1. What is ICA ?
Independent Component Analysis is a technique of separating signals from their linear mixes. We could assume two signals and that are a linear combination of two signals source and , the relationships of and are shown in the following system of linear equations where , , and are the parameters determining the mixing of the signals.
These parameters( ) are not known, so the system of linear equations cannot be not solved by classical methods. To solve the problem, we have to use the statistical properties of the mixing signals of the independent components, which are considered as data. We assume that the source signals are statistically independent and non-Gaussian.
Q: Why statistically independent sources?
A: Ref to Central Limit Theorem.
We consider observations from linear combinations of Independent Components . Thus, we consider the mixtures and the independent components as random variables and not as time signals.
In a compact form this could be written as: where , , and is a matrix.
2. Implementation restrictions
However, the previous equation is far from reality and used only for the sake of simplification. The “real” mathematical model, which does not assume linearity and takes into account additive noise, is described by the following equation:
Where : unknown transformation function and : additive noise vector that “offends” the signals
Now, the purpose of ICA analysis is to reconstruct the unknown signals , by constructing a function , which is as close to as possible , ie the theoretically inverse function of .
3. Data Pre-processing
We will now explain the pre-processing performed by most ICA algorithms before actually applying ICA.
Subtract its mean vector to make a zero-mean variable.
A first step in many ICA algorithms is to whiten the data. This means that we remove any correlations in the data. Why do that? A geometrical interpretation is that it restores the initial “shape” of the data. The whitening process is simply a linear change of coordinate of the mixed data. Once the ICA solution is found in this “whitened” coordinate frame, we can easily reproject the ICA solution back into the original coordinate frame. Advantage: reduce the dimensionality.
4 Implementation of HOS-based techniques for the Independent Component Analysis
HOS-based techniques. These, ICA algorithms are based on the construction of statistically independent components, which contain higher order statistical data.
Higher order statistics (HOS), for Gaussian distribution variables are getting zeroing. These statistical sizes are used in the ICA analysis and form the basis of a series of algorithms, the so-called HOS algorithms. It is logical, therefore, that HOS algorithms can not proceed without the non-Gaussian distribution.
One of the most known algorithm is FastICA. This algorithm is trying to maximize the function of kurtosis or negentropy (HOS techniques) to separate the “true” components from the Gaussian distribution of the mixed signals
5. Compare ICA and PCA
PCA: Finds directions of maximal variance in gaussian data
ICA: Finds directions of maximal independence in nongaussian data
6. Application Examples
- Image Separation [ LINK ]