All Questions
Tagged with linear-algebra random-matrices
154 questions
3
votes
0
answers
57
views
Maximizing a Gaussian quadratic form
Let $u$ denote a fixed unit vector in $\mathbb{R}^n$ and $g$ a standard Gaussian vector (in $\mathbb{R}^n$).
Consider the map
$$
f_n(X) = \mathbb{E} \langle (X^{-1} + gg^T)^{-1} u, u\rangle,
$$
...
- 410
1
vote
0
answers
40
views
Asymptotic unitary invariance of rank-one spiked Gaussian matrix
I'm working on some Random Matrix Theory related stuff for my thesis, and i've come across the following problem:
Consider a (normalized) spiked Wigner matrix $\mathbf{A}$
$$ \mathbf{A} = \frac{\beta}{...
- 11
1
vote
1
answer
99
views
Maximum column norm of random $A^{-1}B$
Suppose that $A$ is an $n$ by $n$ Gaussian matrix (each component i.i.d. normal distributed with mean 0 and variance 1). Let $b$ be a $n$-Gaussian vector. Then it could be easily proven that the ...
- 33
1
vote
2
answers
66
views
Distribution of the constraint matrix conditioned on the solution of the linear system
Suppose that A is a random matrix in $R^{n\times n}$, with each component independently and identically distributed (iid) according to $\mathcal{N}(0,1)$. Additionally, b is a random vector in $R^n$, ...
- 33
3
votes
2
answers
215
views
Is there a closed-form solution for $\max_D \operatorname{Tr}(ADBD)$
Is there a closed-form solution for
$$\max_D \operatorname{Tr}(ADBD)$$
where $D$ is a $N\times N$ diagonal matrix with $m<N$ number of $1$'s and the rest are $0$'s, and $A$ and $B$ are real ...
- 433
7
votes
2
answers
347
views
Matrices over $\mathbb{F}_p$ that have nonzero determinant under any element permutation
$\DeclareMathOperator\GL{GL}$A few months ago, the following discussion took place on AoPS, concerning matrices that have nonzero determinant under any permutation of their entries: https://...
- 541
1
vote
0
answers
54
views
Controlling quantity related to Laplacian pseudo-inverse of Erdős–Rényi graph
Consider an $n$-node undirected graph $G = (V, E)$ equipped with weights $W$. Let $L$ be the weighted graph Laplacian matrix, i.e. $L_{ij} = -W_{(i,j)}$ for $(i,j)\in E$ and $L_{ii} = \sum_{j:(i,j)\in ...
- 11
8
votes
0
answers
170
views
Random walk on matrix until singularity
Consider a random walk on matrices, where one starts with the matrix $M=I_n$ and at each step randomly chooses an entry of $M$ to increase by $1$.
I’m interested in two things about this walk:
What’s ...
- 541
2
votes
0
answers
269
views
Singular values of Kronecker product of random matrices
I'm looking for a way to evaluate $\mathbb{E} \| (\mathbf{X} \mathbf{Q})^+ \|$ for a random matrix $\mathbf{X} \in \mathbb{R}^{r \times n}$ and a (fixed) matrix $\mathbf{Q} \in \mathbb{R}^{n \times \...
- 121
2
votes
2
answers
215
views
How to analyze the value of convergence of functions of random matrices?
Consider a random i.i.d matrix $\mathbf{A}_{m\times n}$ with entries generated from a complex Gaussian distribution with zero mean and unit variance. I am interested in the large dimension analysis of ...
- 287
3
votes
0
answers
130
views
The probability that the dominant eigenvalue of a random real matrix is real
Let $X_n$ be an $n\times n$ real matrix where the entries in $X_n$ are independent, normally distributed, have mean $0$, and variance $1$. Suppose that $\lambda_1,\dots,\lambda_n$ are the eigenvalues ...
6
votes
0
answers
279
views
Estimating $E[\operatorname{Tr}(ABABBA..)]$ for random shuffling of $A,B$?
How can I estimate the following value where $A,B$ are $d\times d$ matrices and expectation is taken over all random permutations of the product?
$$E_\text{shuffle}[\operatorname{Tr}\underbrace{AA\...
- 2,442
1
vote
0
answers
66
views
CLT of the left singular vectors of i.i.d. data matrix
Let $\mathbf{X}$ be $(n \times p)$-dimensional random matrix ($n > p$) whose rows $\mathbf{x}_i$ are i.i.d. with some finite moments:
$$
\mathbf{X}^\top = [\mathbf{x}_1, \ldots \mathbf{x}_n]^\...
