Structured random matrices

DOI10.1007/978-1-4939-7005-6_4MaRDI QIDQ2406340zbMATH OpenOpenAlexFDO

Authors Ramon van Handel

Publication date 27 September 2017

Full work available at URL https://arxiv.org/abs/1610.05200

zbMATH Keywords

Gaussian random matricesrandom matrixresearch surveysparse Wigner matricesspectral norm inequalities

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to linear algebra (15-02) Miscellaneous inequalities involving matrices (15A45) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Random matrices (algebraic aspects) (15B52) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Random matrices (probabilistic aspects) (60B20)

Abstract: Random matrix theory is a well-developed area of probability theory that has numerous connections with other areas of mathematics and its applications. Much of the literature in this area is concerned with matrices that possess many exact or approximate symmetries, such as matrices with i.i.d. entries, for which precise analytic results and limit theorems are available. Much less well understood are matrices that are endowed with an arbitrary structure, such as sparse Wigner matrices or matrices whose entries possess a given variance pattern. The challenge in investigating such structured random matrices is to understand how the given structure of the matrix is reflected in its spectral properties. This chapter reviews a number of recent results, methods, and open problems in this direction, with a particular emphasis on sharp spectral norm inequalities for Gaussian random matrices.

Review text

The paper is included in a volume that presents some of the research topics discussed at the 2014--2015 Annual Thematic Program Discrete Structures: Analysis and Applications at the Institute of Mathematics and its Applications during the Spring 2015, where geometric analysis, convex geometry and concentration phenomena were the focus. Random matrix theory is a well-developed area of probability theory with numerous connections with other areas of mathematics and its applications. Much of the literature in this area is concerned with matrices that possess many exact or approximate symmetries, such as matrices with i.i.d. entries, for which precise analytic results and limit theorems are available. Much less well understood are matrices that are endowed with an arbitrary structure, such as sparse Wigner matrices or matrices whose entries possess a given variance pattern. The paper reviews a number of recent results, methods, and open problems in this direction, with a particular emphasis on sharp spectral norm inequalities for Gaussian random matrices. For the entire collection see [Zbl 1377.52002].

Recommendations

• On the spectral norm of Gaussian random matrices
• An introduction to matrix concentration inequalities
• Spectral norm of random matrices
• The dimension-free structure of nonhomogeneous random matrices
• Recent developments in non-asymptotic theory of random matrices

Cited in

(25)

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• Perturbation bounds for eigenspaces under a relative gap condition
• Matrix concentration inequalities and free probability
• Nonasymptotic one- and two-sample tests in high dimension with unknown covariance structure
• Norms of structured random matrices
• Dimension-free bounds for sums of independent matrices and simple tensors via the variational principle
• Dimension-free bounds for sums of dependent matrices and operators with heavy-tailed distributions
• Structured random matrices and cyclic cumulants: a free probability approach
• A stochastic perturbation analysis of the QR decomposition and its applications
• Universality and sharp matrix concentration inequalities
• Covariance estimation: optimal dimension-free guarantees for adversarial corruption and heavy tails
• Sharp concentration of simple random tensors
• On the dimension-free concentration of simple tensors via matrix deviation
• Tail bounds for the Dyson series of random Schrödinger equations
• Deviation inequalities for the spectral norm of structured random matrices
• Operator _p _q norms of Gaussian matrices
• On the spectral norm of Rademacher matrices
• Moment bounds for large autocovariance matrices under dependence

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