An Efficient Algorithm for Path Recovery from Signature Tensors

Abstract

We present a new algorithm for recovering paths from their third-order signature tensors, an inverse problem in rough analysis. Our algorithm provides the exact solution to this recovery problem and improves upon current approaches by an order of magnitude. It relies on generalized normal forms and stabilizers of group actions via matrix-tensor congruence. We apply randomized transformation techniques that avoid the task of solving nonlinear polynomial systems associated to degenerate paths, and accompany our methods with an efficient implementation in the computer algebra system OSCAR.