Randomized Algorithms (Spring 2010)/Tail inequalities

Select the Median

The selection problem is the problem of finding the [math]\displaystyle{ k }[/math]th smallest element in a set [math]\displaystyle{ S }[/math]. A typical case of selection problem is finding the median, the [math]\displaystyle{ (\lceil n/2\rceil) }[/math]th element in the sorted order of [math]\displaystyle{ S }[/math].

The median can be found in [math]\displaystyle{ O(n\log n) }[/math] time by sorting. There is a linear-time deterministic algorithm, "median of medians" algorithm, which is quite sophisticated. Here we introduce a much simpler randomized algorithm which also runs in linear time. The idea of this algorithm is random sampling.

Chernoff Bound

Suppose that we have a fair coin. If we toss it once, then the outcome is completely unpredictable. But if we toss it, say for 1000 times, then the outcome is very much predictable. The number of HEADs is very likely to be around 500. This striking phenomenon is called the concentration. The Chernoff bound captures the concentration of independent trials.

The Chernoff bound is also a tail bound for the sum of independent random variables which may give us exponentially sharp bounds.

Before proving the Chernoff bound, we should talk about the moment generating functions.

Moment generating functions

We know that the more we know about the different moments of a random variable [math]\displaystyle{ X }[/math], the more information we would have about [math]\displaystyle{ X }[/math]. There is a so-called moment generating function, which "packs" all the information about the moments of [math]\displaystyle{ X }[/math] into one function.

Definition: The moment generating function of a random variable [math]\displaystyle{ X }[/math] is defined as [math]\displaystyle{ \mathbf{E}\left[\mathrm{e}^{\lambda X}\right] }[/math] where [math]\displaystyle{ \lambda }[/math] is the parameter of the function.

By Taylor's expansion and the linearity of expectations,

[math]\displaystyle{ \begin{align} \mathbf{E}\left[\mathrm{e}^{\lambda X}\right] &= \mathbf{E}\left[\sum_{k=0}^\infty\frac{\lambda^k}{k!}X^k\right]\\ &=\sum_{k=0}^\infty\frac{\lambda^k}{k!}\mathbf{E}\left[X^k\right] \end{align} }[/math]

The moment generating function [math]\displaystyle{ \mathbf{E}\left[\mathrm{e}^{\lambda X}\right] }[/math] is a function of [math]\displaystyle{ \lambda }[/math].

The Chernoff bound

The Chernoff bounds are tail inequalities with exponential decays for the sum of independent trials. The bounds are obtained by applying Markov's inequality to the moment generating function of the sum of independent trials, with some appropriate choice of the parameter [math]\displaystyle{ \lambda }[/math].

Chernoff bound (the upper tail): Let [math]\displaystyle{ X=\sum_{i=1}^n X_i }[/math], where [math]\displaystyle{ X_1, X_2, \ldots, X_n }[/math] are independent Poisson trials. Let [math]\displaystyle{ \mu=\mathbf{E}[X] }[/math]. Then for any [math]\displaystyle{ \delta\gt 0 }[/math], [math]\displaystyle{ \Pr[X\ge (1+\delta)\mu]\le\left(\frac{e^{\delta}}{(1+\delta)^{(1+\delta)}}\right)^{\mu}. }[/math]

Proof: For any [math]\displaystyle{ \lambda\gt 0 }[/math], [math]\displaystyle{ X\ge (1+\delta)\mu }[/math] is equivalent to that [math]\displaystyle{ e^{\lambda X}\ge e^{\lambda (1+\delta)\mu} }[/math], thus

[math]\displaystyle{ \begin{align} \Pr[X\ge (1+\delta)\mu] &= \Pr\left[e^{\lambda X}\ge e^{\lambda (1+\delta)\mu}\right]\\ &\le \frac{\mathbf{E}\left[e^{\lambda X}\right]}{e^{\lambda (1+\delta)\mu}}, \end{align} }[/math]

where the last step follows by Markov's inequality.

Computing the moment generating function [math]\displaystyle{ \mathbf{E}[e^{\lambda X}] }[/math]:

[math]\displaystyle{ \begin{align} \mathbf{E}\left[e^{\lambda X}\right] &= \mathbf{E}\left[e^{\lambda \sum_{i=1}^n X_i}\right]\\ &= \mathbf{E}\left[\prod_{i=1}^n e^{\lambda X_i}\right]. \end{align} }[/math]

For independent random variables, the expectation of the product equals the product of the expectations, therefore, for the last term above, we have

[math]\displaystyle{ \begin{align} \mathbf{E}\left[\prod_{i=1}^n e^{\lambda X_i}\right] &= \prod_{i=1}^n \mathbf{E}\left[e^{\lambda X_i}\right]. \end{align} }[/math]

Let [math]\displaystyle{ p_i=\Pr[X_i=1] }[/math] for [math]\displaystyle{ i=1,2,\ldots,n }[/math]. Then,

[math]\displaystyle{ \mu=\mathbf{E}[X]=\mathbf{E}\left[\sum_{i=1}^n X_i\right]=\sum_{i=1}^n\mathbf{E}[X_i]=\sum_{i=1}^n p_i }[/math].

