Combined reduced-rank transform

DOI10.3842/SIGMA.2006.039MaRDI QIDQ2495192zbMATH OpenOpenAlexFDO

Authors Anatoli Torokhti, Phil Howlett

Publication date 4 July 2006

Published in SIGMA. Symmetry, Integrability and Geometry: Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0604220, http://www.emis.de/journals/SIGMA/2006/Paper039/index.html

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Mathematics Subject Classification ID

Multivariate analysis (62H99) Inference from stochastic processes and prediction (62M20)

Abstract: We propose and justify a new approach to constructing optimal nonlinear transforms of random vectors. We show that the proposed transform improves such characteristics of rank-reduced transforms as compression ratio, accuracy of decompression and reduces required computational work. The proposed transform ${mathcalT}_p$ is presented in the form of a sum with $p$ terms where each term is interpreted as a particular rank-reduced transform. Moreover, terms in ${mathcalT}_p$ are represented as a combination of three operations ${mathcalF}_k$, ${mathcalQ}_k$ and $$ with $k=1,\mathrm{...},p$. The prime idea is to determine ${mathcalF}_k$ separately, for each $k=1,\mathrm{...},p$, from an associated rank-constrained minimization problem similar to that used in the Karhunen--Lo`{e}ve transform. The operations ${mathcalQ}_k$ and $$ are auxiliary for finding ${mathcalF}_k$. The contribution of each term in ${mathcalT}_p$ improves the entire transform performance. A corresponding unconstrained nonlinear optimal transform is also considered. Such a transform is important in its own right because it is treated as an optimal filter without signal compression. A rigorous analysis of errors associated with the proposed transforms is given.

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(6)

• Optimal fixed rank transform of the second degree
• Fast random vector transforms in terms of pseudo-inverse within the Wiener filtering paradigm
• Prediction-based lower triangular transform
• Optimal nonlinear transformations of random variables
• New perspectives on optimal transforms of random vectors
• Projection-based rank reduction algorithms for multichannel modelling and image compression

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