Sur la diagonalisation conjointe approchée par un critère des moindres carrés

A new algorithm for approximate joint diagonalization of a set of matrices is presented. Using the mean square criterium, without the ortogonality constraint, it is compared with an analogous algorithm for sources separation. The criterium of our algorithm is on the separating matrix while the other is on the mixing matrix. This improves significantely the rate of convergence with better performances.