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On the Low-Rank Approximation Arising in the Generalized Karhunen-Loeve Transform

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  • Xue-Feng Duan
  • Qing-Wen Wang
  • Jiao-Fen Li

Abstract

We consider the low-rank approximation problem arising in the generalized Karhunen-Loeve transform. A sufficient condition for the existence of a solution is derived, and the analytical expression of the solution is given. A numerical algorithm is proposed to compute the solution. The new algorithm is illustrated by numerical experiments.

Suggested Citation

  • Xue-Feng Duan & Qing-Wen Wang & Jiao-Fen Li, 2013. "On the Low-Rank Approximation Arising in the Generalized Karhunen-Loeve Transform," Abstract and Applied Analysis, Hindawi, vol. 2013, pages 1-8, May.
    • Handle: RePEc:hin:jnlaaa:528281
    DOI: 10.1155/2013/528281
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