On the Low-Rank Approximation Arising in the Generalized Karhunen-Loeve Transform
Xuefeng Duan, Qing‐Wen Wang, Jiao‐fen Li · Abstract and Applied Analysis · 2013
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.