We bound the moment generating function for each individual [math]\displaystyle{ X_i }[/math] as follows.

[math]\displaystyle{ \begin{align} \mathbf{E}\left[e^{\lambda X_i}\right] &= p_i\cdot e^{\lambda\cdot 1}+(1-p_i)\cdot e^{\lambda\cdot 0}\\ &= 1+p_i(e^\lambda -1)\\ &\le e^{p_i(e^\lambda-1)}, \end{align} }[/math]

where in the last step we apply the Taylor's expansion so that [math]\displaystyle{ e^y\ge 1+y }[/math] where [math]\displaystyle{ y=p_i(e^\lambda-1)\ge 0 }[/math]. (By doing this, we can transform the product to the sum of [math]\displaystyle{ p_i }[/math], which is [math]\displaystyle{ \mu }[/math].)

Therefore,

[math]\displaystyle{ \begin{align} \mathbf{E}\left[e^{\lambda X}\right] &= \prod_{i=1}^n \mathbf{E}\left[e^{\lambda X_i}\right]\\ &\le \prod_{i=1}^n e^{p_i(e^\lambda-1)}\\ &= \exp\left(\sum_{i=1}^n p_i(e^{\lambda}-1)\right)\\ &= e^{(e^\lambda-1)\mu}. \end{align} }[/math]

Thus, we have shown that for any [math]\displaystyle{ \lambda\gt 0 }[/math],

[math]\displaystyle{ \begin{align} \Pr[X\ge (1+\delta)\mu] &\le \frac{\mathbf{E}\left[e^{\lambda X}\right]}{e^{\lambda (1+\delta)\mu}}\\ &\le \frac{e^{(e^\lambda-1)\mu}}{e^{\lambda (1+\delta)\mu}}\\ &= \left(\frac{e^{(e^\lambda-1)}}{e^{\lambda (1+\delta)}}\right)^\mu \end{align} }[/math].

For any [math]\displaystyle{ \delta\gt 0 }[/math], we can let [math]\displaystyle{ \lambda=\ln(1+\delta)\gt 0 }[/math] to get

[math]\displaystyle{ \Pr[X\ge (1+\delta)\mu]\le\left(\frac{e^{\delta}}{(1+\delta)^{(1+\delta)}}\right)^{\mu}. }[/math]

[math]\displaystyle{ \square }[/math]

To conclude the proof, we apply Markov's inequality to [math]\displaystyle{ e^{\lambda X} }[/math] and for the rest, we just estimate the moment generating function [math]\displaystyle{ \mathbf{E}[e^{\lambda X}] }[/math]. To make the bound as tight as possible, we minimized the [math]\displaystyle{ \frac{e^{(e^\lambda-1)}}{e^{\lambda (1+\delta)}} }[/math] by setting [math]\displaystyle{ \lambda=\ln(1+\delta) }[/math], which can be justified by taking derivatives of [math]\displaystyle{ \frac{e^{(e^\lambda-1)}}{e^{\lambda (1+\delta)}} }[/math].

---

We then proceed to the lower tail, the probability that the random variable deviates below the mean value:

Chernoff bound (the lower tail): Let [math]\displaystyle{ X=\sum_{i=1}^n X_i }[/math], where [math]\displaystyle{ X_1, X_2, \ldots, X_n }[/math] are independent Poisson trials. Let [math]\displaystyle{ \mu=\mathbf{E}[X] }[/math]. Then for any [math]\displaystyle{ 0\lt \delta\lt 1 }[/math], [math]\displaystyle{ \Pr[X\le (1-\delta)\mu]\le\left(\frac{e^{-\delta}}{(1-\delta)^{(1-\delta)}}\right)^{\mu}. }[/math]

Proof: For any [math]\displaystyle{ \lambda\lt 0 }[/math], by the same analysis as in the upper tail version,

[math]\displaystyle{ \begin{align} \Pr[X\le (1-\delta)\mu] &= \Pr\left[e^{\lambda X}\ge e^{\lambda (1-\delta)\mu}\right]\\ &\le \frac{\mathbf{E}\left[e^{\lambda X}\right]}{e^{\lambda (1-\delta)\mu}}\\ &\le \left(\frac{e^{(e^\lambda-1)}}{e^{\lambda (1-\delta)}}\right)^\mu. \end{align} }[/math]

For any [math]\displaystyle{ 0\lt \delta\lt 1 }[/math], we can let [math]\displaystyle{ \lambda=\ln(1-\delta)\lt 0 }[/math] to get

[math]\displaystyle{ \Pr[X\ge (1-\delta)\mu]\le\left(\frac{e^{-\delta}}{(1-\delta)^{(1-\delta)}}\right)^{\mu}. }[/math]

[math]\displaystyle{ \square }[/math]

---

Some useful special forms of the bounds can be derived directly from the above general forms of the bounds. We now know better why we say that the bounds are exponentially sharp.

