Download presentation

Published byCade Egger Modified over 3 years ago

1
**Eigen Decomposition and Singular Value Decomposition**

Based on the slides by Mani Thomas Modified and extended by Longin Jan Latecki

2
**Introduction Eigenvalue decomposition**

Spectral decomposition theorem Physical interpretation of eigenvalue/eigenvectors Singular Value Decomposition Importance of SVD Matrix inversion Solution to linear system of equations Solution to a homogeneous system of equations SVD application

3
**A(x) = (Ax) = (x) = (x)**

What are eigenvalues? Given a matrix, A, x is the eigenvector and is the corresponding eigenvalue if Ax = x A must be square and the determinant of A - I must be equal to zero Ax - x = 0 ! (A - I) x = 0 Trivial solution is if x = 0 The non trivial solution occurs when det(A - I) = 0 Are eigenvectors are unique? If x is an eigenvector, then x is also an eigenvector and is an eigenvalue A(x) = (Ax) = (x) = (x)

4
**Calculating the Eigenvectors/values**

Expand the det(A - I) = 0 for a 2 £ 2 matrix For a 2 £ 2 matrix, this is a simple quadratic equation with two solutions (maybe complex) This “characteristic equation” can be used to solve for x

5
**Eigenvalue example Consider,**

The corresponding eigenvectors can be computed as For = 0, one possible solution is x = (2, -1) For = 5, one possible solution is x = (1, 2) For more information: Demos in Linear algebra by G. Strang,

6
**Physical interpretation**

Consider a covariance matrix, A, i.e., A = 1/n S ST for some S Error ellipse with the major axis as the larger eigenvalue and the minor axis as the smaller eigenvalue

7
**Physical interpretation**

Original Variable A Original Variable B PC 1 PC 2 Orthogonal directions of greatest variance in data Projections along PC1 (Principal Component) discriminate the data most along any one axis

8
**Physical interpretation**

First principal component is the direction of greatest variability (covariance) in the data Second is the next orthogonal (uncorrelated) direction of greatest variability So first remove all the variability along the first component, and then find the next direction of greatest variability And so on … Thus each eigenvectors provides the directions of data variances in decreasing order of eigenvalues For more information: See Gram-Schmidt Orthogonalization in G. Strang’s lectures

9
**Multivariate Gaussian**

10
Bivariate Gaussian

11
**Spherical, diagonal, full covariance**

12
**Eigen/diagonal Decomposition**

Let be a square matrix with m linearly independent eigenvectors (a “non-defective” matrix) Theorem: Exists an eigen decomposition (cf. matrix diagonalization theorem) Columns of U are eigenvectors of S Diagonal elements of are eigenvalues of Unique for distinct eigen-values diagonal

13
**Diagonal decomposition: why/how**

Let U have the eigenvectors as columns: Then, SU can be written Thus SU=U, or U–1SU= And S=UU–1.

14
**Diagonal decomposition - example**

Recall The eigenvectors and form Recall UU–1 =1. Inverting, we have Then, S=UU–1 =

15
**Example continued Let’s divide U (and multiply U–1) by Then, S= Q**

(Q-1= QT ) Why? Stay tuned …

16
**Symmetric Eigen Decomposition**

If is a symmetric matrix: Theorem: Exists a (unique) eigen decomposition where Q is orthogonal: Q-1= QT Columns of Q are normalized eigenvectors Columns are orthogonal. (everything is real)

17
**Spectral Decomposition theorem**

If A is a symmetric and positive definite k £ k matrix (xTAx > 0) with i (i > 0) and ei, i = 1 k being the k eigenvector and eigenvalue pairs, then This is also called the eigen decomposition theorem Any symmetric matrix can be reconstructed using its eigenvalues and eigenvectors

18
**Example for spectral decomposition**

Let A be a symmetric, positive definite matrix The eigenvectors for the corresponding eigenvalues are Consequently,

19
**Singular Value Decomposition**

If A is a rectangular m £ k matrix of real numbers, then there exists an m £ m orthogonal matrix U and a k £ k orthogonal matrix V such that is an m £ k matrix where the (i, j)th entry i ¸ 0, i = 1 min(m, k) and the other entries are zero The positive constants i are the singular values of A If A has rank r, then there exists r positive constants 1, 2,r, r orthogonal m £ 1 unit vectors u1,u2,,ur and r orthogonal k £ 1 unit vectors v1,v2,,vr such that Similar to the spectral decomposition theorem

