Sums of random symmetric matrices and quadratic optimization under orthogonality constraints

Let Bi be deterministic real symmetric m × m matrices, and ξi be independent random scalars with zero mean and “of order of one” (e.g., ξi ∼ N(0, 1)). We are interested to know under what conditions “typical norm” of the random matrix SN = N i=1

• Type: Journal
• Year: 2007
• Where: MP
• Authors: Arkadi Nemirovski
• Keywords: Independent Random, MP 2007, Random Matrix Sn, Typical Norm