A large deviation inequality for the rank of a random matrix

Let $A$ be an $n \times n$ random matrix with independent identically distributed non-constant subgaussian entries.Then for any $k \le c \sqrt{n}$, $$\text{rank}(A) \ge n-k$$ with probability at least $1-\exp(-c'kn)$

Small ball probability for the condition number of random matrices

Let $A$ be an $n\times n$ random matrix with i.i.d. entries of zero mean, unit variance and a bounded subgaussian moment. We show that the condition number $s_{\max}(A)/s_{\min}(A)$ satisfies the small ball probability estimate $${\mathbb P}\big\{s_{\max}(A)/s_{\min}(A)\leq n/t\big\}\leq 2\exp(-c t^2),\quad t\geq 1,$$ where $c>0$ may only depend on the subgaussian moment. Although the estimate can be obtained as a combination of known results and techniques, it was not noticed in the literature before. As a key step of the proof, we apply estimates for the singular values of $A$, ${\mathbb P}\big\{s_{n-k+1}(A)\leq ck/\sqrt{n}\big\}\leq 2 \exp(-c k^2), \quad 1\leq k\leq n,$ obtained (under some additional assumptions) by Nguyen.Comment: Some changes according to the Referee's comment

Block CUR: Decomposing Matrices using Groups of Columns

A common problem in large-scale data analysis is to approximate a matrix using a combination of specifically sampled rows and columns, known as CUR decomposition. Unfortunately, in many real-world environments, the ability to sample specific individual rows or columns of the matrix is limited by either system constraints or cost. In this paper, we consider matrix approximation by sampling predefined \emph{blocks} of columns (or rows) from the matrix. We present an algorithm for sampling useful column blocks and provide novel guarantees for the quality of the approximation. This algorithm has application in problems as diverse as biometric data analysis to distributed computing. We demonstrate the effectiveness of the proposed algorithms for computing the Block CUR decomposition of large matrices in a distributed setting with multiple nodes in a compute cluster, where such blocks correspond to columns (or rows) of the matrix stored on the same node, which can be retrieved with much less overhead than retrieving individual columns stored across different nodes. In the biometric setting, the rows correspond to different users and columns correspond to users' biometric reaction to external stimuli, {\em e.g.,}~watching video content, at a particular time instant. There is significant cost in acquiring each user's reaction to lengthy content so we sample a few important scenes to approximate the biometric response. An individual time sample in this use case cannot be queried in isolation due to the lack of context that caused that biometric reaction. Instead, collections of time segments ({\em i.e.,} blocks) must be presented to the user. The practical application of these algorithms is shown via experimental results using real-world user biometric data from a content testing environment.Comment: shorter version to appear in ECML-PKDD 201

A Matrix Hyperbolic Cosine Algorithm and Applications

In this paper, we generalize Spencer's hyperbolic cosine algorithm to the matrix-valued setting. We apply the proposed algorithm to several problems by analyzing its computational efficiency under two special cases of matrices; one in which the matrices have a group structure and an other in which they have rank-one. As an application of the former case, we present a deterministic algorithm that, given the multiplication table of a finite group of size $n$, it constructs an expanding Cayley graph of logarithmic degree in near-optimal O(n^2 log^3 n) time. For the latter case, we present a fast deterministic algorithm for spectral sparsification of positive semi-definite matrices, which implies an improved deterministic algorithm for spectral graph sparsification of dense graphs. In addition, we give an elementary connection between spectral sparsification of positive semi-definite matrices and element-wise matrix sparsification. As a consequence, we obtain improved element-wise sparsification algorithms for diagonally dominant-like matrices.Comment: 16 pages, simplified proof and corrected acknowledging of prior work in (current) Section

On almost randomizing channels with a short Kraus decomposition

For large d, we study quantum channels on C^d obtained by selecting randomly N independent Kraus operators according to a probability measure mu on the unitary group U(d). When mu is the Haar measure, we show that for N>d/epsilon^2$, such a channel is epsilon-randomizing with high probability, which means that it maps every state within distance epsilon/d (in operator norm) of the maximally mixed state. This slightly improves on a result by Hayden, Leung, Shor and Winter by optimizing their discretization argument. Moreover, for general mu, we obtain a epsilon-randomizing channel provided N > d (\log d)^6/epsilon^2$. For d=2^k (k qubits), this includes Kraus operators obtained by tensoring k random Pauli matrices. The proof uses recent results on empirical processes in Banach spaces.Comment: We added some background on geometry of Banach space

Structured Random Matrices

Random matrix theory is a well-developed area of probability theory that has numerous connections with other areas of mathematics and its applications. Much of the literature in this area is concerned with matrices that possess many exact or approximate symmetries, such as matrices with i.i.d. entries, for which precise analytic results and limit theorems are available. Much less well understood are matrices that are endowed with an arbitrary structure, such as sparse Wigner matrices or matrices whose entries possess a given variance pattern. The challenge in investigating such structured random matrices is to understand how the given structure of the matrix is reflected in its spectral properties. This chapter reviews a number of recent results, methods, and open problems in this direction, with a particular emphasis on sharp spectral norm inequalities for Gaussian random matrices.Comment: 46 pages; to appear in IMA Volume "Discrete Structures: Analysis and Applications" (Springer

Small ball probability, Inverse theorems, and applications

Let $\xi$ be a real random variable with mean zero and variance one and $A={a_1,...,a_n}$ be a multi-set in $\R^d$. The random sum $$S_A := a_1 \xi_1 + ... + a_n \xi_n$$ where $\xi_i$ are iid copies of $\xi$ is of fundamental importance in probability and its applications. We discuss the small ball problem, the aim of which is to estimate the maximum probability that $S_A$ belongs to a ball with given small radius, following the discovery made by Littlewood-Offord and Erdos almost 70 years ago. We will mainly focus on recent developments that characterize the structure of those sets $A$ where the small ball probability is relatively large. Applications of these results include full solutions or significant progresses of many open problems in different areas.Comment: 47 page

Convex recovery of a structured signal from independent random linear measurements

This chapter develops a theoretical analysis of the convex programming method for recovering a structured signal from independent random linear measurements. This technique delivers bounds for the sampling complexity that are similar with recent results for standard Gaussian measurements, but the argument applies to a much wider class of measurement ensembles. To demonstrate the power of this approach, the paper presents a short analysis of phase retrieval by trace-norm minimization. The key technical tool is a framework, due to Mendelson and coauthors, for bounding a nonnegative empirical process.Comment: 18 pages, 1 figure. To appear in "Sampling Theory, a Renaissance." v2: minor corrections. v3: updated citations and increased emphasis on Mendelson's contribution