Singular value decomposition

SVD is a factorization of a real or complex matrix. It has many useful applications in signal processing and statistics.
Formally, the singular value decomposition of an $m\times n$ real or complex matrix $M$ is a factorization of the form $U\Sigma V^*$.
$U$ is an $m\times m$ real or complex unitary matrix.
$\Sigma$ is an $m\times n$ rectangular diagnal matrix with non-negative real numbers on the diagnal.
$V$ is an $n\times n$ real or complex unitary matrix.
the diagnal entries $\Sigma_{i,i}$ of $\Sigma$ are known as the singular values of $M$.
the left-singular vectors: columns of matrix $U$.
the right-singular vectors: columns of matrix $V$.
Wikipedia https://en.wikipedia.org/wiki/Singular_value_decomposition

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unitary matrix : a complex square matrix $U$ is unitary if its conjugate transpose $U^*$ is also its inverse — that is, if

U∗U=UU∗=I,

$$U^* U = U U^* = I,$$ where $I$ is the identity matrix.
$U^*$ is the conjugate transpose of matrix $U$.

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identity matrix: is the $n \times n$ square matrix with ones on the main diagnal and zeros else where.

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the left-singular vectors of $M$ are a set of orthonormal eigenvectors of $MM^*$ :
$M=U\Sigma V^*$
$\Rightarrow MM^* = (U\Sigma V^*)(U\Sigma V^*)^*$
$\Rightarrow MM^* = U\Sigma V^* V (U\Sigma)^*$
$\Rightarrow MM^* = U\Sigma \Sigma^* U^*$
$\Rightarrow MM^* U = U\Sigma \Sigma^* U^*U$
$\Rightarrow MM^* U = U\Sigma \Sigma^*$