Useful forms of the Chernoff bound Let [math]\displaystyle{ X=\sum_{i=1}^n X_i }[/math], where [math]\displaystyle{ X_1, X_2, \ldots, X_n }[/math] are independent Poisson trials. Let [math]\displaystyle{ \mu=\mathbf{E}[X] }[/math]. Then 1. for [math]\displaystyle{ 0\lt \delta\le 1 }[/math], [math]\displaystyle{ \Pr[X\ge (1+\delta)\mu]\lt \exp\left(-\frac{\mu\delta^2}{3}\right); }[/math] [math]\displaystyle{ \Pr[X\le (1-\delta)\mu]\lt \exp\left(-\frac{\mu\delta^2}{2}\right); }[/math] 2. for [math]\displaystyle{ t\ge 2e\mu }[/math], [math]\displaystyle{ \Pr[X\ge t]\le 2^{-t}. }[/math]

Proof: To obtain the bounds in (1), we need to show that for [math]\displaystyle{ 0\lt \delta\lt 1 }[/math], [math]\displaystyle{ \frac{e^{\delta}}{(1+\delta)^{(1+\delta)}}\le e^{-\delta^2/3} }[/math] and [math]\displaystyle{ \frac{e^{-\delta}}{(1-\delta)^{(1-\delta)}}\le e^{-\delta^2/2} }[/math]. We can verify both inequalities by standard analysis techniques.

To obtain the bound in (2), let [math]\displaystyle{ t=(1+\delta)\mu }[/math]. Then [math]\displaystyle{ \delta=t/\mu-1\ge 2e-1 }[/math]. Hence,

[math]\displaystyle{ \begin{align} \Pr[X\ge(1+\delta)\mu] &\le \left(\frac{e^\delta}{(1+\delta)^{(1+\delta)}}\right)^\mu\\ &\le \left(\frac{e}{1+\delta}\right)^{(1+\delta)\mu}\\ &\le \left(\frac{e}{2e}\right)^{2e\mu}\\ &\le 2^{-t} \end{align} }[/math]

[math]\displaystyle{ \square }[/math]

Applications of Chernoff Bounds

We now introduce some applications of Chernoff bounds in randomized algorithms.

Balls into bins

Throwing [math]\displaystyle{ m }[/math] balls uniformly and independently to [math]\displaystyle{ n }[/math] bins, what is the maximum load of all bins? In the last class, by using a counting argument, we proved that for the case that [math]\displaystyle{ m=n }[/math], the maximum load is [math]\displaystyle{ O(\ln n\ln\ln n) }[/math] with high probability. Now we show that when there are more balls, the loads are more balanced.

For any [math]\displaystyle{ i\in[n] }[/math] and [math]\displaystyle{ j\in[m] }[/math], let [math]\displaystyle{ X_{ij} }[/math] be the indicator variable for the event that ball [math]\displaystyle{ j }[/math] is thrown to bin [math]\displaystyle{ i }[/math]. Obviously

[math]\displaystyle{ \mathbf{E}[X_{ij}]=\Pr[\mbox{ball }j\mbox{ is thrown to bin }i]=\frac{1}{n} }[/math]

Let [math]\displaystyle{ Y_i=\sum_{j\in[m]}X_{ij} }[/math] be the load of bin [math]\displaystyle{ i }[/math].

Let us consider the case when [math]\displaystyle{ m=6n\ln n }[/math]. Then the expected load of bin [math]\displaystyle{ i }[/math] is

[math]\displaystyle{ \mu=\mathbf{E}[Y_i]=\mathbf{E}\left[\sum_{j\in[m]}X_{ij}\right]=\sum_{j\in[m]}\mathbf{E}[X_{ij}]=m/n=6\ln n }[/math].

Applying Chernoff bound, [math]\displaystyle{ \Pr[Y_i\gt 12\ln n]\le }[/math]

Set balancing

Set balancing

Permutation Routing

Now we introduce a more "serious" application of Chernoff bounds: the two-phase randomized algorithm for the permutation routing in a hypercube.