Approximate joint diagonalization using a natural-gradient approach
Arie Yeredor, Andreas Ziehe and Klaus-Robert Müller
Lecture Notes in Computer Science Volume LNCS 3195, pp. 89-96, 2004.

Abstract

We present a new algorithm for non-unitary approximate joint diagonalization (AJD), based on a ldquonatural gradientrdquo-type multi-plicative update of the diagonalizing matrix, complemented by step-size optimization at each iteration. The advantages of the new algorithm over existing non-unitary AJD algorithms are in the ability to accommodate non-positive-definite matrices (compared to Pham's algorithm), in the low computational load per iteration (compared to Yeredor's AC-DC algorithm), and in the theoretically guaranteed convergence to a true (possibly local) minimum (compared to Ziehe et al.'s FFDiag algorithm).

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