Get Concentration Inequalities: A Nonasymptotic Theory of PDF

By Pascal Massart, Stéphane Boucheron, Gábor Lugosi

ISBN-10: 0199535256

ISBN-13: 9780199535255

Focus inequalities for services of autonomous random variables is a space of chance idea that has witnessed an excellent revolution within the previous couple of a long time, and has purposes in a large choice of components comparable to computing device studying, records, discrete arithmetic, and high-dimensional geometry. approximately conversing, if a functionality of many self sufficient random variables doesn't rely an excessive amount of on any of the variables then it truly is focused within the feel that with excessive likelihood, it's with reference to its anticipated price. This booklet bargains a bunch of inequalities to demonstrate this wealthy conception in an available method by way of overlaying the main advancements and purposes within the box.

The authors describe the interaction among the probabilistic constitution (independence) and a number of instruments starting from sensible inequalities to transportation arguments to details concept. functions to the research of empirical strategies, random projections, random matrix thought, and threshold phenomena also are offered.

A self-contained creation to focus inequalities, it encompasses a survey of focus of sums of self sustaining random variables, variance bounds, the entropy technique, and the transportation strategy. Deep connections with isoperimetric difficulties are published when distinctive realization is paid to purposes to the supremum of empirical processes.

Written through prime specialists within the box and containing wide workout sections this ebook should be a useful source for researchers and graduate scholars in arithmetic, theoretical machine technological know-how, and engineering.

Reviews:

The transparent exposition from easy fabric as much as contemporary refined effects and lucid writing variety make the textual content a excitement to learn. newcomers in addition to skilled scientists will prot both from it. it's going to definitely turn into one of many ordinary references within the box. Hilmar Mai, Zentralblatt Math

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Extra info for Concentration Inequalities: A Nonasymptotic Theory of Independence

Example text

I=1 Of course, the proof of this formula uses independence only through the pairwise orthogonality (in L2 ) of the variables Xi – EXi . Now it is a natural idea to bound the variance of a general function by expressing Z – EZ as a sum of martingale differences for the Doob filtration and use the orthogonality of these differences. More precisely, if we denote by Ei the conditional expectation operator, conditioned on (X1 , . . , Xi ), and use the convention E0 = E, then we may define i = Ei Z – Ei–1 Z for every i = 1, .

The best moment bound for the tail probability P{Y ≥ t} is minq E[Y q ]t –q where the minimum is taken over all positive integers. The best Cramér–Chernoff bound is infλ>0 Eeλ(Y–t) . Prove that min E[Y q ]t –q ≤ inf Eeλ(Y–t) . 6. Let Z be a real-valued random variable. Show that the set of positive numbers S = λ > 0 : EeλZ < ∞ is either empty, or an interval with left end point equal to 0. Let b = sup S. Show that ψZ (λ) = log EeλZ is convex and infinitely many times differentiable on I = (0, b).

For simplicity, we stick to the finite-dimensional framework. In this section we consider the special case where A = {a1 , . . 6 we return to the case of general subsets. Given ε ∈ (0, 1), a map f : RD → Rd is called an ε-isometry on A if for every pair a, a ∈ A, we have (1 – ε) a – a 2 ≤ f (a) – f (a ) 2 ≤ (1 + ε) a – a 2 . Now a natural question is to find the smallest possible value of d for which a linear ε-isometry exists on A. The Johnson–Lindenstrauss lemma, stated and proved below, ensures that when A is a finite set with cardinality n, a linear ε-isometry exists whenever d ≥ κε–2 log n, where κ is an absolute constant.

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Concentration Inequalities: A Nonasymptotic Theory of Independence by Pascal Massart, Stéphane Boucheron, Gábor Lugosi


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