largest singular value of gaussian random matrix












1












$begingroup$


Let $A = A_{ij}, 1le ile n,1le jle m,$ be a random matrix such that its entries are iid sub-Gaussian random variables with variance proxy $sigma^2$. Show that there exits a constant $C>0$ such that
$$
E||A|| le C(sqrt{m}+sqrt{n}),
$$

where $||A||=sup_{|x|_2=1}|Ax|_2$ is the operator norm of $A$.



This is problem 1.2b in this MIT opencourseware assignment. The result is proven as Theorem 5.32 of these random matrix theory notes, in the special case of gaussian $A_{ij}$, but that result cites another result. Based on the level of the accompanying notes preceding the problem set, I would not expect the cited result to be assumed of the students (I may be wrong of course). So I am wondering about a more direct proof, or whatever the instructor likely had in mind.










share|cite|improve this question









$endgroup$

















    1












    $begingroup$


    Let $A = A_{ij}, 1le ile n,1le jle m,$ be a random matrix such that its entries are iid sub-Gaussian random variables with variance proxy $sigma^2$. Show that there exits a constant $C>0$ such that
    $$
    E||A|| le C(sqrt{m}+sqrt{n}),
    $$

    where $||A||=sup_{|x|_2=1}|Ax|_2$ is the operator norm of $A$.



    This is problem 1.2b in this MIT opencourseware assignment. The result is proven as Theorem 5.32 of these random matrix theory notes, in the special case of gaussian $A_{ij}$, but that result cites another result. Based on the level of the accompanying notes preceding the problem set, I would not expect the cited result to be assumed of the students (I may be wrong of course). So I am wondering about a more direct proof, or whatever the instructor likely had in mind.










    share|cite|improve this question









    $endgroup$















      1












      1








      1


      1



      $begingroup$


      Let $A = A_{ij}, 1le ile n,1le jle m,$ be a random matrix such that its entries are iid sub-Gaussian random variables with variance proxy $sigma^2$. Show that there exits a constant $C>0$ such that
      $$
      E||A|| le C(sqrt{m}+sqrt{n}),
      $$

      where $||A||=sup_{|x|_2=1}|Ax|_2$ is the operator norm of $A$.



      This is problem 1.2b in this MIT opencourseware assignment. The result is proven as Theorem 5.32 of these random matrix theory notes, in the special case of gaussian $A_{ij}$, but that result cites another result. Based on the level of the accompanying notes preceding the problem set, I would not expect the cited result to be assumed of the students (I may be wrong of course). So I am wondering about a more direct proof, or whatever the instructor likely had in mind.










      share|cite|improve this question









      $endgroup$




      Let $A = A_{ij}, 1le ile n,1le jle m,$ be a random matrix such that its entries are iid sub-Gaussian random variables with variance proxy $sigma^2$. Show that there exits a constant $C>0$ such that
      $$
      E||A|| le C(sqrt{m}+sqrt{n}),
      $$

      where $||A||=sup_{|x|_2=1}|Ax|_2$ is the operator norm of $A$.



      This is problem 1.2b in this MIT opencourseware assignment. The result is proven as Theorem 5.32 of these random matrix theory notes, in the special case of gaussian $A_{ij}$, but that result cites another result. Based on the level of the accompanying notes preceding the problem set, I would not expect the cited result to be assumed of the students (I may be wrong of course). So I am wondering about a more direct proof, or whatever the instructor likely had in mind.







      matrices probability-theory random-matrices






      share|cite|improve this question













      share|cite|improve this question











      share|cite|improve this question




      share|cite|improve this question










      asked Dec 29 '18 at 21:04









      Hasse1987Hasse1987

      58148




      58148






















          1 Answer
          1






          active

          oldest

          votes


















          2












          $begingroup$

          I think you can imitate the proof of Theorem 1.19 from your notes. Apologies if my approach is a little clumsy.





          One can show that $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top A v$.
          Then $E|A| = E[ sup_{|u|_2le 1, |v|_2 le 1} u^top A v]$.



          One can obtain an $1/2$-net $mathcal{N}^n$ over $mathcal{B}_2^n$ with $6^n$ points. Similarly one obtains a $1/2$-net $mathcal{N}^m$ over $mathcal{B}_2^m$ of size $6^m$.



