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Dimension-free tail inequalities for sums of random matrices

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arxiv 1104.1672 v3 pith:HANQPE3D submitted 2011-04-09 math.PR cs.LGstat.ML

classification math.PRcs.LGstat.ML
keywords matrixdimensionsexplicitinequalitiesmatricesrandomsumstail
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We derive exponential tail inequalities for sums of random matrices with no dependence on the explicit matrix dimensions. These are similar to the matrix versions of the Chernoff bound and Bernstein inequality except with the explicit matrix dimensions replaced by a trace quantity that can be small even when the dimension is large or infinite. Some applications to principal component analysis and approximate matrix multiplication are given to illustrate the utility of the new bounds.

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