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Beyond Pham's algorithm for joint diagonalization

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.
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https://hal.archives-ouvertes.fr/hal-01936887
Contributor : Pierre Ablin Connect in order to contact the contributor
Submitted on : Tuesday, November 27, 2018 - 4:52:27 PM
Last modification on : Sunday, June 26, 2022 - 2:36:27 AM

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  • HAL Id : hal-01936887, version 1
  • ARXIV : 1811.11433

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Pierre A Ablin, Jean-François Cardoso, Alexandre Gramfort. Beyond Pham's algorithm for joint diagonalization. ESSAN 2019 - 27th European symposium on artificial neural networks, Apr 2019, Bruges, Belgium. ⟨hal-01936887⟩

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