Accession Number:

ADA555817

Title:

User-Friendly Tail Bounds for Matrix Martingales

Descriptive Note:

Technical rept.

Corporate Author:

CALIFORNIA INST OF TECH PASADENA

Personal Author(s):

Report Date:

2011-01-16

Pagination or Media Count:

15.0

Abstract:

This report presents probability inequalities for sums of adapted sequences of random self-adjoint matrices. The results frame simple, easily verifiable hypotheses on the summands, and they yield strong conclusions about the large-deviation behavior of the maximum eigenvalue of the sum. The methods also specialize to sums of independent random matrices.

Subject Categories:

  • Numerical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE