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Singular value decomposition

There are powerful techniques for dealing with matrices that are singular (or very close to singular). These ideas are also applicible to systems with more (fewer) equations than unknowns. The essence of the method relies on the the following

Theorem Let A be an nXn matrix, and let r be its rank. Then there exists an orthogonal mXm matrix U and an nXn matrix V such that tex2html_wrap_inline382 where F is diagonal nXm or the form

displaymath386

The diagonal entries are the singular values of A, and can be arranged so that tex2html_wrap_inline388 .

The SVD is used to solve the least-squares problem. It amounts to finding a ``best'' approximate solution in some sense - like minimizing the total tex2html_wrap_inline390 error for all equations, when there are more equations than unknowns. See NR for specifics.



E. Bruce Pitman
Wed Oct 28 09:33:45 EST 1998