pySigLib -- Fast Signature-Based Computations on CPU and GPU

• URL: http://arxiv.org/abs/2509.10613v1
• Date: Fri, 12 Sep 2025 18:00:14 GMT
• Title: pySigLib -- Fast Signature-Based Computations on CPU and GPU
• Authors: Daniil Shmelev, Cristopher Salvi,
• Abstract summary: We present pySigLib, a high-performance Python library offering optimised implementations of signatures and signature kernels on CPU and GPU.<n>We introduce a novel differentiation scheme for signature kernels that delivers accurate gradients at a fraction of the runtime of existing libraries.
• Score: 9.126976857662084
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Signature-based methods have recently gained significant traction in machine learning for sequential data. In particular, signature kernels have emerged as powerful discriminators and training losses for generative models on time-series, notably in quantitative finance. However, existing implementations do not scale to the dataset sizes and sequence lengths encountered in practice. We present pySigLib, a high-performance Python library offering optimised implementations of signatures and signature kernels on CPU and GPU, fully compatible with PyTorch's automatic differentiation. Beyond an efficient software stack for large-scale signature-based computation, we introduce a novel differentiation scheme for signature kernels that delivers accurate gradients at a fraction of the runtime of existing libraries.

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