Statistics of spectral properties of matrix-valued random variables.

**2**

votes

**1**answer

195 views

### Determining the asymptotic behavior of random matrices with vanishing ratio dimensions

Consider an $N\times K$ random matrix $X$ (defined on a probability space $(Ω,F,μ)$) with i.i.d. entries having zero mean and variance $1/K$.
There are a lot of results regarding the asymptotic ...

**8**

votes

**1**answer

115 views

### GOE Version of Longest Increasing Subsequence

Let $S_n$ be the symmetric group equipped with uniform measure. For any $\pi\in S_n$, let $L_n=L_n(\pi)$ denote the longest increasing subsequence. A celebrated result of Baik, Deift and Johansson ...

**2**

votes

**1**answer

192 views

### Tail bound for $L_2$ norm of top $k$ singular values of a random matrix

Let $Y=X^\top W$ , with $X, W \in \mathbb{R}^{d \times d}$ are random matrices with standard normal entries. Let $\lambda_j$ be the $j^{th}$ singular value of $Y$. Is there a way to bound the tail ...

**5**

votes

**1**answer

294 views

### Lower bound of integral involving Laguerre polynomials

I want to lower bound the expected value of the square root of a randomly chosen eigenvalue of a Wishart matrix.
To get the bound I want I need a lower bound on
$$T_n = ...

**4**

votes

**1**answer

237 views

### Measure concentration for weakly dependent random variables

For an application quite alien to probability theory, I'd like to have a kind of measure concentration estimate, in the following spirit. Suppose that to every $1\le i,j\le n$ there corresponds a ...

**10**

votes

**1**answer

362 views

### A simple proof for a theorem of Szekeres and Turán

Szekeres and Turán found in 1937 a formula for the sum of the squares and the sum of the fourth powers of determinants of all $n$ by $n$ matrices with $\pm 1$ entries. (The sum of squares case follows ...

**14**

votes

**2**answers

398 views

### Repeated random two-steps in $\mathbb{R}^3$: unbounded?

I created a random isometry $T$ of $\mathbb{R}^3$ by generating
a random orthogonal matrix $M$,
uniformly distributed among all such,
and a random displacement $v$, whose coordinates
are drawn from a ...

**9**

votes

**1**answer

283 views

### Complexity of the union of randomly rotated unit cubes

It is a remarkable fact that the union of congrent cubes
has only at most near-quadratic combinatorial complexity,
$O^*(n^2)$ for $n$ cubes, known to be almost tight.
This contrasts with the union of ...

**5**

votes

**0**answers

179 views

### Quasicompactness of transfer operators associated to IID matrix products

Let $P^1$ denote one-dimensional real projective space, and for each $A \in GL(2,\mathbb{R})$ let $\overline{A}$ denote the homeomorphism of $P^1$ induced by $A$. I am currently reading a paper which ...

**0**

votes

**1**answer

261 views

### Determine the probability that two random vectors over a finite field are orthogonal

Hi all,
Suppose that $\mathbf{f}=[f_1, f_2,\ldots,f_m]$ and $\mathbf{g}=[g_1,g_2,\ldots,g_m]$ are two $m$-dimensional vectors. All $f_i$'s are chosen uniformly randomly from a finite field ...

**2**

votes

**0**answers

138 views

### Error bound on matrix vector multiplication

I am multiplying a matrix $A$ with vector $p$. However, the matrix $A$ isn't accurate.
Some (a very small fraction) of the element's value is changed from $a_{i,j}$ to {0,$-a_{i,j}$, $2a_{i,j}$}. ...

**0**

votes

**1**answer

129 views

### Find a generalized hypergeometric-based function yielding certain ratios of fifth-degree polynomials

Find a (presumably, generalized hypergeometric-based function $f(n,a,k)$), yielding for $n=1, a=\frac{1}{2}$,the rational function (ratio of fifth-degree polynomials)
\begin{equation}
...

**3**

votes

**2**answers

147 views

### Non-asymptotic results for bulk of random Wishart matrix

Let $n$ be a positive integer and let $X_n$ be an $n\times n$ random matrix whose entries are iid standard gaussian random variables. I am interested in the distribution of the average singular value ...

**9**

votes

**2**answers

658 views

### Probability of random (0,1) Toeplitz matrix being invertible

A Toeplitz matrix or diagonal-constant matrix is a matrix in which each descending diagonal from left to right is constant.
What is the probability that a random $n \times n$ binary Toeplitz ...

**0**

votes

**0**answers

255 views

### Notation for a functional L2 matrix norm

Hi,
Let $v(z)$ be a 2x2 matrix depending on a complex variable z, defined on an oriented contour $\Sigma$ in the complex plane. Can anyone tell me the meaning of the notation:
...

**10**

votes

**0**answers

180 views

### What are the difficulties in proving almost-everywhere stability of Gaussian elimination?

It is well known that Gaussian elimination without pivoting is numerically unstable, and in practice Gaussian elimination is done with row pivoting (partial pivoting). A theorem of Wilkinson states ...

