Fast Eigen Decomposition for Low-Rank Matrix Approximation
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Publication:6287590
arXiv1706.02069MaRDI QIDQ6287590FDOQ6287590
Authors: Youhei Akimoto 
Publication date: 7 June 2017
Abstract: In this paper we present an efficient algorithm to compute the eigen decomposition of a matrix that is a weighted sum of the self outer products of vectors such as a covariance matrix of data. A well known algorithm to compute the eigen decomposition of such matrices is though the singular value decomposition, which is available only if all the weights are nonnegative. Our proposed algorithm accepts both positive and negative weights.
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