On the low-rank approximation arising in the generalized Karhunen-Loeve transform (Q370011)
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scientific article; zbMATH DE number 6209334
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the low-rank approximation arising in the generalized Karhunen-Loeve transform |
scientific article; zbMATH DE number 6209334 |
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On the low-rank approximation arising in the generalized Karhunen-Loeve transform (English)
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19 September 2013
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Summary: We consider the low-rank approximation problem arising in the generalized Karhunen-Loeve transform. A sufficient condition for the existence of a solution is derived, and the analytical expression of the solution is given. A numerical algorithm is proposed to compute the solution. The new algorithm is illustrated by numerical experiments.
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