- 284
-1
votes
1
answer
68
views
Bound for an expectation of random matrix with quantized random variable
Let random matrix $\mathbf{X} \in \mathbb{C^{\mathrm{m} \times \mathrm{n}}}$ and random vector $\mathbf{y} \in \mathbb{C^{\mathrm{m} \times 1}}$ are unknown distributed, but their covariance and ...
- 25
1
vote
1
answer
165
views
Bound for expectation of random matrix
Let random matrix $\mathbf{X} \in \mathbb{C^{\mathrm{m} \times \mathrm{n}}}$ and random vector $\mathbf{y} \in \mathbb{C^{\mathrm{m} \times 1}}$ are unknown distributed, but their covariance and ...
- 25
1
vote
1
answer
84
views
Asymptotic property of the left singular vectors of i.i.d. data matrix
Let $\mathbf{X}$ be $(n \times p)$-dimensional data matrix ($n > p$) whose rows $\mathbf{x}_i$ are i.i.d. with some finite moments:
$$
\mathbf{X}^\top = [\mathbf{x}_1, \ldots \mathbf{x}_n]^\top.
...
- 284
2
votes
1
answer
68
views
Generating a random matrix with large spark (i.e., each $k$-tuple of columns is linearly independent)
Let $F$ be a field, and let $m, n, k$ be positive integers. Is there an efficient algorithm to compute a uniformly random $m \times n$ matrix $A$ over $k$ such that each $k$-tuple of columns of $A$ is ...
- 21
2
votes
1
answer
95
views
Deviation of random matrix from its expectation informs the positiveness of its second smallest eigenvalue
Let $A$ be a PSD random matrix, which has $0$ as one of its eigenvalues. The second smallest eigenvalue of the expectation of $A$ writes as $\lambda_2(\mathbb{E}(A))>0$.
Why the following statement ...
- 405
4
votes
0
answers
989
views
Lower bound minimum eigenvalue of a positive semi-definite Hermitian matrix with bounded entries
Let $M \in \mathbb{C}^{n \times n}$ be a matrix with the following properties:
$M$ is Hermitian and positive semi-definite (all the eigenvalues are real and nonnegative).
The diagonal entries of $M$ ...
- 41
8
votes
0
answers
232
views
Decay of orthogonal contributions in a random set of vectors
Suppose we sample $k$ vectors $v$ from normal distribution centered at zero and diagonal covariance with diagonal entries $1,\frac{1}{2},\ldots,\frac{1}{d}$ and normalize $v$:
$$\frac{v_1}{\|v_1\|},\...
- 2,442
1
vote
1
answer
180
views
Singular values of a Gaussian random times deterministic diagonal matrix
Suppose $S$ is a tall-and-skinny $m \times n$ matrix with iid Gaussian entries and $D$ is a $m \times m$ deterministic diagonal matrix. What can be said about the bounds on the largest and smallest ...
- 11
2
votes
0
answers
96
views
Smallest eigenvalue separation in the Gaussian ensemble of random matrices
This question is motivated by Guido Li's question Expected minimal distance of eigenvalues, which concerns the sum of a deterministic matrix and a Gaussian random matrix. The deformation of the ...
- 188k
2
votes
1
answer
244
views
Expected minimal distance of eigenvalues
Let $A$ be an arbitrary symmetric matrix and $B$ be a random GUE matrix. I would like to know. Are there any results on the minimal eigenvalue distance between two distinct eigenvalues of $A+B$? I ...
- 73
16
votes
3
answers
2k
views
Why is the set of Hermitian matrices with repeated eigenvalue of measure zero?
The Hermitian matrices form a real vector space where we have a Lebesgue measure. In the set of Hermitian matrices with Lebesgue measure, how does it follow that the set of Hermitian matrices with ...
- 73
7
votes
2
answers
1k
views
Why is the spectrum of Erdős–Renyi random graph approximately symmetric?
I am recently self-learning random matrix theory and made some simulations about the spectrum of Erdős–Renyi random graph $G(n,p)$ when $np\to\infty$,
and $np\to c=2,3$.
The plots above are already ...
