Firstly, we consider a large data matrix $X\in \mathbb{C}^{n\times m}$:
The column $x_k\in \mathbb{C}^n$ is obtained from simulations or experiments. Here,we always consider the column vectors may also represent the state of a physical system that is evolving in time.The column are often called snapshots and $m$ is the number of snapshots in $X$.
The Singular Value Decomposition allows us to decompose any complex-valued matrix as the product of three other matrices,