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PCA and ICA Package


Brian Moore (view profile)


24 Sep 2012 (Updated )

Implements Principal Component Analysis (PCA) and Independent Component Analysis (ICA)

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This package contains functions that implement Principal Component Analysis (PCA) and its lesser known cousin, Independent Component Analysis (ICA).
PCA and ICA are implemented as functions in this package, and multiple examples are included to demonstrate their use.
In PCA, multi-dimensional data is projected onto the singular vectors corresponding to a few of its largest singular values. Such an operation effectively decomposes the input single into orthogonal components in the directions of largest variance in the data. As a result, PCA is often used in dimensionality reduction applications, where performing PCA yields a low-dimensional representation of data that can be reversed to closely reconstruct the original data.

In ICA, multi-dimensional data is decomposed into components that are maximally independent in the negentropy sense. ICA differs from PCA in that the low-dimensional signals do not necessarily correspond to the directions of maximum variance; rather, the ICA components have maximal statistical independence. In practice, ICA can often uncover disjoint underlying trends in multi-dimensional data.

Required Products MATLAB
MATLAB release MATLAB 7.13 (R2011b)
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Comments and Ratings (102)
09 Oct 2016 Igor Zhutchenko  
01 Sep 2016 nellie

nellie (view profile)

Can this code be applied to 4D data, such as fMRI? thx

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19 Aug 2016 Brian Moore

Brian Moore (view profile)

@Pär: Thanks for your interest in my code! ICA has inherent scaling and rotation ambiguity, so the input data has to be whitened (uncorrelated, unit variance) to obtain a unique solution.

However, as per "help myICA", if you do:

[Zica, A, T] = myICA(Z,r);
W = T \ pinv(A);

then W is a matrix such that (up to a constant offset)

Z ≈ W * Zica

As such, you can interpret norm(W(:,k))^2 as the "power" of the kth independent component, because, when norm(W(:,k))^2 is large, Zica(k,:) has a large contribution to Z.

I did a quick search on the topic and found the paper below, which proposes a similar procedure:

Hope this helps,

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19 Aug 2016 Pär Nyström

Thanks Brian for sharing your work!!! Works excellent on my test data! Just one question; the amplitude for each component is scaled to variance=1, but is it possible to estimate the relative amplitude between components or the absolute amplitude?

18 Aug 2016 Nathan Zhang

Thank you for your excellent work.

01 Aug 2016 Jason

Jason (view profile)

@Brian: I've read the paper and understand the basic concept. I am applying your code to systematically test ICA on non-Gaussian random variables. I thought you might know some limitation off the top of your head. I've mixed uniform, exponential, gamma, Rayleigh, and lognormal random variables. Now that I've spent a little more time on it. Lognormal doesn't seem any more troublesome than anything else. It seems to depend on the parameters of the distributions, which can adjust their similarity to Gaussian. Like you wrote, that's probably the issue.

01 Aug 2016 super

super (view profile)

29 Jul 2016 Brian Moore

Brian Moore (view profile)

@Jason: My code implements the FastICA algorithm from (link below) with Gaussian negentropy. In other words, it produces output components that are as "far from Gaussian" as possible. As you may know, this choice of objective is justified by the Central Limit Theorem -- the more independent signals you mix together, the more Gaussian-like the result -- so decomposing into non-Gaussian components is a reasonable way to reverse the mixing.

From this intuition, I think FastICA is failing because the log-normal distribution is too "Gaussian-like".

It sounds like you're just experimenting, but if you're really interested in recovering Gaussian-like signals, perhaps the Hyvarinen paper or some references therein propose modifications to tackle this.

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29 Jul 2016 Jason

Jason (view profile)

I wrote a script to generate two statistically independent components and mix them them to synthesize a two-channel signal. I used the synthesized signal with your myICA code recently. For most cases, myICA computes components that match those used to synthesize the signal, but not in all cases. For example, when I use a lognormal and uniform distribution for the two components, it fails. For most other cases, it works very well. Can you comment on limitations to your code?

