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Joint diagonalization of correlation matrices by using gradient methods with application to blind signal separation

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2 Author(s)
Joho, M. ; Phonak Inc., Champaign, IL, USA ; Mathis, Heinz

Joint diagonalization of several correlation matrices is a powerful tool for blind signal separation. The paper addresses the blind signal separation problem for the case where the source signals are non-stationary and/or non-white, and the sensors are possibly noisy. We present cost functions for jointly diagonalizing several correlation matrices. The corresponding gradients are derived and used in gradient-based joint-diagonalization algorithms. Several variations are given, depending on the desired properties of the separation matrix, e.g., unitary separation matrix. These constraints are either imposed by adding a penalty term to the cost function or by projecting the gradient onto the desired manifold. The performance of the proposed joint-diagonalization algorithm is verified by simulating a blind signal separation application.

Published in:

Sensor Array and Multichannel Signal Processing Workshop Proceedings, 2002

Date of Conference:

4-6 Aug. 2002

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