Non-asymptotic bound on the variance of largest singular value of gaussian matrix Let $A$ be a gaussian matrix of size $d \times n$ where all the coefficients are drawn i.i.d. from $ \mathcal{N}(0, 1)$ and denote by $s_{\text{max}}$ its largest singular value.
Theorem 2.6 of http://www-personal.umich.edu/~rudelson/papers/rv-ICM2010.pdf mentions that : 
$$ \mathbb{E} (s_{\text{max}}) \leq \sqrt{n}+\sqrt{d} $$
Hence : 
$$ \mathbb{E} (\frac{s_{\text{max}}}{\sqrt{n}}-1 ) \leq \sqrt{\frac{d}{n}} $$
I'm looking for a non-asymptotic upper-bound on $ s_{\text{max}}^2 $ that would look like : 
$$ \mathbb{E} (~| \frac{s_{\text{max}}^2}{n}-1 |~) \leq C~ \frac{d}{n} $$
C being a constant.
This is the same as bounding $ \frac{AA^T }{n} - I $, and the Frobenius norm already gives a bound in order of $ \frac{d^2}{n} $.
 A: Say $d\le n$. For an upper bound on the size of $s_{\max}$, for a matrix with sub-Gaussian entries we actually have the upper tail bound $P(s_{\max}\ge C\sqrt{n}) \le e^{-cn}$ for some absolute constants $C,c>0$. See for instance Fact 2.4 here (which gives explicit constants):
http://www-personal.umich.edu/~rudelson/papers/rand-matr.pdf 
This gives $E(s_{\max}^2)\le C'n$ for some constant $C'>0$.
If you want a bound on the variance of $s_{\max}$, note that a bound of constant order follows quickly from Gaussian concentration. Indeed, $s_{\max}$ is a 1-Lipschitz function on the space of $d\times n$ Gaussian matrices with the Hilbert-Schmidt norm. Of course, the Tracy-Widom law suggests a better than constant-order bound.
Edit: for your new question about whether we have $\mathbb{E}(|\frac{s_{\max}^2}{n}-1|)\le C\frac{d}{n}$, note that this is false for $d=1$ (and sufficiently large $n$). In this case $s_{\max}^2$ is just the squared norm of a Gaussian vector of length $n$, so $\mathbb{E}(|s_{\max}^2-n|)$ is of order $\sqrt{n}$.
A: For a non-asymptotic result, you could just use the exact distribution of $s^2_{\rm max}$ given in Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices... (Marco Chiani, 2014). These exact distributions are mixtures of gamma distributions. For large $d$ the distribution of $s^2_{\rm max}$ tends to the Tracy-Widom distribution, which is itself quite well approximated by a single gamma distribution, see equation 48 in that paper.
