Matrix concentration inequalities via the method of exchangeable pairs

ANNALS OF PROBABILITY, pp. 906-945, 2014.

Cited by: 136|Views29

Abstract:

This paper derives exponential concentration inequalities and polynomial moment inequalities for the spectral norm of a random matrix. The analysis requires a matrix extension of the scalar concentration theory developed by Sourav Chatterjee using Stein's method of exchangeable pairs. When applied to a sum of independent random matrices, ...More

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