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

Understand

Signatory is a library for calculating and performing functionality related to the signature and logsignature transforms.

• The focus is on machine learning, and as such includes features such as CPU parallelism, GPU support, and backpropagation.
• To our knowledge it is the first GPU-capable library for these operations.
• Signatory implements new features not available in previous libraries, such as efficient precomputation strategies.