Karhunen-Loève expansion with reference to singular-value decomposition and separation of variables
- 1 January 1980
- journal article
- Published by Institution of Engineering and Technology (IET) in IEE Proceedings D Control Theory and Applications
- Vol. 127 (5) , 204-206
- https://doi.org/10.1049/ip-d.1980.0034
Abstract
The Karhunen-Loève 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
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