Statistics of spectral properties of matrix-valued random variables.

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2
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1answer
65 views

Covariance matrix as optimization problem solution?

I have seen the expectation of a random vector expressed as the solution to the optimization problem: \begin{equation} \mathbb{E}[X]=argmin_{v \in \mathbb{R}^n}\mathbb{E}[\|X-v\|_{l^2}^2](:= ...
8
votes
1answer
261 views

Riemann zeta function: pair correlations vs. neighbor spacings

Montgomery's pair correlation conjecture states that the distribution of the pair correlations of the zeroes of the Riemann zeta function (normalized to have average spacing 1) is given by the ...
0
votes
1answer
57 views

A Gaussian integral over complex variables by a defined Green's function for a Gaussian ensemble of random matrix

We construct an $N\times N$ matrix $J$ whose elements are drawn from Gaussian distribution with zero mean and variance $\frac{1}{N}$. Since we want to have different variances for different columns, ...
2
votes
1answer
121 views

A question from Zeitouni's Introduction to Random Matrices

I have a question regarding exercise 2.1.5 on page 19 in this book: http://www.wisdom.weizmann.ac.il/~zeitouni/cupbook.pdf I would like a reference or help on this exercise. The exercise asks the ...
4
votes
0answers
100 views

Expectation of a specific random variable on the probability space of $n\times n$ matrices over $\{0,1\}$

Let $\mathcal{G}_{n,\frac{1}{2}}$ be the probability space of $n\times n$ matrices over $\{0,1\}$ and each entry of the matrix is independently equal to 1 with probability $\frac{1}{2}$ and equal to 0 ...
0
votes
1answer
59 views

Alternative formula of a Green's function for average density of eigenvalues of random matrix

A Green's function is defined as follows: $$G(\omega) = \frac{1}{N}\mathrm{E}\big[ \mathrm{Tr}\frac{1}{I\omega - J} \big]$$, where $I$ is the $N$-dimensional identity and $E$ means expectation value ...
1
vote
1answer
82 views

Calculate correlation values of an ensemble of $N\times N$ real asymmetric random matrix from Gaussian measure

I am now reading a paper by Sommers, H. J., et al. "Spectrum of large random asymmetric matrices." Physical Review Letters 60.19 (1988): 1895-1898., it claims a mathematical statement (equation (2) in ...
0
votes
1answer
68 views

Almost sure convergence of smallest eigenvector of diagonal matrix

I have that a sequence of random matrices, $M_n$, converges almost surely to a diagonal matrix, $D$, with finite real entries on its diagonal. During convergence, the off-diagonals are not necessarily ...
0
votes
1answer
94 views

Inequality on the trace of the resolvent of a matrix

For a (random) hermitian matrix $M$ and a complex $z$, it is well known that $$ \left| \int_{\mathbb{R}} \frac{1}{z-x} \text{d}\mu_M(x) \right| = \left| \frac{1}{n} \text{Tr} (z-M)^{-1} \right| \leq ...
6
votes
1answer
135 views

Extension of Wigner's semicircle law?

It is well-known that the semicircle law holds for a wide class of matrices with independent and identically distributed (mean zero) entries. My question is: is there any study about the more general ...
1
vote
0answers
46 views

Integrability of complex gaussian random matrix model

It is known that the partition function $$ \mathcal{Z}_1=\int dH e^{-N{\rm Tr}(H^2)}e^{-NV(H)},$$ where the integral is over $N\times N$ hermitian matrices $H$, with the potential $$ V(H)=\sum_{j\ge ...
4
votes
1answer
192 views

Tail bounds on eigenvalue gaps for GUE

What I'm looking for is a non-asymptotic bound on the probability that the smallest gap between eigenvalues of a GUE matrix does not exceed a certain value. I'm aware of the bounds in ...
3
votes
1answer
92 views

Horn's spectrum problem with random Hermitian matrices

An important problem in matrix analysis, completely solved in the early 2000's by A. Knutson & T. Tao (The honeycomb model of GLn(C) tensor products. I. Proof of the saturation conjecture. J. ...
1
vote
1answer
140 views

Sum of Eigenvectors Entries of an Adjacency Matrix

I have a question regarding the sums $\sum_{i=1}^{n}v_{j}\left(i\right)$ where $v_j$ are eigenvectors of adjacency matrix $A$ which have been normalized to unit length. Ordering the eigenvectors by ...
4
votes
0answers
122 views

The distribution of the elements of an eigenvector of random matrices

Suppose a random matrix $A$ with its elements following Gaussian distribution with non-zero mean. We know that the eigenvalues of $A$ have two patches: one is at the real axis that is far away from ...
7
votes
1answer
277 views

How to calculate expected value of matrix norms of $A^TA$?

Let $A$ be a random $m$ by $n$ rectangular sign matrix, chosen uniformly at random, with $m < n$. Let $B = A^T A$. We know, for example, that $B$ is a square and symmetric $n$ by $n$ matrix with ...
3
votes
1answer
158 views

Smallest eigenvalue gap of a non-symmetric random matrix

The question: Let $A$ be the matrix whose each element is an independently generated random variable which is uniform on $[0,1]$. One can see that the eigenvalues of $A$ will be distinct almost ...
3
votes
0answers
30 views

Bound on principal angle of uniform random subspaces of different dimensions?

