This course introduces some basic theory of high dimensional probability. The content includes: concentration phenomenon, high dimensional random variable, random matrices, applications to random graph and stochastic algorithms. The course objective is:
- To introduce concentration phenomenon such as Hoeffding inequality and Bernstein inequality
- To introduce high dimensional random variable and dimension curse
- To introduce basic theory about random matrices such as estimation of eigenvalues and so on
- To introduce some applications to random graph and stochastic algorithms
- Teacher: lihuxu, Xu Lihu