Multivariate Variational Mode Decomposition

We present a generic extension of variational mode decomposition (VMD) algorithm to multivariate or multichannel data. The proposed method utilizes a model for multivariate modulated oscillations that is based on the presence of a joint or common frequency component among all channels of input data. We then formulate a variational optimization problem that aims to extract an ensemble of band-limited modes containing inherent multivariate modulated oscillations present in the data. The cost function to be minimized is the sum of bandwidths of all signal modes across all input data channels, which is a generic extension of the cost function used in standard VMD to multivariate data. Minimization of the resulting…