
arXiv: 2006.16562
Matrix concentration inequalities provide information about the probability that a random matrix is close to its expectation with respect to the $l_2$ operator norm. This paper uses semigroup methods to derive sharp nonlinear matrix inequalities. In particular, it is shown that the classic Bakry-��mery curvature criterion implies subgaussian concentration for "matrix Lipschitz" functions. This argument circumvents the need to develop a matrix version of the log-Sobolev inequality, a technical obstacle that has blocked previous attempts to derive matrix concentration inequalities in this setting. The approach unifies and extends much of the previous work on matrix concentration. When applied to a product measure, the theory reproduces the matrix Efron-Stein inequalities due to Paulin et al. It also handles matrix-valued functions on a Riemannian manifold with uniformly positive Ricci curvature.
local Poincaré inequality, Bakry-Émery criterion, Applications of functional analysis in probability theory and statistics, 510, 60J25, matrix concentration, FOS: Mathematics, Bakry–Émery criterion, Markov process, 46L53, local Poincaré inequality, Bakry–Émery criterion, 60B20, 46N30, concentration inequality, Probability (math.PR), Noncommutative probability and statistics, 620, Random matrices (probabilistic aspects), functional inequality, semigroup, Continuous-time Markov processes on general state spaces, Primary: 60B20, 46N30. Secondary: 60J25, 46L53, Mathematics - Probability
local Poincaré inequality, Bakry-Émery criterion, Applications of functional analysis in probability theory and statistics, 510, 60J25, matrix concentration, FOS: Mathematics, Bakry–Émery criterion, Markov process, 46L53, local Poincaré inequality, Bakry–Émery criterion, 60B20, 46N30, concentration inequality, Probability (math.PR), Noncommutative probability and statistics, 620, Random matrices (probabilistic aspects), functional inequality, semigroup, Continuous-time Markov processes on general state spaces, Primary: 60B20, 46N30. Secondary: 60J25, 46L53, Mathematics - Probability
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