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localmin/JointDiagonalize.m

Last active October 14, 2017 09:01
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Matlab Function for Joint Diagonalize for BSS
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JointDiagonalize.m
function G = JointDiagonalize( S )
[ ~, N ] = size( S );
halfN = N / 2;
% Make two Correlation matrices
S1 = S(:,1:halfN);
S2 = S(:,halfN + 1:N);
Ex1 = (S1 * S1')/halfN;
[ P1, D1 ] = eig( Ex1 );
rD1_inv = D1^(-1/2);
Gd = rD1_inv * P1';
Ex2 = (S2 * S2')/halfN;
Ex2d = Gd * Ex2 * Gd';
[ P2, ~ ] = eig( Ex2d );
G = P2' * Gd;
end
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