Statistics of spectral properties of matrix-valued random variables.

**6**

votes

**3**answers

299 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

**1**answer

310 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

**1**answer

185 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

**0**answers

68 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

**1**answer

409 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

**3**answers

129 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

**1**answer

55 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

**7**answers

663 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

**0**answers

46 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

**2**answers

325 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

**0**answers

36 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

**1**answer

253 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

**0**answers

81 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 ...

**1**

vote

**0**answers

44 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

**0**answers

71 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

**2**answers

345 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 ...

**8**

votes

**1**answer

413 views

### Samuel Karlin's problem: Probability of positive solution to system of random linear equations

I came to know this problem from Dr. W. Bryc's slides (at University of Cincinnati), and I have been continually working on this problem for almost 5 days using different techniques. But I am only ...

**2**

votes

**0**answers

80 views

### Smallest Singular Value of a Random Matrix with Dependent Entries

Overview
I am trying to bound from below the smallest singular value $\sigma_{n}$ of a sequence of symmetric $n$ by $n$ random matrices $M_{n}$ with dependant entries. In particular, I would like to ...

**3**

votes

**0**answers

62 views

### Matroid rank decay

Consider a uniform vector matroid $M(0)=U_{m,n}$ of rank $m$ with $n$ points, $n>m>2$ (you can think of it as a set of $n$ points in general position in vector space $F^m$ for some large field ...

**1**

vote

**1**answer

57 views

### Normalizing Entries In Defining Random Matrices (Wigner Matrix)

In the definition of Wigner Matrix (a certain type of random Matrices) we take to independent family of i.i.d zero mean distributions $\{Z_{i,j}\}_{1<i<j}$ and $\{Y_{i}\}_{1\leq i}$ and then the ...

**2**

votes

**2**answers

213 views

### Estimating a Selberg-type integral (or a Fredholm determinant)

I am concerned with the asymptotical behavior of integrals like this for large $n$
$$\frac{1}{n!}\intop_{\Omega}\prod_{1\leq i<j\leq n}(x_{j}-x_{i})^{2}\,\prod_{j=1}^{n}e^{-x_{j}^{2}}dx_{j},$$
...

**6**

votes

**1**answer

179 views

### Upper bound for a Selberg-type integral over a rectangular region

(Cross-posted from math-SE).
I am trying to estimate the values of the following integral for large $n$,
$$\frac{1}{n!}\intop_{\Omega}\prod_{1\leq i<j\leq ...

**0**

votes

**1**answer

115 views

### Norm of matrix with randomly deleted entries

Let $A$ be an $n \times n$ matrix with real entries and let $B$ be the random matrix whose $(i,j)$ entry is $$B_{i,j}=v_{i,j}A_{i,j}$$ where the $v_{i,j}$ are i.i.d Bernoulli random variables with ...

**1**

vote

**2**answers

111 views

### Lyapunov exponents of dual / adjoint / transpose random dynamical system (RDS)

Consider the the state of a system at time $n$, $X_n$, as the action of a product of i.i.d. $d\times d$ random matrices acting on a $d$ dimensional vector $X_0$, so we have
$$X_n = A_n \cdots ...

**7**

votes

**0**answers

205 views

### What is the reason the eigenvalues of GUE and CUE matrices tend locally to the same distribution?

It's well known in random matrix theory that locally the eigenvalues of a random matrix from the Gaussian unitary ensemble tend to a sine-kernel determinantal point process. Likewise, locally the ...

**4**

votes

**0**answers

78 views

### Can the GUE be thought of as a uniform point in a high-dimensional polytope

I have thought about this question for a long time and could only find partial answers.
The Gaussian Unitary Ensemble (or GUE) is the eigenvalues of a random Hermitian matrix with complex Gaussian ...

**5**

votes

**1**answer

216 views

### Symmetry type of non-cohomological automorphic forms

By Katz-Sarnak philosophy a family of $L$-functions would have a symmetry type which would reflect the statistics of $L$-functions, such as low lying zeros and moments. Shin-Templier's paper on ...

**6**

votes

**4**answers

437 views

### Expected value of a function over random sets

I am doing an analysis on the complexity of some set-related algorithm where the input is a random set. One of my setbacks can be formulated as follows:
Pick $k$ distinct numbers out of numbers ...

**3**

votes

**0**answers

90 views

### Exact growth rate of Longest Increasing Subsequence expectation

Let $S_n$ be the symmetric group, $\pi\in S_n$ a uniformly random permutation and $L_n:=L_n(\pi)$ denoting the length of the longest increasing subsequence (LIS). We know that ...

**4**

votes

**2**answers

560 views

### Weak convergence of random measures

Let $\mu_n,n\in \mathbb N$ be a random probability measures and let $\mu$ be a deterministic probability measure on $\mathbb R$. That is to say, that the $\mu_n$ are measurable maps from a probability ...

**4**

votes

**2**answers

398 views

### Statistics of strongly connected components in random directed graphs

I'm interested in the statistics of strongly connected components in random directed graphs. However, I'm unable to find any results on this, partly because I don't know the terminology to search for.
...

**2**

votes

**1**answer

207 views

### An expectation of the product of random unitaries

I want to find the answer of
$$\int dU \ U^m X \ U^{\dagger m}$$
Where $m\in\mathbb{N}$ and $U$'s are unitary matrices in $U(n)$ and $dU$ is a normalized Haar measure. $X$ is a given self-adjoint ...

**5**

votes

**2**answers

535 views

### Expectation of trace of nth power of unitary matrices

I am trying to find the answer of
$$\int dU \ |Tr(U^m)|^2$$
where $m\in\mathbb{N}$ and $U$'s are unitary matrices in $\textit{U}(n)$ and $dU$ is a normalized Haar measure. In the case $m=1$, the ...

