A Gaussian small deviation inequality for convex functions

DOI10.1214/17-AOP1206zbMATH Open1429.60022arXiv1611.01723OpenAlexW2963880283MaRDI QIDQ1647733FDOQ1647733

Authors: Grigoris Paouris, Petros Valettas 

Publication date: 26 June 2018

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: Let $Z$ be an $n$-dimensional Gaussian vector and let $f:mathbb{R}^{n}omathbbR$ be a convex function. We show that: ${\displaystyle }$mathbb P left( f(Z) leq mathbb E f(Z) -tsqrt{ { m Var} f(Z)} ight) leq exp(-ct^2),${\displaystyle }$ for all $t>1$, where $c>0$ is an absolute constant. As an application we derive variance-sensitive small ball probabilities for Gaussian processes.

Full work available at URL: https://arxiv.org/abs/1611.01723

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zbMATH Keywords

small ball probabilityJohnson-Lindenstrauss lemmaconcentration for convex functionsEhrhard's inequality

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Convexity and finite-dimensional Banach spaces (including special norms, zonoids, etc.) (aspects of convex geometry) (52A21) Asymptotic theory of convex bodies (52A23)

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Cited In (25)

• Improved one-sided deviation inequalities under regularity assumptions for product measures
• On a quantitative reversal of Alexandrov’s inequality
• Free energy landscapes in spherical spin glasses
• A sharp lower-tail bound for Gaussian maxima with application to bootstrap methods in high dimensions
• Gaussian mixtures: entropy and geometric inequalities
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• A note on norms of signed sums of vectors
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• Small ball estimates for quasi-norms
• Gaussian convex bodies: a nonasymptotic approach
• Deviation inequalities for convex functions motivated by the Talagrand conjecture
• On the tightness of Gaussian concentration for convex functions
• On the convex Poincaré inequality and weak transportation inequalities

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