Signatory slower than iisignature about signatory

[patrick-kidger]

Hi there!

It's not immediately clear to me what's going on here. One thing you could try is running Signatory's own benchmarks: python command.py benchmark ... and see what you get.

It's possible that iisignature has been updated since Signatory was first written, and it might be doing something smarter now. In particular Signatory introduced a new asymptotically faster algorithm for computing signatures, and this was the main reason for its speedup -- perhaps iisignature is now using that too?

In any case, I should be honest that at this point Signatory isn't really maintained, and there probably isn't much I can do to help.

[louisamand]

On a single path iisignature is faster (probably because of the overhead of using PyTorch), but I believe that for multiple paths (i.e.shape=(num_sim, time_steps, channels)) it is much, much quicker, taking advantage of parallelization and GPU.

[phaelicks]

Hi,
thank you for the replies!

Indeed, running tests on multiple paths and / or higher number of input channels the advantage of signatory becomes obvious. Pity, that signatory is not maintained anymore, it is a great package!