An Introduction to Matrix Concentration Inequalities

In recent years, random matrices have come to play a major role in computational mathematics, but most of the classical areas of random matrix theory remain the province of experts. Over the last decade, with the advent of matrix concentration inequalities, research has advanced to the point where we can conquer many (formerly) challenging problems with a page or two of arithmetic. My aim is to describe the most successful methods from this area along with some interesting examples that these techniques can illuminate. I hope that the results in these pages will inspire future work on applications of random matrices as well as refinements of the matrix concentration inequalities discussed herein. I have chosen to present a coherent body of results based on a generalization of the Laplace transform method for establishing scalar concentration inequalities. In the last two years, Lester Mackey and I, together with our coauthors, have developed an alternative approach to matrix concentration using exchangeable pairs and Markov chain couplings. With some regret, I have chosen to omit this theory because the ideas seem less accessible to a broad audience of researchers. The interested reader will find pointers to these articles in the annotated bibliography. The work described in these notes reflects the influence of many researchers.