Concentration inequalities for matrix martingales
- Series
- Probability Working Seminar
- Time
- Friday, October 8, 2010 - 15:05 for 1.5 hours (actually 80 minutes)
- Location
- Skiles 249
- Speaker
- Stas Minsker – School of Math, Georgia Tech
We will present probability inequalities for the sums of independent, selfadjoint random matrices. The focus is made on noncommutative generalizations of the classical bounds of Azuma, Bernstein, Cherno ff, Hoeffding, among others. These inequalities imply concentration results for the empirical covariance matrices. No preliminary knowledge of probability theory will be assumed. (The talk is based on a paper by J. Tropp).