Cross-Entropy optimization for independent process analysis

  • Authors:
  • Zoltán Szabó;Barnabás Póczos;András Lőrincz

  • Affiliations:
  • Department of Information Systems, Eötvös Loránd University, Budapest, Hungary;Department of Information Systems, Eötvös Loránd University, Budapest, Hungary;Department of Information Systems, Eötvös Loránd University, Budapest, Hungary

  • Venue:
  • ICA'06 Proceedings of the 6th international conference on Independent Component Analysis and Blind Signal Separation
  • Year:
  • 2006

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Abstract

We treat the problem of searching for hidden multi-dimensional independent auto-regressive processes. First, we transform the problem to Independent Subspace Analysis (ISA). Our main contribution concerns ISA. We show that under certain conditions, ISA is equivalent to a combinatorial optimization problem. For the solution of this optimization we apply the cross-entropy method. Numerical simulations indicate that the cross-entropy method can provide considerable improvements over other state-of-the-art methods.