The signature kernel is a positive definite kernel for sequential and temporal data that has become increasingly popular in machine learning applications due to powerful theoretical guarantees, strong empirical performance, and multiple recently introduced scalable variations. In this chapter, we give a short introduction to KSig, a Scikit-Learn compatible Python package that implements various GPU-accelerated algorithms for computing signature kernels, and performing downstream learning tasks. We also introduce a new algorithm based on tensor sketches which gives strong performance compared to existing algorithms. The package is available at https://github.com/tgcsaba/ksig .

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A User’s Guide to KSig: GPU-Accelerated Computation of the Signature Kernel

  • Csaba Tóth,
  • Danilo Jr Dela Cruz,
  • Harald Oberhauser

摘要

The signature kernel is a positive definite kernel for sequential and temporal data that has become increasingly popular in machine learning applications due to powerful theoretical guarantees, strong empirical performance, and multiple recently introduced scalable variations. In this chapter, we give a short introduction to KSig, a Scikit-Learn compatible Python package that implements various GPU-accelerated algorithms for computing signature kernels, and performing downstream learning tasks. We also introduce a new algorithm based on tensor sketches which gives strong performance compared to existing algorithms. The package is available at https://github.com/tgcsaba/ksig .