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41 changes: 26 additions & 15 deletions lectures/svd_intro.md
Original file line number Diff line number Diff line change
Expand Up @@ -82,10 +82,12 @@ $$

where

\begin{align*}
$$
\begin{aligned}
UU^T & = I & \quad U^T U = I \cr
VV^T & = I & \quad V^T V = I
\end{align*}
\end{aligned}
$$

where

Expand Down Expand Up @@ -123,29 +125,34 @@ You can read about reduced and full SVD here

For a full SVD,

\begin{align*}
$$
\begin{aligned}
UU^T & = I & \quad U^T U = I \cr
VV^T & = I & \quad V^T V = I
\end{align*}
\end{aligned}
$$

But these properties don't hold for a **reduced** SVD.

Which properties hold depend on whether we are in a **tall-skinny** case or a **short-fat** case.

* In a **tall-skinny** case in which $m > > n$, for a **reduced** SVD


\begin{align*}
$$
\begin{aligned}
UU^T & \neq I & \quad U^T U = I \cr
VV^T & = I & \quad V^T V = I
\end{align*}
\end{aligned}
$$

* In a **short-fat** case in which $m < < n$, for a **reduced** SVD

\begin{align*}
$$
\begin{aligned}
UU^T & = I & \quad U^T U = I \cr
VV^T & = I & \quad V^T V \neq I
\end{align*}
\end{aligned}
$$

When we study Dynamic Mode Decomposition below, we shall want to remember this caveat because sometimes we'll be using reduced SVD's to compute key objects.

Expand Down Expand Up @@ -262,10 +269,12 @@ $$

where

\begin{align*}
$$
\begin{aligned}
S & = U\Sigma U^T \cr
Q & = U V^T
\end{align*}
\end{aligned}
$$

and $S$ is evidently a symmetric matrix and $Q$ is an orthogonal matrix.

Expand Down Expand Up @@ -439,11 +448,11 @@ $$
Compute:

$$
\begin{align}
\begin{aligned}
XX^T&=U\Sigma V^TV\Sigma^T U^T\cr
&\equiv U\Sigma\Sigma^TU^T\cr
&\equiv U\Lambda U^T
\end{align}
\end{aligned}
$$ (eq:XXcompare)

Compare representation {eq}`eq:XXcompare` with equation {eq}`eq:XXo` above.
Expand All @@ -453,10 +462,12 @@ eigenvectors of $XX^T$ and $\Sigma \Sigma^T$ is the matrix $\Lambda$ of eigenval

Second, let's compute

\begin{align*}
$$
\begin{aligned}
X^TX &=V\Sigma^T U^TU\Sigma V^T\\
&=V\Sigma^T{\Sigma}V^T
\end{align*}
\end{aligned}
$$



Expand Down