User-Friendly Tail Bounds for Matrix Martingales
User-Friendly Tail Bounds for Matrix Martingales
This report presents probability inequalities for sums of adapted sequences of random, self-adjoint matrices.The results frame simple, easily verifiable hypotheses on the summands, and they yield strong conclusions about the large-deviation behavior of the maximum eigenvalue of the sum.The methods also specialize to sums of independent random matrices.