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26 Jul 2016 Brian Moore

Brian Moore (view profile)

@Long B: It seems that you're doing the same thing as the previous commentator, JANANI A. That is:

It sounds like you're passing in a 1 x n scalar signal. ICA doesn't work like that. You have to pass in a d x n matrix of signals (plural), and then ICA will separate those into r <= d components

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25 Jul 2016 Long B

Long B (view profile)

Hi Brian,

It's my first time to use ICA in Matlab. I used Zica= myICA function to decompose the Matrix which is the signal from the mixture. But it turns out, all the decomposed matrices in the result, they are the same. I'm wondering if there is something wrong with my operation. I'm looking forward your reply. Thanks in advance.

25 Jul 2016 Janani A

Thanks for your reply Sir.

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22 Jul 2016 Brian Moore

Brian Moore (view profile)

@JANANI A: It sounds like you're passing in a 1 x n scalar signal. ICA doesn't work like that. You have to pass in a d x n matrix of signals (plural), and then ICA will separate those into r <= d components

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22 Jul 2016 Janani A


Thanks a lot for your reply.
I am trying to analyse my signal using ICA and want to separate the independent sources present in the signal. According to the algorithm, the input parameters are Z and r where r is the desired number of independent components. If I give values more than 1 for 'r', I'm getting the same values for all the ICs! Suppose r=3, output matrix consist of three rows,the ICs, I find that the 2nd and 3rd row values are the same as the 1st row! Can you please tell me where I am going wrong?

Thanks in advance!

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20 Jul 2016 Brian Moore

Brian Moore (view profile)

@JANANI A: Type "help myICA" and read the "Outputs" section to see how to (approximately, when r < d) reconstruct the input signal

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14 Jul 2016 Janani A

Dear Brian,

Thanks so much for the package.
I have a question on the reconstruction of the original signal. The output we get are the independent components. How do we reconstruct the signal from the obtained ICs?
Any help in this regard would be greatly appreciated.
Thank You.

23 Jun 2016 Brian Moore

Brian Moore (view profile)

@Mohammed: I see the confusion now: you're thinking of F and D as the eigenvectors and eigenvalues, respectively, of the sample covariance W * W'. For me, U and S are the left-singular vectors and singular values, respectively, of the raw weights W. The two methods are completely equivalent- the eigenvalues of the sample covariance are the *squared* singular values of the raw weights, so there's no square root needed in my formulation.

Here's proof:

% Random weights
W = randn(30,70);

% Method 1
[U, S, ~] = svd(W);
W1 = U * diag(1 ./ diag(S)) * U' * W;

% Method 2
[F, D] = eig(W * W');
W2 = F * diag(1 ./ sqrt(diag(D))) * F' * W;

% Check equivalence
err = norm(W1 - W2) %#ok

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22 Jun 2016 mohammad karami

@Brian: Thank you very much for your answer.
I think my question was not clear.
My question was about symmetric decorrelation which is based on the following formula:
So, I was expecting the following command in the code:
W = U * diag(1 ./ sqrt(diag(S))) * U' * W;
instead of this one:
W = U * diag(1 ./ diag(S)) * U' * W;
Thanks again for your helps.

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22 Jun 2016 Brian Moore

Brian Moore (view profile)

@mohammad: It's correct as written. Here's proof:

% Random data
W = randn(3,7);

% Whiten
[U, S, ~] = svd(W,'econ');
W = U * diag(1 ./ diag(S)) * U' * W;

% Verify that covariance is identity
covW = W * W' %#ok

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21 Jun 2016 mohammad karami

Hi Brian,
Thank you very much for uploading the invaluable code.
As you used symmetric decorrelation (Eq. 45), do'nt we need to take root of diagonal matrix?

W = U * diag(1 ./ diag(S)) * U' * W;

Thanks again

18 May 2016 Brian Moore

Brian Moore (view profile)

@Vivin: it's up to you to figure out how to import your data into the correct format.

All you have to do is load the data into an m x n matrix containing n (synchronized) samples from each of your m channels and then pass that matrix into myICA.

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18 May 2016 Vivin Varghese ARIKKUDIL MATHEW

Dear Brian,

Could you kindly answer this question if possible. Suppose i have the values of the signal in a text file. Let's say it is like an array of integers of a large length. Is it possible that i can apply your algorithm towards this signal.

Also if i have 2 channels of different length of wave files. would i be able to retrieve a signal from the output?