          So writing $$u^top A v = (u-x)^top A (v-y) + x^top A v + u^top A y - x^top A y$$ where $x in mathcal{N}^n$, $y in mathcal{N}^m$, and $|x-u|_2 le 1/2$ and $|y-v|_2 le 1/2$ yields
          $$E[sup_{u in mathcal{B}_2^n, v in mathcal{B}_2^m} u^top A v]
          le E[sup_{x in mathcal{N}^n, y in mathcal{N}^m} x^top A y]
          + E[sup_{x in mathcal{N}^n, v in mathcal{B}_2^m/2} x^top A v]
          + E[sup_{u in mathcal{B}_2^n/2, y in mathcal{N}^m} u^top A y]
          + E[sup_{u in mathcal{B}_2^n/2, v in mathcal{B}_2^m/2} u^top A v]. $$

          Rearranging leads to
          $$frac{3}{4} E[sup_{u in mathcal{B}_2^n, v in mathcal{B}_2^m} u^top A v]
          le
          E[sup_{x in mathcal{N}^n, y in mathcal{N}^m} x^top A y]
          + E[sup_{x in mathcal{N}^n, v in mathcal{B}_2^m/2} x^top A v]
          + E[sup_{u in mathcal{B}_2^n/2, y in mathcal{N}^m} u^top A y].$$



          The first term on the right-hand side is the maximum of $6^{n+m}$ sub-Gaussian random variables with variance proxy $sigma^2$, so it is $le sigma sqrt{2 (m+n) log 6}$.



          I believe you can bound the other two terms by doing a further net argument and obtaining the same $c sigma sqrt{m+n}$ rate. Finally $sqrt{m+n} le sqrt{m} + sqrt{n}$.






          share|cite|improve this answer











          $endgroup$













          • $begingroup$
            In $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top X v$, what is $X$? It should be $A^top A$, shouldn't it? But in your proof, are you taking the quadratic form in $A$?
            $endgroup$
            – Hasse1987
            Dec 29 '18 at 23:12












          • $begingroup$
            @Hasse1987 Sorry it should be $A$. And no, if it were $A^top A$ that would give you the square of the maximum singular value.
            $endgroup$
            – angryavian
            Dec 30 '18 at 0:40










          • $begingroup$
            thanks--do you have a reference for that result? The min-max theorem for singular values I see on wikipedia is stated in terms of $A^T A$.
            $endgroup$
            – Hasse1987
            Dec 30 '18 at 0:50










          • $begingroup$
            @Hasse1987 See the middle of the first page of this file.
            $endgroup$
            – angryavian
            Dec 30 '18 at 1:16











          Your Answer





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          1 Answer
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          active

          oldest

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          2












          $begingroup$

          I think you can imitate the proof of Theorem 1.19 from your notes. Apologies if my approach is a little clumsy.





          One can show that $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top A v$.
          Then $E|A| = E[ sup_{|u|_2le 1, |v|_2 le 1} u^top A v]$.



          One can obtain an $1/2$-net $mathcal{N}^n$ over $mathcal{B}_2^n$ with $6^n$ points. Similarly one obtains a $1/2$-net $mathcal{N}^m$ over $mathcal{B}_2^m$ of size $6^m$.



          So writing $$u^top A v = (u-x)^top A (v-y) + x^top A v + u^top A y - x^top A y$$ where $x in mathcal{N}^n$, $y in mathcal{N}^m$, and $|x-u|_2 le 1/2$ and $|y-v|_2 le 1/2$ yields
          $$E[sup_{u in mathcal{B}_2^n, v in mathcal{B}_2^m} u^top A v]
          le E[sup_{x in mathcal{N}^n, y in mathcal{N}^m} x^top A y]
          + E[sup_{x in mathcal{N}^n, v in mathcal{B}_2^m/2} x^top A v]
          + E[sup_{u in mathcal{B}_2^n/2, y in mathcal{N}^m} u^top A y]
          + E[sup_{u in mathcal{B}_2^n/2, v in mathcal{B}_2^m/2} u^top A v]. $$

          Rearranging leads to
          $$frac{3}{4} E[sup_{u in mathcal{B}_2^n, v in mathcal{B}_2^m} u^top A v]
          le
          E[sup_{x in mathcal{N}^n, y in mathcal{N}^m} x^top A y]
          + E[sup_{x in mathcal{N}^n, v in mathcal{B}_2^m/2} x^top A v]
          + E[sup_{u in mathcal{B}_2^n/2, y in mathcal{N}^m} u^top A y].$$



          The first term on the right-hand side is the maximum of $6^{n+m}$ sub-Gaussian random variables with variance proxy $sigma^2$, so it is $le sigma sqrt{2 (m+n) log 6}$.



