Questions tagged [random-matrices]

Statistics of spectral properties of matrix-valued random variables.

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Independence of random projection and orthogonal projection

Suppose we have three fixed unit vectors $x, y, z \in \mathbb{R}^d$ and an (arbitrary) distribution over random matrices $M \in \mathbb{R}^{k \times d}$: let $P_M = M^T(MM^T)^{-1}M$ and $P^{\perp}_M = ...
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Probabilistic lower and upper-bounds for a certain random quartic form involving gaussian random matrices

Let $d,m \to \infty$ (integers) with $m/d \to \rho \in (0, \infty)$. Let $C$ be a $d \times d$ psd matrix with $trace(C)=\mathcal O(1)$, and let $w_1,\ldots,w_m$ be iid uniformly distributed on the ...
dohmatob's user avatar
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Bound on $i$th largest eigenvalue in a large Erdos-Renyi graphs

Typical magnitude of $i$th largest eigenvalue of an Erdos-Renyi random graph seems to decay at least exponentially with $i$. Is there an analytic expression for the constant in the exponent, or a nice ...
Yaroslav Bulatov's user avatar
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Subspaces with all vectors having large $\|x\|_{\infty}/\|x\|_2$ value

I am able to show that any $k$-dimensional subspace of $\mathbf{R}^{Ck\log(k)}$ must contain a unit vector $x$ such that $\|x\|_{\infty} \ge c\sqrt{1/\log(k)}$ for a small enough constant $c$. But is ...
Praneeth Kacham's user avatar
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Factorisation of Gaussian random matrix into random Hermitian and correction factor

By the Bartlett decomposition, one has that for $k \leq n$ and $\mathbf{\Gamma}_{n\times k} \in \mathbb{R}^{n\times k}$ a standard Gaussian matrix with independent entries $$\mathbf{\Gamma}_{n\times k}...
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Random sequence with positive Lyapunov exponent?

Consider the following self-adjoint matrix $A_X = \begin{pmatrix} 0 & -i \\ i & X \end{pmatrix},$ where $i$ is the imaginary unit and $X$ is a uniformly distributed random variable on some ...
Kung Yao's user avatar
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What is the distribution of eigenvalues of $A^TA$, where $A \sim N(\mu, \Sigma)$?

Let $A$ be a random matrix following multivariate normal distribution $N(\mu, \Sigma)$. What is the distribution of the eigenvalues of $A^TA$? A reference to the literature would be most welcome.
Jacek Herman's user avatar
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Dimension-free sample complexity for estimating Gaussian covariance

(also asked on math.se, with no answers) Suppose I have $m$ samples drawn from a Gaussian in $\mathbb{R}^n$, and need sample covariance $\Sigma_m$ to be $\epsilon$-close to true covariance $\Sigma$: $$...
Yaroslav Bulatov's user avatar
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How can I prove a randomly generated matrix has distinct non-zero eigenvalues?

Consider the following $M×M$ matrix $$ \mathbf A=\sum_{k=1}^K =a_k \mathbf h_k \mathbf h_k^H,(M≥K) $$ where $a_k$'s are real values and $h_k$'s are $M×1$ randomly generated vectors, e.g., complex ...
WPCN's user avatar
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Two-level correlation function of eigenvalues for large random matrices

One can define the density of eigenvalues of a $N\times N$ Hermitian random matrix $H$ as: \begin{equation} \rho(\lambda)=\left \langle\frac{1}{N} \operatorname{Tr} \delta(\lambda-H)\right\rangle \end{...
Matt's user avatar
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Maximum volume submatrices of a Khatri-Rao product of matrix exponentials

My question requires quite a bit of setup, which leads to a conjecture. So I split my question into three parts, Setup, Conjecture, and Question. Setup: Pick any two right stochastic matrices $\...
Jandré Snyman's user avatar
3 votes
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402 views

Use statistical physics ideas ("replica trick") to compute asymptotic value of $\inf_{\|w\| \le r} (1/n)\|Xw-y\|^2$ for random $X$ and $y$

I'm trying to get my head around the "replica trick" and it's mathematically rigorous formulations (due to Talagrand, Parchenko, etc.). I was wondering to myself that a solution or insight ...
dohmatob's user avatar
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Difference between identity and a random projection

