Independent%20Components%20Analysis

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Independent Components Analysis
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What is ICA?

• Independent component analysis (ICA) is a
  method for finding underlying factors or
  components from multivariate (multi-dimensional)
  statistical data. What distinguishes ICA from
  other methods is that it looks for components
  that are both statistically independent, and
  nonGaussian.
• A.Hyvarinen, A.Karhunen, E.Oja
• Independent Component Analysis

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ICA

• Blind Signal Separation (BSS) or Independent
  Component Analysis (ICA) is the identification
  separation of mixtures of sources with little
  prior information.
• Applications include
• Audio Processing
• Medical data
• Finance
• Array processing (beamforming)
• Coding
• and most applications where Factor Analysis and
  PCA is currently used.
• While PCA seeks directions that represents data
  best in a Sx0 - x2 sense, ICA seeks such
  directions that are most independent from each
  other.
• Often used on Time Series separation of Multiple
  Targets

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ICA estimation principles by A.Hyvarinen,
A.Karhunen, E.Oja Independent Component
Analysis

• Principle 1 Nonlinear decorrelation. Find the
  matrix W so that for any i ? j , the components
  yi and yj are uncorrelated, and the transformed
  components g(yi) and h(yj) are uncorrelated,
  where g and h are some suitable nonlinear
  functions.
• Principle 2 Maximum nongaussianity. Find the
  local maxima of nongaussianity of a linear
  combination yWx under the constraint that the
  variance of x is constant.
• Each local maximum gives one independent
  component.

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ICA mathematical approach from A.Hyvarinen,
A.Karhunen, E.Oja Independent Component Analysis

• Given a set of observations of random
  variables x1(t), x2(t)xn(t), where t is the time
  or sample index, assume that they are generated
  as a linear mixture of independent components
  yWx, where W is some unknown matrix. Independent
  component analysis now consists of estimating
  both the matrix W and the yi(t), when we only
  observe the xi(t).

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The simple Cocktail Party Problem
Mixing matrix A
x1
s1
Observations
Sources
x2
s2
x As
n sources, mn observations
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Classical ICA (fast ICA) estimation
Observing signals
Original source signal
ICA
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Motivation
Two Independent Sources
Mixture at two Mics
aIJ ... Depend on the distances of the
microphones from the speakers
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Motivation
Get the Independent Signals out of the Mixture
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ICA Model (Noise Free)

• Use statistical latent variables system
• Random variable sk instead of time signal
• xj aj1s1 aj2s2 .. ajnsn, for all j
• x As
• ICs s are latent variables are unknown AND
  Mixing matrix A is also unknown
• Task estimate A and s using only the observeable
  random vector x
• Lets assume that no. of ICs no of observable
  mixtures
• and A is square and invertible
• So after estimating A, we can compute WA-1 and
  hence
• s Wx A-1x

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Illustration
2 ICs with distribution Zero mean and
variance equal to 1 Mixing matrix A is
The edges of the parallelogram are in the
direction of the cols of A So if we can Est joint
pdf of x1 x2 and then locating the edges, we
can Est A.
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Restrictions

• si are statistically independent
• p(s1,s2) p(s1)p(s2)
• Nongaussian distributions
• The joint density of unit variance s1 s2 is
  symmetric. So it doesnt contain any information
  about the directions of the cols of the mixing
  matrix A. So A cannt be estimated.
• If only one IC is gaussian, the estimation is
  still possible.

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Ambiguities

• Cant determine the variances (energies) of the
  ICs
• Both s A are unknowns, any scalar multiple in
  one of the sources can always be cancelled by
  dividing the corresponding col of A by it.
• Fix magnitudes of ICs assuming unit variance
  Esi2 1
• Only ambiguity of sign remains
• Cant determine the order of the ICs
• Terms can be freely changed, because both s and A
  are unknown. So we can call any IC as the first
  one.

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ICA Principal (Non-Gaussian is Independent)

• Key to estimating A is non-gaussianity
• The distribution of a sum of independent random
  variables tends toward a Gaussian distribution.
  (By CLT)
• f(s1)
  f(s2) f(x1) f(s1 s2)
• Where w is one of the rows of matrix W.
• y is a linear combination of si, with weights
  given by zi.
• Since sum of two indep r.v. is more gaussian than
  individual r.v., so zTs is more gaussian than
  either of si. AND becomes least gaussian when its
  equal to one of si.
• So we could take w as a vector which maximizes
  the non-gaussianity of wTx.
• Such a w would correspond to a z with only one
  non zero comp. So we get back the si.

