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Singular Value Decomposition (SVD)

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Lecture 29: Singular Value Decomposition (SVD)

Singular Value Decomposition (SVD)

SVD of real symmetric matrix

Transformation using SVD

Example

Example: compact form

Example of dimensionality reduction (k = 1)

How many dimensions to retain?

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

Factorization of a matrix

If A is of size

Columns of

, then

is

is

and

is

matrix

are eigenvectors of

(orthonormal)

Columns of

are eigenvectors of

(orthonormal)

is diagonal

Singular values are positive squareroots of eigenvalues of

(assuming

or

singular values)

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

A is real symmetric of size

since

is of size

contains

Eigenvectors of

singular values

= eigenvectors of

Eigenvalues of

= squareroot of eigenvalues of

Eigenvalues of

= singular values of

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

Transformed data

Essentially,

is just a rotation of

Dimensionality of

is

Columns of

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

Transformed data

Essentially,

is just a rotation of

Dimensionality of

is

Columns of

dimensions

Columns are input basis vectors

shows how each object can be represented as a linear combination of other objects

Columns are output basis vectors

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

Transformed data

Essentially,

is just a rotation of

Dimensionality of

is

Columns of

dimensions

Columns are input basis vectors

shows how each object can be represented as a linear combination of other objects

Columns are output basis vectors

Lengths of vectors are preserved

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

Example

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

If

is of size

, then

is

is

and

is

matrix

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

Use only

Retain first

First

dimensions

columns for

columns of

Best rank

and

and first

values for

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

= 1)

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

= 1)

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

There is no easy answer

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

There is no easy answer

Concept of energy of a dataset

Total energy is sum of squares of singular values (aka spread or variance)

Retain

Generally,

is between

to

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

There is no easy answer

Concept of energy of a dataset

Total energy is sum of squares of singular values (aka spread or variance)

Retain

Generally,

is between

to

= 1 retains

of the energy

Objectives_template

Lecture 29: Singular Value Decomposition (SVD)

There is no easy answer

Concept of energy of a dataset

Total energy is sum of squares of singular values (aka spread or variance)

Retain

Generally,

is between

to

= 1 retains

Running time:

for

of size

of the energy

and rank

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