Related papers: Matrix Concentration for Products
In this review we summarise recent results for the complex eigenvalues and singular values of finite products of finite size random matrices, their correlation functions and asymptotic limits. The matrices in the product are taken from…
Consider $n$ complex random matrices $X_1,\ldots,X_n$ of size $d\times d$ sampled i.i.d. from a distribution with mean $E[X]=\mu$. While the concentration of averages of these matrices is well-studied, the concentration of other functions…
We present a non-asymptotic concentration inequality for the random matrix product \begin{equation}\label{eq:Zn} Z_n = \left(I_d-\alpha X_n\right)\left(I_d-\alpha X_{n-1}\right)\cdots \left(I_d-\alpha X_1\right), \end{equation} where…
A central tool in the study of nonhomogeneous random matrices, the noncommutative Khintchine inequality, yields a nonasymptotic bound on the spectral norm of general Gaussian random matrices $X=\sum_i g_i A_i$ where $g_i$ are independent…
Suppose $\{ X_k \}_{k \in \mathbb{Z}}$ is a sequence of bounded independent random matrices with common dimension $d\times d$ and common expectation $\mathbb{E}[ X_k ]= X$. Under these general assumptions, the normalized random matrix…
This paper gives new concentration inequalities for the spectral norm of a wide class of matrix martingales in continuous time. These results extend previously established Freedman and Bernstein inequalities for series of random matrices to…
We show that, under mild assumptions, the spectrum of a sum of independent random matrices is close to that of the Gaussian random matrix whose entries have the same mean and covariance. This nonasymptotic universality principle yields…
In this paper we study the concentration properties for the eigenvalues of kernel matrices, which are central objects in a wide range of kernel methods and, more recently, in network analysis. We present a set of concentration inequalities…
Non-asymptotic theory of random matrices strives to investigate the spectral properties of random matrices, which are valid with high probability for matrices of a large fixed size. Results obtained in this framework find their applications…
This thesis reviews recent progress on products of random matrices from the perspective of exactly solved Gaussian random matrix models. We derive exact formulae for the correlation functions for the eigen- and singular values at arbitrary…
We prove nonasymptotic matrix concentration inequalities for the spectral norm of (sub)gaussian random matrices with centered independent entries that capture fluctuations at the Tracy-Widom scale. This considerably improves previous bounds…
In this paper, we are interested in sequences of q-tuple of N-by-N random matrices having a strong limiting distribution (i.e. given any non-commutative polynomial in the matrices and their conjugate transpose, its normalized trace and its…
In this paper, we pursue our study of asymptotic properties of families of random matrices that have a tensor structure. In previous work, the first- and second-named authors provided conditions under which tensor products of unitary random…
This article concerns the non-asymptotic analysis of the singular values (and Lyapunov exponents) of Gaussian matrix products in the regime where $N,$ the number of term in the product, is large and $n,$ the size of the matrices, may be…
We present a concentration inequality for linear functionals of noncommutative polynomials in random matrices. Our hypotheses cover most standard ensembles, including Gaussian matrices, matrices with independent uniformly bounded entries…
We show that the mixing times of random walks on compact groups can be used to obtain concentration inequalities for the respective Haar measures. As an application, we derive a concentration inequality for the empirical distribution of…
Products and sums of random matrices have seen a rapid development in the past decade due to various analytical techniques available. Two of these are the harmonic analysis approach and the concept of polynomial ensembles. Very recently, it…
The first paper in this series introduced a new family of nonasymptotic matrix concentration inequalities that sharply capture the spectral properties of very general random matrices in terms of an associated noncommutative model. These…
We establish, under a moment matching hypothesis, the local universality of the correlation functions associated with products of $M$ independent iid random matrices, as $M$ is fixed, and the sizes of the matrices tend to infinity. This…
The study of Schatten classes has a long tradition in geometric functional analysis and related fields. In this paper we study a variety of geometric and probabilistic aspects of finite-dimensional Schatten classes of not necessarily square…