Extending SSMs with the Exponentially Weighted Signature
We introduce the exponentially weighted signature (EWS), a continuous-time model that computes iterated integrals of a path, where each increment is weighted by the matrix exponential of a learnable generator over elapsed clock time. We prove that it solves a linear controlled differential equation, keeps the group-lik...
Alexandre Bloch, Benjamin Walker, Joel Mouterde et al.
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