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Concentration inequalities for random matrices

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Part of the Lecture Notes in Mathematics book series (LNMECOLE,volume 1957)

Abstract

In this chapter, we shall apply the previous general results on concentration inequalities to random matrix theory, in particular to the eigenvalues of random matrices. To this end, we shall first study the regularity of the eigenvalues of matrices as a function of their entries (since the idea will be to apply concentration inequalities to the entries of the random matrices and then see the eigenvalues as nice functions of these entries).

Keywords

  • Random Matrice
  • Spectral Radius
  • Lipschitz Function
  • Random Matrix
  • Haar Measure

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Correspondence to Alice Guionnet .

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© 2009 Springer-Verlag Berlin Heidelberg

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Guionnet, A. (2009). Concentration inequalities for random matrices. In: Large Random Matrices: Lectures on Macroscopic Asymptotics. Lecture Notes in Mathematics(), vol 1957. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-69897-5_7

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