An effective decoupling method for matrix optimization and its application to the ICA problem

Matrix optimization of cost functions is a common problem. Construction of methods that enable each row or column to be individually optimized, i.e., decoupled, are desirable for a number of reasons. With proper decoupling, the convergence characteristics such as local stability can be improved. Decoupling can enable density matching in applications such as independent component analysis (ICA). Lastly, efficient Newton algorithms become tractable after decoupling. The most common method for decoupling rows is to reduce the optimization space to orthogonal matrices. Such restrictions can degrade performance. We present a decoupling procedure that uses standard vector optimization procedures while still admitting nonorthogonal solutions. We utilize the decoupling procedure to develop a new decoupled ICA algorithm that uses Newton optimization enabling superior performance when the sample size is limited.