Background

Orthogonal Matrix

SVD

Solve:

$$ A = U\Sigma V^T $$

For non-square matrix $A$

• $U$ (orthogonal matrix)
• $\Sigma$ - n x n
• $V^T$ - n x n matrix

Resources

• http://peterbloem.nl/blog/pca
• https://www.cs.princeton.edu/picasso/mats/PCA-Tutorial-Intuition_jp.pdf
• https://www.youtube.com/watch?v=F-nfsSq42ow