Nonorthogonal Approximate Joint Diagonalization With Well-Conditioned Diagonalizers

To make the results reasonable, existing joint diagonalization algorithms have imposed a variety of constraints on diagonalizers. Actually, those constraints can be imposed uniformly by minimizing the condition number of diagonalizers. Motivated by this, the approximate joint diagonalization problem is reviewed as a multiobjective optimization problem for the first time. Based on this, a new algorithm for nonorthogonal joint diagonalization is developed. The new algorithm yields diagonalizers which not only minimize the diagonalization error but also have as small condition numbers as possible. Meanwhile, degenerate solutions are avoided strictly. Besides, the new algorithm imposes few restrictions on the target set of matrices to be diagonalized, which makes it widely applicable. Primary results on convergence are presented and we also show that, for exactly jointly diagonalizable sets, no local minima exist and the solutions are unique under mild conditions. Extensive numerical simulations illustrate the performance of the algorithm and provide comparison with other leading diagonalization methods. The practical use of our algorithm is shown for blind source separation (BSS) problems, especially when ill-conditioned mixing matrices are involved.