**8**

votes

**2**answers

905 views

### Intuition behind the spectral density of random matrices

Hi,
I have read that the spectral density of an NxN random matrix consisting of iid random variables with zero mean and unit variance converges as N goes to infinity to the uniform distribution on ...

**0**

votes

**1**answer

371 views

### Expected value with a kronecker product and Gaussian distributional assumption

What is the expected value, $ \mathbb{E}\left[ I \otimes \left( \operatorname{diag}(ZZ^T\mathbf{1}) - ZZ^T\right)\right]$ where $Z \sim N(0, \sigma^2I) $? The kronecker product is where the confusion ...

**3**

votes

**0**answers

176 views

### Matrix where every subset of rows has maximal rank

I am looking for a class of matrices $M(n(m), m, k(m), \phi)$ with the following properties:
M is $n \times m$ where $n(m) > m$.
Every subset of rows of size $k$ has (maximal) rank $m$.
$n(m)$ ...

**1**

vote

**1**answer

83 views

### Expected rank - computable approximations

I'm interested in finding the expected rank of some random matrix $A$ (I don't want to specify its distribution right now, since my question makes sense in general).
Computing $\mathbb{E} \ ...

**10**

votes

**1**answer

383 views

### Probability that a random distance function is metric

Take a random $n \times n$ nonnegative symmetric matrix $D$ with zero diagonal. What is the probability that it is an abstract distance matrix, i.e. satisfies $D_{xy}+D_{yz} \geq D_{xz}$ for all index ...

**4**

votes

**0**answers

48 views

### Homogeneity degree one functions of a matrix argument

I am interested in homogeneity degree one (scalar-valued) functions of a matrix argument. The simplest setup is as follows. Let $X$ be a symmetric $3\times 3$ matrix with real entries. Let $f$ be a ...

**4**

votes

**2**answers

1k views

### Eigenvalues of random Hamiltonian matrices

A real $2n\times 2n$ Hamiltonian matrix has the general form
$$H=\begin{pmatrix}
A & B \cr
C & -A^T
\end{pmatrix}
$$
where $A$, $B$ and $C$ are $n\times n$ matrices, and $B$ and $C$ are ...

**4**

votes

**0**answers

223 views

### How to generate a random (Weyl) curvature operator ?

Given a dimension $n$, the space of curvature operators is the space $S^2_B(\Lambda^2\mathbb{R}^n)$ of symmetric endomorphisms $R$ of $\Lambda^2\mathbb{R}^n$ which satisfy the first Bianchi identity :
...

**28**

votes

**2**answers

1k views

### The probability for a symmetric matrix to be positive definite

Let me give a reasonable model for the question in the title. In ${\rm Sym}_n({\mathbb R})$, the positive definite matrices form a convex cone $S_n^+$. The probability I have in mind is the ratio ...

**0**

votes

**0**answers

111 views

### Do the Eigenvectors find by use PCA on a set of data point, a good replacement for Random Projection when I later on use L1Magic to reconstruct the sparse vector?

Concretely if I use the first k eigenvectors find by PCA with a point set A,to project another sparse vector b to k dimension subspace, then use L1-magic to recover b. Will this be better than a ...

**18**

votes

**0**answers

844 views

### The Fourier Transform of taking Eigenvalues

The purpose of this question is to ask about the Fourier transform of the map which associate to an $n$ by $n$ matrix its $n$ eigenvalues, or some function of the $n$ eigenvalues. The main motivation ...

**2**

votes

**0**answers

905 views

### Distribution of Inverse of a Random Matrix

Recently i got stuck into a problem and couldn't find its
satisfactory answer anywhere.
My question is simple. Suppose i have a fat random matrix (i,e $R$ has dimensions $k\times d$ where $k<d$) ...

**0**

votes

**1**answer

247 views

### distinguishing random orthogonal matrix from Gaussian random matrix

Jiang's paper (http://projecteuclid.org/euclid.aop/1158673325) shows the following: Suppose that $G$ is an $n\times n$ random matrix with entries i.i.d. $N(0,1/n)$, and $Z$ is a random $n\times n$ ...

**9**

votes

**2**answers

202 views

### Iterating Random Matrix Operations

Consider the following probability measure on the integers concentrated around $0$: the probability of drawing $0$ is $\frac{1}{2}$, of drawing ($1$ or $-1$) is $\frac{1}{4}$ split evenly among the ...

**1**

vote

**0**answers

189 views

### Generalization of Lagrange inversion with “skewed” formal parameter

I am interested in obtaining an analog of the Lagrange inversion formula, starting from a generalization of the implicit equation. Ordinary Lagrange reversion, as I am familiar with it, starts with ...

**1**

vote

**1**answer

184 views

### random matrix products reference

For a long time the standard (though not the easiest to find) reference on random matrix products was Bougerol and Lacrois:
Bougerol, Philippe, and Jean Lacroix. Products of random matrices with ...

**0**

votes

**1**answer

260 views

### A particular kind of Cauchy Principal Value integral

I am sorry to bother the community with such a narrow question, it may perhaps be a little specific. As I study Random Matrix Theory, I often have to solve integrals of the form
$$\mathcal{P} ...