Suppose a random projection $P$ in $\mathbb{R}^d$ onto a random n-dimensional subspace in $\mathbb{R}^d$ uniformly distributed in the Grassmannian $G_{d, n}$ (the projection of the row space of a ...
user241211's user avatar
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Dyadic distribution of $0/1$ permanents

Fix reals $a,b\in(1,2)$ satisfying $1<b<a<ab<2$. What fraction of $0/1$ matrices of dimensions $n\times n$ have permanents in $[b2^m,a2^m]$ at some $m\in\{0,1,2,\dots,\lfloor\log_2n!\...
Turbo's user avatar
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condition number of random submatrices

If we randomly pick $k\ll n$ columns from a fixed $n\times n$ matrix $A$, what can one say about the distribution of the 2-norm condition number of the resulting $n\times k$ matrices $A_k$? I'd expect ...
Arnold Neumaier's user avatar
2 votes
1 answer
205 views

Eigenvalues of large symmetric random tensors

I am studying the eigenvalues of large random tensors and realise that very little is known about it. I was wondering what is already known and what could be potential leads to find their limiting ...
Matt's user avatar
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3 votes
2 answers
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Fourier transform of eigenvalue distribution of GUE matrices

I am interested in explicit expression or bounds for the Fourier transform (characteristic function) of the joint probability distribution of eigenvalues of random matrices $X\sim \mathrm{GUE} (d)$, ...
Michał Oszmaniec's user avatar
2 votes
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Concentration inequality for the sample covariance matrix

I'd like to know if there is a concentration inequality for the sample covariance matrix that don't assume the knowledge of the true mean. Background. Given a probability distribution $\mu$ on $\...
Uzu Lim's user avatar
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Spectral gap of $AA^{T}$ for Bernoulli random matrix A

I need the following answer for research purposes. Let $A$ be a $m \times n$ random matrix with iid ${\rm Bernoulli}(p)$ entries. Is there any result on the spectral gap of $AA^{T}$ (similar to well ...
user178533's user avatar
1 vote
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Probability finite precision random matrix has distinct eigenvalues

copied from math stack exchange There is a theorem which says the probability/size of a random matrix having repeated eigenvalues is 0 and this result is used in many fields. What I am wondering is, ...
FourierFlux's user avatar
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Asymptotic lower and upper bounds for the eigenvalues of hadamard product $W \circ W$, where $W$ is a large Wishart matrix

Let $n$ and $d$ be large positive integers with $n,d \to \infty$ such that $n/d \to \gamma \in (0,\infty)$. Let $X$ be a random $n \times d$ random matrix with iid copies of log-concave isotropic ...
dohmatob's user avatar
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Lower bound of the probability of singular random matrix over $\{\pm1\}$ in ``Singularity of random Bernoulli matrices"

Suppose $M_{n}$ is an $n \times n$ matrix with independent ±1 entries. Recent breakthrough shows that the probability $\mathbb{P}(M_{n} \text{ is singular})$ is $$(1) \quad\quad\qquad \mathbb{P}(M_{n} ...
user124697's user avatar
3 votes
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Combinatorial formula to compute the moments of the product of two free random variables

I found in the PhD thesis Moments method for random matrices with applications to wireless communication the following combinatorial formula to compute the free moments of the product of two random ...
Andrea Tani's user avatar
3 votes
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187 views

Eigenvalues of Hadamard product of two Wishart-type matrices

Given two independent Gaussian matrices with i.i.d. entries: $A\in\mathbb{R}^{n\times p}$ and $B\in\mathbb{R}^{n\times q}$, where and $A_{i,j},B_{i,j}\sim\mathcal{N}(0,1)$. Assume that $\max(p,q)<n....
M-Brust's user avatar
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Asymptotics of the right singular vectors as the number of rows diverge [duplicate]

Write $X_m \in \mathbb{R}^{m \times n}$ as a Gaussian ensemble, so that $(X_m)_{ij} \sim \mathcal{N}(0, 1)$ are independent and identically distributed. Assume that $m \geq n$. Write $X_m = U_m \...
user257566's user avatar
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How to compute the first moment of the distribution of the convolution of Marcenko-Pastur law with a not iid matrix?

