full svd (原始定义)
https://upload.wikimedia.org/wikipedia/commons/thumb/c/c8/Singular_value_decomposition_visualisation.svg/440px-Singular_value_decomposition_visualisation.svg.png
reduced svd (去除无效维度)
truncated svd (仅保留较大特征值)
应用 PCA
对
X
X
X 做 PCA, 等价于对
X
X
T
XX^T
XXT 做 truncated svd.