Large-Scale Independent Component Analysis By Speeding Up Lie Group Techniques

We are interested in computing a mini-batch-capable end-to-end algorithm to identify statistically independent components (ICA) in large scale and high-dimensional datasets. Current algorithms typically rely on pre-whitened data and do not integrate the two procedures of whitening and ICA estimation. Our online approach estimates a whitening and a rotation matrix with stochastic gradient descent on centered or uncentered data. We show that this can be done efficiently by combining Batch Karhunen-Löwe-Transformation [1] with Lie group techniques. Our algorithm is recursion-free and can be organized as feed-forward neural network which makes the use of GPU acceleration straight-forward. Because of the very fast convergence of Batch KLT, the gradient descent in the Lie group of orthogonal matrices stabilizes quickly. The optimization is further enhanced by integrating ADAM [2], an improved stochastic gradient descent (SGD) technique from the field of deep learning. We test the scaling capabilities by computing the independent components of the well-known ImageNet challenge (144 GB). Due to its robustness with respect to batch and step size, our approach can be used as a drop-in replacement for standard ICA algorithms where memory is a limiting factor.