Campuses:

Component analysis

Wednesday, September 28, 2011 - 11:00am - 12:00pm
Van Vu (Yale University)
Computing the first few singular vectors of a large matrix is a problem
that frequently comes up in statistics and numerical analysis. Given the presence of noise, exact calculation is hard to achieve, and the following problem is of importance:

How much does a small perturbation to the matrix change the singular vectors ?

Answering this question, classical theorems, such as those of Davis-Kahan and Wedin, give tight estimates for the worst-case scenario.
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