Does the built in function singular value decomposition (svd) do the correlation matrix for you?
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I am doing some research on proper orthogonal decomposition using the snapshot method where I use svd. I am wondering if this function already does the correlation matrix for you or would I need to do that before I use svd?
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John D'Errico
2023-2-4
编辑：John D'Errico
2023-2-4
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The SVD does NOT perform the re-scaling involved in a correlation matrix. It just uses the array you give it, with no preemptive scaling done at all. If you want that, you need to scale your data in advance.
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