This video describes how to truncate the singular value decomposition (SVD) for matrix approximation.
See paper by Gavish and Donoho "The Optimal Hard Threshold for Singular Values is 4/\sqrt{3}"
https://arxiv.org/abs/1305.5870
https://ieeexplore.ieee.org/document/6846297
These lectures follow Chapter 1 from: "Data-Driven Science and Engineering: Machine Learning, Dynamical Systems, and Control" by Brunton and Kutz
Amazon: https://www.amazon.com/Data-Driven-Science-Engineering-Learning-Dynamical/dp/1108422098/
Book Website: http://databookuw.com
Book PDF: http://databookuw.com/databook.pdf
Brunton Website: eigensteve.com
This video was produced at the University of Washington