Title :
Karhunen-Lo¿¿ve expansion with reference to singular-value decomposition and separation of variables
Author :
Fernando, K.V.M. ; Nicholson, H.
Author_Institution :
University of Sheffield, Department of Control Engineering, Sheffield, UK
fDate :
9/1/1980 12:00:00 AM
Abstract :
The Karhunen-Lo¿¿ve expansion for random processes, the method of principal component analysis, the singular-value decomposition of rectangular matrices and the method of separation of variables used in mathematical physics and functional analysis are shown to possess the same basic structure based on orthonormal basis functions or vectors and associated eigenproblems.
Keywords :
eigenvalues and eigenfunctions; matrix algebra; random processes; spectral analysis; Karhunen Loeve expansion; eigenproblems; orthonormal basis functions; principal component analysis; random processes; rectangular matrices; singular value decomposition; variables separation; vectors;
Journal_Title :
Control Theory and Applications, IEE Proceedings D
DOI :
10.1049/ip-d.1980.0034
