FastICA (Independent Component Analysis) in Python

What is ICA?

Independent component analysis (ICA) is a computational method for separating a multivariate signal into additive subcomponents. (https://en.wikipedia.org/wiki/Independent_component_analysis)

Algorithm

1. Center x
2. Whiten x

where **E** is an orthogonal matrix of eigenvectors. **D** is a diagonalamtrix of eigenvalues. 3. Choose an initial value of **w** randomly where

4. Compute new **w**

where

5. Normalize new **w**

6. While **w** has not converged, return to 4. Check the convergence by computing

7. Compute the dot product of **w** and **x** and you get **S**

Example