Faster Independent Component Analysis by Preconditioning With Hessian Approximations

DOI10.1109/TSP.2018.2844203MaRDI QIDQ4622300zbMATH OpenWikidataFDO

Authors Pierre Ablin, Alexandre Gramfort, Jean-François Cardoso

Publication date 12 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.08171

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Preconditioners for iterative methods (65F08) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: Independent Component Analysis (ICA) is a technique for unsupervised exploration of multi-channel data that is widely used in observational sciences. In its classic form, ICA relies on modeling the data as linear mixtures of non-Gaussian independent sources. The maximization of the corresponding likelihood is a challenging problem if it has to be completed quickly and accurately on large sets of real data. We introduce the Preconditioned ICA for Real Data (Picard) algorithm, which is a relative L-BFGS algorithm preconditioned with sparse Hessian approximations. Extensive numerical comparisons to several algorithms of the same class demonstrate the superior performance of the proposed technique, especially on real data, for which the ICA model does not necessarily hold.

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