Hoeffding's inequalityIn probability theory, Hoeffding's inequality provides an upper bound on the probability that the sum of bounded independent random variables deviates from its expected value by more than a certain amount. Hoeffding's inequality was proven by Wassily Hoeffding in 1963. Hoeffding's inequality is a special case of the Azuma–Hoeffding inequality and McDiarmid's inequality. It is similar to the Chernoff bound, but tends to be less sharp, in particular when the variance of the random variables is small.
Random variableA random variable (also called random quantity, aleatory variable, or stochastic variable) is a mathematical formalization of a quantity or object which depends on random events. The term 'random variable' can be misleading as it is not actually random nor a variable, but rather it is a function from possible outcomes (e.g., the possible upper sides of a flipped coin such as heads and tails ) in a sample space (e.g., the set ) to a measurable space (e.g., in which 1 corresponding to and −1 corresponding to ), often to the real numbers.
