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High Dimensional Probability

Weekly Student Reading Group

Meeting -4

CS@UIUC

Speaker: Mayank Shrivastava

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  1. Concentration of Norm

Given, X = (X1,X2,X3, …, Xn)

where X1,X2,X3, …, Xn are

independent zero mean unit variance sub-gaussian r.v.s

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2. Mean, Covariance and second moment

positive semi-definite matrices

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3. Isotropic distributions

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4. Multivariate Normal distribution

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5. Frames

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References

  • Introduction to High Dimensional Probability, Roman Vershynin