A variational approach to dimension-free self-normalized concentration

Abstract: We study the self-normalized concentration of vector-valued stochastic processes. We focus on bounds for sub-$\psi$ processes, a tail condition that encompasses a wide variety of well-known distributions (including sub-exponential, sub-Gaussian, sub-gamma, and sub-Poisson distributions). Our results recover and generalize the influential bound of Abbasi-Yadkori et al. (2011) and fill a gap in the literature between determinant-based bounds and those based on condition numbers. As applications we prove a Bernstein inequality for random vectors satisfying a moment condition (which is more general than boundedness), and also provide the first dimension-free, self-normalized empirical Bernstein inequality. Our techniques are based on the variational (PAC-Bayes) approach to concentration.