Module 6: Dimensionality Reduction
  Lecture 29: Singular Value Decomposition (SVD)
 

                                            

 

 

SVD of real symmetric matrix
  • A is real symmetric of size
  • since
  • is of size and contains eigenvectors of
  • This is called spectral decomposition of
  • contains singular values
  • Eigenvectors of = eigenvectors of
  • Eigenvalues of = squareroot of eigenvalues of
  • Eigenvalues of = singular values of