I have attached a copy of my code to retrieve the original signal from a text file and its corresponding histogram. and i am able to retrieve a signal from it.

clear all;

x=fopen('C:\Users\pc\Documents\Limoges\My Biblio\CoolTerm Capture 2016-05-18 14-52-33.asc','r');

15 May 2016 Alger

Alger (view profile)

thank you for share

11 May 2016 Vivin Varghese ARIKKUDIL MATHEW

Dear Brian,

Thank you very much for you quick response. YEs i would hope that ECG would be independent from ECG and EMG. But the problem lies is that the are all sometimes mixed together. My main objective is to remove the noise produced during the movement and this noise is highly unpredictable and is caused due to the wires. So if i were to take two a sources from 2 different pairs wires. i would get 3 signals(one from ECG and 2 independant noises induced from each pair of wiring). The goal would be to somehow get the data set to matlab and process it live. But i am unable to find any resources.

10 May 2016 Brian Moore

Brian Moore (view profile)

@Vivin: You can certainly run ICA on your multiple channel ECG data and see what the output looks like. I have no background in medical applications, but if the ECG signal is truly independent of the other signals (EEG, EMG) that are presumably mixed into each channel, then you might see a group separation.

Type "help myICA" to see the syntax of my ICA implementation.

For removing 50Hz noise, it's probably best to use a more classical filtering method, right? Something like this:

If you find that ICA works well on a test dataset, you might want to Google "online independent component analysis" to learn about how people modify ICA to handle streaming data.

Note: I have no experience with online ICA, and, in particular, my PCA and ICA Package doesn't support it.

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10 May 2016 Vivin Varghese ARIKKUDIL MATHEW

Dear Brian,

I am trying to implement your code on to separate ECG signals from its corresponding noises ( 50HZ line noise, EEG signals, EMG signals, and movement of the body ). Is it possible to use your algorithm to make this separation to filter out the ECG signal alone?

I have another question. Is it possible to apply your code for real time processing. for example, i am collecting ecg data from a patient using a measuring device with some multiple channels, would it be able to separate the sources and give me the individual outputs?

10 May 2016 Vivin Varghese ARIKKUDIL MATHEW

Dear Brian,

I have another question. Is it possible to apply your code for real time processing. for example, i am collecting ecg data from a patient using a measuring device with some multiple channels, would it be able to separate the sources and give me the individual outputs?

10 May 2016 Dominik Jungtäubl

Okay, thank you very much for the immediate response. I think I can continue working with your information ;)

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09 May 2016 Brian Moore

Brian Moore (view profile)

@Dominik: The pre-whitening just multiplies your data by a particular matrix so that the sample covariance of the "whitened" data is the identity matrix. I can't say much without seeing your data, but it must be the case that the sample covariance of your data must be rank-deficient, i.e., has one or more very small eigenvalues.

Make sure you pass in the data as an m x n matrix where m = #signals and n = # samples.

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09 May 2016 Dominik Jungtäubl

Hi Brian,

I'm about to seperate EMG recordings into its original signals. But the independent components do have a much greater amplitude (e+005) than the mixed signals. I guess this is because of the preprocessing, i.e. the whitening. Can you tell me why the whitening changes the magnitude to such an extent?

Greetings, Dominik

12 Mar 2016 srinivas balina  
08 Mar 2016 srinivas balina

Hi Brain..
Thank you very much for your work and making it available.
I would like to ask you if it is possible to separate instrumental tracks in songs by ICA.And what is the best way to separate vocals and music in audio signal.
Thanks in advance...

31 Jan 2016 Brian Moore

Brian Moore (view profile)

@Andrew: You can certainly use ICA for image analysis, but it sounds like you're embarking on some kind of research project, so I think it's in your best interest to learn how to do it yourself. ICA is a classical technique and there's tons of literature about on the web just a Google search away. If you decide to use my ICA code, feel free to read the function documentation, which will tell you all you need to know about how to use it.

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30 Jan 2016 Andrew

Andrew (view profile)

Hi Brain.
I would like to ask you if it is possible to use your code for image analysis.
What i want to do is to analyze a group of medical images, taken at the same position of the body, for different time points.
I 'm trying to Analise these images and to separate the background from the original image. After that i would like to reduce the motion of that part of the body, because of breathing.

