# Bounds for the extreme singular-values of random matrix with thresholded entries

Let $$n,d,k$$ be large positive integers such that $$\max(n/d,k/d) =: \lambda < 1$$. Let $$X$$ be a random $$n \times d$$ matrix with entries drawn iid from $$N(0,1/d)$$ and let $$W$$ be a $$k \times d$$ random matrix, independent of $$X$$, with entries drawn iid from $$N(0,1/d)$$. Consider the $$n \times k$$ matrix $$C$$ defined by $$c_{ij} = \max(x_i^\top w_j, 0)$$.

Question. What are good bounds for the extreme singular-values of $$C$$ ?

## Empirical observations

• @oferzeitouni I've added a figure from simulations. There seems to be concentration of the extreme singular-values $C$ but I have no clue how to prove it. Feb 20 at 14:52
• You are basically asking about the top eigenvalue of a product of two Wishart matrices. Corollary 2.2 in Male's paper arxiv.org/pdf/1004.4155.pdf should be enough to show that the spectrum is contained in the limiting spectrum (which can be computed using free probability). Feb 20 at 21:46
• @oferzeitouni Thanks for the input. What about the case where the entries of the product are thresholded (as in my question) ? (from a quick look, the paper you linked doesn't seem to cover this) ? My real issue is the thresholding, not the product (which as you say, is covered by classical results). That is, I'm interested in the singular-values of $C=\psi(XW^\top)$, where $\psi(t):=\max(t,0)$ is applied entrywise. Feb 20 at 22:04
• I missed that. Not sure. Have you tried to compute high moments? Feb 20 at 22:07
• You mean like moments of $c_{ij}$ ? A quick calculation gives $\mathbb E [c_{ij}] = \mathcal O(1/\sqrt{d})$ and $\mathbb E[c_{i,j}^2]=\mathcal O(1/d)$. In fact, it should also be possible to compute $\mathbb E[(c_{ij}c_{i'j'})^p]$ say for $p=1,2$; this presumably decays rapidly as a function of $d$. Given such correlation information, are there any general tools that can give info abound extreme singular-values of $C$ (I'm guessing this is what you have in mind, but I may be wrong). Feb 20 at 22:19

Claim. Rescale things so that $$\mathbb E [c_{11}^2] = 1$$. In the limit when $$n,k \to \infty$$ such that $$k/n=\lambda \in(0,\infty)$$, the spectral density of $$C$$ converges to $$MP(\lambda)$$.
Proof. Follows from directly Corollary 6 of this paper. In fact the same result holds if we consider the general scenario in which $$c_{ij}:=\psi(x_i^\top w_j)$$, with $$\psi:\mathbb R \to \mathbb R$$ such that $$|\psi(t)| \le \alpha(1 + |t|)^\alpha$$ for some $$\alpha \ge 0$$ and for every $$t \in \mathbb R$$. $$\quad\Box$$