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Let $0 < r \leq d$ integers. Let $X$, $Y$ be $d \times r$ matrices of independent Rademacher variables, that is, $X,Y \in \mathbb{R}^{d \times r}$ with entries $\pm1$ with probability $1/2$. I am wondering about the distribution of the trace norm / nuclear norm / Schatten-$1$ norm of $X+Y$, denoted by $\|X+Y\|_1 = \mathrm{Tr}[\sqrt{(X+Y)^{\dagger}(X+Y)}]$. In particular, I would like to know if there exist constants $c,C,K > 0$ such that $$\mathbb{P}\left[\|X+Y\|_1 \leq r\sqrt{d}/K\right] \leq C\exp(-crd).$$


Here is my attempt so far:

  1. The squared Frobenius norm is the sum of squares of the matrix entries, and so $\|X+Y\|_2^2$ is simply the sum of $dr$ variables which are independently $0$ or $4$ with probability $1/2$. Thus, by Hoeffding's inequality, $$\begin{align*}\mathbb{P}\left[\|X+Y\|_2^2 \leq dr\right] &= \mathbb{P}\left[\|X+Y\|_2^2 - 2dr\leq -dr\right] \\ &\leq \exp(-2(dr)^2/(16dr)) = \exp(-dr/8).\end{align*}$$
  2. For the operator norm $\|X\|$, there exist positive constants $c,K > 0$ such that $\mathbb{P}[\|X\| \geq K\sqrt{d}] \leq 2\exp(-cd)$ (Proposition 2.4 of this paper). Similarly for $\|Y\|$.
  3. Combining the above statements with the inequality $\|X+Y\|_2^2 \leq \|X+Y\|_1 \cdot \|X+Y\|$, we obtain through a union bound that $$\mathbb{P}\left[\|X+Y\|_1 \leq r\sqrt{d}/(2K)\right] \leq \exp(-dr/8) + 4\exp(-cd).$$

Hence, the question that remains is if the right-hand term in the tail bound can be strengthened to something that grows as $\exp(-crd)$, rather than $\exp(-cd)$.


Numerical simulations seem to suggest that the result is not true if we replace $X + Y$ with just a single Rademacher matrix $X$.

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  • $\begingroup$ I suspect the result is true also for just $X$. In fact, for any matrix with bounded iid entries. Note first that the mean of the trace you ask about is $cr\sqrt{d}$ (this is a Wishart-type computation) so you are asking for concentration bound. Just apply the concentration of measure (using Talagrand's inequality) as in Guionnet, Zeitouni, Concentration of the spectral measure for large matrices, ECP (2000). $\endgroup$ Commented Aug 22, 2022 at 20:20

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