st4.m

独立分量分析之四阶距方法的程序

% ICA 4-order static algorithm without a goal function
% Unrealtime,batch,maybe unsolved
function [Y,W]=ST4(X)
[m,T]=size(X);
epsilon=1;                 % 特征值<=epsilon认为是噪声

% center x and white x to z
AvgX=sum(X')'/T;
for t=1:T
    X(:,t)=X(:,t)-AvgX;
end
Cx=X*X'/T;

[U,D]=eig(Cx);
[fv,I]=sort(-sum(D));fv=-fv   % 特征值

U=U(:,I);                     % 特征矢量
% n=length(find(fv>epsilon));   % 说明有n个独立源
n=2;
fv=fv(1:n);U=U(:,1:n);
M=diag(sqrt(1./fv))*U';
Z=M*X;
    
Rz4=zeros(n,n);
for t=1:T
    Rz4=Rz4+( norm(Z(:,t))^2 )*Z(:,t)*Z(:,t)';
end
Rz4=Rz4/T;

[B,D]=eig(Rz4);
[fv,I]=sort(-sum(D));fv=-fv   % 特征值
B=B(:,I);                     % 特征矢量
W=B'*M;
Y=W*X;