Faster independent component analysis by preconditioning with Hessian approximations

Pierre Ablin, Jean-François Cardoso, Alexandre Gramfort
6/25/2017
stat.MLstat.AP

Official code: pierreablin/faster-ica (23 stars, BSD-3-Clause, last commit 2017-09-13).

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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Code Implementations(1)

pierreablin/faster-icaOfficial100%
BSD-3-Clause

Several maximum likelihood ICA algorithms, including Picard

238PythonAug 9, 20179 years agoBSD-3-Clause
independent-component-analysisoptimization

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Cite this paper

@article{ablin2017faster,
  title  = {Faster independent component analysis by preconditioning with Hessian approximations},
  author = {Pierre Ablin and Jean-François Cardoso and Alexandre Gramfort},
  year   = {2017},
  eprint = {1706.08171},
  archivePrefix = {arXiv},
  url    = {https://arxiv.org/abs/1706.08171}
}

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