SVD: Optimal Truncation [Matlab]

This video describes how to optimally truncate the singular value decomposition (SVD) for noisy data (Matlab code).



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



Book Website: http://databookuw.com
Book PDF: http://databookuw.com/databook.pdf

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/

Brunton Website: eigensteve.com

This video was produced at the University of Washington