Non-Gaussian Random Matrices on Sets:Optimal Tail Dependence and Applications

Abstract

Random linear mappings are widely used in modern signal processing, compressed sensing and machine learning. These mappings may be used to embed the data into a significantly lower dimension while at the same time preserving useful information. This is done by approximately preserving the distances between data points, which are assumed to belong to R n . Thus, the performance of these mappings is usually captured by how close they are to an isometry on the data. Random Gaussian linear mappings have been the object of much study, while the sub-Gaussian settings is not yet fully understood. In the latter case, the performance depends on the sub-Gaussian norm of the rows. In many applications, e.g., compressed sensing, this norm may be large, or even growing with dimension, and thus it is important to characterize this dependence.We study when a sub-Gaussian matrix can become a near isometry on a set, show that previous best known dependence on the sub-Gaussian norm was sub-optimal, and present the optimal dependence. Our result not only answers a remaining question posed by Liaw, Mehrabian, Plan and Vershynin in 2017, but also generalizes their work. We also develop a new Bernstein type inequality for sub-exponential random variables, and a new Hanson-Wright inequality for quadratic forms of sub-Gaussian random variables, in both cases improving the bounds in the sub-Gaussian regime under moment constraints. Finally, we illustrate popular applications such as Johnson-Lindenstrauss embeddings, randomized sketches and blind demodulation, whose theoretical guarantees can be improved by our results in the sub-Gaussian case.

Deep Generative Demixing: Error Bounds for Demixing Subgaussian Mixtures of Lipschitz Signals

“…Uniform control of X z on bounded sets was established by [13,Theorem 1]. Here, we improve its dependence on K toK := K √ log K. The tools required for this improvement were developed in [14] and otherwise resemble [13,Lemma 5] via the approach in [17].…”

“…Lemma 2). Furthermore, we improve a deviation inequality for [I A] from [13] by improving its dependence on the subgaussian constant for A via an improved Bernstein's inequality [14] (cf. Theorem 4).…”