In linear algebra, two-dimensional singular-value decomposition (2DSVD) computes the low-rank approximation of a set of matrices such as 2D images or weather maps in a manner almost identical to SVD (singular-value decomposition) which computes the low-rank approximation of a single matrix (or a set of 1D vectors).
SVD Let matrix X = [ x 1 , … , x n ] {\displaystyle X=[\mathbf {x} _{1},\ldots ,\mathbf {x} _{n}]} contains the set of 1D vectors which have been centered. In PCA/SVD, we construct covariance matrix F {\displaystyle F} and Gram matrix G {\displaystyle G}
F = X X T {\displaystyle F=XX^{\mathsf {T}}} , G = X T X , {\displaystyle G=X^{\mathsf {T}}X,}
and compute their eigenvectors U = [ u 1 , … , u n ] {\displaystyle U=[\mathbf {u} _{1},\ldots ,\mathbf {u} _{n}]} and V = [ v 1 , … , v n ] {\displaystyle V=[\mathbf {v} _{1},\ldots ,\mathbf {v} _{n}]} . Since V V T = I {\displaystyle VV^{\mathsf {T}}=I} and U U T = I {\displaystyle UU^{\mathsf {T}}=I} we have
X = U U T X V V T = U ( U T X V ) V T = U Σ V T . {\displaystyle X=UU^{\mathsf {T}}XVV^{\mathsf {T}}=U\left(U^{\mathsf {T}}XV\right)V^{\mathsf {T}}=U\Sigma V^{\mathsf {T}}.}
If we retain only K {\displaystyle K} principal eigenvectors in U , V {\displaystyle U,V} , this gives low-rank approximation of X {\displaystyle X} .
2DSVD Here we deal with a set of 2D matrices ( X 1 , … , X n ) {\displaystyle (X_{1},\ldots ,X_{n})} . Suppose they are centered ∑ i X i = 0 {\textstyle \sum _{i}X_{i}=0} . We construct row–row and column–column covariance matrices
F = ∑ i X i X i T {\displaystyle F=\sum _{i}X_{i}X_{i}^{\mathsf {T}}} and G = ∑ i X i T X i {\displaystyle G=\sum _{i}X_{i}^{\mathsf {T}}X_{i}}
in exactly the same manner as in SVD, and compute their eigenvectors U {\displaystyle U} and V {\displaystyle V} . We approximate X i {\displaystyle X_{i}} as
X i = U U T X i V V T = U ( U T X i V ) V T = U M i V T {\displaystyle X_{i}=UU^{\mathsf {T}}X_{i}VV^{\mathsf {T}}=U\left(U^{\mathsf {T}}X_{i}V\right)V^{\mathsf {T}}=UM_{i}V^{\mathsf {T}}}
… excerpt ends here. Continue reading the full article.
