Mathematics – Probability
Scientific paper
2011-02-02
Mathematics
Probability
8 pages
Scientific paper
This note demonstrates that it is possible to bound the expectation of an
arbitrary norm of a random matrix drawn from the Stiefel manifold in terms of
the expected norm of a standard Gaussian matrix with the same dimensions. A
related comparison holds for any convex function of a random matrix drawn from
the Stiefel manifold. For certain norms, a reversed inequality is also valid.
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