IndependentComponentAnalysis独立成分分析PPT.pptVIP

Independent Component AnalysisFor Time Series Separation Ahtasham Ashraf 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. We will concentrate on Time Series separation of Multiple Targets Motivation Motivation ICA Model (Noise Free) Use statistical “latent variables“ system Random variable sk instead of time signal xj = aj1s1 + aj2s2 + .. + ajnsn, for all j x = As IC‘s s are latent variables are unknown AND Mixing matrix A is also unknown Task: estimate A and s using only the observeable random vector x Lets assume that no. of IC‘s = no of observable mixtures and A is square and invertible So after estimating A, we can compute W=A-1 and hence s = Wx = A-1x Illustration Restrictions si are statistically independent p(s1,s2) = p(s1)p(s2) Nongaussian distributions The joint density of unit variance s1 s2 is symmetric. So it doesn‘t contain any information about the directions of the cols of the mixing matrix A. So A cann‘t be estimated. If only one IC is gaussian, the estimation is still possible. Ambiguities Can‘t determine the variances (energies) of the IC‘s Both s A are unknowns, any scalar multiple in one of the sources can always be cancelled by dividing the corresponding col of A by it. Fix magnitudes of IC‘s assuming unit variance: E{si2} = 1 Only ambiguity of sign remains Can‘t determine the order of the IC‘s Terms can be freely changed, because both s and A are unknown. So we can call any IC as the first one. ICA Principal (Non-Gaussian is Independent) Key to estimating A is non-gaussianity The distribution of a sum of inde