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Register a new userDimension-free Bounds for Sums of Independent Matrices and Simple Tensors via the Variational Principle
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Nikita Zhivotovskiy
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We consider the deviation inequalities for the sums of independent $d$ by $d$ random matrices, as well as rank one random tensors. Our focus is on the non-isotropic case and the bounds that do not depend explicitly on the dimension $d$, but rather on the effective rank. In a rather elementary and unified way, we show the following results: 1) A deviation bound for the sums of independent positive-semi-definite matrices of any rank. This result generalizes the dimension-free bound of Koltchinskii and Lounici [Bernoulli, 23(1): 110-133, 2017] on the sample covariance matrix in the sub-Gaussian case. 2) Dimension-free bounds for the operator norm of the sums of random tensors of rank one formed either by sub-Gaussian or log-concave random vectors. This extends the result of Guedon and Rudelson [Adv. in Math., 208: 798-823, 2007]. 3) A non-isotropic version of the result of Alesker [Geom. Asp. of Funct. Anal., 77: 1--4, 1995] on the concentration of the norm of sub-exponential random vectors. 4) A dimension-free lower tail bound for sums of positive semi-definite matrices with heavy-tailed entries, sharpening the bound of Oliveira [Prob. Th. and Rel. Fields, 166: 1175-1194, 2016]. Our approach is based on the duality formula between entropy and moment generating functions. In contrast to the known proofs of dimension-free bounds, we avoid Talagrands majorizing measure theorem, as well as generic chaining bounds for empirical processes. Some of our tools were pioneered by O. Catoni and co-authors in the context of robust statistical estimation.
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