Approximate Joint Singular Value Decomposition of an Asymmetric Rectangular Matrix Set

@article{Congedo2011ApproximateJS,
  title={Approximate Joint Singular Value Decomposition of an Asymmetric Rectangular Matrix Set},
  author={Marco Congedo and Ronald Phlypo and Dinh-Tuan Pham},
  journal={IEEE Transactions on Signal Processing},
  year={2011},
  volume={59},
  pages={415-424}
}
The singular value decomposition is among the most useful and widespread tools in linear algebra. Often in engineering a multitude of matrices with common latent structure are available. Suppose we have a set of matrices for which we wish to find two orthogonal matrices and such that all products are as close as possible to rectangular diagonal form. We show that the problem can be solved efficiently by iterating either power iterations followed by an orthogonalization process or Givens… CONTINUE READING
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