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31 Dec 2015 Brian Moore

Brian Moore (view profile)

@Rajkumar: Say you have d "mixed speech" waveforms, each with n samples, and you're trying to recover the r underlying speech waveforms. Put the mixed speech waveforms into a d x n matrix Z and execute the following

Zica = myICA(Z,r);
Zpca = myPCA(Z,r);

Read the documentation of the two functions to see what is returned.

Note: PCA probably won't work for the speech separation problem; this classic problem is often used as motivation for doing ICA.

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thanks for your valuable program sir...

how can be the ICA and PCA analysis techniques can be used for speech detection from multiple mixed speech signals please help me sir

thanks in advance sir...

18 Sep 2015 Brian Moore

Brian Moore (view profile)

@Renan: You're welcome to modify and redistribute the code- just follow the rules of the BSD license included in the download.

As for the details of switching kurtosis, I'll leave that to you. To get started, I recommend the following paper:

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18 Sep 2015 Renan de Padua

Hi Brian.

I want to use the Kurtosis measure, instead of gaussian neg.

First question: Can I change your code? I will not redistribute or anything else, just want to see the difference between the measures
Second question: Can you guide me? I will use the kurtosis function, available on matlab. How can I adjust that?

Thanks for sharing!

21 Aug 2015 Darin McCoy

Hi Brian,

This is probably a really simple request, but Matlab's version of PCA comes in a format

[coeff, score, latent, tsquared, explained, mu] = pca(x)

[Zpca T U mu eigVecs] = myPCA(x,r)

.... how can you get the same results from your version as Matlab's pca?

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19 Aug 2015 Brian Moore

Brian Moore (view profile)

@Fransesco: ICA is definitely a good approach to decomposing a signal into independent spectra. The non-zero mean of your Lorentzian component is okay: the first step of the ICA algorithm is to center the data (subtract the mean), so, if it is working correctly, ICA should output a zero-mean version of the Lorentzian with no problem.

As I mentioned to Hamed, my implementation of ICA will fail in the presence of Gaussians because its objective function is to minimize the Gaussianity of the output components. Clearly this won't work when one of the output components IS Gaussian.

Here's a few other (probably better) ICA packages I recommend trying:

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17 Aug 2015 Francesco Lelj

Hi Brian,
thank you very much for your work and making it available.
I am trying to use your routines to anylize the data of some Uv-Vis spectra of a mixture of chemical compounds. I know that in the mixture I have consists of more than 1 compound but less than the number of different spectra I have at different temperature. I have checked the routines against syntetic data I generated modifying demo_ICA using linear combination of gaussian functions, trigoneometric functions and lorentzian functions before using the routines. I have observed that whereas the trigonometric functions are very well identified those of Lorentzian and gaussian are not. I have read in the answers to Hamed that this is because gaussian can be expressed as sum of other gausssians but this is not true with lorentzian. Even with my real data whent I try to analyze them I get negative "spectra" as independent component which is physically impossible. I am not an expert in signal processing and I got the impressin that part of the problem might be the fact that my signals do not have null average as sine and cosine have. Cause I have read that the method has been used also in the study in medicine in EEC and EEG I thought it was a really good method also for analysing superimposition of independent spectra.
Thank you in advance for any advice.
Best regards

06 Aug 2015 Brian Moore

Brian Moore (view profile)

@Hamed: The sum of independent Gaussians is again a Gaussian, so your question is ill-posed: there's not a unique decomposition.

Even if only one component was Gaussian, ICA still wouldn't work: its objective function is to *minimize* Gaussianity of the output signals.

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06 Aug 2015 Brian Moore

Brian Moore (view profile)

@Yeon-Mo Yang: Sorry for the delay... rng() is a built-in MATLAB function that controls its random number generator. I use it to set the generator seed so the results of myICA() are deterministic, but this isn't necessary. You can comment out the line, its harmless.

rng() was introduced around 2010, so you must have a pre-2010 MATLAB distribution...

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08 Jul 2015 Hamed

Hamed (view profile)

Hello Again,

I forgot to mention that that noises are independent.

