I have very little experience in linear algebra so please bear with me. Here's a little background of my issue. I'm working on a problem that utilizes a large kernel matrix, K. This matrix, when multiplied with 500 x 1 column vector A, results in a 500 x 1 column vector B as shown below:
A = K * B
The goal for this problem here is to find B given A and K. K is a 500x500 lower triangular matrix, so I can't take the inverse of it. Through some research, I was able to use SVD to break up K into into its singular values and calculate the inverse by
inv(K) = V * inv(S) * U'; B = inv(K) * A;
By filtering out some large singular values by setting values above a certain threshold to zero, I was able to recalculate an approximation for B. It seems like there are some high noise values in K.
Now that the previous problem has been taken care of, I'm working with another column vector, A1, which was calculated using the same kernel matrix K. However, A1 is a 100 x 1 column vector, so I can't perform the filtering as I did before. I was thinking about performing SVD on K and only keeping the 100 most important singular values and vectors, but would removing the left and right vectors in accordance with the values to be kept provide a good approximation of K in general? Going from 500 x 500 to a 100 x 100 matrix seems like a lot of data would be lost. In this case, how would one go about picking the most important values?