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arXiv · 1308.2952

Subadditivity of Matrix phi-Entropy and Concentration of Random Matrices

Joel A. Tropp·Richard Y. Chen
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Abstract

Matrix concentration inequalities provide a direct way to bound the typical spectral norm of a random matrix. The methods for establishing these results often parallel classical arguments, such as the Laplace transform method. This work develops a matrix extension of the entropy method, and it applies these ideas to obtain some matrix concentration inequalities.

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Joel A. Tropp, Richard Y. Chen. 2013-08-13. Subadditivity of Matrix phi-Entropy and Concentration of Random Matrices. https://doi.org/10.1214/ejp.v19-2964

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