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08 Jul 2015 Hamed

Hamed (view profile)

Hello Brian,

I've a summation of two normal distribution and I was wondering if I decompose it into its two normal components using ICA.
Thank you.

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29 Jun 2015 AJ Zadeh

Hi dear Brian And thanks so much for your code !
I loaded tow speech signals with Fs=16000 and n=16000 (1sec) then mixed together using random mixing matrix. I gave mixed signals as input data (Z) and r=2 , d=2 but separated sources was not good at all ! and estimated mixing matrix(A) was not correct too.
I need your help !

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25 Jun 2015 zhou zexun

Thanks for your code, it is very helpful for me!

25 Jun 2015 Yeon-Mo Yang

What is rng(1) in the first line of the source code demo.
When I tried it failed. I need your help. Thanks!

11 Apr 2015 Brian Moore

Brian Moore (view profile)

@Thomas: The ICA weights have to be decorrelated so they don't converge to the same values. My code implements the FastICA algorithm (reference in multiple previous comments on this package); please refer to the literature for details about the ICA algorithm.

The only restriction on the code is computational complexity: if the code completes, everything should be fine.

In the example you gave, the input to myPCA/myICA needs to be 3 x 300000 matrix: the columns should contain samples

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11 Apr 2015 Thomas Sim

Sorry again brian, hope i am not bothering you. May i know why do you need to de-correlate your weight matrix after the 4 steps ICA implementation?

Also just to check are there any restriction for your algorithm to work on large datasets?

Because i tried replacing your MVG samples with a 300000x3 matrices of 3 sound signals in ICA_demo and replaced maxsamples in myICA to my matrices length.

The results of the ica de-mixing is very poor for both with or without pca.

On contrary, the result of your pca is reasonable on large datasets.

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10 Apr 2015 Brian Moore

Brian Moore (view profile)

@Thomas: The principal components (PCs) produced by SVD are orthogonal, but they aren't unit norm, so the second whitening step is just normalizing each component to have unit norm (i.e., T is a diagonal matrix).

In many applications, the PC *magnitudes* are important; in those cases, you'll want to comment out the second whitening step.

I chose to normalize the PCs by default to allow direct comparison with ICA, which, by construction, returns unit norm components.

Hope this helps!

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10 Apr 2015 Thomas Sim

Hi Brian, hope this isn't a stupid question, mind if i ask for pca, you center and svd the data once but why do you need to whiten it again with svd? It's like doing it twice?

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02 Apr 2015 Brian Moore

Brian Moore (view profile)

@zongbao: not possible. A quote from Wikipedia:

"In general, ICA cannot identify the actual number of source signals, a uniquely correct ordering of the source signals, nor the proper scaling (including sign) of the source signals."

The first step of ICA is centering + whitening, which removes magnitude information. Indeed, after running myICA(), you can check that cov(z_ic') == identity matrix

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01 Apr 2015 zongbao

How can I find z_ic that corresponds to a specific eigenvalue and eigenvector? I mean I want to find the independent component that corresponds to the maximum eigenvalue. Thank you.

27 Mar 2015 TS Sharma

Thanks Brian!

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26 Mar 2015 Brian Moore

Brian Moore (view profile)

@TS Sharma: Yes, the columns of z_ic_new are the ICA coefficients corresponding to each input sample (i.e., columns of z_new)

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26 Mar 2015 TS Sharma

Referring to your reply to my previous comment, I think it is z_ic_new.

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26 Mar 2015 TS Sharma

Another basic question. May I know which matrix contains ICA coefficients?

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25 Mar 2015 TS Sharma

Thanks a lot Brian!! That was very kind of you.

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25 Mar 2015 Brian Moore

Brian Moore (view profile)

@TS Sharma: First, call myICA() like this:

[z_ic A T mean_z] = myICA(z,NUM);

Then, if new data is in (m x 1) vector z_new, you can project into ICA space by computing

z_ic_new = A * T * (z_new - mean_z);

Here, (A,T,mean_z) are the ICA transformation matrix, whitening matrix, and mean vector, respectively, of the original data

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25 Mar 2015 TS Sharma

Thank you for the code. This is a rather basic question. How do I project new (test) data onto the newly found ICA basis?

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12 Mar 2015 pratika tiwari

can we use this ica package for feature extraction??? kindly do reply.

