Hybrid Joint Diagonalization Algorithms

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Abstract
This letter deals with a hybrid joint diagonalization problem considering both Hermitian and transpose congruence. Such problem can be encountered in certain noncircular 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 noncircular sources.

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