Unified and Self-Stabilized Parallel Algorithm for Multiple Generalized Eigenpairs Extraction

Abstract

Generalized eigenvalue decomposition has many advantages when it is applied in modern signal processing. Compared with other methods, neural network model-based algorithms provide an efficient way to solve such problems online. Generalized feature extraction algorithms based on neural network models have been described in the literature. However, the majority of the existing algorithms can only extract the principal generalized eigenvector(s) or eigensubspace. To extract principal and minor generalized eigenvectors from two vector sequences, in this paper, two different information criteria are proposed, and a unified algorithm for the extraction of multiple components in a parallel way by simply altering the sign is derived based on these information criteria, which is feasible for generalized principal and minor component analysis. Moreover, all the corresponding principal and minor generalized eigenvalues can be extracted simultaneously because the desired equilibrium point depends on these values. Thus, the proposed algorithm can perform multiple generalized eigenpair extraction. The proposed algorithm possesses four properties: unification, self-stability, parallel extraction and generalized eigenpair extraction, that few of the existing algorithms can encompass. The global convergence and self-stability property of the proposed algorithm are proved through the Lyapunov method and ordinary differential equation method, respectively. The proposed algorithm has a fast convergence speed, high precision and strong tracking ability. Finally, numerical examples and applications are explored to further demonstrate the efficiency of the proposed algorithm.