Theorem

For any random variable XX which only takes non-negative values, and any positive tt,

Pr[X≥t]≤𝔼[X]t\mathrm{Pr}[X \geq t]\leq \frac{\mathbb{E}[X]}{t}

equivalently,

Pr[X≥α⋅𝔼[X]]≤1α\mathrm{Pr}[X \geq \alpha\cdot\mathbb{E}[X]]\leq\frac{1}{\alpha}

Example of concentration inequality

References

  1. https://www.chrismusco.com/amlds2023/lectures/lec1_annotated.pdf