User-Friendly Tail Bounds for Sums of Random Matrices
Event details
| Date | 24.06.2011 |
| Hour | 11:00 |
| Speaker | Prof. Joel Tropp, Caltech |
| Location | |
| Category | Conferences - Seminars |
We introduce a new methodology for studying the maximum eigenvalue of a sum of independent, symmetric random matrices. This approach results in a complete set of extensions to the classical tail bounds associated with the names Azuma, Bennett, Bernstein, Chernoff, Freedman, Hoeffding, and McDiarmid. Results for rectangular random matrices follow as a corollary. This research is inspired by the work of Ahlswede--Winter and Rudelson--Vershynin, but the new methods yield essential improvements over earlier results. We believe that these techniques have the potential to simplify the study a large class of random matrices.
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Practical information
- General public
- Free