Beyond Pham's algorithm for joint diagonalization
Numerical Analysis
2018-12-03 v1 Machine Learning
Machine Learning
Abstract
The approximate joint diagonalization of a set of matrices consists in finding a basis in which these matrices are as diagonal as possible. This problem naturally appears in several statistical learning tasks such as blind signal separation. We consider the diagonalization criterion studied in a seminal paper by Pham (2001), and propose a new quasi-Newton method for its optimization. Through numerical experiments on simulated and real datasets, we show that the proposed method outper-forms Pham's algorithm. An open source Python package is released.
Cite
@article{arxiv.1811.11433,
title = {Beyond Pham's algorithm for joint diagonalization},
author = {Pierre Ablin and Jean-François Cardoso and Alexandre Gramfort},
journal= {arXiv preprint arXiv:1811.11433},
year = {2018}
}