          I believe you can bound the other two terms by doing a further net argument and obtaining the same $c sigma sqrt{m+n}$ rate. Finally $sqrt{m+n} le sqrt{m} + sqrt{n}$.






          share|cite|improve this answer











          $endgroup$













          • $begingroup$
            In $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top X v$, what is $X$? It should be $A^top A$, shouldn't it? But in your proof, are you taking the quadratic form in $A$?
            $endgroup$
            – Hasse1987
            Dec 29 '18 at 23:12












          • $begingroup$
            @Hasse1987 Sorry it should be $A$. And no, if it were $A^top A$ that would give you the square of the maximum singular value.
            $endgroup$
            – angryavian
            Dec 30 '18 at 0:40










          • $begingroup$
            thanks--do you have a reference for that result? The min-max theorem for singular values I see on wikipedia is stated in terms of $A^T A$.
            $endgroup$
            – Hasse1987
            Dec 30 '18 at 0:50










          • $begingroup$
            @Hasse1987 See the middle of the first page of this file.
            $endgroup$
            – angryavian
            Dec 30 '18 at 1:16
















          2












          $begingroup$

          I think you can imitate the proof of Theorem 1.19 from your notes. Apologies if my approach is a little clumsy.





          One can show that $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top A v$.
          Then $E|A| = E[ sup_{|u|_2le 1, |v|_2 le 1} u^top A v]$.



          One can obtain an $1/2$-net $mathcal{N}^n$ over $mathcal{B}_2^n$ with $6^n$ points. Similarly one obtains a $1/2$-net $mathcal{N}^m$ over $mathcal{B}_2^m$ of size $6^m$.



          So writing $$u^top A v = (u-x)^top A (v-y) + x^top A v + u^top A y - x^top A y$$ where $x in mathcal{N}^n$, $y in mathcal{N}^m$, and $|x-u|_2 le 1/2$ and $|y-v|_2 le 1/2$ yields
          $$E[sup_{u in mathcal{B}_2^n, v in mathcal{B}_2^m} u^top A v]
          le E[sup_{x in mathcal{N}^n, y in mathcal{N}^m} x^top A y]
          + E[sup_{x in mathcal{N}^n, v in mathcal{B}_2^m/2} x^top A v]
          + E[sup_{u in mathcal{B}_2^n/2, y in mathcal{N}^m} u^top A y]
          + E[sup_{u in mathcal{B}_2^n/2, v in mathcal{B}_2^m/2} u^top A v]. $$

          Rearranging leads to
          $$frac{3}{4} E[sup_{u in mathcal{B}_2^n, v in mathcal{B}_2^m} u^top A v]
          le
          E[sup_{x in mathcal{N}^n, y in mathcal{N}^m} x^top A y]
          + E[sup_{x in mathcal{N}^n, v in mathcal{B}_2^m/2} x^top A v]
          + E[sup_{u in mathcal{B}_2^n/2, y in mathcal{N}^m} u^top A y].$$



          The first term on the right-hand side is the maximum of $6^{n+m}$ sub-Gaussian random variables with variance proxy $sigma^2$, so it is $le sigma sqrt{2 (m+n) log 6}$.



          I believe you can bound the other two terms by doing a further net argument and obtaining the same $c sigma sqrt{m+n}$ rate. Finally $sqrt{m+n} le sqrt{m} + sqrt{n}$.






          share|cite|improve this answer











          $endgroup$













          • $begingroup$
            In $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top X v$, what is $X$? It should be $A^top A$, shouldn't it? But in your proof, are you taking the quadratic form in $A$?
            $endgroup$
            – Hasse1987
            Dec 29 '18 at 23:12












          • $begingroup$
            @Hasse1987 Sorry it should be $A$. And no, if it were $A^top A$ that would give you the square of the maximum singular value.
            $endgroup$
            – angryavian
            Dec 30 '18 at 0:40










          • $begingroup$
            thanks--do you have a reference for that result? The min-max theorem for singular values I see on wikipedia is stated in terms of $A^T A$.
            $endgroup$
            – Hasse1987
            Dec 30 '18 at 0:50










          • $begingroup$
            @Hasse1987 See the middle of the first page of this file.
            $endgroup$
            – angryavian
            Dec 30 '18 at 1:16














          2












          2








          2





          $begingroup$

          I think you can imitate the proof of Theorem 1.19 from your notes. Apologies if my approach is a little clumsy.





