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(problem statement revamped.)

Definition: A random variable $X$ is a sub-gaussian if $$\Pr(|X|>t) \leq \exp(-t^2/k^2) \quad \text{for all $t\geq 0$ and for some constant $k$.}$$


I want to compute trace of a matrix by Monte Carlo simulation. For example, in lattice Quantum Chromodynamics, we need to compute the trace of a function of a large matrix, trace($f(\mathbf{A}')$) where explicit computation of $f(\mathbf{A}')$ is impractical but computing $\mathbf{x}f(\mathbf{A}')\mathbf{x}^T$ is feasible. For simplicity, let's say the quadratic form is $\mathbf{x}\mathbf{A}\mathbf{x}^T$.

One standard approach is Monte Carlo simulation where the trace is estimated by $X=\frac{1}{M}\sum_{i=1}^M\mathbf{x}_i\mathbf{A}\mathbf{x}_i^T$ where each entry in $\mathbf{x}_i$ is sampled from $N(0,1)$ independently. I know that $X$ is sharply concentrated around $E(X) = tr(\mathbf{A})$, and $X$ is sub-gaussian, to be precise.

One standard way to show that a random variable is sharply concentrated around the mean is $(\epsilon,\delta)$-approximation of tail bound. $$\Pr(|X - E(x)|>\epsilon)<\delta$$ which can be easily computed from the definition of sub-gaussian in my problem. And this tells us how many samples $M$ are required to guarantees $(\epsilon,\delta)$-approximation.

Meanwhile, the Central Limit Theorem tells us that $\sqrt{M}(X- E(x))$ converges in distribution to $N(0, \sigma^2)$, which is sharply concentrated around the shifted mean 0. Even though it requires $M\to\infty$, it tells us the exact probability distribution of $X$. Maybe it's not a correct interpretation, but it seems to me that these two are the exact opposite of the spectrum.

  • Sub-gaussian: a finite number of samples, but $(\epsilon,\delta)$-approximation
  • CLT : number of samples $\to\infty$, but exact probability distribution.


Let's say I have two matrices $\mathbf{A}$ and $\mathbf{B}$ which differ at only one entry. I ran Monte Carlo simulation to obtain the value $X=\frac{1}{M}\sum_{i=1}^M \mathbf{x}_i\mathbf{A}\mathbf{x}_i^T$ and $Y=\frac{1}{M}\sum_{i=1}^M \mathbf{y}_i\mathbf{B}\mathbf{y}_i^T$ where each entry in $\mathbf{x}_i$ and $\mathbf{y}$ is independently sampled from $N(0,1)$.

Question: Is there anyway to point-wise compare the probability distribution functions of $\mathbf{X}$ and $\mathbf{Y}$ to show that $$\exp(-\alpha)f_Y(t) \leq f_X(t) \leq \exp(\alpha)f_Y(t)$$ with probability at least $1 − \beta$ over $t$ drawn from the range of $X$ or $Y$?

This kind of inequality may seem odd, but it's used in some recent papers. For example, let's say $X$ is sampled from a Laplace distribution with density function $$h(x)=\frac{1}{2b}\exp(-|x|/b)$$ and compare it to Y which is sampled from a shifted Laplace distribution with density function $$h(x+\delta)=\frac{1}{2b}\exp(-|x+\delta|/b).$$ Then the ratio $h(x)/h(x+\delta)\leq \exp(|\delta|/b)$ where I can show that $$h(x) \leq \exp(|\delta|/b)h(x)$$ for the entire domain of $X$.

In case that the random variable is sampled from a standard Gaussian with density function $$g(x)=\frac{1}{\sqrt{2\pi}}\exp(-\frac{x^2}{2}),$$ the picture is slightly nuanced: we can show that $g(x)/g(x+\delta)$ is bounded in the region of $|x|\leq \xi$ where $\xi$ depends on $\delta$. This results in $(\alpha,\beta)$ approximation.

This inequality may look too strong, but it's based on the intuition that

  1. sub-gaussian random variables must be sharply concentrated around the mean, and
  2. subgaussian ranodm variable is a generalization of Gaussian random variable.

Is there any way to do that, or is my conjectured inequality too strong?

share|improve this question
    
I don't understand your last equation. Are you only interested in discrete random variables? Otherwise, what do you mean by $\Pr(X = t)$? Also, what do you mean by the inequality holding with some probability $1-\beta$? And, I'm not sure what you mean by These two inputs are neighboring; that is they differ only at one element in their matrix representation. What matrix? In general, I suggest you rewrite the question to be more explicit and clear. –  cardinal Nov 19 '11 at 20:28
    
@cardinal:1. I want to know whether I can have a probability distribution function for the continuous random variable X even when $M$ is finite. –  Endo Nov 19 '11 at 22:23
    
@cardinal: 2. Out of all possible outcome $t$ from $X$ and $Y$, the inequality $(1-\alpha)\Pr(Y=t) \leq \Pr(X=t) \leq (1+\alpha)\Pr(Y=t)$ holds at least for $1-\beta$ portion of $t$. –  Endo Nov 19 '11 at 22:24
    
I still don't understand. If $X$ is continuous then $\Pr(X = t) = 0$ for any $t$. And, how big is $n$? Calculating the trace explicitly is an $O(n)$ operation! I think you would be better served by editing your post to describe the actual problem you are considering and the question you have about it. –  cardinal Nov 19 '11 at 22:24
    
Are you sure that $X$ is subgaussian? I believe it is only subexponential (in the terminology of R. Vershynin, which is also where you appear to be getting your definitions). Consider, for example, $\mathbf{A} = \mathbf I_n$ so that $\mathbf x^T \mathbf A \mathbf x$ is $\chi^2_n$ distributed and so $\mathbb P( X > t ) \sim (x/2)^{n/2-1} e^{-x/2}$ which does not satisfy the condition for a subgaussian random variable. –  cardinal Nov 20 '11 at 1:14

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