a powerful representation of paths that efficiently captures the path's analytic and geometric characteristics, having useful algebraic properties including fast concatenation of paths through tensor…

The signature transform, defined by the formal tensor series of global iterated path integrals, is a homomorphism between the path space and the tensor algebra that has been studied in geometry, control theory, number theory as well as…