TITLE: Talagrand's inequality for the discrete cube
QUESTION [8 upvotes]: Talagrand showed that if $f$ is a convex $1$-Lipschitz function on $\mathbb{R}^n$, and if $\mu$ is a product of probability measures supported over the interval, then $f$ has Gaussian concentration w.r.t. to $\mu$:
$$
P(\vert f - E_{\mu}f\vert > \epsilon) < C \exp(-c\epsilon^2)
$$
for some absolute constants $c$ and $C$.
I would like to understand to what extent convexity is necessary in the special case where $\mu$ is the uniform measure on the discrete hypercube $\{0,1\}^n$. What are "representative" counterexamples if convexity is not assumed?

REPLY [5 votes]: there is no convexity assumption needed there.

Nevertheless  here is a counterexample of $1$-Lipschitz function on $\mathbb{R}^{N}$ which fails to satisfy concentration inequality on the Hamming cube $\{-1,1\}^{N}$ as $N$ goes to infinity. 
Take $N$ to be even. Let 
$$
A = \left\{ (x_{1}, \ldots, x_{N}) \in \{0,1\}^{N}\, : x_{1}+\ldots+x_{N}\leq \frac{N}{2}\right\}.
$$
Next, define a function 
$$
f(x) = \inf_{y \in A} \| x-y\|_{\mathbb{R}^{N}}
$$
Since $f$ is the distance function to a nonempty subset it follows that $f$ is $1$-Lipschitz (an exercise).
On the other hand notice that $f(x) = \sqrt{\max\{x_{1}+\ldots+x_{N} - \frac{N}{2},0\}}$ on $\{0,1\}^N$.  Then as $N$ goes to infinity we have 
$$
\begin{aligned}
P(|f & -\mathbb{E}f| > N^{1/4}) \\ & = P\biggl(\biggl|\sqrt{\max\{\frac{(2x_{1}-1)+\ldots+(2x_{N}-1)}{\sqrt{N}},0\}} \\ & \qquad\qquad - \mathbb{E}\sqrt{\max\{\frac{(2x_{1}-1)+\ldots+(2x_{N}-1)}{\sqrt{N}},0\}} \biggr|>\sqrt{2} \biggr) \\ & \to P\left( | \sqrt{\max\{\xi, 0\}} - \mathbb{E} \sqrt{\max\{\xi, 0\}}|>\sqrt{2}\right)>10^{-10},
\end{aligned}
$$
where we used the central limit theorem, and $\xi$ is the standard normal Gaussian $\xi\in N(0,1)$.