Large deviation principles induced by the Stiefel manifold, and random multidimensional projections

DOI10.1214/23-EJP1023zbMATH Open1530.60032arXiv2105.04685OpenAlexW4389631721MaRDI QIDQ6177516FDOQ6177516

Authors: Steven Soojin Kim, Kavita Ramanan 

Publication date: 17 January 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: Given an $n$-dimensional random vector $X^{(n)}$ , for $k<n$, consider its $k$-dimensional projection $mathbf{a}_{n,k}{X}^{(n)}$, where $mathbf{a}_{n,k}$ is an $nimesk$-dimensional matrix belonging to the Stiefel manifold $mathbb{V}_{n,k}$ of orthonormal $k$-frames in $mathbb{R}^n$. For a class of sequences $X^{(n)}$ that includes the uniform distributions on scaled $el{l}_p^n$ balls, $pin(1,infty]$, and product measures with sufficiently light tails, it is shown that the sequence of projected vectors $mathbf{a}_{n,k}^{i}ntercal{X}^{(n)}$ satisfies a large deviation principle whenever the empirical measures of the rows of $sqrtnmathbf{a}_{n,k}$ converge, as $nightarrowinfty$, to a probability measure on $mathbb{R}^k$. In particular, when $mathbf{A}_{n,k}$ is a random matrix drawn from the Haar measure on $mathbb{V}_{n,k}$, this is shown to imply a large deviation principle for the sequence of random projections $mathbf{A}_{n,k}^{i}ntercal{X}^{(n)}$ in the quenched sense (that is, conditioned on almost sure realizations of $mathbf{A}_{n,k}$). Moreover, a variational formula is obtained for the rate function of the large deviation principle for the annealed projections $mathbf{A}_{n,k}^{i}ntercal{X}^{(n)}$, which is expressed in terms of a family of quenched rate functions and a modified entropy term. A key step in this analysis is a large deviation principle for the sequence of empirical measures of rows of $sqrtnmathbf{A}_{n,k}$, which may be of independent interest. The study of multi-dimensional random projections of high-dimensional measures is of interest in asymptotic functional analysis, convex geometry and statistics. Prior results on quenched large deviations for random projections of $el{l}_p^n$ balls have been essentially restricted to the one-dimensional setting.

Full work available at URL: https://arxiv.org/abs/2105.04685

zbMATH Keywords

Stiefel manifoldlarge deviationsrandom projectionsrate functionquenchedvariational formulaannealedasymptotic convex geometry\(\ell_p^n\) balls

Mathematics Subject Classification ID

Large deviations (60F10) Random matrices (probabilistic aspects) (60B20) Asymptotic theory of convex bodies (52A23)

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