Statistics of spectral properties of matrix-valued random variables.

**30**

votes

**2**answers

2k 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 $p_n=...

**30**

votes

**1**answer

3k views

### Anti-concentration bound for permanents of Gaussian matrices?

In a recent paper with Alex Arkhipov on "The Computational Complexity of Linear Optics," we needed to assume a reasonable-sounding probabilistic conjecture: namely, that the permanent of a matrix of i....

**26**

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 ...

**25**

votes

**1**answer

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**

votes

**1**answer

1k views

### Unexpected $\sqrt{3}$

A somewhat lengthy calculation, involving integrals, reveals that the probability an $n\times n$ Hermitian matrix, drawn from the Gaussian unitary ensemble, is positive definite, decays as $\left(\...

**20**

votes

**2**answers

811 views

### Laws of Iterated Logarithm for Random Matrices and Random Permutation

The law of iterated logarithm asserts that if $x_1,x_2,\dots$ are i.i.d $\cal N(0,1)$ random variables and $S_n=x_1+x_2+\cdots+x_n$, then
$$\limsup_{n \to \infty} S_n/\sqrt {n \log \log n} = \sqrt 2, ...

**18**

votes

**1**answer

1k views

### Smallest eigenvalue of a tricky random matrix

While experimenting with positive-definite functions, I was led to the following:
Let $n$ be a positive integer, and let $x_1,\ldots,x_n$ be sampled from a zero-mean, unit variance gaussian. Consider ...

**18**

votes

**0**answers

1k 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 ...

**17**

votes

**5**answers

1k views

### Moments of the trace of orthogonal matrices

Let $O_n$ be the (real) orthogonal group of $n$ by $n$ matrices.
I am interested in the following sequence which showed up in a calculation I was doing
$$a_k = \int_{O_n} (\text{Tr } X)^k dX$$
where ...

**17**

votes

**2**answers

467 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 ...

**16**

votes

**4**answers

509 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 ...

**16**

votes

**0**answers

559 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

**7**answers

6k views

### Expected determinant of a random NxN matrix.

What is the expected value of the determinant over the uniform distribution of all possible 1-0 NxN matrices? What does this expected value tend to as the matrix size N approaches infinity?

**15**

votes

**0**answers

341 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 ...

**14**

votes

**1**answer

867 views

### A Question on Random Matrices

Consider the following $n\times n$ random matrix $V_{n}$ where the $(p,q)$ entry is given by
$$
V_{n}(p,q):= \frac{1}{\sqrt{n}}\exp(2\pi i(p-1) x_{q})
$$
where $x_{1},x_{2},\ldots,x_{n}$ are iid ...

**13**

votes

**4**answers

1k views

### An experiment on random matrices

A bit unsure if my use/mention of proprietary software might be inappropriate or even frowned upon here. If this is the case, or if this kind of experimental question is not welcome, please let me ...

**13**

votes

**1**answer

744 views

### Probability a random Toeplitz matrix is singular

Consider Toeplitz matrices where the entries in the first row and column (which define the whole matrix) are independently chosen to be either $1$ or $0$ with probability $1/2$. Define $p_n$ to be the ...

**13**

votes

**0**answers

349 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 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 is ...

**12**

votes

**2**answers

1k views

### What do we actually know about logarithmic energy ?

In potential theory, the $\textit{logarithmic energy}$ of a Radon measure $\mu$ acting on $\mathbb{C}$ is defined by
$$I(\mu)=\iint\log\frac{1}{|x-y|}\mu(dx)\mu(dy).$$ Of course it is not well ...

**12**

votes

**1**answer

311 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 ...

**12**

votes

**0**answers

446 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

**4**answers

894 views

### Why only three classical matrix ensembles in RMT? (Newbie question)

I am just starting out on understanding random matrix theory from a background in applied mathematics. I have a very basic question about the Gaussian ensembles: why are there only three classical ...

**11**

votes

**2**answers

938 views

### Evaluation of a combinatorial sum (that comes from random matrices)

I'm looking for an elementary combinatorial/generating function/etc proof of the following result:
For nonnegative integers $r$,
$$\frac{1}{r!} = \sum_{p_0+p_1+\cdots = r} \frac{1}{(p_0!)^2(p_1!)^2\...

**11**

votes

**1**answer

420 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 ...

**11**

votes

**0**answers

219 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 ...

**11**

votes

**0**answers

333 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 B_{i}}{x_j}\quad\text{...

**10**

votes

**1**answer

733 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 ...

