TY  - JOUR
A1  - Ziehe, Andreas
A1  - Laskov, Pavel
A1  - Nolte, G
A1  - Müller, Klaus-Robert
T1  - A fast algorithm for joint diagonalization with non-orthogonal transformations and its application to blind source separation
N2  - 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
Y1  - 2004
UR  - https://publishup.uni-potsdam.de/frontdoor/index/index/docId/15016
ER  -