Fast Eigen Decomposition for Low-Rank Matrix Approximation

نویسنده

  • Youhei Akimoto
چکیده

In this paper we present an efficient algorithm to compute the eigen decomposition of a matrix that is a weighted sum of the self outer products of vectors such as a covariance matrix of data. A well known algorithm to compute the eigen decomposition of such matrices is though the singular value decomposition, which is available only if all the weights are nonnegative. Our proposed algorithm accepts both positive and negative weights.

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عنوان ژورنال:
  • CoRR

دوره abs/1706.02069  شماره 

صفحات  -

تاریخ انتشار 2017