optimal set of basis vectors

Hi all,
I have a vector space L with an inner product. The vector space L has
a set of linearly independent basis vectors
B = {bi}, i=1, ..., N,
i.e., each element w of L can be represented as a linear combination
of N basis vectors w=li.bi, where li is i-th real coeficient of the
linear combination. I also have a set of vectors V = {vi} and a number
M < N.

I would like to compute an orthogonal projection of vi to L0, where L0
is a subspace of L and the dimension of L0 is M. The general idea is
that I would like "approximate" the vectors vi by vectors vi', so that
vi' are elements of L0 which has a lower dimension than L. Then the
vectors vi' can be represented as a linear combination of M basis
vectors of L0.
The problem is that I don't know how to compute basis of L0. For
example I can choose M basis vectors from B but I would like to choose
such basis vectors which will lead to the best approximation of the
set V in L0.

To describe some real application. Let's have a set of 3D vectors V =
{vi} in E3 (analogy of aforementioned L where N = 3). Project vi using
orthogonal projection on some plane (the plane is a subspace of E3,
i.e., M = 2) so that the projection is closest possible with respect
to V. For example, we can project vectors vi to xy plane which will
yield some error, or we can project vectors vi to xz plane which will
yield another error. I would like to find such plane which would yeild
the smallest error. The question is how to find such plane, i.e., its
basis vectors. Of course I'm looking for some dimension indepedent
solution, this was just one instance of my problem.

I ask here because I think that this must be some classical problem of
linear algebra and I don't want to develop some ad hoc solution.

Thank you for any suggestions.

Jindra

.

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