Large-deviation asymptotics of condition numbers of random matrices.
Martin SingullDenise UwamariyaXiangfeng YangPublished in: J. Appl. Probab. (2021)
Keyphrases
- large deviations
- heavy tailed
- condition numbers
- least squares
- condition number
- linear algebra
- state dependent
- importance sampling
- singular value decomposition
- correlation matrix
- queueing systems
- primal dual
- queue length
- asymptotically optimal
- objective function
- heavy traffic
- generalization bounds
- generalized gaussian
- linear program
- regression model
- dynamic programming