Analyze high-dimensional distributions (Gaussian, Sphere, Ball)
In high dimensions ($d$), three fundamental distributions exhibit specific geometric properties:
- Gaussian Distribution $\mathcal{G} = \mathcal{N}(\boldsymbol{0}, \boldsymbol{I}/d)$: Scaled so that the expected squared norm $\mathbb{E}[|\boldsymbol{x}\_2^2] = 1$ regardless of $d$.
- Uniform Sphere Distribution $\mathcal{U}_{\mathbb{S}}$: Uniform distribution on the unit sphere $\mathbb{S}^{d-1} = {\boldsymbol{x} \in \mathbb{R}^d : |\boldsymbol{x}\_2 = 1}$.
- Uniform Ball Distribution $\mathcal{U}_B$: Uniform distribution on the unit ball $B^d = {\boldsymbol{x} \in \mathbb{R}^d : |\boldsymbol{x}\_2 \le 1}$.
Concentration Inequalities:
- Ball Norm: For $\boldsymbol{x} \sim \mathcal{U}_B$, $\Pr[1 - \epsilon < |\boldsymbol{x}\_2 \le 1] \ge 1 - e^{-\epsilon d}$.
- Gaussian Norm: For $\boldsymbol{x} \sim \mathcal{G}$, $\Pr[||\boldsymbol{x}\_2^2 - 1| \ge \epsilon] \le 2e^{-d\epsilon^2/8}$.
- Orthogonality (Inner Product): For a fixed unit vector $\boldsymbol{u}$, the inner product $\langle \boldsymbol{u}, \boldsymbol{x} \rangle$ concentrates around 0:
- For $\boldsymbol{x} \sim \mathcal{U}_B$ ($d \ge 3$): $\Pr[|\langle \boldsymbol{u}, \boldsymbol{x} \rangle| < \epsilon] \ge 1 - 6e^{-(d-1)\epsilon^2/2}$.
- For $\boldsymbol{x} \sim \mathcal{U}_S$: $\Pr[|\langle\boldsymbol{u}, \boldsymbol{x}\rangle| < \epsilon] \ge 1 - 7e^{-(d-1)\epsilon^2 / 8}$.