          One can show that $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top A v$.
          Then $E|A| = E[ sup_{|u|_2le 1, |v|_2 le 1} u^top A v]$.



          One can obtain an $1/2$-net $mathcal{N}^n$ over $mathcal{B}_2^n$ with $6^n$ points. Similarly one obtains a $1/2$-net $mathcal{N}^m$ over $mathcal{B}_2^m$ of size $6^m$.



          So writing $$u^top A v = (u-x)^top A (v-y) + x^top A v + u^top A y - x^top A y$$ where $x in mathcal{N}^n$, $y in mathcal{N}^m$, and $|x-u|_2 le 1/2$ and $|y-v|_2 le 1/2$ yields
          $$E[sup_{u in mathcal{B}_2^n, v in mathcal{B}_2^m} u^top A v]
          le E[sup_{x in mathcal{N}^n, y in mathcal{N}^m} x^top A y]
          + E[sup_{x in mathcal{N}^n, v in mathcal{B}_2^m/2} x^top A v]
          + E[sup_{u in mathcal{B}_2^n/2, y in mathcal{N}^m} u^top A y]
          + E[sup_{u in mathcal{B}_2^n/2, v in mathcal{B}_2^m/2} u^top A v]. $$

          Rearranging leads to
          $$frac{3}{4} E[sup_{u in mathcal{B}_2^n, v in mathcal{B}_2^m} u^top A v]
          le
          E[sup_{x in mathcal{N}^n, y in mathcal{N}^m} x^top A y]
          + E[sup_{x in mathcal{N}^n, v in mathcal{B}_2^m/2} x^top A v]
          + E[sup_{u in mathcal{B}_2^n/2, y in mathcal{N}^m} u^top A y].$$



          The first term on the right-hand side is the maximum of $6^{n+m}$ sub-Gaussian random variables with variance proxy $sigma^2$, so it is $le sigma sqrt{2 (m+n) log 6}$.



          I believe you can bound the other two terms by doing a further net argument and obtaining the same $c sigma sqrt{m+n}$ rate. Finally $sqrt{m+n} le sqrt{m} + sqrt{n}$.






          share|cite|improve this answer











          $endgroup$



          I think you can imitate the proof of Theorem 1.19 from your notes. Apologies if my approach is a little clumsy.





          One can show that $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top A v$.
          Then $E|A| = E[ sup_{|u|_2le 1, |v|_2 le 1} u^top A v]$.



          One can obtain an $1/2$-net $mathcal{N}^n$ over $mathcal{B}_2^n$ with $6^n$ points. Similarly one obtains a $1/2$-net $mathcal{N}^m$ over $mathcal{B}_2^m$ of size $6^m$.



          So writing $$u^top A v = (u-x)^top A (v-y) + x^top A v + u^top A y - x^top A y$$ where $x in mathcal{N}^n$, $y in mathcal{N}^m$, and $|x-u|_2 le 1/2$ and $|y-v|_2 le 1/2$ yields
          $$E[sup_{u in mathcal{B}_2^n, v in mathcal{B}_2^m} u^top A v]
          le E[sup_{x in mathcal{N}^n, y in mathcal{N}^m} x^top A y]
          + E[sup_{x in mathcal{N}^n, v in mathcal{B}_2^m/2} x^top A v]
          + E[sup_{u in mathcal{B}_2^n/2, y in mathcal{N}^m} u^top A y]
          + E[sup_{u in mathcal{B}_2^n/2, v in mathcal{B}_2^m/2} u^top A v]. $$

          Rearranging leads to
          $$frac{3}{4} E[sup_{u in mathcal{B}_2^n, v in mathcal{B}_2^m} u^top A v]
          le
          E[sup_{x in mathcal{N}^n, y in mathcal{N}^m} x^top A y]
          + E[sup_{x in mathcal{N}^n, v in mathcal{B}_2^m/2} x^top A v]
          + E[sup_{u in mathcal{B}_2^n/2, y in mathcal{N}^m} u^top A y].$$



          The first term on the right-hand side is the maximum of $6^{n+m}$ sub-Gaussian random variables with variance proxy $sigma^2$, so it is $le sigma sqrt{2 (m+n) log 6}$.