Let $\mathbf{F}$ denote an M × N matrix whose entries are independent zero-mean complex random variables, the limiting eigenvalue distribution is given by the Marchenko Pastur law $MP_{\beta}$, where $...
Andrea Tani's user avatar
2 votes
1 answer
515 views

Distribution of eigenvectors of random matrices and link with the components of the matrix

Let $M$ be a real symmetric matrix of size $N$ with its components $M_{ij}$ following a normal distribution centered around 0. Let $x\in\mathbb{R}^N$ be an eigenvector of $M$ with eigenvalue $\lambda\...
Matt's user avatar
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1 answer
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General formula for the integral w.r.t to Marchenko-Pastur density, of the ratio of degree $\le 2$ polynomials

Question. Is there a closed-form formula (via standard objects like rational functions, radicals, special functions, special numbers like Catalan numbers, etc.) expressing integrals of rational ...
dohmatob's user avatar
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3 votes
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Expectation of product of random matrices

Let $X$ and $Y$ be independent random symmetric matrices. What can one say about $\mathbb{E} [X Y X Y]$ or $\mathrm{trace} \mathbb{E} [X Y X Y]$ in terms of properties of $X$ and $Y$? In particular, ...
alex's user avatar
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Limiting eigenvalue distribution of $YY^\top$ where $Y_{ij} = X_{ij} + a$ and $X$ has iid rows from an isotropic log-concave distribution

Let $a \in \mathbb R$ be a determinstic scalar and let $X$ be and $n \times d$ such that the $n \times n$ psd random matrix $S=XX^T$ has limiting eigenvalue distribution $\mu$, when $n,d \to \infty$ ...
dohmatob's user avatar
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For fixed $\lambda \ge 0$, Integrate the function $f_\lambda(x):=x/(x + \lambda)^2$ w.r.t. Marchenko-Pastur density

In trying to solve another the problem posed in the question https://www.mathoverflow.net/q/385777/78539, I'm led to consider the following problem. Let $\mu_\gamma$ be the Marchenko-Pastur ...
dohmatob's user avatar
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2 votes
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362 views

High-probability lower bound for norm of least squares solution when both design matrix $X$ and response vector $y$ are random (and independent)

Let $n,d \to \infty$ with $n/d \to \gamma \in (0,\infty)$. Let $X$ be a random $n \times d$ matrix independent rows uniformly distributed on the the unit-sphere in $\mathbb R^d$ and let $y$ be a ...
dohmatob's user avatar
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Is it possible to reduce eigenvalues of tensors to an matrix eigenvalue problem?

Can we construct a larger matrix $M$ such that its eigenvalues are the same as the eigenvalues of a tensor $T$ of order 3? Let $\mathbf{T}$ be a fully symmetric tensor of order $3$ and size $N$. Its ...
Matt's user avatar
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Using linearization trick (free probability) to compute limiting singular-value density of $R=XY+Z+A$ (or equivalently, of $RR^\top$)

Disclaimer. I only started learning the subject of free probability $1$ day ago, and I'm still trying to absorb the fundamentals, while applying them to my own specific problems arizing in the ...
dohmatob's user avatar
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1 vote
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201 views

Distribution and expectation of inverse of a random Bernoulli matrix

This question cropped up as a part of my research. Let us assume a $n\times n$ random matrix $\mathbf{M}$ with elements iid distributed to a Bernoulli distribution that takes values $\{0,1\}$ with ...
Nishant Singh's user avatar
1 vote
1 answer
139 views

Bounds for the extreme singular-values of random matrix with thresholded entries

Let $n,d,k$ be large positive integers such that $\max(n/d,k/d) =: \lambda < 1$. Let $X$ be a random $n \times d$ matrix with entries drawn iid from $N(0,1/d)$ and let $W$ be a $k \times d$ random ...
dohmatob's user avatar
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2 votes
2 answers
509 views

Can the eigenvalues of a real symmetric tensor be complex?

Let $T$ be a fully symmetric tensor of rank $3$ and size $N$. Using the following definition of eigenvalues, let $x\in \mathbb{C}^N$ and $\lambda\in\mathbb{C}$ such that: \begin{equation} \sum_{jk}^...
Matt's user avatar
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1 answer
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Variance of projection of vectors onto random subspace

Let $x_i, y_i \in \mathbb{R}^n$ for $i=1, \dots, k < n$ satisfy $$ \sum_{i=1}^k x_i^\top y_i = 0. $$ Let $E$ be a random subspace of dimension $m < n$ in $\mathbb{R}^n$ distributed uniformly on ...
user27182's user avatar
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Lower-bound for smallest eigenvalue of random $k \times $k matrix $C(W)$ defined by $C(W)_{i,j} := 2(w_i^\top w_j)^2 + \|w_i\|^2\|w_j\|^2$

