On the low-rank approximation arising in the generalized Karhunen-Loeve transform (Q370011): Difference between revisions

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.