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Carlo Beenakker
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a simple and exact answer follows if $A$ is a unitary $n\times n$ matrix; then $\tilde{v}=Av$ is a unit vector and since $u$ is a randomly oriented unit vector the distribution of the scalar product $u^HAv=(u,\tilde{v})$ does not depend on the orientation of $\tilde{v}$, so we may take it in the $x_1$ direction, hence

$$P(u^H Av)=P(u_1).$$

the distribution of a single element $u_1$ of the random unit vector $u$ follows upon integration over the other $n-1$ elements,

$$P(u_1)= \int du_2\int du_3\cdots\int du_n\;\delta\left(1-\sum_{i=1}^{n}|u_i|^2\right)={\rm constant}\times(1-|u_1|^2)^{n-2},$$

hence $\xi=|u^H Av|^2$ has the distribution

$$P(\xi)={\rm constant}\times(1-\xi)^{n-2},\;\;0<\xi<1.$$$$P(\xi)=(n-1)(1-\xi)^{n-2},\;\;0<\xi<1.$$

this is exact for any $n\geq 2$; for $n\gg 1$ the distribution becomes exponential to leading order in $1/n$,

$$P(\xi)\approx ne^{-n\xi}.$$

for non unitary $A$, the answer will depend on its singular values $a_1,a_2,\ldots a_n$; I doubt that you can find a simple closed-form expression for any $n$, but for $n\gg 1$ again an exponential distribution will appear.

To see this, define the unit vector $v'=|Av|^{-1}\,Av$ and first consider the distribution of $\xi'=|u^H v'|^2$. Here the same argument as above applies, so for $n\gg 1$ we have $P(\xi')\propto\exp(-n\xi')$. The quantity $\xi$ we want is related to $\xi'$ by $\xi=|Av|^2\xi'$. The factor $|Av|^2$ has a normal distribution in the large-$n$ limit, with a mean $$E[|Av|^2]=\frac{1}{n}{\rm Tr}\,AA^H$$ and a variance that is an order $1/n$ smaller; to leading order in $1/n$ we may therefore just equate

$$\xi\approx E[Av|^2]\xi'\Rightarrow P(\xi)\approx\frac{n^2}{{\rm Tr}\,AA^H}\exp\left(-\frac{n^2}{{\rm Tr}\,AA^H}\xi\right).$$

a simple and exact answer follows if $A$ is a unitary $n\times n$ matrix; then $\tilde{v}=Av$ is a unit vector and since $u$ is a randomly oriented unit vector the distribution of the scalar product $u^HAv=(u,\tilde{v})$ does not depend on the orientation of $\tilde{v}$, so we may take it in the $x_1$ direction, hence

$$P(u^H Av)=P(u_1).$$

the distribution of a single element $u_1$ of the random unit vector $u$ follows upon integration over the other $n-1$ elements,

$$P(u_1)= \int du_2\int du_3\cdots\int du_n\;\delta\left(1-\sum_{i=1}^{n}|u_i|^2\right)={\rm constant}\times(1-|u_1|^2)^{n-2},$$

hence $\xi=|u^H Av|^2$ has the distribution

$$P(\xi)={\rm constant}\times(1-\xi)^{n-2},\;\;0<\xi<1.$$

this is exact for any $n\geq 2$; for $n\gg 1$ the distribution becomes exponential to leading order in $1/n$,

$$P(\xi)\approx ne^{-n\xi}.$$

for non unitary $A$, the answer will depend on its singular values $a_1,a_2,\ldots a_n$; I doubt that you can find a simple closed-form expression for any $n$, but for $n\gg 1$ again an exponential distribution will appear.

To see this, define the unit vector $v'=|Av|^{-1}\,Av$ and first consider the distribution of $\xi'=|u^H v'|^2$. Here the same argument as above applies, so for $n\gg 1$ we have $P(\xi')\propto\exp(-n\xi')$. The quantity $\xi$ we want is related to $\xi'$ by $\xi=|Av|^2\xi'$. The factor $|Av|^2$ has a normal distribution in the large-$n$ limit, with a mean $$E[|Av|^2]=\frac{1}{n}{\rm Tr}\,AA^H$$ and a variance that is an order $1/n$ smaller; to leading order in $1/n$ we may therefore just equate

$$\xi\approx E[Av|^2]\xi'\Rightarrow P(\xi)\approx\frac{n^2}{{\rm Tr}\,AA^H}\exp\left(-\frac{n^2}{{\rm Tr}\,AA^H}\xi\right).$$

a simple and exact answer follows if $A$ is a unitary $n\times n$ matrix; then $\tilde{v}=Av$ is a unit vector and since $u$ is a randomly oriented unit vector the distribution of the scalar product $u^HAv=(u,\tilde{v})$ does not depend on the orientation of $\tilde{v}$, so we may take it in the $x_1$ direction, hence

$$P(u^H Av)=P(u_1).$$

the distribution of a single element $u_1$ of the random unit vector $u$ follows upon integration over the other $n-1$ elements,

