Comparison of Two Main Approaches to Joint SVD

Authors:
Gen Hori
Affiliations:
Center for Intellectual Property Strategies, RIKEN, Saitama, Japan 351-0198
Venue:
ICA '09 Proceedings of the 8th International Conference on Independent Component Analysis and Signal Separation
Year:
2009

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Abstract

Joint SVD is a problem of finding a pair of unitary matrices which simultaneously diagonalizes several (possibly non-square) matrices. This paper compares two main approaches to joint SVD problem, "approach via joint diagonalization" and "direct approach". The former is relatively easy to implement because we can make use of literature of joint diagonalization algorithms while the latter has advantages in numerical accuracy and flexibility to fit on-line applications. Numerical simulation for comparison using gradient-based algorithms verifies that the latter has advantage in numerical accuracy.