User-Friendly Tail Bounds for Matrix Martingales

Abstract

This report presents probability inequalities for sums of adapted sequences of random self-adjoint matrices. The results frame simple, easily verifiable hypotheses on the summands, and they yield strong conclusions about the large-deviation behavior of the maximum eigenvalue of the sum. The methods also specialize to sums of independent random matrices.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Jan 16, 2011
Accession Number
ADA555817

Entities

People

  • Joel A. Tropp

Organizations

  • California Institute of Technology

Tags

Communities of Interest

  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Complex Numbers
  • Eigenvalues
  • Functional Analysis
  • Hilbert Space
  • Hypotheses
  • Identities
  • Inequalities
  • Mathematics
  • Numbers
  • Power Series
  • Probability
  • Random Variables
  • Sequences
  • Standards
  • Theorems
  • Two Dimensional
  • User Friendly

Fields of Study

  • Mathematics

Readers

  • Linear Algebra
  • Mathematical Modeling and Probability Theory.