Statistics of spectral properties of matrix-valued random variables.

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23
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2k views

When should we expect Tracy-Widom?

The Tracy-Widom law describes, among other things, the fluctuations of maximal eigenvalues of many random large matrix models. Because of its universal character, it obtained his position on the ...
21
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0answers
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
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910 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
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505 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
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0answers
305 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
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0answers
296 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
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321 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
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0answers
188 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
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423 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
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357 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
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289 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
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107 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
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258 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
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74 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
0answers
187 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
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0answers
145 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
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183 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
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68 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
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270 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
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0answers
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
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0answers
242 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
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208 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
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0answers
59 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
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156 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
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0answers
181 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
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211 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
0answers
346 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 ...
3
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0answers
246 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
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0answers
53 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
0answers
79 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
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87 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
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79 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
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0answers
81 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
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0answers
102 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
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0answers
99 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
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0answers
194 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
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0answers
66 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
0answers
150 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
0answers
1k 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
0answers
200 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 ...
2
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0answers
116 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
0answers
125 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
0answers
497 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 ...
1
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30 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 ...
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40 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 ...
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47 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 ...
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0answers
121 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 ...
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0answers
52 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 ...
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0answers
33 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 ...
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29 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 ...