Let $k$ and $d$ be positive integers such that $d/k:=\lambda > 1$. Let $W$ be $k \times d$ random matrix with rows $w_1,\ldots,w_k \in \mathbb R^d$ drawn iid from $N(0,(1/d)I_d)$, and define the $k ...
dohmatob's user avatar
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Expected pseudo-inverse of isotropic random matrix

Suppose I have a random $m \times m$ matrix $R \sim \mu$ that is possibly singular. Is it true that $ E[R] \propto I$ implies that there exists a scalar $r_{\mu, m}$ such that $E[R^+] = r_{\mu, m}I$, ...
user27182's user avatar
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Why is the determinant of a large random matrix equal to zero? (Heuristics) [closed]

Let $\mathbf{A}$ be a matrix of size $N\times N$ whose elements $A_{ij}$ (with $1\leq i,j\leq N$) are I.I.D following some distribution. If we set set $\langle A_{ij}\rangle=0$ and $\langle {A_{ij}}^2\...
Matt's user avatar
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Concentration for $\sum_{i=1}^n y_i \psi(x_i^\top u)$, for $y_1,\ldots,y_n \sim \{\pm 1\}$ and $x_1,\ldots,x_n$ uniform iid on hypersphere

Let $y_1,\ldots,y_n$ be drawn iid uniformly from $\{\pm 1\}$ and let $x_1,\ldots,x_n$ be drawn iid uniformly from the unit-sphere $(d-1)$-dimensional sphere $\mathbb S_{d-1}$, and independently from ...
dohmatob's user avatar
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1 vote
1 answer
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Limit laws for random matrix products covergence

I'm trying to understand Theorem 1.1 in Limit laws for random matrix products. It states that a specific product of random matrices converges to a set matrix but I don't know which kind of convergence ...
Florian Ente's user avatar
7 votes
1 answer
303 views

Iterating projections to random halfspaces

Consider the following process: Start with a set $S = \mathbb R^n$. Repeat $L$ times: choose a random orthonormal basis $u_1, \ldots, u_n$, and consider the cone $C = \{ \sum \alpha_i u_i : \alpha_i \...
Daniel Paleka's user avatar
3 votes
1 answer
325 views

Concentration inequality for norm of solution to nonlinear least-squares problem

Define the piecewise-linear function $\psi(t):=\max(t,0)$ for all $t \in \mathbb R$. Let $d,n,k \to \infty$ at the same rate (i.e $n \asymp k \asymp d$). Let $y_1,\ldots,y_n \in \{-1,1\}$ uniformly ...
dohmatob's user avatar
  • 6,716
8 votes
0 answers
268 views

Maximum probability of a set of vectors from $ \mathbb{F}_2^n $ being linearly independent

Suppose $ m $ vectors from the vector space $ \mathbb{F}_2^n $ are selected independently according to a distribution $ P $ over $ \mathbb{F}_2^n $. Here $ \mathbb{F}_2 $ denotes the field with two ...
aleph's user avatar
  • 503
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1 answer
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Product of random matrices which commute almost surely

In the paper "Matrix concentration for products" it is stated, that the following is easy to show. Let $X_1,\dots X_n$ be independent, bounded, square matrices, which commute almost surely. ...
Florian Ente's user avatar
1 vote
0 answers
62 views

About symmetric rank-1 random matrices

Consider a $2n-$dimensional symmetric random matrix $M$ of form, $M = \begin{bmatrix} aa^T & ab^T \\ ba^T & bb^T \end{bmatrix}$ where $a$ and $b$ are $n$ dimensional random vectors. Are there ...
gradstudent's user avatar
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3 votes
0 answers
112 views

Applications of products of random matrices

I'm studying the paper "Matrix concentration for products" and I'm trying to find simple applications of the inequalities for the expected value of the spectral norm of products of random ...
Florian Ente's user avatar
2 votes
0 answers
151 views

The CDF of determinant of wishart distribution

Assuming $b>0$, $\mathbf{A} \in \mathbb{C}^{m\times n}$ with $m\leq n$ and each element of $\mathbf{A}$ is i.i.d. $\mathcal{CN}(0,1)$ distributed, how to obtain $\mathbb{P} \left[ \det\left( \...
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