Matrix Infinitely Divisible Series: Tail Inequalities and Their Applications

Abstract

In this paper, we study tail inequalities of the largest eigenvalue of a matrix infinitely divisible (i.d.) series, which is a finite sum of fixed matrices weighted by i.d. random variables. We obtain several types of tail inequalities, including Bennett-type and Bernstein-type inequalities. This allows us to further bound the expectation of the spectral norm of a matrix i.d. series. Moreover, by developing a new lower-bound function for Q(s) = (s + 1) log(s + 1) − s that appears in the Bennett-type inequality, we derive a tighter tail inequality of the largest eigenvalue of the matrix i.d. series than the Bernstein-type inequality when the matrix dimension is high. The resulting lower-bound function is of independent interest and can improve any Bennett-type concentration inequality that involves the function Q(s). The class of i.d. probability distributions is large and includes Gaussian and Poisson distributions, among many others. Therefore, our results encompass the existing work [1] on matrix Gaussian series as a special case. Lastly, we show that the tail inequalities of a matrix i.d. series have applications in several optimization problems including the chance constrained optimization problem and the quadratic optimization problem with orthogonality constraints.