Generalized Eigenproblem for Stochastic Process Covariances

• This paper presents a novel algorithm for finding the solution of the generalized eigenproblem where the matrices involved contain expectation values from stochastic processes. The algorithm is iterative and sequential to its structure and uses on-line stochastic approximation to reach an equilibrium point. A quotient between two quadratic forms is suggested as an energy function for this problem and is shown to have zero gradient only at the points solving the eigenproblem. Furthermore it is shown that the algorithm for the generalized eigenproblem can be used to solve three important problems as special cases. For a stochastic process the algorithm can be used to find the directions for maximal variance, covariance, and canonical correlation as well as their magnitudes.

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