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Goals
I
SVD-decomposition.
SVD Decomposition.
For any matrix A Rmn there exist orthogonal matrices U Rmm ,
V Rnn and a diagonal matrix Rmn , i.e.,
1
0 ... 0
..
r
for m n
=
..
.
0
...
SVD Decomposition.
For any matrix A Rmn there exist orthogonal matrices U Rmm ,
V Rnn and a diagonal matrix Rmn , i.e.,
..
=
for m n
..
.
..
..
0
0
with diagonal entries
1 r > r+1 = = min {m,n} = 0
such that A = U V T
D. Leykekhman - MATH 3795 Introduction to Computational Mathematics
SVD Decomposition.
I
The decomposition
A = U V T
is called Singular Value Decomposition (SVD). It is very
important decomposition of a matrix and tells us a lot about its
structure.
SVD Decomposition.
I
The decomposition
A = U V T
is called Singular Value Decomposition (SVD). It is very
important decomposition of a matrix and tells us a lot about its
structure.
rank(A) = r,
Moreover if we denote
Ur = [u1 , . . . , ur ],
r = diag(1 , . . . , r ),
then we have
A = Ur r VrT =
r
X
Vr = [v1 , . . . , vr ],
i ui viT
i=1
i=1 j=1
I
and AAT = U T U T .
r
X
i ui viT
i=1
k
X
i ui viT ,
i=1
then
min
rank(D)=k
kA Dk2 = kA Ak k2 = k+1 ,
and
min
rank(D)=k
v
u p
uX
kA DkF = kA Ak kF = t
i2 ,
k+1
Linear Least Squares
r
X
i=1
m
X
(i zi uTi b)2 +
(uTi b)2 .
i=r+1
Thus,
min kAx bk22 =
x
r
X
i=1
m
X
(i zi uTi b)2 +
(uTi b)2 .
i=r+1
Thus,
min kAx bk22 =
x
r
X
m
X
(i zi uTi b)2 +
i=1
i=r+1
(uTi b)2 .
Thus,
min kAx bk22 =
x
r
X
m
X
(i zi uTi b)2 +
i=1
i=r+1
As a result
min kAx bk22 =
x
(uTi b)2 .
m
X
(uTi b)2 .
i=r+1
10
uTi b
,
i
zi = 0,
i = 1, . . . , r,
i = r + 1, . . . , n.
r
X
uT b
i
i=1
vi
11
12
r
X
uT b
i
i=1
vi =
r T
X
u b
i
i=1
uTi b
i
13
vi .
r
X
uT b
i
i=1
I
vi =
r T
X
u b
i
i=1
uTi b
i
uT (b)
vi .
13
14
4 7.2 104
5 6.6 107
6 5.5 1011
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