This paper derives the distribution of the largest principal angle between two subspaces sampled (independently) uniformly from the Grassmanian manifold of $p$-dimensional subspaces in $\mathbb{R}^d$, ...
-1
votes
1answer
39 views

finding a unitary submatrix inside a random matrix

Let $\mathbf{R} \in \mathbb{C}^{~m \times n} $ with $m \leq n $ be a random matrix, whose entries are i.i.d zero mean random variables with circularly symmetric Normal distribution. Let where $r$ be ...
1
vote
1answer
103 views

Rank of a fat random matrix

Let $\mathbf{R} \in \mathbb{C}^{~n \times k} $ with $n \leq k $ be a random matrix, whose entries are i.i.d zero mean random variables with circularly symmetric Normal distribution. Two questions: ...
2
votes
1answer
129 views

Bai and Silverstein's “Lemma on Quadratic Forms” - question about the constant $C_p$

In the book "Spectral Analysis of Large Dimensional Random Matrices" by Bai and Silverstein, there is the following lemma: Lemma B.26 (pg. 530) Let $A=(a_{ij})$ be an $n\times n$ nonrandom matrix ...
0
votes
0answers
27 views

Order statistics of the diagonal terms of an inverse Wishart matrix

I have a question about the inverse Wishart matrix. In my understanding, consider $\mathbf H$ is a $n\times n$ matrix with each elements are complex Gaussian with zero mean unit variance. Then ...
6
votes
1answer
213 views

Is there a way to simplify the following trace expression?

I'd like to simplify the following expression: $$\text{tr}\{\mathbf{A}^HE(\mathbf{C}^H \begin{bmatrix} \mathbf{0}_{M\times M} & \mathbf{0}_{M\times N} \\ \mathbf{0}_{N\times M} & ...
6
votes
0answers
80 views

irregular LDPC code construction algorithm

I want to construct a sparse random binary matrix ${{\bf{H}}_{m \times n}}$ that has the following properties 1- Faction of columns of weight $i$ is ${v_i}$ . 2- Fraction of rows of weight ...
1
vote
1answer
77 views

Spacing of the largest singular values of Wishart matrix

Let $X \in \mathbb{R}^{n \times p}$ consist of iid $\mathcal{N}(0,1)$. Assume that $n/p$ converges to a positive constant. Denote by $\sigma_1 \ge \sigma_2 \ge \cdots \ge \sigma_{\min(n,p)} \ge 0$ the ...
3
votes
0answers
89 views

Upper bound on largest singular value of a heavy tailed random matrix

Let $A$ be a $k\times n, k<n-1$ random matrix with entries drawn i.i.d. from a standard Gaussian, and $B$ a $k\times m$ random matrix with entries drawn i.i.d from a standard Gaussian, and ...
0
votes
0answers
57 views

$l_{\infty}$ norms of matrix perturbations

Say $B$ is a real symmetric matrix of dimension $n$ and $A$ is another real symmetric matrix of the same dimension. What needs to be the bounds on (which?) norm of $B$ to ensure that ...
2
votes
0answers
320 views

Largest eigenvalues distribution of tridiagonal symmetric random matrix

I would like to find the largest eigenvalue distribution of the following tridiagonal symmetric random matrix in an analytic way. All the ${\lambda}_i$ are distributed the same way with chi-square ...
2
votes
1answer
112 views

A slight generalization of Mehta's integral.

I am trying to find the value of following integral $$\int_{-\infty}^{\infty}\dots\int_{-\infty}^{\infty}\prod_{i=1}^ne^{-\frac{t_i^2}{2}+\alpha_i t_i}\prod_{1\le i<j\le ...
2
votes
0answers
49 views

Modularity in a graph - definition of the random component

This question concerns the definition of modularity in a graph. Consider a simple, undirected, unweighted graph $G$ with vertices in set $V$ and edges in set $E$ . Between any two vertices there is ...
6
votes
1answer
103 views

Analysis of the Laplacian of a random bipartite graph

My analysis of an engineering problem reduced to analysis of the Laplacian of a (random) bipartite graph. There are a few particular questions I am interested in, but not sure which direction to take ...
5
votes
1answer
155 views

Modification of matching

Suppose i have an $n \times n$ random bipartite graph and suppose that i repeat the following process $n$ times. At the start (stage 1) each edge is selected independently with probability $p(n)$, and ...
0
votes
0answers
38 views

schatten 1-norm of rank $k$ matrix

I am looking for a high-probability lower bound for the following rank-$k$ matrix $$ X = u_1 v_1^T + u_2 v_2^T + \cdots + u_k v_k^T, $$ where $u_1,\dots,u_k,v_1,\dots,v_k$ are independent $N(0,I_n)$ ...
0
votes
2answers
350 views

Worst case difference in rank by column-row swapping

Given a matrix $m\in\{-1,+1\}^{n\times n}$. Consider $m^\sigma$ to be collection of all matrices obtained from $m$ by permuting rows and columns. Consider $\mathscr{M}[m^\sigma]$ to be collection of ...
6
votes
3answers
286 views

