Given a $N×M$ random complex gaussian matrix $X$ and $N×K$ random complex gaussian matrix $Y$ I'm interested in approximating the expectation expressed as: \begin{align} E[trace({(aX{X^H} + I)^{ - 1}}Y{Y^H})] \end{align} a Is a positive given variable. I know that $XX^H$ and $YY^H$ have Wishard distribution, However. I can not approximate the problem value. Thanks!

For context, this problem relates to the quality of MIMO communication link


1 Answer 1


I assume the matrices $X$ and $Y$ are independent. Since the trace commutes with the expectation value, and since the expectation value of the product of independent random variables is the product of expectation values, we have $$ F(a)=\mathbb{E}\bigl[{\rm tr}\,\bigl({(aX{X^H} + I)^{ - 1}}Y{Y^H}\bigr)\bigr]={\rm tr}\bigl(\,\mathbb{E}[(aX{X^H} + I)^{ - 1}]\mathbb{E}[Y{Y^H}]\bigr).$$ The second factor is simply $K$ times the unit matrix, so $$F(a)=K\,{\rm tr}\,\mathbb{E}[(aX{X^H} + I)^{ - 1}].$$ We can now again exchange trace and expectation value, to rewrite this as an integral over the eigenvalues $\mu_k$ of $XX^H$, with density $\rho(\mu)$, $$F(a)=K\int \rho(\mu)(a\mu+1)^{-1}\,d\mu.$$ The density $\rho(\mu)$ is known, for large matrix size it is the Marcenko-Pastur distribution.

For the Marcenko-Pastur distribution, so for $M\geq N\gg 1$, I find $$F(a)=\frac{K}{2a} \left(\sqrt{a^2 (M-N)^2+2 a (M+N)+1}+a (N-M)-1\right).$$

  • $\begingroup$ please can I employing the same approach can I used Wishart distribution?? $\endgroup$
    – hichem hb
    May 8, 2020 at 23:48
  • 1
    $\begingroup$ I am using the Wishart distribution: firstly when I use that $\mathbb{E}[YY^H]=K$ times the identity, and secondly the Marcenko-Pastur distribution is derived from the Wishart distribution. $\endgroup$ May 9, 2020 at 6:49
  • $\begingroup$ Is the answering missing a factor of min(M, N) since the trace is the summation of all eigenvalues? $\endgroup$ Nov 1, 2021 at 23:24

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