Concentration of norms and eigenvalues of random matrices

DOI10.1016/S0022-1236(03)00198-8MaRDI QIDQ1883231zbMATH OpenOpenAlexFDO

Authors Mark W. Meckes

Publication date 1 October 2004

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0211192

zbMATH Keywords

eigenvalueslarge deviationssingular valuesrandom matricesconcentration of measureconcentration of normsTalagrand's isoperimetric inequality

Mathematics Subject Classification ID

Large deviations (60F10) Inequalities involving eigenvalues and eigenvectors (15A42) Random matrices (algebraic aspects) (15B52) Miscellaneous inequalities involving matrices (15A45) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60)

Abstract: We prove concentration results for $el{l}_p^n$ operator norms of rectangular random matrices and eigenvalues of self-adjoint random matrices. The random matrices we consider have bounded entries which are independent, up to a possible self-adjointness constraint. Our results are based on an isoperimetric inequality for product spaces due to Talagrand.

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Cited in

(26)

• Singular value decomposition of large random matrices (for two-way classification of microarrays)
• Separating Populations with Wide Data: A Spectral Analysis
• On the concentration of eigenvalues of random symmetric matrices
• The dimension-free structure of nonhomogeneous random matrices
• Dominated concentration
• Chevet-type inequalities for subexponential Weibull variables and estimates for norms of random matrices
• On the condensed density of the generalized eigenvalues of pencils of Gaussian random matrices and applications
• Separating populations with wide data: a spectral analysis
• Concentration of Haar measures, with an application to random matrices
• Random matrices: sharp concentration of eigenvalues
• Random matrices, nonbacktracking walks, and orthogonal polynomials
• On the concentration of random multilinear forms and the universality of random block matrices
• On the expectation of operator norms of random matrices
• Matrix deviation inequality for ℓp-norm
• The singularity probability of a random symmetric matrix is exponentially small
• Random non-abelian \(G\)-circulant matrices. Spectrum of random convolution operators on large finite groups
• Concentration inequalities for the spectral measure of random matrices
• Concentration inequalities for random matrix products
• Chevet type inequality and norms of submatrices
• Singular vectors under random perturbation
• Concentration of the empirical spectral distribution of random matrices with dependent entries
• Nonasymptotic upper bounds for the reconstruction error of PCA
• On singular values of matrices with independent rows
• Random weighted projections, random quadratic forms and random eigenvectors
• Concentration for noncommutative polynomials in random matrices
• On concentration of high-dimensional matrices with randomly signed entries

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