**10**

votes

**1**answer

397 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 ...

**10**

votes

**1**answer

2k views

### What is known about the distribution of eigenvectors of random matrices?

Let $A$ be a real asymmetric $n \times n$ matrix with i.i.d. random, zero-mean elements. What results, if any, are there for the eigenvectors of $A$? In particular:
How are individual eigenvectors ...

**10**

votes

**3**answers

1k views

### Random Walks and Lyapunov exponents

Given a sequence $Y_1, Y_2, \dots$ of i.i.d. matrices in $GL_n(\mathbb R)$, there is a theorem of Furstenberg and Kesten which says that if $\mathbb E(\log||Y_1||)$ is finite, there exists a constant $...

**10**

votes

**1**answer

381 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 ...

**9**

votes

**2**answers

1k 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 ...

**9**

votes

**2**answers

832 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 ...

**9**

votes

**2**answers

227 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 ...

**9**

votes

**1**answer

320 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 ...

**9**

votes

**1**answer

606 views

### Average over Random Permutations

Consider $S_{n}$ the symmetric group and for each $\sigma\in S_{n}$ let $U_{\sigma}$ be its $n\times n$ permutation matrix. Let $A$ be an Hermitian $n\times n$ matrix. I'm interested in computing the ...

**9**

votes

**2**answers

1k 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 ...

**9**

votes

**1**answer

689 views

### U(3) Sato-Tate measure.

An undergraduate is performing some computations, related to a Sato-Tate conjecture of $U(3)$ type (a curve over $Q$, for which the roots of local L-functions look like eigenvalues of a random matrix ...

**9**

votes

**3**answers

851 views

### A conjecture about the entropy of matrix vector products

Consider a random $m$ by $n$ partial circulant matrix $M$ whose entries are chosen independently and uniformly from $\{0,1\}$ and let $m < n$. Now consider a random $n$ dimensional vector $v$ ...

**9**

votes

**0**answers

382 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

**6**answers

4k views

### Intuition for Haar measure of random matrix

What is an intuitive way to understand Haar measure as defined for random matrices, say, $N\times N$ orthogonal or unitary matrices?
My understanding for what Haar measure means for $U(1)$ is that it ...

**8**

votes

**3**answers

904 views

### Singularity of sparse random matrices

The following topic came up in conversation with my office-mate Lionel: Let $p$ be a fixed prime, $c$ a fixed positive real parameter and $n$ a large number. Consider a random $(0,1)$ matrix with ...

**8**

votes

**2**answers

1k views

### Statistics for Haar measure of random matrices?

Let's say I have $M$ samples of $N\times N$ real orthogonal matrices. What statistics can I calculate to test if they could have been drawn from a distribution consistent with Haar measure over $O(N)$?...

**8**

votes

**1**answer

1k views

### Matrix inversion lemma with pseudoinverses

The utility of the Matrix Inversion Lemma has been well-exploited for several questions on MO. Thus, with some positive hope, I'd like to field a question of my own.
Suppose we pick $n$ values $x_1,\...

**8**

votes

**1**answer

129 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 ...

**8**

votes

**1**answer

305 views

### Riemann zeta function: pair correlations vs. neighbor spacings

Montgomery's pair correlation conjecture states that the distribution of the pair correlations of the zeroes of the Riemann zeta function (normalized to have average spacing 1) is given by the ...

**8**

votes

**1**answer

430 views

### How to calculate expected value of matrix norms of $A^TA$?

Let $A$ be a random $m$ by $n$ rectangular sign matrix, chosen uniformly at random, with $m < n$. Let $B = A^T A$. We know, for example, that $B$ is a square and symmetric $n$ by $n$ matrix with ...

**8**

votes

**1**answer

269 views

### Concentration of sum of powers of normals

Let $Z_1,Z_2,\ldots,Z_n$ be i.i.d. copies of a random variable $Z$ distributed as $\frac{1}{\sqrt{2}}X+i\frac{1}{\sqrt{2}}Y$ with $X$ and $Y$ independent standard Normal random variables i.e.~$X\sim\...

**8**

votes

**1**answer

423 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 ...

**8**

votes

**1**answer

729 views

### Matrix integral identity

1) How to prove that $N\times N$ matrix integral over complex matrices $Z$
$$
\int d Z d Z^\dagger e^{-Tr Z Z^\dagger} \frac{x_1\det e^Z -x_2 \det e^{AZ^\dagger}}{\det(1-x_1e^Z)\det(1-x_2e^{AZ^\dagger}...