Asymptotic Bounds and Online Algorithms for Average-Case Matrix Discrepancy

Abstract

We study the matrix discrepancy problem in the average-case setting. Given a sequence of $m \times m$ symmetric matrices $A_1,\ldots,A_n$, its discrepancy is defined as the minimal spectral norm over all signed sums $\sum_{i=1}^n x_iA_i$ with $x_1,\ldots,x_n \in \{\pm1\}$. Our contributions are twofold. First, we study the asymptotic discrepancy of random matrices. When the matrices belong to the Gaussian orthogonal ensemble, we provide a sharp characterization of the asymptotic discrepancy and show that the limiting distribution is concentrated around $\Theta(\sqrt{nm}4^{-(1 + o(1))n/m^2})$, under the assumption $m^2 \ll n/\log{n}$. We observe that the trivial bound $O(\sqrt{nm})$ cannot be improved when $n \ll m^2$ and show that this phenomenon occurs for a broad class of random matrices. In the case $n = \Omega(m^2)$, we provide a matching upper bound. Second, we analyse the matrix hyperbolic cosine algorithm, an online algorithm for matrix discrepancy minimization due to Zouzias (2011), in the average-case setting. We show that the algorithm achieves with high probability a discrepancy of $O(m\log{m})$ for a broad class of random matrices, including Wigner matrices with entries satisfying a hypercontractive inequality and Gaussian Wishart matrices.