An alternating least-squares algorithm for approximate joint diagonalization of Hermitian matrices

Abstract

Approximate joint diagonalization (AJD) of a set of target matrices is one of the approaches for blind identification, blind source separation (BSS), and blind source extraction. This approach is useful for applications with measurement noise and/or estimation errors. This paper presents an alternating least-squares (ALS) algorithm for solving AJD problem. The ALS algorithm consists of two processing phases. The first processing phase works for finding diagonal matrices by minimizing the indirect least-squares criterion. A mixing matrix is estimated by minimizing the constrained direct least-squares criterion in the second processing phase. Our ALS algorithm can circumvent numerically unstable behavior by improving the condition number of the estimated mixing matrix in the second processing phase. The proposed algorithm is shown through experimental results to have better estimation performance and faster convergence than existing ALS algorithms with lower computational requirement in the rectangular mixing case.