independent component analysis - tel aviv university.pptVIP

* * * * * * * * * * * * * * * * (c) 1999. Tralvex Yeap. All Rights Reserved * * * * * Independent Components Analysis What is ICA? “Independent component analysis (ICA) is a method for finding underlying factors or components from multivariate (multi-dimensional) statistical data. What distinguishes ICA from other methods is that it looks for components that are both statistically independent, and nonGaussian.” A.Hyvarinen, A.Karhunen, E.Oja ‘Independent Component Analysis’ ICA Blind Signal Separation (BSS) or Independent Component Analysis (ICA) is the identification separation of mixtures of sources with little prior information. Applications include: Audio Processing Medical data Finance Array processing (beamforming) Coding … and most applications where Factor Analysis and PCA is currently used. While PCA seeks directions that represents data best in a Σ|x0 - x|2 sense, ICA seeks such directions that are most independent from each other. Often used on Time Series separation of Multiple Targets ICA estimation principles by A.Hyvarinen, A.Karhunen, E.Oja ‘Independent Component Analysis’ Principle 1: “Nonlinear decorrelation. Find the matrix W so that for any i ≠ j , the components yi and yj are uncorrelated, and the transformed components g(yi) and h(yj) are uncorrelated, where g and h are some suitable nonlinear functions.” Principle 2: “Maximum nongaussianity”. Find the local maxima of nongaussianity of a linear combination y=Wx under the constraint that the variance of x is constant. Each local maximum gives one independent component. ICA mathematical approach from A.Hyvarinen, A.Karhunen, E.Oja ‘Independent Component Analysis’ “Given a set of observations of random variables x1(t), x2(t)…xn(t), where t is the time or sample index, assume that they are generated as a linear mixture of independent components: y=Wx, where W is some unknown matrix. Independent component analysis now consists of estimating both the matrix W and the yi(t), when we on