Mathematical optimization | Dimension reduction | Numerical linear algebra

Low-rank approximation

In mathematics, low-rank approximation is a minimization problem, in which the cost function measures the fit between a given matrix (the data) and an approximating matrix (the optimization variable), subject to a constraint that the approximating matrix has reduced rank. The problem is used for mathematical modeling and data compression. The rank constraint is related to a constraint on the complexity of a model that fits the data. In applications, often there are other constraints on the approximating matrix apart from the rank constraint, e.g., non-negativity and Hankel structure. Low-rank approximation is closely related to: * principal component analysis, * factor analysis, * total least squares, * latent semantic analysis * orthogonal regression, and * dynamic mode decomposition. (Wikipedia).

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Norm (mathematics) | Loss function | Vectorization (mathematics) | Mathematical optimization | Dynamic mode decomposition | Principal component analysis | Identity matrix | CUR matrix approximation | Factor analysis | Diagonal matrix | Singular value decomposition | Least squares | Erhard Schmidt | Sylvester matrix | System identification | Latent semantic analysis | Matrix completion | Mathematical model | Hankel matrix | Biconvex optimization | Total least squares | Orthogonal matrix | Computer algebra | Kalman filter | Rank (linear algebra) | Nonnegative matrix