An algorithm for separation of mixed sparse and Gaussian sources.

Independent component analysis (ICA) is a ubiquitous method for decomposing complex signal mixtures into a small set of statistically independent source signals. However, in cases in which the signal mixture consists of both nongaussian and Gaussian sources, the Gaussian sources will not be recoverable by ICA and will pollute estimates of the nongaussian sources. Therefore, it is desirable to have methods for mixed ICA/PCA which can separate mixtures of Gaussian and nongaussian sources. For mixtures of purely Gaussian sources, principal component analysis (PCA) can provide a basis for the Gaussian subspace. We introduce a new method for mixed ICA/PCA which we call Mixed ICA/PCA via Reproducibility Stability (MIPReSt). Our method uses a repeated estimations technique to rank sources by reproducibility, combined with decomposition of multiple subsamplings of the original data matrix. These multiple decompositions allow us to assess component stability as the size of the data matrix changes, which can be used to determinine the dimension of the nongaussian subspace in a mixture. We demonstrate the utility of MIPReSt for signal mixtures consisting of simulated sources and real-word (speech) sources, as well as mixture of unknown composition.