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Measures of Non-Gaussianity

• We need to have a quantitative measure of
  non-gaussianity for ICA Estimation.
• Kurtotis gauss0 (sensitive to outliers)
• Entropy gausslargest
• Neg-entropy gauss 0 (difficult to estimate)
• Approximations
• where v is a standard gaussian random variable
  and

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Data Centering Whitening

• Centering
• x x Ex
• But this doesnt mean that ICA cannt estimate the
  mean, but it just simplifies the Alg.
• ICs are also zero mean because of
• Es WEx
• After ICA, add W.Ex to zero mean ICs
• Whitening
• We transform the xs linearly so that the x are
  white. Its done by EVD.
• x (ED-1/2ET)x ED-1/2ET Ax As
• where Exx EDET
• So we have to Estimate Orthonormal Matrix A
• An orthonormal matrix has n(n-1)/2 degrees of
  freedom. So for large dim A we have to est only
  half as much parameters. This greatly simplifies
  ICA.
• Reducing dim of data (choosing dominant Eig)
  while doing whitening also help.

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Computing the pre-processing steps for ICA

• 0) Centring make the signals centred in zero
• xi ? xi - Exi for each i
• 1) Sphering make the signals uncorrelated. I.e.
  apply a transform V to x such that Cov(Vx)I //
  where Cov(y)EyyT denotes covariance matrix
• VExxT-1/2 // can be done using sqrtm
  function in MatLab
• x?Vx // for all t (indexes t dropped
  here)
• // bold lowercase refers to column
  vector bold upper to matrix
• Scope to make the remaining computations
  simpler. It is known that independent variables
  must be uncorrelated so this can be fulfilled
  before proceeding to the full ICA

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Computing the rotation step
Aapo Hyvarinen (97)
This is based on an the maximisation of an
objective function G(.) which contains an
approximate non-Gaussianity measure.

• Fixed Point Algorithm
• Input X
• Random init of W
• Iterate until convergence
• Output W, S

where g(.) is derivative of G(.),
W is the rotation transform sought
? is Lagrange multiplier to enforce that
W is an orthogonal transform i.e. a
rotation Solve by fixed point iterations The
effect of ? is an orthogonal de-correlation

• The overall transform then to take X back to S is
  (WTV)
• There are several g(.) options, each will work
  best in special cases. See FastICA sw / tut for
  details.

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Application domains of ICA

• Blind source separation (BellSejnowski, Te won
  Lee, Girolami, Hyvarinen, etc.)
• Image denoising (Hyvarinen)
• Medical signal processing fMRI, ECG, EEG
  (Mackeig)
• Modelling of the hippocampus and visual cortex
  (Lorincz, Hyvarinen)
• Feature extraction, face recognition (Marni
  Bartlett)
• Compression, redundancy reduction
• Watermarking (D Lowe)
• Clustering (Girolami, Kolenda)
• Time series analysis (Back, Valpola)
• Topic extraction (Kolenda, Bingham, Kaban)
• Scientific Data Mining (Kaban, etc)

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Image denoising
Noisy image
Original image
Wiener filtering
ICA filtering
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Noisy ICA Model

• x As n
• A ... mxn mixing matrix
• s ... n-dimensional vector of ICs
• n ... m-dimensional random noise vector
• Same assumptions as for noise-free model, if we
  use measures of nongaussianity which are immune
  to gaussian noise.
• So gaussian moments are used as contrast
  functions. i.e.
• however, in pre-whitening the effect of noise
  must be taken in to account
• x (ExxT - S)-1/2 x
• x Bs n.

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Exercise (part 1, Updated Nov 10)

• How would you calculate efficiently the PCA of
  data where the dimensionality d is much larger
  than the number of vector observations n?
• Download the Wisconsin Data from the UC Irvine
  repository, extract PCAs from the data, test
  scatter plots of original data and after
  projecting onto the principal components, plot
  Eigen values

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Ex1. Part 2to ninbbelt_at_gmail.comsubject Ex1
and last names

• Given a high dimensional data, is there a way to
  know if all possible projections of the data are
  Gaussian? Explain
• - What if there is some additive Gaussian noise?

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Ex1. (cont.)

• 2. Use Fast ICA (easily found in google)
  http//www.cis.hut.fi/projects/ica/fastica/code/dl
  code.html
• Choose your favorite two songs
• Create 3 mixture matrices and mix them
• Apply fastica to de-mix

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Ex1 (cont.)

• Discuss the results
• What happens when the mixing matrix is symmetric
• Why did u get different results with different
  mixing matrices
• Demonstrate that you got close to the original
  files
• Try different nonlinearity of fastica, which one
  is best, can you see that from the data

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References

• Feature extraction (Images, Video)
• http//hlab.phys.rug.nl/demos/ica/
• Aapo Hyvarinen ICA (1999)
• http//www.cis.hut.fi/aapo/papers/NCS99web/node11.
  html
• ICA demo step-by-step
• http//www.cis.hut.fi/projects/ica/icademo/
• Lots of links
• http//sound.media.mit.edu/paris/ica.html
• object-based audio capture demos
• http//www.media.mit.edu/westner/sepdemo.html
• Demo for BBS with CoBliSS (wav-files)
• http//www.esp.ele.tue.nl/onderzoek/daniels/BSS.ht
  ml
• Tomas Zemans page on BSS research
• http//ica.fun-thom.misto.cz/page3.html
• Virtual Laboratories in Probability and
  Statistics
• http//www.math.uah.edu/stat/index.html