$$P(u_1)= \int du_2\int du_3\cdots\int du_n\;\delta\left(1-\sum_{i=1}^{n}|u_i|^2\right)={\rm constant}\times(1-|u_1|^2)^{n-2},$$

hence $\xi=|u^H Av|^2$ has the distribution

$$P(\xi)=(n-1)(1-\xi)^{n-2},\;\;0<\xi<1.$$

this is exact for any $n\geq 2$; for $n\gg 1$ the distribution becomes exponential to leading order in $1/n$,

$$P(\xi)\approx ne^{-n\xi}.$$

for non unitary $A$, the answer will depend on its singular values $a_1,a_2,\ldots a_n$; I doubt that you can find a simple closed-form expression for any $n$, but for $n\gg 1$ again an exponential distribution will appear.

To see this, define the unit vector $v'=|Av|^{-1}\,Av$ and first consider the distribution of $\xi'=|u^H v'|^2$. Here the same argument as above applies, so for $n\gg 1$ we have $P(\xi')\propto\exp(-n\xi')$. The quantity $\xi$ we want is related to $\xi'$ by $\xi=|Av|^2\xi'$. The factor $|Av|^2$ has a normal distribution in the large-$n$ limit, with a mean $$E[|Av|^2]=\frac{1}{n}{\rm Tr}\,AA^H$$ and a variance that is an order $1/n$ smaller; to leading order in $1/n$ we may therefore just equate

$$\xi\approx E[Av|^2]\xi'\Rightarrow P(\xi)\approx\frac{n^2}{{\rm Tr}\,AA^H}\exp\left(-\frac{n^2}{{\rm Tr}\,AA^H}\xi\right).$$

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Carlo Beenakker
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a simple and exact answer follows if $A$ is a unitary $n\times n$ matrix;a unitary $n\times n$ matrix; then $\tilde{v}=Av$ is a unit vector and since $u$ is a randomly oriented unit vector the distribution of the scalar product $u^HAv=(u,\tilde{v})$ does not depend on the orientation of $\tilde{v}$, so we may take it in the $x_1$ direction, hence

$$P(u^H Av)=P(U_{11})={\rm constant}\,\times (1-|U_{11}|^2)^{n-2}$$$$P(u^H Av)=P(u_1).$$

for $n\gg 1$ (and unitary $A$) the distribution of a single element $u_1$ of the random unit vector $u$ follows upon integration over the other $n-1$ elements,

$$P(u_1)= \int du_2\int du_3\cdots\int du_n\;\delta\left(1-\sum_{i=1}^{n}|u_i|^2\right)={\rm constant}\times(1-|u_1|^2)^{n-2},$$

hence $\xi=|u^H Av|^2$ becomes exponentialhas the distribution

$$P(\xi)=ne^{-n\xi}\;{\rm for}\;\; n\gg 1$$$$P(\xi)={\rm constant}\times(1-\xi)^{n-2},\;\;0<\xi<1.$$

this is exact for non unitaryany $A$$n\geq 2$; for $n\gg 1$ the distribution becomes exponential to leading order in $1/n$,

$$P(\xi)\approx ne^{-n\xi}.$$

for non unitary $A$, the answer will depend on its singular values $a_1,a_2,\ldots a_n$; I doubt that you can find a simple closed-form expression for any $n$, but for $n\gg 1$ I would think the sameagain an exponential distribution will appear.

To see this, withdefine the unit vector $n$ replaced$v'=|Av|^{-1}\,Av$ and first consider the distribution of $\xi'=|u^H v'|^2$. Here the same argument as above applies, so for $n\gg 1$ we have $P(\xi')\propto\exp(-n\xi')$. The quantity $\xi$ we want is related to $\xi'$ by $\sum_{i=1}^n a_i^2={\rm Tr}\,AA^H$$\xi=|Av|^2\xi'$. The factor $|Av|^2$ has a normal distribution in the large-$n$ limit, with a mean $$E[|Av|^2]=\frac{1}{n}{\rm Tr}\,AA^H$$ and a variance that is an order $1/n$ smaller; to leading order in $1/n$ we may therefore just equate

$$\xi\approx E[Av|^2]\xi'\Rightarrow P(\xi)\approx\frac{n^2}{{\rm Tr}\,AA^H}\exp\left(-\frac{n^2}{{\rm Tr}\,AA^H}\xi\right).$$

a simple and exact answer follows if $A$ is a unitary $n\times n$ matrix; then

$$P(u^H Av)=P(U_{11})={\rm constant}\,\times (1-|U_{11}|^2)^{n-2}$$

for $n\gg 1$ (and unitary $A$) the distribution of $\xi=|u^H Av|^2$ becomes exponential

$$P(\xi)=ne^{-n\xi}\;{\rm for}\;\; n\gg 1$$

for non unitary $A$, the answer will depend on its singular values $a_1,a_2,\ldots a_n$; I doubt that you can find a simple closed-form expression for any $n$, but for $n\gg 1$ I would think the same exponential distribution will appear, with $n$ replaced by $\sum_{i=1}^n a_i^2={\rm Tr}\,AA^H$.