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02 Mar 2015 pratika tiwari  
02 Mar 2015 pratika tiwari

thanks for the package..!! but how to use for speech signal?? i am too new to this field. that's why i need your guidance .

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01 Mar 2015 Bicheng Ying

Thanks for this nice package.

29 Jan 2015 Keven Laboy

That makes perfect sense. Thank you for the quick response!

29 Jan 2015 Brian Moore

Brian Moore (view profile)

@Kevin: The mixing matrix is "A", which is indeed orthogonal. Check out the last line of myICA.m: you'll see the statement

z_ic = A * z_cw;

which computes the independent components (z_ic) from the whitened input data (z_cw).

The matrix "T \ pinv(A)" transforms the independent components back to the original (unwhitened) domain, but it's not, in general, orthogonal because the whitening matrix "T" isn't orthogonal. Hope this helps!

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29 Jan 2015 Keven Laboy

Thank you for the package.

One question, to my understanding if you whiten and center the data, the matrix containing the basis functions (mixing matrix) should be orthogonal. When I run your code and get the mixing matrix by doing T \ pinv(A) (as specified in myICA.m) the resulting matrix is not orthogonal. Is this an issue?

Thank you in advance

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21 Jan 2015 Marthed

Thanks For providing this package ^_^

09 Jan 2015 M'hamed

How to select the best dimension of this best algorithm ICA ?

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09 Dec 2014 Peixin

Peixin (view profile)

06 Dec 2014 Brian Moore

Brian Moore (view profile)

@LA_2012: Please read my previous comments for more detail about my implementation of ICA and references to the literature.

To apply ICA to images, you could vectorize each image and store them as columns of the input matrix

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06 Dec 2014 LA_2012

Is this fixed point ICA or some other ?
How to use it on images?
How to modify the code according to requirement of some other ICA?
From where can I get reference data to understand ICA in a better way?
Thanks in advance :)
Thanks for providing this code

25 Nov 2014 Guilherme

Thanks for sharing your code Mr. Moore.

I'm using part of your ICA function to implement my own.
I wasn't get good results using the weight vector decorrelation as you did so I implemented the Gram-Schmidt decorrelation as proposed by Hyvarinen pq 15 (

Here is the code I inserted right after the weight normalization, still inside the for loop:

% Gram-Schmidt
summ = zeros(nOb,1);
for j = 1 : p-1
wj = W(j,:)';
summ = summ + W(p,:)*wj*wj;
W(p,:) = W(p,:) - summ';
W(p,:) = W(p,:)/norm(W(p,:));

25 Sep 2014 Body

Body (view profile)

I get it. Thanks a lot!

25 Sep 2014 Brian Moore

Brian Moore (view profile)

@Susanne: The for-loop containing "gp" is implementing steps 2-3 of the algorithm on pg. 14. So, in particular, gp is related to g'(.) from the document

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24 Sep 2014 Susanne

Ok I think I got a better grasp on it thank you so much your code helped me a lot. I got on question though, what is the 'gp' you're using in your ICA code?

23 Sep 2014 Brian Moore

Brian Moore (view profile)

@Body: No, the "err" vector keeps track of the how much the weight vectors are changing at each iteration (used only for stopping criterion). If you do as you suggested, you'll just be measuring how close each weight vector is to being unit norm (*spoiler alert* - they're always unit norm)

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23 Sep 2014 Brian Moore

Brian Moore (view profile)

@Susanne: I suggest you read the help info and comments in the myICA.m function. If you need more detail, you'll need to refer to the literature. For example I recommend

FYI: I'm using the 4-step algorithm on pg. 14 along with the symmetric decorrelation step involving the W matrix from (45) on pg. 15

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23 Sep 2014 Body

Body (view profile)

Thanks for your code! ICA is so difficult to understand. U help a lot! I have a question. Can
err(i) = 1 - w(i,:) * w(i,:)'
instead of
err(i) = 1 - w(i,:) * w_old(i,:)'?

23 Sep 2014 Susanne

I have some trouble to completely understand the ICA algorithmen zou are using. Would you mind heling me out?

