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May 07 2014

The singular value decomposition

Tag: Math,softwareadmin @ 1:59 pm
Not only is the singular value decomposition (SVD) fundamental to matrix theory but it is also widely used in data analysis. I have used it several times in my posts. For example, here and here, I used the singular values to quantify the intrinsic dimensionality of attenuation coefficients. In this post, I applied the SVD to give the optimal basis functions to approximate the attenuation coefficient and compared them to the material attenuation coefficient basis set[1]. All of these posts were based on the SVD approximation theorem, which allows us to find the nearest matrix of a given rank to our original matrix. This is an extremely powerful result because it allows us to reduce the dimensionality of a problem while still retaining most of the information.
In this post, I will discuss the SVD approximation theorem from an intuitive basis. The math here will be even less rigorous than my usual low standard since my purpose is to get an understanding of how the theorem works and what are its limitations. If you want a mathematical proof, you can find it in many places like Theorems 5.8 and 5.9 of the book Numerical Linear Algebra[2] by Trefethen and Bau. These proofs do not provide much insight into the approximation so I will provide two ways of looking at the theorem: a geometric interpretation and an algebraic interpretation.

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