a simple and exact answer follows if $A$ is a unitary $n\times n$ matrix; then $\tilde{v}=Av$ is a unit vector and since $u$ is a randomly oriented unit vector the distribution of the scalar product $u^HAv=(u,\tilde{v})$ does not depend on the orientation of $\tilde{v}$, so we may take it in the $x_1$ direction, hence

$$P(u^H Av)=P(u_1).$$

the distribution of a single element $u_1$ of the random unit vector $u$ follows upon integration over the other $n-1$ elements,

$$P(u_1)= \int du_2\int du_3\cdots\int du_n\;\delta\left(1-\sum_{i=1}^{n}|u_i|^2\right)={\rm constant}\times(1-|u_1|^2)^{n-2},$$

hence $\xi=|u^H Av|^2$ has the distribution

$$P(\xi)={\rm constant}\times(1-\xi)^{n-2},\;\;0<\xi<1.$$

this is exact for any $n\geq 2$; for $n\gg 1$ the distribution becomes exponential to leading order in $1/n$,

$$P(\xi)\approx ne^{-n\xi}.$$

for non unitary $A$, the answer will depend on its singular values $a_1,a_2,\ldots a_n$; I doubt that you can find a simple closed-form expression for any $n$, but for $n\gg 1$ again an exponential distribution will appear.

To see this, define the unit vector $v'=|Av|^{-1}\,Av$ and first consider the distribution of $\xi'=|u^H v'|^2$. Here the same argument as above applies, so for $n\gg 1$ we have $P(\xi')\propto\exp(-n\xi')$. The quantity $\xi$ we want is related to $\xi'$ by $\xi=|Av|^2\xi'$. The factor $|Av|^2$ has a normal distribution in the large-$n$ limit, with a mean $$E[|Av|^2]=\frac{1}{n}{\rm Tr}\,AA^H$$ and a variance that is an order $1/n$ smaller; to leading order in $1/n$ we may therefore just equate

$$\xi\approx E[Av|^2]\xi'\Rightarrow P(\xi)\approx\frac{n^2}{{\rm Tr}\,AA^H}\exp\left(-\frac{n^2}{{\rm Tr}\,AA^H}\xi\right).$$

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Carlo Beenakker
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a simple and exact answer follows if $A$ is a unitary $n\times n$ matrix; then

$$P(u^H Av)=P(U_{11})={\rm constant}\,\times (1-|U_{11}|^2)^{n-2}$$

for $n\gg 1$ (and unitary $A$) the distribution of $\xi=|u^H Av|^2$ becomes exponential

$$P(\xi)=ne^{-n\xi}\;{\rm for}\;\; n\gg 1$$

for non unitary $A$, the answer will depend on its singular values $a_1,a_2,\ldots a_n$; I doubt that you can find a simple closed-form expression for any $n$, but for $n\gg 1$ I would think the same exponential distribution will appear, with $n$ replaced by $\sum_{i=1}^n a_i^2$$\sum_{i=1}^n a_i^2={\rm Tr}\,AA^H$.

a simple and exact answer follows if $A$ is a unitary $n\times n$ matrix; then

$$P(u^H Av)=P(U_{11})={\rm constant}\,\times (1-|U_{11}|^2)^{n-2}$$

for $n\gg 1$ (and unitary $A$) the distribution of $\xi=|u^H Av|^2$ becomes exponential

$$P(\xi)=ne^{-n\xi}\;{\rm for}\;\; n\gg 1$$

for non unitary $A$, the answer will depend on its singular values $a_1,a_2,\ldots a_n$; I doubt that you can find a simple closed-form expression for any $n$, but for $n\gg 1$ I would think the same exponential distribution will appear, with $n$ replaced by $\sum_{i=1}^n a_i^2$.

a simple and exact answer follows if $A$ is a unitary $n\times n$ matrix; then

$$P(u^H Av)=P(U_{11})={\rm constant}\,\times (1-|U_{11}|^2)^{n-2}$$

for $n\gg 1$ (and unitary $A$) the distribution of $\xi=|u^H Av|^2$ becomes exponential

$$P(\xi)=ne^{-n\xi}\;{\rm for}\;\; n\gg 1$$

for non unitary $A$, the answer will depend on its singular values $a_1,a_2,\ldots a_n$; I doubt that you can find a simple closed-form expression for any $n$, but for $n\gg 1$ I would think the same exponential distribution will appear, with $n$ replaced by $\sum_{i=1}^n a_i^2={\rm Tr}\,AA^H$.

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Carlo Beenakker
  • 188.1k
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  • 448
  • 651
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Carlo Beenakker
  • 188.1k
  • 18
  • 448
  • 651
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