Statistics of spectral properties of matrix-valued random variables.

**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 ...

**18**

votes

**0**answers

867 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 ...

**16**

votes

**0**answers

492 views

### Random Distance Matrices

My question is motivated by the following recent paper:
http://arxiv.org/abs/1110.6333
Assume you have a metric space $(X,d)$ equipped with a Borel probability measure $\mu$. We can further assume ...

**15**

votes

**0**answers

297 views

### Quasi-classical limit of representation theory

I am looking for a good reference on a general phenomenon of quasi-classical limit in representation theory, which relates "large" representations to measures on (co-adjoint orbits of) the associated ...

**11**

votes

**0**answers

279 views

### What kind of random matrices have rapidly decaying singular values?

I've been told that in machine learning it's common to compute the singular value decomposition of matrices in order to throw out all information in the matrix except that corresponding to, say, the ...

**11**

votes

**0**answers

320 views

### Lower Bound on the Volume of Certain Polytopes

Given a partition $\rho\in\mathcal{P}(n)$ with $k$ blocks
$$
\rho=\{B_1,B_2,\ldots,B_{k}\}
$$
we can define the set of equations
$$
E_{i}:\sum_{j \in B_{i}}{x_{j-1}}=\sum_{j \in ...

**10**

votes

**0**answers

183 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

**0**answers

422 views

### Framework for primes vs random matrices

This is inspired by What results would follow from or imply "randomness" of the primes? , but I think it is sufficiently different to ask separately.
We can formalise probability in ...

**8**

votes

**0**answers

355 views

### Has the technique of “sprinkling” been used in studying random matrices?

In 1982, while studying the component sizes of random subgraphs of a hypercube, Ajtai, Komlós, and Szemerédi introduced a technique that came to be known as sprinkling. In this technique, the edges of ...

**8**

votes

**0**answers

287 views

### A formula for moments of the limit distribution of singular values in the proof of the circular law

One of the steps in the proof of the circular law in random matrix theory is obtaining the limiting spectral distribution for the matrix
$(\frac{1}{\sqrt{n}} X_n - zI)(\frac{1}{\sqrt{n}} X_n - ...

**7**

votes

**0**answers

159 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 ...

**7**

votes

**0**answers

79 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 ...

**7**

votes

**0**answers

246 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 ...

**5**

votes

**0**answers

66 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 ...

**5**

votes

**0**answers

175 views

### Kasteleyn, Gessel-Viennot and eigenvalues

The Kasteleyn matrix (for counting perfect matchings) and the Lindström-Gessel-Viennot matrix (for counting families of nonintersecting lattice paths) are tightly related, as observed many times by ...

**5**

votes

**0**answers

138 views

### Behavior of eigenspaces of adjacency matrices of random graphs (not via perturbation theory)

For the sake of discussion, let us say that we have the adjacency matrix $A$ of a graph, on $n$ nodes, from a stochastic block model with 2 blocks. Another name for this (usually used in computer ...

**5**

votes

**0**answers

180 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 ...

**4**

votes

**0**answers

60 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 ...

**4**

votes

**0**answers

236 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 ...

**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

**0**answers

224 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 :
...

**4**

votes

**0**answers

203 views

### q-deformation of the unitary group integral

There is a well-known orthogonality property of $U(N)$ group characters
$$
\int d U \chi_{\mu}(U)\chi_\lambda(U^\dagger V)=\delta_{\mu\lambda}\frac{\chi_\mu(V)}{\dim_\mu}
$$
where the integral is ...

**3**

votes

**0**answers

55 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 ...

**3**

votes

**0**answers

144 views

### Eigenvalue Gap Probability Through Method of Moments

Let $M_n$ be drawn from $n\times n$ matrices under the Circular Orthogonal Ensemble (COE) distribution. Then the eigenvalues of $M_n$ all lie on the unit circle. Starting on the real line and going ...

**3**

votes

**0**answers

177 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 $m$.
$n(m)$ ...

**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 ...

**3**

votes

**0**answers

243 views

### Stable distributions for Lindeberg exchange strategy?

Terence Tao has mentioned the importance of the Lindeberg exchange strategy, citing as an application how it was used in the proofs of some recent results relating to universality laws for random ...

