Matrix Compression using the Nystro\"om Method

• Main Authors: Nemtsov, Arik, Averbuch, Amir, Schclar, Alon
• Format: Journal Article
• Language: English
• Published: 01.05.2013
• Subjects: Computer Science - Numerical Analysis

The Nystr\"{o}m method is routinely used for out-of-sample extension of kernel matrices. We describe how this method can be applied to find the singular value decomposition (SVD) of general matrices and the eigenvalue decomposition (EVD) of square matrices. We take as an input a matrix $M\in \m...