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17 Sep 2014 Susanne  
16 Sep 2014 Brian Moore

Brian Moore (view profile)

@LionelB: Good point - I'm disappointed in myself for not mentioning bsxfun() - its MATLAB's secret sauce for vectorizing

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16 Sep 2014 LionelB

Or even

z0 = bsxfun(@minus,z,sum(z,2)/n);
R = (z0*z0')/(n-1);

:) (Matlab uses this idiom internally, see e.g. the 'cov' function).

Anyhow, I only raised this because I almost gave up on your fine package until I realised the fix was trivial.

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16 Sep 2014 Brian Moore

Brian Moore (view profile)

@LionelB: Yes, I'm aware. I wrote the MATLAB code so it could be directly translated into, e.g., C++. If I were maximizing MATLAB efficiency, I would have written

z0 = (1 / (n - 1)) * (z - repmat(mean_z,[1 n]));
R = z0 * z0';

instead of

z0 = z - mean_z*ones(1,n);
R = (z0*z0') / (n-1);

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16 Sep 2014 LionelB

Nice package, but the 'myWhiten' routine is a terrible computational bottleneck for large datasets, because of the inefficient sample covariance calculation. This can easily be done without looping: simply de-mean z, e.g.:

z0 = z-mean_z*ones(1,n);

then calculate

R = (z0*z0')/(n-1)

Delivers an orders-of-magnitude speedup.

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30 Jul 2014 Ilia

Ilia (view profile)

yes i was talking about z_LD, i was afraid that it could be a too strong restriction for the solution, because I'm not really expert with this kind of analysis, and it is the first time i find the possibility to compute the low dimension z.
Thanks you for the answer.

29 Jul 2014 Brian Moore

Brian Moore (view profile)

@Ilia: Are you referring to "z_LD" as described in the myICA help? It's a matrix of the same size as the input "z" that approximates z from a linear combination of the "NUM" independent components in output "z_ic"

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29 Jul 2014 Ilia

Ilia (view profile)

thank you for sharing the great job,I've a question.
I'm using your 'myICA.m' and i would like to understand what ICA_LD really do.
can you suggest some lecture about it or explain in few words,if it is possible.
thanks you very much

04 Jun 2014 Brian Moore

Brian Moore (view profile)

@Prarinya Check out the FastICA algorithm from

I'm using the 4-step algorithm on pg. 14 along with the symmetric decorrelation step involving the W matrix from (45) on pg. 15


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04 Jun 2014 Prarinya Siritanawan

Great contribution. I have a request

Could you please tell us the reference of the algorithm you use? I'm curious about the update rule for creating the transformation matrix 'A' in the code.

I tried to study the ICA algorithm from the ground. However update rule you use are quite different from the document I have. Therefore, I realized that there are more than one approach to update the transformation matrix.

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22 Apr 2014 Arjuna

Arjuna (view profile)

better than FastIca ;)

27 Feb 2014 Bosi

Bosi (view profile)

09 Jan 2014 Abdelrahman

super good

14 Nov 2013 Brian Moore

Brian Moore (view profile)


You must be using an old version of MATLAB (<= 2009b I believe) where ~ is not supported. Please replace the line with something like

[U,S,temp] = svd(w,'econ');

The variable temp is not used; the name is arbitrary

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14 Nov 2013 Pierre-Pascal

Hi thanks for providing this code! super useful.

line 97 on my ICA returns an error
[U,S,~] = svd(w,'econ');
it seems to hate the ~ as an output

did I miss something?

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30 Aug 2013 Morteza Abdollahzadeh  
12 Jul 2013 Shivakumar

Sir, there is an error at line 31. Can you please solve that? thank you for providing this file.

01 Jul 2013 Jim

Jim (view profile)

07 Nov 2012 Wang

Wang (view profile)

15 Oct 2012 Brian Moore

Brian Moore (view profile)

Why the 2 star ranking Eugene? Please provide feedback so I can improve this package!

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15 Oct 2012 Eugene

Eugene (view profile)

09 Oct 2012 1.1

Fixing bug in myMultiGaussian(). Needed to use lower triangular Cholesky factorization, not the upper triangular version.

05 Nov 2012 1.2

Updating myPCA() documentation

26 Apr 2015 1.3

Improving documentation and code performance

26 Apr 2015 1.4

Uploading .zip (omitted in last update)

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