Fast independent component analysis algorithm with a simple closed-form solution

Przemyslaw Spurek, Jacek Tabor, Lukasz Struski, Marek Smieja

Abstract: In this paper we present WeICA, a fast ICA algorithm, which in its structure is similar to PCA and has the following features:•if there exists a coordinate system in which data is independent, then WeICA restores it,•the algorithm is affine invariant,•WeICA has a very simple and easy to implement closed-form solution,•the method allows for a dimensionality reduction,•the method can be updated on-line.WeICA substantially outperforms other state-of-the-art ICA methods with respect to time complexity, gives very good results in the case of dimension reduction and obtains satisfying restoring level.