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Extremal bounds for Gaussian trace estimation https://arxiv.org/abs/2411.15454 #math.ST #math.NA #math.PR #stat.TH #cs.NA

Extremal bounds for Gaussian trace estimation

This work derives extremal tail bounds for the Gaussian trace estimator applied to a real symmetric matrix. We define a partial ordering on the eigenvalues, so that when a matrix has greater spectrum under this ordering, its estimator will have worse tail bounds. This is done for two families of matrices: positive semidefinite matrices with bounded effective rank, and indefinite matrices with bounded 2-norm and fixed Frobenius norm. In each case, the tail region is defined rigorously and is constant for a given family.

arXiv.org
November 27, 2024 at 3:20 AM · · feed2toot · 0 · 0 · 0
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