Concentration inequalities : a nonasymptotic theory of independence / Stéphane Boucheron, Gábor Lugosi, Pascal Massart ; [ foreword: Michel Ledoux].

Format:

Book

Author/Creator:

Boucheron, Stéphane, author.

Lugosi, Gábor, author.

Massart, Pascal, author.

Contributor:

Ledoux, Michel, 1958- writer of foreword.

Language:

English

Subjects (All):

Probabilities.

Inequalities (Mathematics).

Physical Description:

1 online resource : illustrations

Edition:

First Edition.

Other Title:

Nonasymptotic theory of independence

Place of Publication:

Oxford, United Kingdom : Oxford University Press, 2013.

Language Note:

English

Summary:

"Concentration inequalities for functions of independent random variables is an area of probability theory that has witnessed a great revolution in the last few decades, and has applications in a wide variety of areas such as machine learning, statistics, discrete mathematics, and high-dimensional geometry. Roughly speaking, if a function of many independent random variables does not depend too much on any of the variables then it is concentrated in the sense that with high probability, it is close to its expected value. This book offers a host of inequalities to illustrate this rich theory in an accessible way by covering the key developments and applications in the field. The authors describe the interplay between the probabilistic structure (independence) and a variety of tools ranging from functional inequalities to transportation arguments to information theory. Applications to the study of empirical processes, random projections, random matrix theory, and threshold phenomena are also presented. A self-contained introduction to concentration inequalities, it includes a survey of concentration of sums of independent random variables, variance bounds, the entropy method, and the transportation method. Deep connections with isoperimetric problems are revealed whilst special attention is paid to applications to the supremum of empirical processes. Written by leading experts in the field and containing extensive exercise sections this book will be an invaluable resource for researchers and graduate students in mathematics, theoretical computer science, and engineering."--Provided by publisher.

Contents:

1 Introduction

2 Basic Inequalities

3 Bounding the Variance

4 Basic Information Inequalities

5 Logarithmic Sobolev Inequalities

6 The Entropy Method

7 Concentration and Isoperimetry

8 The Transportation Method

9 Influences and Threshold Phenomena

10 Isoperimetry on the Hypercube and Gaussian Spaces

11 The Variance of Suprema of Empirical Processes

12 Suprema of Empirical Processes: Exponential Inequalities

13 The Expected Value of Suprema of Empirical Processes

14 Φ-Entropies

15 Moment Inequalities.

Notes:

Includes bibliographical references and indexes.

Description based on online resource, publisher supplied metadata and other sources including print version record.

Other Format:

Print version

ISBN:

9780191655517

0191655511

9781299160057

1299160050

9780191655500

0191655503

OCLC:

855504937