Nothing about Vincent Gallo's public persona prepares you for this. Arrogant, egotistical, wildly charismatic, with a profound sense of entitlement fuelling a brutal machismo - in a way, he is the bohemian Henry Rollins. But he was a musician long before he became an actor, playing in a string of bands including, most famously, New York art-rock trio Gray with the late Jean Michel Basquiat.

Tonight, he's playing largely from When, his 2001 solo debut. The album is entirely Gallo's own work and, as he says apologetically to the band after a shaky turn, he's "used to playing alone", but here he has Sonic Youth's Steve Shelley and Jim O'Rourke for company. He barely speaks for much of the show; he is egoless in his playing and dealings with the band, and the music they weave is of such unfathomably gauzy delicacy that it seems impossible to reconcile with what we know of its maker.

During Yes I'm Lonely, Gallo and O'Rourke trade vocals in a mournful, hopeless, ineffably lovely roundelay. These are less songs than ripples, eddies of limpid melody and languid guitar runs that are part John Fahey, part Kenny Burrell. The sole jarring moment is a turgid instrumental jam that sounds like something Cream couldn't be bothered to finish; eventually it bores itself to death.

For a final flourish, Gallo brings Polly Harvey and the Red Hot Chili Peppers' guitarist John Frusciante on stage for a heartbreakingly tentative (read: under-rehearsed) Moon River, as if finally acknowledging the implicit influences in his own songs. Polly (high, misty) and Vincent (sinuous, androgynous) are the perfect duet partners, giving the song an eerie cast, as if it were haunted by its own ghost. Then, like ghosts, they vanish.