Year: 2008
Type: preprint
Abstract: Principal component analysis (PCA) requires the computation of a low-rank approximation to a matrix containing the data being analyzed. In many applications of PCA, the best possible accuracy of any rank-deficient approximation is at most a few digits (measured in the spectral norm, relative to the spectral norm of the matrix being approximated). In such circumstances, efficient algorithms have not come with guarantees of good accuracy, unless one or both dimensions of the matrix being approximated are small. We describe an efficient algorithm for the low-rank approximation of matrices that produces accuracy very close to the best possible, for matrices of arbitrary sizes. We illustrate our theoretical results via several numerical examples.
Source: arXiv (Cornell University)
Authors: Rokhlin, Vladimir, Szlam, Arthur, Tygert, Mark
Institutions: Yale University, University of California, Los Angeles
Language: English
Topic: Matrix Theory and Algorithms
Subfield: Computational Theory and Mathematics
Field: Computer Science
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2952655975