Singular Value Decomposition# Computation - 科学计算
l*y
1 楼
Hello, all,
If I have several positive-definite matrices, which are correlated to
each other somewhat. For each one, I can apply SVD separately for
sure. Now, my question is: if I would like to find a sort of common
eigen basis for all these matrices, applying same idea of SVD, i.e.,
decompose each of these matrices simultaneously on a "common" set of
eigen-basis, can I do that? Is there such algorithm available for
this purpose?
Thanks in advance,
If I have several positive-definite matrices, which are correlated to
each other somewhat. For each one, I can apply SVD separately for
sure. Now, my question is: if I would like to find a sort of common
eigen basis for all these matrices, applying same idea of SVD, i.e.,
decompose each of these matrices simultaneously on a "common" set of
eigen-basis, can I do that? Is there such algorithm available for
this purpose?
Thanks in advance,