Hybrid Joint Diagonalization Algorithms

Abstract: This paper deals with a hybrid joint diagonalization (JD) problem considering both Hermitian and transpose congruences. Such problem can be encountered in certain non-circular signal analysis applications including blind source separation. We introduce new Jacobi-like algorithms using Givens or a combination of Givens and hyperbolic rotations. These algorithms are compared with state-of-the-art methods and their performance gain, especially in the high dimensional case, is assessed through simulation experiments including examples related to blind separation of non-circular sources.