On the singular values of random matrices (Q2449827)

Summary: We present an approach that allows one to bound the largest and smallest singular values of an \(N \times n\) random matrix with iid rows, distributed according to a measure on \(\mathbb R^n\) that is supported in a relatively small ball and linear functionals are uniformly bounded in \(L_p\) for some \(p>8\), in a quantitative (non-asymptotic) fashion. Among the outcomes of this approach are optimal estimates of \(1 \pm c\sqrt{n/N}\) not only in the case of the above mentioned measure, but also when the measure is log-concave or when it a product measure of iid random variables with ``heavy tails''.