High Dimensional Analysis: Random Matrices and Machine Learning

The date for the exam has been fixed. All information regarding the exam can be found on the main page.

The full solution to sheet 6 will be available soon. There was a problem with ReLU in exercise 3, where the scaling factor of 1/sqrt(m) should not have been part of the network function, but instead part of the initialization of the vector a. The exercise will be updated accordingly. Apologies for the inconvenience.

• Today we had the final lecture in the course.
• There will be no lectures on Wednesday nor next week.
• Instead you can look a bit more into free probability theory, either by reading the article of Roland Speicher in the Materials under Some fun reading, or by watching the following videos:
• "What actually is free probability theory?" by Tobias Mai
• Free probability, random matrices, and non-commutative rational functions by Roland Speicher

• There will be no lecture tomorrow. The next lecture will be on Monday, July 3.
• Sheet 6 will be released later this week, the exercise date and the hand-in date will shift by one week as well (so the last tutorial slot will be in the last week of the lectures).
• There have been no requests for the tutorial tomorrow so far. You can still request it until 8pm today (20:00 Uhr), otherwise the tutorial tomorrow will be canceled.

Exercise sheet 4 has been released.

The date for the exercise class for sheet 3 has been changed from tomorrow to one week later (June 7, usual time slot). Since nobody showed up for the last exercise class, future exercise classes will only take place if at least one participant requests this in advance (just send me an email).

The feedback for sheet 3 will be available in the next few days.

There will be no regular lectures next week.

Instead you should watch an earlier video of Roland Speicher on the Wick Formula (up to 1:16:33). This explains and proves the Wick formula (which is a combinatorial formula for moments of Gaussian variables and of products of independent Gaussian variables). This formula will be used later in our course; the main facts about the Wick formula will be provided then, but the video offers more details.

Additionally, instead of the lecture on Wednesday, April 26, there will be a Q&A session for the first exercise sheet.

As May 1 is a holiday, the next regular lecture will be on Wednesday, May 3.

The first exercise sheet is now available under Materials. Submissions can be handed in via CMS starting from 22.04.2023. Please compile your submission into one pdf.

Up until the evening of the 21st, you can create or join teams to hand in the exercises in groups of up to three people (or you can hand them in as a singleton, then you don't have to create a team).