20
**Singular Value Decomposition (contd.)**

If A is a symmetric and positive definite then SVD = Eigen decomposition EIG(i) = SVD(i2) Here AAT has an eigenvalue-eigenvector pair (i2,ui) Alternatively, the vi are the eigenvectors of ATA with the same non zero eigenvalue i2

21
**Example for SVD Let A be a symmetric, positive definite matrix**

U can be computed as V can be computed as

22
Example for SVD Taking 21=12 and 22=10, the singular value decomposition of A is Thus the U, V and are computed by performing eigen decomposition of AAT and ATA Any matrix has a singular value decomposition but only symmetric, positive definite matrices have an eigen decomposition

23
**Applications of SVD in Linear Algebra**

Inverse of a n £ n square matrix, A If A is non-singular, then A-1 = (UVT)-1= V-1UT where -1=diag(1/1, 1/1,, 1/n) If A is singular, then A-1 = (UVT)-1¼ V0-1UT where 0-1=diag(1/1, 1/2,, 1/i,0,0,,0) Least squares solutions of a m£n system Ax=b (A is m£n, m¸n) =(ATA)x=ATb ) x=(ATA)-1 ATb=A+b If ATA is singular, x=A+b¼ (V0-1UT)b where 0-1 = diag(1/1, 1/2,, 1/i,0,0,,0) Condition of a matrix Condition number measures the degree of singularity of A Larger the value of 1/n, closer A is to being singular

24
**Applications of SVD in Linear Algebra**

Homogeneous equations, Ax = 0 Minimum-norm solution is x=0 (trivial solution) Impose a constraint, “Constrained” optimization problem Special Case If rank(A)=n-1 (m ¸ n-1, n=0) then x= vn ( is a constant) Genera Case If rank(A)=n-k (m ¸ n-k, n-k+1== n=0) then x=1vn-k+1++kvn with 21++2n=1 Has appeared before Homogeneous solution of a linear system of equations Computation of Homogrpahy using DLT Estimation of Fundamental matrix For proof: Johnson and Wichern, “Applied Multivariate Statistical Analysis”, pg 79

25
What is the use of SVD? SVD can be used to compute optimal low-rank approximations of arbitrary matrices. Face recognition Represent the face images as eigenfaces and compute distance between the query face image in the principal component space Data mining Latent Semantic Indexing for document extraction Image compression Karhunen Loeve (KL) transform performs the best image compression In MPEG, Discrete Cosine Transform (DCT) has the closest approximation to the KL transform in PSNR

26
**Singular Value Decomposition**

Illustration of SVD dimensions and sparseness

27
**SVD example Let Thus m=3, n=2. Its SVD is**

Typically, the singular values arranged in decreasing order.

28
**Low-rank Approximation**

SVD can be used to compute optimal low-rank approximations. Approximation problem: Find Ak of rank k such that Ak and X are both mn matrices. Typically, want k << r. Frobenius norm

29
**Low-rank Approximation**

Solution via SVD set smallest r-k singular values to zero k column notation: sum of rank 1 matrices

30
**Approximation error How good (bad) is this approximation?**

It’s the best possible, measured by the Frobenius norm of the error: where the i are ordered such that i i+1. Suggests why Frobenius error drops as k increased.

Similar presentations

OK

Advanced Computer Graphics Spring 2014 K. H. Ko School of Mechatronics Gwangju Institute of Science and Technology.

Advanced Computer Graphics Spring 2014 K. H. Ko School of Mechatronics Gwangju Institute of Science and Technology.

© 2018 SlidePlayer.com Inc.

All rights reserved.

To ensure the functioning of the site, we use **cookies**. We share information about your activities on the site with our partners and Google partners: social networks and companies engaged in advertising and web analytics. For more information, see the Privacy Policy and Google Privacy & Terms.
Your consent to our cookies if you continue to use this website.

Ads by Google

Ppt on van de graaff generator experiments Ppt on range of motion exercises Ppt on porter's five forces analysis of amazon Ppt on special types of chromosomes defects Ppt on world environment day images Ppt on beautiful places in india Ppt on adverbs for grade 2 Surface conduction electron emitter display ppt online Ppt on event planning and management Ppt on three phase ac circuits