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Not the
first to perform a coloured light and music works live, but Mary Hallock-Greenewalt (1871-1951) invented machines, particularly the Sarabet, that she could use for her colour light art, that she called
Nourathar, essence of light. Her inventions allowed her to respond in coloured light to music live, the first woman on record to create audio-visual performances perhaps. I enjoy the Crowley-esque title for her invention and the aesthetic of her set, high chair, long dress, psychadelic makeshift background. Here she is.
She also invented the rheostat, still used today as a form of resistor of electrical signals (volume/light). Her patent was disputed by General Electric but she spent some years fighting to be recognised as the lawful author for this device. She won.
Above is an example of her notation for a light performance.