Recursive independent component analysis for online blind source separation

This study proposes and evaluates a recursive algorithm for incremental estimation of independent components from on-line data. The algorithm offers the convergence properties of batch independent component analysis (ICA) with incremental updates of a form similar to natural gradient (NG) on-line information maximization (Infomax). We employ recursive procedure to arrive at steady state solution given by NG Infomax. Furthermore, we propose a novel procedure to compute corrective updates on the basis of previous estimates. Implementation of this algorithm incurs linear complexity in data size, input dimensions, and number of estimated independent components. Significant gains in convergence rate over on-line natural gradient ICA are demonstrated.