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Matthew Tamayo-Rios

dblp:400/7360 · DBLP profile ↗
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1ranked-venue papers
1as first author
1since 2021 · last 2025
—ORCID · none

Domains — the database's venue-derived domains; a paper can count in several

Artificial intelligence and machine learning · 1 · 1 first-author · 1 since 2021

Expertise — from the expertise taxonomy: the topics of the expert's papers under the CCF categories. A weight counts papers with recency: 1 for a paper about the topic, 0.3 when the topic is its context, halved every five years.

Artificial intelligence
1 paper
Kernel, tree and ensemble methods · 100%
Theoretical computer science
1 paper
Algorithms and data structures · 100%
Interdisciplinary, comprehensive, and emerging computing
1 paper
Computational finance and economics · 100%

Topics — the 3 heaviest of 3, each with the papers that count most for it

TopicWeightPapersLastEvidence papers
Machine learning › Kernel, tree and ensemble methods › kernel methods
signature kernel
0.912025
Scalable Signature Kernel Computations via Local Neumann Series Expansions · NeurIPS 2025
Algorithms and data structures
kernel methods
0.912025
Scalable Signature Kernel Computations via Local Neumann Series Expansions · NeurIPS 2025
Computational finance and economics
financial modeling
0.312025
Scalable Signature Kernel Computations via Local Neumann Series Expansions · NeurIPS 2025

Methods — techniques the papers use, named apart from their topics

rough path theory · 2.6neumann series expansion · 2.6Goursat PDE · 2.6
YearPublicationVenuePosition
2025 Scalable Signature Kernel Computations via Local Neumann Series Expansions
abstract
The signature kernel is a recent state-of-the-art tool for analyzing high-dimensional sequential data, valued for its theoretical guarantees and strong empirical performance. In this paper, we present a novel method for efficiently computing the signature kernel of long, high-dimensional time series via adaptively truncated recursive local power series expansions. Building on the characterization of the signature kernel as the solution of a Goursat PDE, our approach employs tilewise Neumann‐series expansions to derive rapidly converging power series approximations of the signature kernel that are locally defined on subdomains and propagated iteratively across the entire domain of the Goursat solution by exploiting the geometry of the time series. Algorithmically, this involves solving a system of interdependent Goursat PDEs via adaptively truncated local power series expansions and recursive propagation of boundary conditions along a directed graph in a topological ordering. This method strikes an effective balance between computational cost and accuracy, achieving substantial performance improvements over state-of-the-art approaches for computing the signature kernel. It offers (a) adjustable and superior accuracy, even for time series with very high roughness; (b) drastically reduced memory requirements; and (c) scalability to efficiently handle very long time series (e.g., with up to one million data points or more) on a single GPU. As demonstrated in our benchmarks, these advantages make our method particularly well-suited for rough-path-assisted machine learning, financial modeling, and signal processing applications involving very long and highly volatile sequential data.
Matthew Tamayo-Rios, Alexander Schell, Rima Alaifari
NeurIPS1