Joint Approximation Diagonalization of Eigen-matrices

Joint Approximation Diagonalization of Eigen-matrices (JADE) is an algorithm for independent component analysis that separates observed mixed signals into latent source signals by exploiting fourth order moments.[1] The fourth order moments are a measure of non-Gaussianity, which is used as a proxy for defining independence between the source signals. The motivation for this measure is that Gaussian distributions possess zero excess kurtosis, and with non-Gaussianity being a canonical assumption of ICA, JADE seeks an orthogonal rotation of the observed mixed vectors to estimate source vectors which possess high values of excess kurtosis.

Algorithm

Let ${\displaystyle \mathbf {X} =(x_{ij})\in \mathbb {R} ^{m\times n}}$ denote an observed data matrix whose ${\displaystyle n}$ columns correspond to observations of ${\displaystyle m}$-variate mixed vectors. It is assumed that ${\displaystyle \mathbf {X} }$ is prewhitened, that is, its rows have a sample mean equaling zero and a sample covariance is the ${\displaystyle m\times m}$ dimensional identity matrix, that is,

${\displaystyle {\frac {1}{n}}\sum _{j=1}^{n}x_{ij}=0\quad {\text{and}}\quad {\frac {1}{n}}\mathbf {X} {\mathbf {X} }^{\prime }=\mathbf {I} _{m}}$.

Applying JADE to ${\displaystyle \mathbf {X} }$ entails

1. computing fourth-order cumulants of ${\displaystyle \mathbf {X} }$ and then
2. optimizing a contrast function to obtain a ${\displaystyle m\times m}$ rotation matrix ${\displaystyle O}$

to estimate the source components given by the rows of the ${\displaystyle m\times n}$ dimensional matrix ${\displaystyle \mathbf {Z}$ :=\mathbf {O} ^{-1}\mathbf {X} } .[2]

References

1. Cardoso, Jean-François; Souloumiac, Antoine (1993). "Blind beamforming for non-Gaussian signals". IEE Proceedings F - Radar and Signal Processing. 140 (6): 362–370. CiteSeerX 10.1.1.8.5684. doi:10.1049/ip-f-2.1993.0054.
2. Cardoso, Jean-François (Jan 1999). "High-order contrasts for independent component analysis". Neural Computation. 11 (1): 157–192. CiteSeerX 10.1.1.308.8611. doi:10.1162/089976699300016863.