An Introduction to Matrix Concentration Inequalities

AbstractRandom matrices now play a role in many areas of theoretical, applied,and computational mathematics. Therefore, it is desirable to have toolsfor studying random matrices that are flexible, easy to use, and powerful.Over the last fifteen years, researchers have developed a remarkablefamily of results, called matrix concentration inequalities, that achieveall of these goals.This monograph offers an invitation to the field of matrix concentrationinequalities. It begins with some history of random matrix theory;it describes a flexible model for random matrices that is suitablefor many problems; and it discusses the most important matrix concentrationresults. To demonstrate the value of these techniques, thepresentation includes examples drawn from statistics, machine learning,optimization, combinatorics, algorithms, scientific computing, andbeyond.