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Power-rangefinder error transfer under finite expected powered error
Statement
Let , let be a probability space, let be fixed, let be an integer, and let be an integer. Let be measurable and let be a measurable orthogonal projector-valued map whose value projects onto . For Gaussian sketches this is the output range of Reorthogonalized randomized power subspace iteration. Assume where expectation is with respect to . Then This is a transfer inequality; it assumes the powered error expectation has already been bounded.
Facts & Assumptions
Given: A fixed finite matrix, a random test matrix, an integer , and a finite expected powered error.
The reorthogonalized procedure applies the finite scan to , then to and at each iteration (Reorthogonalized randomized power subspace iteration).
For each orthogonal projector , (Orthogonal-projector power error inequality).
Jensen's inequality applies to an integrable real random variable when its convex image is integrable or nonnegative (Jensen's inequality for expectation).
Proof
For a Gaussian draw, write . At iteration of [F1], the intermediate range is and the next range is , since replacing a matrix by a basis preserves its range. Induction gives , including empty ranges and . Thus the range specified directly in the statement agrees with the algorithm's output range for Gaussian draws. For a general measurable sketch, the statement specifies directly and requires no Gaussian sampling step.
Set . By [F2], pointwise. Since is integrable and , Jensen [F3] applied to the convex function gives . Taking expectations of the pointwise inequality proves the result.
Depends on
Used by
Dependency tree · two levels
12 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Halko, Martinsson, and Tropp, Theorem 9.2 (standard reference, not scraped)
- Martinsson and Tropp, Lemma 11.8 (standard reference, not scraped)