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Register a new userConcentration on Poisson spaces via modified $Phi$-Sobolev inequalities
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Concentration properties of functionals of general Poisson processes are studied. Using a modified $Phi$-Sobolev inequality a recursion scheme for moments is established, which is of independent interest. This is applied to derive moment and concentration inequalities for functionals on abstract Poisson spaces. Applications of the general results in stochastic geometry, namely Poisson cylinder models and Poisson random polytopes, are presented as well.
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We obtain moment and Gaussian bounds for general Lipschitz functions evaluated along the sample path of a Markov chain. We treat Markov chains on general (possibly unbounded) state spaces via a coupling method. If the first moment of the coupling time exists, then we obtain a variance inequality. If a moment of order 1+epsilon of the coupling time exists, then depending on the behavior of the stationary distribution, we obtain higher moment bounds. This immediately implies polynomial concentration inequalities. In the case that a moment of order 1+epsilon is finite uniformly in the starting point of the coupling, we obtain a Gaussian bound. We illustrate the general results with house of cards processes, in which both uniform and non-uniform behavior of moments of the coupling time can occur.
Mixtures are convex combinations of laws. Despite this simple definition, a mixture can be far more subtle than its mixed components. For instance, mixing Gaussian laws may produce a potential with multiple deep wells. We study in the present work fine properties of mixtures with respect to concentration of measure and Sobolev type functional inequalities. We provide sharp Laplace bounds for Lipschitz functions in the case of generic mixtures, involving a transportation cost diameter of the mixed family. Additionally, our analysis of Sobolev type inequalities for two-component mixtures reveals natural relations with some kind of band isoperimetry and support constrained interpolation via mass transportation. We show that the Poincare constant of a two-component mixture may remain bounded as the mixture proportion goes to 0 or 1 while the logarithmic Sobolev constant may surprisingly blow up. This counter-intuitive result is not reducible to support disconnections, and appears as a reminiscence of the variance-entropy comparison on the two-point space. As far as mixtures are concerned, the logarithmic Sobolev inequality is less stable than the Poincare inequality and the sub-Gaussian concentration for Lipschitz functions. We illustrate our results on a gallery of concrete two-component mixtures. This work leads to many open questions.
Consider $n$ complex random matrices $X_1,ldots,X_n$ of size $dtimes d$ sampled i.i.d. from a distribution with mean $E[X]=mu$. While the concentration of averages of these matrices is well-studied, the concentration of other functions of such matrices is less clear. One function which arises in the context of stochastic iterative algorithms, like Ojas algorithm for Principal Component Analysis, is the normalized matrix product defined as $prodlimits_{i=1}^{n}left(I + frac{X_i}{n}right).$ Concentration properties of this normalized matrix product were recently studied by cite{HW19}. However, their result is suboptimal in terms of the dependence on the dimension of the matrices as well as the number of samples. In this paper, we present a stronger concentration result for such matrix products which is optimal in $n$ and $d$ up to constant factors. Our proof is based on considering a matrix Doob martingale, controlling the quadratic variation of that martingale, and applying the Matrix Freedman inequality of Tropp cite{TroppIntro15}.
For a compact Poisson-Lie group $K$, the homogeneous space $K/T$ carries a family of symplectic forms $omega_xi^s$, where $xi in mathfrak{t}^*_+$ is in the positive Weyl chamber and $s in mathbb{R}$. The symplectic form $omega_xi^0$ is identified with the natural $K$-invariant symplectic form on the $K$ coadjoint orbit corresponding to $xi$. The cohomology class of $omega_xi^s$ is independent of $s$ for a fixed value of $xi$. In this paper, we show that as $sto -infty$, the symplectic volume of $omega_xi^s$ concentrates in arbitrarily small neighbourhoods of the smallest Schubert cell in $K/T cong G/B$. This strengthens earlier results [9,10] and is a step towards a conjectured construction of global action-angle coordinates on $Lie(K)^*$ [4, Conjecture 1.1].
We derive two upper bounds for the probability of deviation of a vector-valued Lipschitz function of a collection of random variables from its expected value. The resulting upper bounds can be tighter than bounds obtained by a direct application of a classical theorem due to Bobkov and G{o}tze.
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