Singular Value Decomposition

In summary, the singular value decomposition theorem states that any mxn matrix A of rank r > 0 can be factored into the product of an mxm matrix U with orthonormal columns, the mxn matrix ∑ with ∑ = diag(\sqrt{\lambda_i}), and the nxn matrix V with orthonormal columns. The matrices U and V contain the orthonormalized eigenvectors of (A^T)A and A(A^T), respectively. The first r columns of U form a basis for the range of A, while the first r columns of V form a basis for the corng of A. The eigenvalues of a Hermetian positive semidefinite matrix are equal to its singular values
  • #1
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I have a couple questions about the singular value decomposition theorem, which states that any mxn matrix A of rank r > 0 can be factored into
[tex] A = U \Sigma V[/tex]
into the product of an mxm matrix U with orthonormal columns, the mxn matrix ∑ with ∑ = diag([tex]\sqrt{\lambda_i}[/tex]), and the nxn matrix V with orthonormal columns.

In case the definition doesn't provide much help, the V has the orthonormalized eigenvectors of (A^T)A, and U has the orthonormalized eigenvectors of A(A^T).

Do the first r columns of U span A, i.e. do the first r columns of U form a basis for the range of A? Similarly, will the first r columns of V form a basis for the corng of A?

Really what I am trying to determine is if C is a 3x3 matrix with eigenvalues of 0, 1, and 2, if the eigenvalues of C^T C can be determined with the eigenvalues of C.
 
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  • #3
Actually, I was really certain about the bases for rng and corng.

Mostly what I don't see is the relation between the eigenvalues of C and the eigenvalues of C^T C, because one matrix is a symmetric positive definite matrix, while the other (C) is a general 3x3 matrix.
 

1. What is Singular Value Decomposition (SVD)?

Singular Value Decomposition (SVD) is a mathematical technique used to decompose a matrix into three smaller matrices. It is used to reduce the dimensionality of a dataset and identify patterns and relationships between variables.

2. Why is SVD important in data analysis?

SVD is important in data analysis because it allows us to identify the underlying structure and relationships in a dataset. It is widely used in machine learning, data compression, and image processing.

3. How does SVD differ from other matrix decomposition methods?

SVD differs from other matrix decomposition methods, such as Eigenvalue Decomposition, in that it can be applied to any type of matrix, including non-square and rectangular matrices. It also produces the most compact representation of the original matrix.

4. What is the significance of the singular values in SVD?

The singular values in SVD represent the amount of variation captured by each component. The larger the singular value, the more important the corresponding component is in explaining the data.

5. How is SVD used in dimensionality reduction?

SVD is used in dimensionality reduction by identifying the most important components that explain the variance in the data. These components can then be used to reduce the dimensionality of the dataset while preserving the most important information.

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