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3 votes
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A concentration problem of product of matrices

Let $A$ be an $n \times m$ matrix with non-negative entries and $B \in \mathbb{R^{n\times n}_{\geq 0}}, C \in \mathbb{R^{m\times m}_{\geq 0}}$ be random matrices where B and C are both symmetric and ...
ie86's user avatar
  • 195
3 votes
0 answers
158 views

Worst-Case Solution to (Stochastic) Matrix Inequality

EDIT: Some specific conjectures added. This problem comes with an associated stochastic process, but I phrase everything as linear algebra in case somebody from a non-probability community has seen ...
M.Burtke's user avatar
1 vote
0 answers
80 views

Inequality involving random vectors and absolute values

Let $\mathbb{X}, \mathbb{Y} \subset \mathbb{R}^d$ be finite sets. Suppose random vectors $X \in \mathbb{X}$ and $Y \in \mathbb{Y}$ are sampled according to a joint distribution $\mathbb{P}_{XY}$. ...
Alireza Bakhtiari's user avatar
1 vote
0 answers
110 views

Tail bound without independence

Suppose $X_i , X_j\in \mathbb{R}^d$ are gaussian vectors and $A$ is an $n\times n$ symmetric PSD matrix where $A_{ij} = f(\|X_i-X_j\|_2), \quad i,j\in 1,\ldots,n\;$ for some non-negative Lipschitz ...
ie86's user avatar
  • 195
1 vote
0 answers
282 views

Strict monotonicity of conditional variances

Let $K \geq 2$ be a positive integer and $C$ be any $K \times K$ non-singular matrix (if necessary, can assume that all $K$ rows of $C$ are needed to span the coordinate row vector $e_1'$). For ...
Xiaosheng Mu's user avatar
0 votes
1 answer
158 views

Techniques for bounding the operator norm of the expectation of random matrix?

Let $\mu$ be a distribution on the unit sphere in $\mathbb{R}^n$. Let $u \sim \mu$ and consider the random matrix $$ A = I_n - uu^T. $$ Question: What techniques are available to provide (reasonably ...
Drew Brady's user avatar