On the low-rank approximation arising in the generalized Karhunen-Loeve transform
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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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Cites work
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Cited in
(4)- On extremal ranks and least squares solutions subject to a rank restriction
- Iterative solutions of a set of matrix equations by using the hierarchical identification principle
- Relationship between the Karhunen- Loéve transform and the Courant - Fischer theorem (Corresp.)
- Rank constrained matrix best approximation problem with respect to (skew) Hermitian matrices
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