SVD: Optimal Truncation [Python]

This video describes how to optimally truncate the singular value decomposition (SVD) for noisy data (Python 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/... Book Website: http://databookuw.com Book PDF: http://databookuw.com/databook.pdf These lectures follow Chapter 1 from: "Data-Driven Science and Engineering: Machine Learning, Dynamical Systems, and Control" by Brunton and Kutz Amazon: https://www.amazon.com/Data-Driven-Sc... Brunton Website: eigensteve.com This video was produced at the University of Washington