Gentle Introduction to Singular Value Decomposition
Singular Value Decomposition
In linear algebra, the singular value decomposition (SVD) is a factorization of a real or complex matrix. It generalizes the eigendecomposition of a square matrix by extending the concept to asymmetric or rectangular matrices, which cannot be diagonalized directly using eigendecomposition. The SVD aims to find the following decomposition of a real-valued matrix $A$: $$A = U\Sigma V^T,$$ where $U$ and $V$ are orthogonal (orthonormal) matrices, and $\Sigma$ is a diagonal matrix. The columns of $U$ are called the left singular vectors of $A$, the columns of $V$ are called the right singular vectors, and the diagonal elements of $\Sigma$ are called the singular values.