A hybrid network that feeds coarse log-signature features into an RNN is universal for SDE solution maps and beats baseline RNNs on action and gesture recognition benchmarks.
A multi-dimensional stream and its signature representation
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abstract
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 the advantages of using the signature of a stream as the feature set for machine learning.
fields
cs.LG 1years
2019 1verdicts
CONDITIONAL 1representative citing papers
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Learning stochastic differential equations using RNN with log signature features
A hybrid network that feeds coarse log-signature features into an RNN is universal for SDE solution maps and beats baseline RNNs on action and gesture recognition benchmarks.