High-Dimensional Probability

An Introduction with Applications in Data Science

by Roman Vershynin

Series: Cambridge Series in Statistical and Probabilistic Mathematics (No. 47)

Subject categories
ISBNs
  • 9781108415194
  • 9781108246255
  • 9781108244541
High-dimensional probability offers insight into the behavior of random vectors, random matrices, random subspaces, and objects used to quantify uncertainty in high dimensions. Drawing on ideas from probability, analysis, and geometry, it lends itself to applications in mathematics, statistics, theoretical computer science, signal processing, optimization, and more. It is the first to integrate theory, key tools, and modern applications of high-dimensional probability. Concentration inequalities form the core, and it covers both classical results such as Hoeffding's and Chernoff's inequalities and modern developments such as the matrix Bernstein's inequality. It then introduces the powerful methods based on stochastic processes, including such tools as Slepian's, Sudakov's, and Dudley's inequalities, as well as generic chaining and bounds based on VC dimension. A broad range of illustrations is embedded throughout, including classical and modern results for covariance estimation, clustering, networks, semidefinite programming, coding, dimension reduction, matrix completion, machine learning, compressed sensing, and sparse regression.

Subject categories
ISBNs
  • 9781108415194
  • 9781108246255
  • 9781108244541

In The Press

'This is an excellent and very timely text, presenting the modern tools of high-dimensional geometry and probability in a very accessible and applications-oriented manner, with plenty of informative exercises. The book is infused with the author's insights and intuition in this field, and has extensive references to the latest developments in the area. This book will be an extremely useful resource both for newcomers to this subject and for expert researchers.' Terence Tao, University of California, Los Angeles