Probability a random matrix contains a short integer vector in its kernel

Consider a random $m$ by $n$ matrix $M$ with $m \leq n$, chosen uniformly over all those whose elements are in $\{0,1\}$ (or $\{-1,1\}$ if it is any easier). Is there any mathematical theory that ...
12
votes
1answer
301 views

Expected size of determinant of $AA^T$ for random circulant and Toeplitz matrices

If $A$ is chosen uniformly at random over all possible $n$ by $n$ Toeplitz (or circulant) (0,1)-matrices, can we give any bounds for the expected size of the determinant of $AA^T$? All arithmetic is ...
1
vote
1answer
183 views

Expected size of determinant of $AA^T$ for non-square random $A$

If $A$ is chosen uniformly at random over all possible $m$ by $n$ (0,1)-matrices, what is the expected size of the absolute value of the determinant of $AA^T$. We can assume $m < n$ and all ...
1
vote
0answers
62 views

Relating the R-transform in free probability to noncommutative group representations

In traditional (commutative) probability theory, sums of random variables correspond to convolutions of distribution functions, which plays well with the Fourier Transform. In free (noncommutative) ...
11
votes
1answer
396 views

Probability that random nonnegative integer matrix is singular

Q. What is the probability that an $n \times n$ matrix, whose elements are independent uniformly random integers in $\{0,1,\ldots,k\}$, is singular? For example, for $n=3$ and $k=2$, the first ...
1
vote
3answers
127 views

Extending GUE to a measure on operators?

Let $\mathcal H_n$ denote the space of Hermitian $n\times n$ matrices and let $\mu_{GUE}$ denote the following measure on $\mathcal H_n$: $$ \mu_{GUE}(dM) = \exp\left( -\frac{n}{2}\text{tr}\ ...
3
votes
1answer
53 views

Vanishing Restricted Isometric Constant

In compressed sensing, we are interested in the restricted isometry property. Suppose the design matrix is $n$ by $p$, consisting of $np$ iid $\mathcal{N}(0, 1/n)$ entries. Assume both $n$ and $p$ are ...
7
votes
7answers
637 views

Semicircle law universality elsewhere

Wigner's semicircle distribution is: $$f(x)=\frac{1}{2 \pi}\sqrt{4-x^2}, \ \ -2\leq x\leq 2.$$ Under reasonable conditions, the rescaled eigenvalue density of random symmetric matrices $M_n$ follows ...
1
vote
0answers
45 views

Products of random permutations with fixed matrix

This question originates from an engineering problem, which I am solving. Any related references are highly appreciated. Let $M_k(T)=\prod_{t=1}^T P_t S_k$ over some field (finite or reals), where ...
2
votes
2answers
285 views

Distribution of dot product of two unit random vectors

Consider $\mathbf{u}, \mathbf{v}\in \mathcal{C}^M$ to be two independent unit norm random vectors on the $M-1$ dimensional complex sphere $\mathcal{S}^{M-1}$. In addition, $\mathbf{u}$ follows an ...
0
votes
0answers
35 views

Stochastic independence of columns of projection matrix to the rest of the columns of a random matrix

First let me describe the setting of the problem. I have a random matrix $A\in \mathbb{R}^{m\times n},\ (m<n)$ with $a_{ij}\sim \mathcal{N}(0,I)$ i.i.d. Let there be a given set of $K (K<m)$ ...
2
votes
1answer
234 views

Is there any way to compare between diagonals of a resolvent and a Cauchy transform?

Say $A$ is a symmetric matrix of $n$ dimensions. Then let the ``resolvent" of $A$ be the matrix valued function $R_A(z) = \frac{1}{z-A}$ and its Cauchy transform be the real valued function $C_A(z) = ...
0
votes
0answers
75 views

eigenvalue distribution of random projection

Suppose that $A$ is an $n\times n$ diagonal matrix with positive diagonal elements and $\Pi$ is a random $k\times n$ matrix that could be (a) i.i.d. Gaussian, or (b) $k$ rows of a random orthogonal ...
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0answers
43 views

Projection of a ray onto a random polytope

Suppose $P$ is a polytope formed by $p$ (general) random planes in $\mathbb{R}^n$. We assume $p \asymp n$ and $P$ has a diameter $O(\sqrt{n})$. For any $x \in \mathbb{R}^n$, denote by ...
1
vote
0answers
63 views

Optimization with random matrix

Consider $J$ a random matrix of size $n\times n$ with i.i.d. Gaussian entries $J_{ij} \sim \mathcal{N}(0,\sigma^2/n)$. Let $f(x)=tanh(x)$, and for $x\in\mathbb{R}^n$, $f(x)$ denotes the vector where ...
4
votes
2answers
335 views

Expectation of Mahalanobis norm

Let $(g_i)_{i=1,...,d}$ sampled i.i.d. from a standard Gaussian, and $(\lambda_i)_{i=1,...,d}$ non-random s.t. $\max_i(\lambda_i)=1$ and $\lambda_i>0, \forall i$. I am looking for the expectation ...