Norm of the inverse of a random matrix

  • Authors:
  • Mark Rudelson

  • Affiliations:
  • University of Missouri, USA

  • Venue:
  • FOCS '06 Proceedings of the 47th Annual IEEE Symposium on Foundations of Computer Science
  • Year:
  • 2006

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Abstract

Let A be an n 脳 n matrix, whose entries are independent copies of a centered random variable satisfying the subgaussian tail estimate. We prove that the operator norm of A^{-1} does not exceed Cn^{3/2} with probability close to 1. In a geometric language, this bounds the probability that the affine span of n random vectors in \mathbb{R}^n with i.i.d. subgaussian coordinates comes close to the origin.