Fast and Robust Fixed-Point Algorithms for Independent Component Analysis

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  • Topic: Principal component analysis, Normal distribution, Independent component analysis
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Fast and Robust Fixed-Point Algorithms for Independent Component Analysis Aapo Hyvärinen Helsinki University of Technology Laboratory of Computer and Information Science P.O. Box 5400, FIN-02015 HUT, Finland Email: aapo.hyvarinen@@hut.fi IEEE Trans. on Neural Networks, 10(3):626-634, 1999. Abstract Independent component analysis (ICA) is a statistical method for transforming an observed multidimensional random vector into components that are statistically as independent from each other as possible. In this paper, we use a combination of two different approaches for linear ICA: Comon’s information-theoretic approach and the projection pursuit approach. Using maximum entropy approximations of differential entropy, we introduce a family of new contrast (objective) functions for ICA. These contrast functions enable both the estimation of the whole decomposition by minimizing mutual information, and estimation of individual independent components as projection pursuit directions. The statistical properties of the estimators based on such contrast functions are analyzed under the assumption of the linear mixture model, and it is shown how to choose contrast functions that are robust and/or of minimum variance. Finally, we introduce simple fixed-point algorithms for practical optimization of the contrast functions. These algorithms optimize the contrast functions very fast and reliably.

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Introduction

A central problem in neural network research, as well as in statistics and signal processing, is finding a suitable representation or transformation of the data. For computational and conceptual simplicity, the representation is often sought as a linear transformation of the original data. Let us denote by x = (x1 , x2 , ..., xm )T a zero-mean m-dimensional random variable that can be observed, and by s = (s1 , s2 , ..., sn )T its n-dimensional transform. Then the problem is to determine a constant (weight) matrix W so that the linear transformation of the observed variables s = Wx (1) has some suitable properties. Several principles and methods have been developed to find such a linear representation, including principal component analysis [30], factor analysis [15], projection pursuit [12, 16], independent component analysis [27], etc. The transformation may be defined using such criteria as optimal dimension reduction, statistical ’interestingness’ of the resulting components si , simplicity of the transformation, or other criteria, including application-oriented ones. We treat in this paper the problem of estimating the transformation given by (linear) independent component analysis (ICA) [7, 27]. As the name implies, the basic goal in determining the transformation is to find a representation in which the transformed components si are statistically as independent from each other as possible. Thus this method is a special case of redundancy reduction [2]. Two promising applications of ICA are blind source separation and feature extraction. In blind source separation [27], the observed values of x correspond to a realization of an m-dimensional discrete-time signal x(t), t = 1, 2, .... Then the components si (t) are called source signals, which are usually original, uncorrupted 1

signals or noise sources. Often such sources are statistically independent from each other, and thus the signals can be recovered from linear mixtures xi by finding a transformation in which the transformed signals are as independent as possible, as in ICA. In feature extraction [4, 25], si is the coefficient of the i-th feature in the observed data vector x. The use of ICA for feature extraction is motivated by results in neurosciences that suggest that the similar principle of redundancy reduction [2, 32] explains some aspects of the early processing of sensory data by the brain. ICA has also applications in exploratory data analysis in the same way as the closely related method of projection pursuit [16, 12]. In this paper, new objective...
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