Independent Component Analysis¶
Independent Component Analysis (ICA) is a computational technique for separating a multivariate signal into additive subcomponents, with the assumption that the subcomponents are nonGaussian and independent from each other.
There are multiple algorithms for ICA. Currently, this package implements the Fast ICA algorithm.
ICA¶
The package uses a type ICA
, defined below, to represent an ICA model:
type ICA
mean::Vector{Float64} # mean vector, of length m (or empty to indicate zero mean)
W::Matrix{Float64} # component coefficient matrix, of size (m, k)
end
Note: Each column of W
here corresponds to an independent component.
Several methods are provided to work with ICA
. Let M
be an instance of ICA
:

indim
(M)¶ Get the input dimension, i.e the number of observed mixtures.

outdim
(M)¶ Get the output dimension, i.e the number of independent components.

mean
(M)¶ Get the mean vector.
Note: if
M.mean
is empty, this function returns a zero vector of lengthindim(M)
.

transform
(M, x)¶ Transform
x
to the output space to extract independent components, as .
Data Analysis¶
One can use fit
to perform ICA over a given data set.

fit
(ICA, X, k; ...)¶ Perform ICA over the data set given in
X
.Parameters:  X – The data matrix, of size
(m, n)
. Each row corresponds to a mixed signal, while each column corresponds to an observation (e.g all signal value at a particular time step).  k – The number of independent components to recover.
Returns: The resultant ICA model, an instance of type
ICA
.Note: If
do_whiten
istrue
, the returnW
satisfies , otherwiseW
is orthonormal, i.eKeyword Arguments:
name description default alg The choice of algorithm (must be :fastica
):fastica
fun The approx negentropy functor. It can be obtained using the function
icagfun
. Now, it accepts the following values:icagfun(:tanh)
icagfun(:tanh, a)
icagfun(:gaus)
icagfun(:tanh)
do_whiten Whether to perform prewhitening true
maxiter Maximum number of iterations 100
tol Tolerable change of W
at convergence1.0e6
mean The mean vector, which can be either of:
0
: the input data has already been centralizednothing
: this function will compute the mean a precomputed mean vector
nothing
winit Initial guess of
W
, which should be either of: empty matrix: the function will perform random initialization
 a matrix of size
(k, k)
(whendo_whiten
)  a matrix of size
(m, k)
(when!do_whiten
)
zeros(0,0)
verbose Whether to display iteration information false
 X – The data matrix, of size
Core Algorithms¶
The package also exports functions of the core algorithms. Sometimes, it can be more efficient to directly invoke them instead of going through the fit
interface.

fastica!(W, X, fun, maxiter, tol, verbose)
Invoke the Fast ICA algorithm.
Parameters:  W – The initial unmixing matrix, of size
(m, k)
. The function updates this matrix inplace.  X – The data matrix, of size
(m, n)
. This matrix is input only, and won’t be modified.  fun – The approximate negentropy functor, which can be obtained using
icagfun
(see above).  maxiter – Maximum number of iterations.
 tol – Tolerable change of
W
at convergence.  verbose – Whether to display iteration information.
Returns: The updated
W
.Note: The number of components is inferred from
W
assize(W, 2)
. W – The initial unmixing matrix, of size