updating text on svd
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@@ -1266,6 +1266,8 @@ and we have the obvious case
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This serves also as a useful test of our codes.
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!split
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===== The singular value decomposition =====
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@@ -1287,8 +1289,18 @@ algorithm based on say LU, QR or Cholesky decomposition may lead to singularitie
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There is however a way to partially circumvent this problem and also gain some insights about the ordinary least squares approach, and later shrinkage methods like Ridge and Lasso regressions.
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This is given by the _Singular Value Decomposition_ algorithm, perhaps
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the most powerful linear algebra algorithm. Let us look at a
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This is given by the _Singular Value Decomposition_ (SVD) algorithm,
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perhaps the most powerful linear algebra algorithm. The SVD provides
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a numerically stable matrix decomposition that is used in a large
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swath oc applications and the decomposition is always stable
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numerically.
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In machine learning it plays a central role in dealing with for example design matrices that may be near singular or singular.
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Furthermore, as we will see here, the singular values can be related to the covariance matrix (and thereby the correlation matrix) and in turn the variance of a given quantity. It plays also an important role in the principal component analysis where high-dimensional data can be reduced to the statistically relevant features.
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Let us look at a
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different example where we may have problems with the standard matrix
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inversion algorithm. Thereafter we dive into the math of the SVD.
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