Low Rank Approximation

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Matrix low-rank approximation is intimately related to data modelling, a problem that arises frequently in many different fields. Low Rank Approximation: Algorithms, Implementation, Applications is a comprehensive exposition of the theory, algorithms, and applications of structured low-rank approximation. Local optimization methods and effective suboptimal convex relaxations for Toeplitz, Hankel, and Sylvester structured problems are presented. A major part of the text is devoted to application of the theory. Applications described include:system and control theory: approximate realization, model reduction, output error, and errors-in-variables identification, signal processing: harmonic retrieval, sum-of-damped exponentials, finite impulse response modeling, and array processing, machine learning: multidimensional scaling and recommender system, computer vision: algebraic curve fitting and fundamental matrix estimation, bioinformatics for microarray data analysis, chemometrics for multivariate calibration, psychometrics for factor analysis, andcomputer algebra for approximate common divisor computation.Special knowledge from the respective application fields is not required. The book is complemented by a software implementation of the methods presented, which makes the theory directly applicable in practice. In particular, all numerical examples in the book are included in demonstration files and can be reproduced by the reader. This gives hands-on experience with the theory and methods detailed. In addition, exercises and MATLAB® examples will assist the reader quickly to assimilate the theory on a chapter-by-chapter basis. Low Rank Approximation: Algorithms, Implementation, Applications is a broad survey of the theory and applications of its field which will be of direct interest to researchers in system identification, control and systems theory, numerical linear algebra and optimization. The supplementary problems and solutions render it suitable for use in teaching graduate courses in those subjects as well.