**2**

votes

**0**answers

26 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 ...

**2**

votes

**0**answers

38 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 ...

**2**

votes

**0**answers

73 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 ...

**2**

votes

**0**answers

84 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

**0**answers

69 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 ...

**2**

votes

**0**answers

79 views

### Stricter Notion of Crossing in a Partition

Let $k$ be an integer. Traditionally a partition $\pi=V_1\cup \dots \cup V_n$ of the set $[k]:=\{1,\dots, k\}$ is called crossing when there exist $a,c\in V_i$ and $b,d\in V_j\not= V_i$ such that ...

**2**

votes

**0**answers

100 views

### Finite Volume 1D Anderson Tight Binding Model

My question is about bounds on the number of eigenvalues in a microscopic interval for the random Schrodinger operator on $\mathbb{Z}_n$ for $n \in \mathbb{N}$. For my question, these are the ...

**2**

votes

**0**answers

91 views

### Random square submatrices of a Hadamard matrix

Question: For $N$ be a power of $2$, let $A$ be a random $d \times d$ submatrix of the $N \times N$ Hadamard matrix (the matrix of the Hadamard/Walsh-Fourier transform). What is the best known upper ...

**2**

votes

**0**answers

176 views

### Distributions of eigenvalues for matrix normal distribution: related references

I am interested in the distribution of the eigenvalues of matrices that are sampled from the matrix normal distribution.
I am sampling from $p(X \mid M,U,V)$ and let's assume that I know the ...

**2**

votes

**0**answers

62 views

### Packing symmetric matrices in spectral norm, and defining measures on symmetric matrices

I'm trying to upper bound the $\epsilon$-packing number of $\Theta=\{A\in\mathbb{S}^{d}:\; a\preceq A \preceq b\}$ (where $\mathbb{S}$ are symmetric $d\times d$ matrices) for some $a\leq b$ with ...

**2**

votes

**0**answers

139 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,$-a_{i,j}$, $2a_{i,j}$}. ...

**2**

votes

**0**answers

933 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 $k<d$) ...

**2**

votes

**0**answers

115 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 ...

**2**

votes

**0**answers

122 views

### Orthogonality of Pfaffian polynomials in $SO(2m)$

I've been struggling here to invert some integral equation involving Pfaffians, and it would be very nice if you could shed some light on the problem.
Let's go to it. Let $V=\{-1,1\}^{m}$ and $S = ...

**2**

votes

**0**answers

476 views

### Expected operator norm of inverse Wishart matrix

Let $ W\sim W_p(n,I)$ be a white $p\times p$ Wishart matrix, and assume $n>p+1$, which ensures that $W$ is invertible almost surely. Let $\|W^{-1}\|_{\text{op}}$ be the operator norm (maximum ...

**2**

votes

**0**answers

328 views

### Relationship between R-transform and free convolution of random matrices?

I've been using the R-transform to calculate the free convolution of the eigenvalue spectra of two random matrices and I am trying to understand how it works, and in particular how it relates to ...

**1**

vote

**0**answers

90 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

**0**answers

41 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 ...

**1**

vote

**0**answers

30 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 ...

**1**

vote

**0**answers

27 views

### the 3th and 4th order statistics of Circularly Symmetric Complex Normal random vector?

Assume that ${\bf{z}} \in {\mathbb{C}}^{n \times 1}$ is a CSCG random vector denoted with $\mathcal{C} ~ (\bf{\mu} _0,\bf \Sigma _0)$ where $\mu _0$ and $\bf \Sigma _0$ are mean and contrivance ...

**1**

vote

**0**answers

75 views

### Distribution of the Gram Matrices

Let $\mathbf{X}$ be an $m\times m$ random matrix full rank matrix, having the density function $f_{\mathbf{X}}(X)$. Also, let $\mathbf{W}$ be a deterministic $k\times m$ matrix of rank $k$ and ...

**1**

vote

**0**answers

63 views

### integrality of a linear program — binary equality constaints

Consider the following linear program:
$\left\{
\begin{array}{l}
\underset{x}{max} \;\;c^Tx\\
[I, \;B]x = \mathbf{1}\\
x\geq 0
\end{array}
\right.$
where $c$ is a vector ...

**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 ...