**4**

votes

**0**answers

332 views

### An integral with respect to the Haar measure on a unitary group

Let $A,D\in \mathbb{C}^{n \times n}$ be diagonal matrices. I need to calculate
$$\int_{U(n)}\det{(A-HDH^\dagger)}\,\mathrm{d}H$$
where $dH$ is the unit invariant Haar measure on the group of unitary ...

**1**

vote

**0**answers

184 views

### Bound the expectation of trace norm of random Hermitian matrix

Suppose $H_i$ are traceless $d\times d$ Hermitians, $X_i$ are Standard normal distribution for $1\leq i\leq d^2$.
We would like to bound the following expectation on the trace norm
...

**1**

vote

**1**answer

202 views

### Probabilistic statement on matrix ranks

Given $A\in\{0,1\}^{n\times n}$ with $\operatorname{rank}(A)=r=2^{O((\log_2n)^{\frac{1}{c+1}})}$.
Denote $\mathsf{1_n}\in\{0,1\}^n$ as vector with $1$s.
Does
...

**5**

votes

**0**answers

102 views

### Eigenvalues of Random Regular Bipartite Graphs

I am looking for a way of getting a good estimate of the eigenvalues of random bipartite d-regular graphs. The literature has very precise values the proofs of which are very involved and since I am ...

**1**

vote

**0**answers

62 views

### Tools to bound the singular values of a finite sum of random matrices from below?

Matrix Chernoff bounds (see also this arXiv paper) are usually used to give upper bounds on the largest eigenvalue of a finite sum of random matrices. Sometimes it can also be used to give a lower ...

**3**

votes

**1**answer

183 views

### Moments of random special unitary matrices

This should be both well-known and probably easy, but I was wondering if the following is known (and, if so, how to easily calculate the thing or where to read about how to calculate it):
what is ...

**1**

vote

**0**answers

39 views

### Inverse of the covariance of the estimate of a covariance

I have a covariance matrix, $V_{ij}$, which (for reasons that aren't important) I'm going to call the visibilities. I have an estimator for the visibilities $\hat V_{ij}$, and I've derived that the ...

**2**

votes

**1**answer

198 views

### Quaternion Wishart matrices of half-integer dimension?

For a physics application (quantum delay times of a chaotic scatterer) I need to generate $m$ positive random variables $\lambda_1,\lambda_2,\ldots\lambda_m$ with probability distribution
...

**2**

votes

**1**answer

80 views

### Distribution of the $\alpha$-parameter of a $2\times 2$ Haar-distributed, unitary matrix

It is well known that any $2\times 2$ unitary matrix $\mathbf{U}$ can be parametrized as
$$\mathbf{U}=\begin{pmatrix} 1 & 0 \\ 0 & \mathrm{e}^{\mathrm{j}\beta_1}\end{pmatrix} \begin{pmatrix} ...

**0**

votes

**0**answers

103 views

### Is there an improvement for the Schur-Horn inequalities for positive semi-definite matrices?

By the Schur-Horn inequality I am thinking of the statement that for any Hermitian matrix $H$ its diagonal n-tuple $(H_{11},H_{22},..,H_{nn})$ for any choice of basis lies in the convex hull of the ...

**2**

votes

**0**answers

100 views

### “Semiclassical approximation” in random matrix theory

I am reading Planar Diagrams by Brezin, Parisi, Itzykson and Zuber. If you specialize the discussion in section 5 there we seem to derive the eigenvalue distribution of $N \times N$ random Hermitian ...

**2**

votes

**1**answer

147 views

### Restricted singular values of random matrix

Let $X \in \mathbb{R}^{p\times p}$ be a large square matrix, consisting of i.i.d. Gaussian entries. Then it is known that the singular values of $X$ follow the Marchenko-Pastur law.
Now let's ...

**6**

votes

**1**answer

204 views

### Distribution of the permanent modulo $p$

We know that the order of $SL_n({\mathbb F}_p)$ is
$$p^{n(n-1)/2}(p^n-1)(p^{n-1}-1)\cdots(p^2-1).$$
Dividing by $p^{n^2}$, we deduce the probability that $\det$ takes the value $1$ over $M_n({\mathbb ...

**-3**

votes

**3**answers

345 views

### Determinant of matrix from set {-1, 1} [closed]

Let $A \in \mathbb{R}^{11 \times 11}$ and it's elements are form set $\{ -1,1 \}$. $\mathbb{P}(-1) = \mathbb{P}(1) = 0.5$. What is a probability to get such a matrix, that $\det A > 4000$?
I have ...

**7**

votes

**3**answers

410 views

### An infinite product associated with random matrices

Motivation
Let ${\mathbb F}_q$ be the field with $q$ (a power of some prime number) elements. Then the order of $GL_n({\mathbb F}_q)$ is
$$(q^n-1)(q^n-q)\cdots(q^n-q^{n-1}).$$
The fact that this ...

**1**

vote

**1**answer

331 views

### Expected value of the inverse of a random, truncated Haar matrix

Let $Q$ be a (say 4x4) unitary matrix, distributed according to the Haar distribution. Denote the upper left 2x2 submatrix of $Q$ as $Q_{1:2,1:2}$. I am interested in the following expectation:
$E(I ...

**2**

votes

**0**answers

164 views

### Random matrices whose limit gives exact Wigner surmise

Let $M$ come from an ensemble of $N\times N$ matrices. The Wigner surmise is density function $p^W_0(s)=\frac{\pi}{2}se^{-\pi s^2/4}$. From a random matrix point of view, we can write ...