Generalized Low Rank Approximations of Matrices

The problem of computing low rank approximations of matrices is considered. The novel aspect of our approach is that the low rank approximations are on a collection of matrices. We formulate this as an optimization problem, which aims to minimize the reconstruction (approximation) error. To the best of our knowledge, the optimization problem proposed in this paper does not admit a closed form solution. We thus derive an iterative algorithm, namely GLRAM, which stands for the Generalized Low Rank Approximations of Matrices. GLRAM reduces the reconstruction error sequentially, and the resulting approximation is thus improved during successive iterations. Experimental results show that the algorithm converges rapidly.