I am following this article on face recognition. In "calculating eigenfaces" section, the authors present a solution for the problem of calculating a very big matrix:

Let $A_{N^2\times M}$ be an $M$ sized dataset, where each column in an $N\times N$ image. Instead of calculating the $M$ large eigenvectors of the $N^2\times N^2$ co-variance matrix they calculate the $M$ eigenvectors of $L=A^TA$ matrix which is of size $M\times M$.

  • Why is this a valid\good enough solution?
  • What are the criteria for a largest vector? larger in which seance?
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    $\begingroup$ Questions like these are yet another reason why I prefer the SVD presentation of these results as opposed to the eigenvalue versions. $\endgroup$ – J. M. is a poor mathematician Jan 7 '17 at 11:23

If $A$ and $B^T$ are $m\times n$ matrices (so both products $AB$ and $BA$ exist) then their characteristic polynoms $p_{AB}(\lambda)$ and $p_{BA}(\lambda)$ are almost the same (look for the sketch of proof at Wikipedia): $$ p_{AB}(\lambda)=(-\lambda)^{m-n}p_{BA}(\lambda). $$ Therefore, their non-zero eigenvalues are the same as well.

Also, for any eigenvector $x$ of matrix $AB$ corresponding to a non-zero eigenvalue $\lambda$ the vector $Bx$ becomes an eigenvector of $BA$ and corresponds to the same eigenvalue. $$ (BA)(Bx)=B(AB)x=B(\lambda x)=\lambda(Bx). $$

  • $\begingroup$ Could you add some more detail on how this leads to the OP's result? $\endgroup$ – nbubis Jan 7 '17 at 11:39
  • $\begingroup$ @nbubis Ah, sorry, I've concentrated on eigenvalues and forgot to add a note on eigenvectors. Will do in a minute. $\endgroup$ – Sergei Golovan Jan 7 '17 at 11:43
  • $\begingroup$ @SergeiGolovan How long are your minutes :D. If possible I would still like further clarification on the eigenvectors. $\endgroup$ – Shinobii Jan 9 '18 at 17:09
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    $\begingroup$ @Shinobii What do you need to be clarified? $\endgroup$ – Sergei Golovan Jan 10 '18 at 8:23
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    $\begingroup$ @Shinobii: The other eigenvalues are zero. Basically, since the matrix in question is symmetric, the orthogonal complement of the $M$ eigenvectors' span is the nullity of the matrix. $\endgroup$ – Sergei Golovan Jan 10 '18 at 14:06

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