Best low-rank approximations and Kolmogorov n-widths

DOI10.1137/20M1355720MaRDI QIDQ6345873arXivWikidataFDO

Authors Michael S. Floater, Carla Manni, Espen Sande, Hendrik Speleers

Publication date 26 July 2020

Best approximation, Chebyshev systems (41A50) Uniqueness of best approximation (41A52) Numerical methods for low-rank matrix approximation; matrix compression (65F55)

Abstract: We relate the problem of best low-rank approximation in the spectral norm for a matrix

A

to Kolmogorov

n

-widths and corresponding optimal spaces. We characterize all the optimal spaces for the image of the Euclidean unit ball under

A

and we show that any orthonormal basis in an

n

-dimensional optimal space generates a best rank-

n

approximation to

A

. We also present a simple and explicit construction to obtain a sequence of optimal

n

-dimensional spaces once an initial optimal space is known. This results in a variety of solutions to the best low-rank approximation problem and provides alternatives to the truncated singular value decomposition. This variety can be exploited to obtain best low-rank approximations with problem-oriented properties.

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