Concentration inequalities using the entropy method
Concentration inequalities using the entropy method
We investigate a new methodology, worked out by Ledoux and Massart, to prove concentration-of-measure inequalities. The method is based on certain modified logarithmic Sobolev inequalities. We provide some very simple and general ready-to-use inequalities. One of these inequalities may be considered as an exponential version of the Efron--Stein inequality. The …