论文标题
数值考虑和IC的新实现
Numerical considerations and a new implementation for ICS
论文作者
论文摘要
不变坐标选择(ICS)是一种多元数据转换和一种缩小方法,在许多不同的情况下都可以有用。它可用于异常检测或群集识别,可以看作是独立的组件或非高斯组件分析方法。 IC的通常实施是基于两个散射矩阵的联合对角线化,并且在某些条件不良的情况下可能是不稳定的。我们专注于一步M筛分矩阵,并基于核心数据集的QR分解而提出了新的ICS实现。该分解避免了散点矩阵的直接计算及其逆计算,并将数值稳定性带到算法中。此外,行和列透视会导致一个列表揭示过程,该过程允许在散点矩阵不完全等级时计算ICS。与原始数据相比,几个人工和真实数据集说明了使用新实现的兴趣。
Invariant Coordinate Selection (ICS) is a multivariate data transformation and a dimension reduction method that can be useful in many different contexts. It can be used for outlier detection or cluster identification, and can be seen as an independent component or a non-Gaussian component analysis method. The usual implementation of ICS is based on a joint diagonalization of two scatter matrices, and may be numerically unstable in some ill-conditioned situations. We focus on one-step M-scatter matrices and propose a new implementation of ICS based on a pivoted QR factorization of the centered data set. This factorization avoids the direct computation of the scatter matrices and their inverse and brings numerical stability to the algorithm. Furthermore, the row and column pivoting leads to a rank revealing procedure that allows computation of ICS when the scatter matrices are not full rank. Several artificial and real data sets illustrate the interest of using the new implementation compared to the original one.