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Sums of independent random matrices

Mathematical Physics & Probability

Speaker: Roman Vershynin, University of Michigan
Location: 2112 MSB
Start time: Mon, Apr 27 2009, 4:10PM

One would like to estimate the covariance matrix of a high dimensional distribution. How well can we do this by sampling N independent points? We will discuss the origins and applications of this problems in convex geometry and random matrix theory. We will survey the early progress of Rudelson on this problem, and the recent elementary method of Ashlwede and Winter developed in the context of quantum information theory.