Best low-rank approximations and Kolmogorov n-widths

DOI10.1137/20M1355720arXiv2007.13196WikidataQ114074174 ScholiaQ114074174MaRDI QIDQ6345873FDOQ6345873

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

Publication date: 26 July 2020

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.

Mathematics Subject Classification ID

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

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