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

Xue-Feng Duan, Qing-Wen Wang and Jiao-Fen Li

Abstract and Applied Analysis, 2013, vol. 2013, 1-8

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.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:528281

DOI: 10.1155/2013/528281

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