Singular Value Decomposition Part 1: Perspectives on Linear Algebra

Math ∩ Programming

The singular value decomposition (SVD) of a matrix is a fundamental tool in computer science, data analysis, and statistics. It’s used for all kinds of applications from regression to prediction, to finding approximate solutions to optimization problems. In this series of two posts we’ll motivate, define, compute, and use the singular value decomposition to analyze some data.

I want to spend the first post entirely on motivation and background. As part of this, I think we need a little reminder about how linear algebra equivocates linear subspaces and matrices. I say “I think” because what I’m going to say seems rarely spelled out in detail. Indeed, I was confused myself when I first started to read about linear algebra applied to algorithms, machine learning, and data science, despite having a solid understanding of linear algebra from a mathematical perspective. The concern is the connection between matrices as transformations and matrices as a “convenient” way to organize data.

Data…

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