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SVD: Optimal Truncation [Matlab]
This video describes how to optimally truncate the singular value decomposition (SVD) for noisy data (Matlab code). See paper by Gavish and Donoho "The Optimal Hard Threshold for Singular Values is 4/sqrt{3}" https://arxiv.org/abs/1305.5870 https://ieeexplore.ieee.org/document/6846297 Book Website: http://databookuw.com Book PDF: http ...
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