Joint Approximate Diagonalization of a Set of Square Matrices
Description
Different algorithms to perform approximate joint diagonalization
of a finite set of square matrices. Depending on the algorithm,
orthogonal or non-orthogonal diagonalizer is found. These algorithms
are particularly useful in the context of blind source separation.
Original publications of the algorithms can be found in
Ziehe et al. (2004), Pham and Cardoso (2001) ,
Souloumiac (2009) ,
Vollgraff and Obermayer . An example of
application in the context of Brain-Computer Interfaces EEG denoising
can be found in Gouy-Pailler et al (2010) .