**2**

votes

**2**answers

916 views

### Singular Value Decomposition of Noisy Matrices

I am an engineer who makes measurements of a variable over a grid
of, say, $m\times n$. Since these are actual measurements, the true
values are always corrupted by noise, and what I measure is a ...

**1**

vote

**1**answer

144 views

### Scaling laws for singular values of random matrices

Assume that we have an $n\times n$ matrix ${\bf A}$ with elements drawn i.i.d. Gaussian with mean zero and variance 1.
Are there any results on the asymptotic behavior of its $i$-th largest singular ...

**2**

votes

**1**answer

197 views

### invertibility of a matrix with a Gaussian perturbation

Suppose that $A$ is an arbitrary fixed $n\times n$ matrix and $G$ a random $n\times n$ matrix with i.i.d. $N(0,1)$ entries. Is there a simple proof that $A+G$ is invertible with probability 1?
What ...

**1**

vote

**0**answers

65 views

### Random Schrödinger operators with asymmetric Lifshitz tails?

For a quantum mechanical system with a periodic Hamiltonian (Schrödinger operator) $H$, let $N(E)$ be its integrated density of states, i.e. the fraction of eigenvalues in the spectrum $\sigma(H)$ ...

**10**

votes

**1**answer

668 views

### Non-probabilistic proof of the Johnson–Lindenstrauss lemma

The Johnson–Lindenstrauss lemma states that a small set of points in a high-dimensional space can be embedded into a space of much lower dimension in such a way that distances between the points are ...

**21**

votes

**0**answers

1k views

### Correspondence between eigenvalue distributions of random unitary and random orthogonal matrices

In the course of a physics problem (arXiv:1206.6687), I stumbled on a curious correspondence between the eigenvalue distributions of the matrix product $U\bar{U}$, with $U$ a random unitary matrix and ...

**2**

votes

**0**answers

113 views

### Quantifying the amount of structure in a data set via random matrix theory

Given a data matrix, $M \in \mathbb{R}^{n \times p}$, I am interested in methods quantifying the amount of structure in present in $M$.
I've found a few approaches, but I would like to learn more ...

**0**

votes

**1**answer

262 views

### Stochastic processes with random matrices

I am currently working on complex networks. I consider a matrix $\cal N$ with random entries $\delta_{ik}$. These entries are varying randomly in time and so I have a sequence of random matrices that ...

**7**

votes

**0**answers

243 views

### How fast can extreme eigenvalues of the average of random matrices converge to their expectation?

Suppose that $X_1,X_2,\ldots,X_m$ are $m$ independent $d\times d$ random matrices and let $\overline{X} = \frac{1}{m}\sum_{i=1}^m X_i$. One of the questions studied under the theory of random matrices ...

**15**

votes

**4**answers

491 views

### The latice spanned by $m$ random 0-1 vectors of length $n$

Consider $m$ random 0-1 vectors of length $n$. Let $L$ be the lattice spanned by them. What is the value of $m$ (as a function of $n$) for which it is true with positive probability that $L=Z^n$? More ...

**1**

vote

**0**answers

332 views

### Monte Carlo sampling high dimensions with the halton sequence?

Referring to the Halton Sequence, Swiler et al 2006 state that
In cases where a large number of input variables are sampled,
Robinson and Atcitty recommend using a leaped sequence, where the
...

**3**

votes

**0**answers

207 views

### Concentration of functions of random unitary matrices

Suppose $U$ and $V$ are $n \times n$ random unitary matrices, chosen independently from the Haar measure. Is there any kind of concentration inequality which would be applicable to polynomials ...

**9**

votes

**2**answers

936 views

### Expected values of traces of products of random matrices

Suppose I want to compute a quantity of the type:
$\mathbb{E}\mathrm{tr}(AUBU^{\ast})$
where averaging is over Haar measure on the unitary group $\mathcal{U}(n)$ (one can of course consider higher ...

**7**

votes

**2**answers

484 views

### Maximum Singular Value of a random +1/-1 matrix

Hi,
Define a matrix $\mathbf{A} \in \mathbb{R}^{m \times n}$ such that each element is independently and randomly chosen with probability 0.5 to be either +1, or -1. Do you know any result in the ...

**0**

votes

**0**answers

394 views

### PrincipAl Eigenvector of a Random Matrix

Let $A$ be a random matrix, let $\mathbf{x}$ be the singular vector associated with $\|A\|$. Let $\bar A$ be the entry wise expectation of $A$, and let $\mathbf{\bar x}$ be the singular vector ...

**6**

votes

**2**answers

306 views

### Central limit theorem for 3d rotations

Let $X_i$ (where $i=1, \dots , n$) be independent and identically distributed 3d rotations. What is the distribution of $X_1X_2\dotsb X_n$ in the limit of large $n$?
I'm especially interested in the ...

**1**

vote

**1**answer

208 views

### Least singular value gaussian orthogonal ensemble.

Hello everybody, here is my question:
Assume A is a random symmetric $nxn$ matrix whose entries are independent, normally distributed with mean zero and variance 2 on the diagonal and 1 off diagonal ...