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IIT Kharagpur

Indian Institute of Technology

Kharagpur.

Singular Value Decomposition SVD

An m × n matrix of rank r maps an r dimensional unit hypersphere

in rowspace (A) into an r -dimensional hyper-ellipse in range (A).

The rank 2 matrix

√ √

3 3

1

b = Ax

A = √ −3 3

2 1

1

three-dimensional space.

Two diametrically opposite points on the unit circle are mapped

into the two endpoints of the major axis of the ellipse, and two

other diametrically opposite points on the unit circle are mapped

into the two endpoints of the minor axis of the ellipse.

The lines through these two pairs of points on the unit circle are

always orthogonal. This result can be generalized to any m × n

matrix.

SVD

If A is a real m × n matrix then there exist orthogonal matrices U, V

U = [u1 , u2 , . . . , um ] ∈ Rm×m

V = [v1 , v2 , . . . , vn ] ∈ Rn×n

such that

T

U AV = Σ = diag(σ1 , . . . , σp ) ∈ Rm×n

where p = min(m, n) and σ1 ≥ σ2 ≥ . . . σp ≥ 0.

Equivalently A = UΣV T

Vectors u are the left singular vectors

Σ has real non-negative diagonal entries called as singular values.

(IIT Kharagpur) Minimization Jan ’10 5 / 11

SVD

SVD is one of the most useful matrix decompositions, particularly

for numerical computations.

Its most common application is in the solution of over-determined

systems of equations.

Generally the decomposition is carried out in such a way that the

diagonal entries of Σ are in descending order.

Since matrices U and V are orthogonal, they have the following

properties:

||Ux|| = ||x|| for any vector x

T

U U = In×n

In general UU T is not the identitiy unless m = n.

SVD

One can also define SVD for matrices with more columns than

rows, but generally this will not be of interest to us. It is

appropriate to extend A by adding rows of zeros to obtain a square

matrix, and then take the SVD.

Common implementations of SVD assume that m ≥ n. In this

case matrix U has the same dimension m × n as the input, matrix

A may be over-written by the output matrix U.

properties:

||Ux|| = ||x|| for any vector x

T

U U = In×n

In general UU T is not the identitiy unless m = n.

Fitting a line

Let pi = (xi , yi )T be a set of m ≥ 2 points on a plane.

Consider the line ax + by − c = 0

The normal to the line is given by the vector n = (a, b)T . We can

assume that ||n|| = a2 + b2 = 1, thus n is a unit vector.

The distance of this line to the origin is |c|, and the distance

between the line n and the point pi is

||n||=1 ||n||=1

Fitting a line

min ||d||2 = min ||Pn − c1||2

||n||=1 ||n||=1

∂||d||2

=0 gives c = pT n

∂c

1 T

where p is the mean p = mP 1

Substituting for c, the minimization problem w.r.t n is:

||n||=1 ||n||=1 ||n||=1

matrix V .

function [ l, residue ] = linefit(P)

[ m n ] = size(P);

if n v= 2, error(’matrix P must be m x 2’), end

if m < 2, error(’Need at least two points’), end

one = ones(m, 1);

p = (P’ * one) / m;

Q = P - one * p’;

[U D V] = svd(Q);

n = V(:, 2);

l = [n ; p’ * n];

residue = D(2, 2);

Singular Values and Eigen Values

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