Lecture notes on rough paths and applications to machine learning

Thomas Cass, Cristopher Salvi
4/9/2024
cs.LGmath.PRmath.ST

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Abstract

These notes expound the recent use of the signature transform and rough path theory in data science and machine learning. We develop the core theory of the signature from first principles and then survey some recent popular applications of this approach, including signature-based kernel methods and neural rough differential equations. The notes are based on a course given by the two authors at Imperial College London.

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Cite this paper

@article{cass2024lecture,
  title  = {Lecture notes on rough paths and applications to machine learning},
  author = {Thomas Cass and Cristopher Salvi},
  year   = {2024},
  eprint = {2404.06583},
  archivePrefix = {arXiv},
  url    = {http://arxiv.org/abs/2404.06583v1}
}

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