We consider the low-rank approximation problem arising in the generalized Karhunen-Loeve transform. A sufficient condition for the existence of a solution is derived, and the analytical expression of the solution is given. A numerical algorithm is proposed to compute the solution. The new algorithm is illustrated by numerical experiments.
"On the Low-Rank Approximation Arising in the Generalized Karhunen-Loeve Transform." Abstr. Appl. Anal. 2013 (SI33) 1 - 8, 2013. https://doi.org/10.1155/2013/528281