PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

A Fast Algorithm for Joint Diagonalization with Non-orthogonal Transformations and its Application to Blind Source Separation
Andreas Ziehe, Guido Nolte, Pavel Laskov and Klaus-Robert Müller
JMLR Volume 5, pp. 777-800, 2004.


A new efficient algorithm is presented for joint diagonalization of several matrices. The algorithm is based on the Frobenius-norm formulation of the joint diagonalization problem, and addresses diagonalization with a general, non-orthogonal transformation. The iterative scheme of the algorithm is based on a multiplicative update which ensures the invertibility of the diagonalizer. The algorithm s efficiency stems from the special approximation of the cost function resulting in a sparse, block-diagonal Hessian to be used in the computation of the quasi-Newton update step. Extensive numerical simulations illustrate the performance of the algorithm and provide a comparison to other leading diagonalization methods. The results of such comparison demonstrate that the proposed algorithm is a viable alternative to existing state-of-the-art joint diagonalization algorithms. The practical use of our algorithm is shown for blind source separation problems.

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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:776
Deposited By:Klaus-Robert Müller
Deposited On:30 December 2004