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arXiv · 1910.04930

Random Quadratic Forms with Dependence: Applications to Restricted Isometry and Beyond

Arindam Banerjee·Qilong Gu·Vidyashankar Sivakumar·Zhiwei Steven Wu
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Abstract

Several important families of computational and statistical results in machine learning and randomized algorithms rely on uniform bounds on quadratic forms of random vectors or matrices. Such results include the Johnson-Lindenstrauss (J-L) Lemma, the Restricted Isometry Property (RIP), randomized sketching algorithms, and approximate linear algebra. The existing results critically depend on statistical independence, e.g., independent entries for random vectors, independent rows for random matrices, etc., which prevent their usage in dependent or adaptive modeling settings. In this paper, we show that such independence is in fact not needed for such results which continue to hold under fairly general dependence structures. In particular, we present uniform bounds on random quadratic forms of stochastic processes which are conditionally independent and sub-Gaussian given another (latent) process. Our setup allows general dependencies of the stochastic process on the history of the latent process and the latent process to be influenced by realizations of the stochastic process. The results are thus applicable to adaptive modeling settings and also allows for sequential design of random vectors and matrices. We also discuss stochastic process based forms of J-L, RIP, and sketching, to illustrate the generality of the results.

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BibTeXRIS

Arindam Banerjee, Qilong Gu, Vidyashankar Sivakumar, Zhiwei Steven Wu. 2019-10-11. Random Quadratic Forms with Dependence: Applications to Restricted Isometry and Beyond. https://arxiv.org/abs/1910.04930

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