Singular Value Decomposition (the SVD)
PROFESSOR: The previous video was about positive definite matrices. This video is also linear algebra, a very interesting way to break up a matrix called the singular value decomposition. And everybody says SVD for singular value decomposition. And what is that factoring? What are the three pieces of the SVD? So this is the fact is every matrix, rectangular, every matrix factors into-- these are the three pieces. U sigma V transpose. People use those letters for the three factors. The factor U is an orthogonal matrix, an orthogonal matrix. The factor sigma in the middle is a diagonal matrix. The factor V transpose on the right is also an orthogonal matrix. So I have orthogonal, diagonal, orthogonal, or physically, rotation, stretching, rotation. Now we have seen three factors for a matrix, V, lambda, V inverse. What's the difference? What's the difference between this SVD, this, and the V, lambda, V transpose, V inverse, V lambda, V inverse for diagonalizing other...