          I believe you can bound the other two terms by doing a further net argument and obtaining the same $c sigma sqrt{m+n}$ rate. Finally $sqrt{m+n} le sqrt{m} + sqrt{n}$.







          share|cite|improve this answer














          share|cite|improve this answer



          share|cite|improve this answer








          edited Dec 30 '18 at 0:39

























          answered Dec 29 '18 at 22:11









          angryavianangryavian

          42.2k23481




          42.2k23481












          • $begingroup$
            In $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top X v$, what is $X$? It should be $A^top A$, shouldn't it? But in your proof, are you taking the quadratic form in $A$?
            $endgroup$
            – Hasse1987
            Dec 29 '18 at 23:12












          • $begingroup$
            @Hasse1987 Sorry it should be $A$. And no, if it were $A^top A$ that would give you the square of the maximum singular value.
            $endgroup$
            – angryavian
            Dec 30 '18 at 0:40










          • $begingroup$
            thanks--do you have a reference for that result? The min-max theorem for singular values I see on wikipedia is stated in terms of $A^T A$.
            $endgroup$
            – Hasse1987
            Dec 30 '18 at 0:50










          • $begingroup$
            @Hasse1987 See the middle of the first page of this file.
            $endgroup$
            – angryavian
            Dec 30 '18 at 1:16


















          • $begingroup$
            In $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top X v$, what is $X$? It should be $A^top A$, shouldn't it? But in your proof, are you taking the quadratic form in $A$?
            $endgroup$
            – Hasse1987
            Dec 29 '18 at 23:12












          • $begingroup$
            @Hasse1987 Sorry it should be $A$. And no, if it were $A^top A$ that would give you the square of the maximum singular value.
            $endgroup$
            – angryavian
            Dec 30 '18 at 0:40










          • $begingroup$
            thanks--do you have a reference for that result? The min-max theorem for singular values I see on wikipedia is stated in terms of $A^T A$.
            $endgroup$
            – Hasse1987
            Dec 30 '18 at 0:50










          • $begingroup$
            @Hasse1987 See the middle of the first page of this file.
            $endgroup$
            – angryavian
            Dec 30 '18 at 1:16
















          $begingroup$
          In $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top X v$, what is $X$? It should be $A^top A$, shouldn't it? But in your proof, are you taking the quadratic form in $A$?
          $endgroup$
          – Hasse1987
          Dec 29 '18 at 23:12






          $begingroup$
          In $|A| = sup_{|u|_2 le 1, |v|_2 le 1} u^top X v$, what is $X$? It should be $A^top A$, shouldn't it? But in your proof, are you taking the quadratic form in $A$?
          $endgroup$
          – Hasse1987
          Dec 29 '18 at 23:12














          $begingroup$
          @Hasse1987 Sorry it should be $A$. And no, if it were $A^top A$ that would give you the square of the maximum singular value.
          $endgroup$
          – angryavian
          Dec 30 '18 at 0:40




          $begingroup$
          @Hasse1987 Sorry it should be $A$. And no, if it were $A^top A$ that would give you the square of the maximum singular value.
          $endgroup$
          – angryavian
          Dec 30 '18 at 0:40












          $begingroup$
          thanks--do you have a reference for that result? The min-max theorem for singular values I see on wikipedia is stated in terms of $A^T A$.
          $endgroup$
          – Hasse1987
          Dec 30 '18 at 0:50




          $begingroup$
          thanks--do you have a reference for that result? The min-max theorem for singular values I see on wikipedia is stated in terms of $A^T A$.
          $endgroup$
          – Hasse1987
          Dec 30 '18 at 0:50












          $begingroup$
          @Hasse1987 See the middle of the first page of this file.
          $endgroup$
          – angryavian
          Dec 30 '18 at 1:16




          $begingroup$
          @Hasse1987 See the middle of the first page of this file.
          $endgroup$
          – angryavian
          Dec 30 '18 at 1:16


















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