English

Invertibility of random submatrices via tail decoupling and a Matrix Chernoff Inequality

Probability 2012-03-21 v3 Statistics Theory Statistics Theory

Abstract

Let XX be a n×pn\times p matrix with coherence μ(X)=maxjjXjtXj\mu(X)=\max_{j\neq j'} |X_j^tX_{j'}|. We present a simplified and improved study of the quasi-isometry property for most submatrices of XX obtained by uniform column sampling. Our results depend on μ(X)\mu(X), X\|X\| and the dimensions with explicit constants, which improve the previously known values by a large factor. The analysis relies on a tail decoupling argument, of independent interest, and a recent version of the Non-Commutative Chernoff inequality (NCCI).

Keywords

Cite

@article{arxiv.1103.3063,
  title  = {Invertibility of random submatrices via tail decoupling and a Matrix Chernoff Inequality},
  author = {Stéphane Chrétien and Sébastien Darses},
  journal= {arXiv preprint arXiv:1103.3063},
  year   = {2012}
}