Superconcentration and Chaos

Ujan Gangopadhyay
Department of Mathematics

October 19, 2020

Semigroup Basics

I Let (Xt )t≥0 be a Markov Process taking values in some abstract state space.
I Natural semigroup of operators (Pt )t≥0 acting on real valued functions on that
state space:
Pt f (x) = E (f (Xt )|X0 = x) .
I Pt+s = Pt Ps .
I The generator
Pt f − f
Lf = lim = ∂t Pt |t=0 .
t→0 t
I The heat equation
∂t Pt = LPt .
I
∞ k
X t k
Pt = e tL = L .
k=0
k!
Semigroup Basics Continued

I Assume there is a equilibrium probability measure µ: limiting distribution of Xt is

µ no matter which state it starts out from.
I This measure µ defines an L2 space with the inner product
Z
(f , g ) = f g dµ

I It also defines a bilenear form E called the Dirichlet form of the Markov
semigroup Pt : Z
E(f , g ) := −(f , Lg ) = − f Lg dµ.

I When L is selfadjoint, the Dirichlet form is symmetric. This happens when the
Markov Process is reversible. From now on we deal with only reversible processes.
I Another bilinear form is the covariance:
Z Z Z
Covµ (f , g ) = f g dµ − f dµ g dµ.

I For f , g in L2 (µ)
Z ∞
Covµ (f , g ) = E(f , Pt g )dt.
0
Semigroup Basics Continued

I Poincare Inequality: The semigroup is said to satisfy a Poincare Inequality with

constant C if for all f ∈ L2 (µ)

Varµ (f ) ≤ C E(f , f ).

I The optimal constant C is called the Poincare constant.

I Super-concentration: Call f -superconcentrated if

Varµ (f ) ≤ C E(f , f ),

where C is the Poincare constant.

Example

I Standard Ornstein-Uhlenbeck process is the process (Xt ) satisfying the following

stochastic differential equation
√
dXt = −Xt dt + 2dBt .

I Alternative representation:

Xt = e −t X0 + e −t We 2t −1 .

Technical details: W and B both standard Brownian motion but not the same.
X0 is independent of W .
I This yields
  p 
Pt f (x) = E f e −t x + 1 − e −2t Z .
I This yields
Lf (x) = ∂t Pt f (x)|t=0 = f 00 (x) − xf 0 (x).
I Similarly
E(f , g ) = E(f 0 (Z )g 0 (Z )).
Example Continued

I Standard n-dimensional Ornstein-Uhlenbeck process: each coordinate standard

one dimensional Ornstein-Uhlenbeck process and are indenpendent.
I As before we have
  p 
Pt f (x) = E f e −t x + 1 − e −2t Z ,

but Z is now n-dimensional standard normal.

I As before we have
Lf (x) = ∆f (x) − x · ∇f (x).
I Similarly
E(f , g ) = E(∇f · ∇g ).
I Gaussian Poincare Inequality:

Var(f ) ≤ E(f , f ).

Poincare constant 1 can be seen by taking f (x) = x1 + · · · + xn .

Example Continued
I Super concentration is shown by the function f (x) = maxi xi because for i.i.d.
standard normal Xi
C
Var(max Xi ) ≤ .
i log n
I Talagrand’s Theorem: Let f : Rn → R be an absolutely continuous function and
γ n be the n-dimensional standard Gaussian measure. Let ∂i f denote the partial
derivative of f in the i’th coordinate. For each i, let Ai be any number such that
||∂i f ||L2 (γ n ) ≤ Ai . Then

n
X A2i
Varγ n (f ) ≤ C ,
i=1
1 + log(Ai /||∂i f ||L1 (γ n ) )

where C is a constant independent of f and n.

I Gaussian Poincare Inequality says:
n
X
Varγ n (f ) ≤ ||∂i f ||2L2 (γ n ) .
i=1

I If f (x) = maxi xi , so that ∂i f (x) = 1(xi ≥ xj for all j). Then ||∂i f ||L2 (γ n ) = √1
n
1
and ||∂i f ||L1 (γ n ) = n
.
Chaos

I Suppose −L has eigenvalues 0 = λ0 < λ1 ≤ λ2 ≤ · · · and eigenfunctions

u0 , u1 , . . . . Then
∞
X
Varµ (f ) = (uk , f )2
k=1

and
∞
X
E(f , f ) = λk (uk , f )2 .
k=1
I So superconcentration occurs for some f if “most of the fourier mass
concentrates on the higher end of the spectrum.”
I
E(f , Pt f ) ≤ e −λ1 t E(f , f ).
I Chaos: f is called (, δ)-chaotic if for all t ≥ δ

E(f , Pt f ) ≤ e −λ1 t E(f , f ).

Example

I Gaussian Random Polymer: Consider one-dimensional random walk paths of

length n starting at 0. So each path is of the form (0, a0 ), (1, a1 ), . . . , (n, an )
where a0 = 0 and |ai − ai+1 | = 1.
I Let (gv )v ∈Z2 be a collection of i.i.d. standard Gaussian random variables called
the environment.
I Energy of a path p is Hn (p) = − v ∈P gv .
P

I Let En = minp Hn (p). Called the ground state energy.

I Let p̂ be the optimal path.
I Consider an independent configuration (gv0 )v ∈ Z2 . Consider interpolation
p
gvt := e −t gv + 1 − e −2t gv0 .

∂En
= −1(v ∈ p̂).
∂gv
E(En , Pt En ) = e −t E|p̂ ∩ p̂ t |.
So (, δ)-chaotic means, for t ≥ δ

E|p̂ ∩ p̂ t | ≤ (n + 1).

Multiple Valleys

A sequence (fn , Xn , sn ) is said to have the Multiple Valleys property if there exists
n → 0, δn → 0, γn → 0, Kn → ∞, such that for each n, with probability greater than
1 − γn , there exists a set A ⊂ Xn of cardinality more than Kn such that sn (x, y ) ≤ n
for all x, y ∈ A, and for all x ∈ A,
 
 fn (x) 

 min − 1 ≤ δn .
f
y ∈Xn n (y ) 

Here, sn is a measure of similarity, so that sn (x, y ) small means x and y are not
similar. So, essentially, we have a multiple valley phenomenon if an minimization
problem admits vastly dissimilar near optimal solutions. For maximization problem
similar phenomenon is called multiple peaks.
Thank you.