- 715
1
vote
0
answers
109
views
Relation between the dimension of vector spaces and dimension of the space [closed]
Let $A \in \mathrm{GL}(d, \mathbb{R})$ be an irreducible matrix. Assume that $\{V_{n}\}_{n\in \mathbb{N}}$ is a non-zero proper subspace $\mathbb{R}^d$ with dimension $t<d,$ such that $AV_{n}=V_{n+...
- 133
1
vote
1
answer
160
views
Estimates of product of eigenvalues gaps for Wigner matrices
Let $W_n$ be an $n\times n$ Wigner matrix$^{1}$, and let $\lambda_1\le \lambda_2\le \cdots \le \lambda_n$ be the eigenvalues of $\frac{W_n}{\sqrt{n}}$.
My question. For any fixed $i\in\{1,\dots,n\}$, ...
- 2,712
3
votes
1
answer
843
views
Top singular value of large random matrices: concentration results
Let $A$ be a $n\times m$ random matrix, whose elements $a_{ij}$ are independent standard Gaussian random variables.
I am interested in the case $n=\alpha N\,$, $\,m=(1-\alpha)N$ for $\alpha\in(0,1)$ ...
- 311
4
votes
1
answer
227
views
Limiting eigenvalue distribution of $(I-A)^T(I-A)$
Let $A\in\mathbb R^{n\times n}$ be a random Gaussian matrix with i.i.d entries from $\mathcal N (0, \frac{a}{\sqrt{n}})$. By Marchenko-Pastur we know the limiting distribution of the eigenvalue of $A^...
- 133
2
votes
0
answers
132
views
Limiting PDF of the eigenvalue of random Gaussian matrix
It has been proven that the CDF of the eigenvalue distribution of random Gaussian matrix converges to a uniform disk circular law. Is it true for the PDF of the limiting eigenvalue distribution? In ...
- 133
1
vote
0
answers
90
views
How to prove that $\|A^tv\|_2 \leq \|Av\|_2^t$ for every $0<t<1$? [closed]
Consider a unit norm $\|V\|_2=1$ and a symmetric matrix $A$.
I wish to prove that $\|A^tv\|_2 \leq \|Av\|_2^t$ for every $0<t<1$.
My belief is that this is true is motivated by empirical ...
- 11
1
vote
1
answer
207
views
Johnson-Lindenstrauss with Orthogonalization
I have been looking at constructions satisfying the Johnson-Lindenstrauss Lemma (e.g., projections onto random subspaces, random Gaussian matrices, random Rademacher matrices, etc.). It seems that ...
- 269
1
vote
0
answers
265
views
Independence of random projection and orthogonal projection
Suppose we have three fixed unit vectors $x, y, z \in \mathbb{R}^d$ and an (arbitrary) distribution over random matrices $M \in \mathbb{R}^{k \times d}$: let $P_M = M^T(MM^T)^{-1}M$ and $P^{\perp}_M = ...
- 269
1
vote
1
answer
126
views
Probabilistic lower and upper-bounds for a certain random quartic form involving gaussian random matrices
Let $d,m \to \infty$ (integers) with $m/d \to \rho \in (0, \infty)$. Let $C$ be a $d \times d$ psd matrix with $trace(C)=\mathcal O(1)$, and let $w_1,\ldots,w_m$ be iid uniformly distributed on the ...
- 6,853
4
votes
1
answer
269
views
Subspaces with all vectors having large $\|x\|_{\infty}/\|x\|_2$ value
I am able to show that any $k$-dimensional subspace of $\mathbf{R}^{Ck\log(k)}$ must contain a unit vector $x$ such that $\|x\|_{\infty} \ge c\sqrt{1/\log(k)}$ for a small enough constant $c$.
But is ...
2
votes
1
answer
180
views
Random sequence with positive Lyapunov exponent?
Consider the following self-adjoint matrix
$A_X = \begin{pmatrix} 0 & -i \\ i & X \end{pmatrix},$ where $i$ is the imaginary unit and $X$ is a uniformly distributed random variable on some ...
- 192
2
votes
1
answer
236
views
How can I prove a randomly generated matrix has distinct non-zero eigenvalues?
Consider the following $M×M$ matrix
$$
\mathbf A=\sum_{k=1}^K =a_k \mathbf h_k \mathbf h_k^H,(M≥K)
$$
where $a_k$'s are real values and $h_k$'s are $M×1$ randomly generated vectors, e.g., complex ...
- 31
2
votes
1
answer
230
views
Eigenvalues of large symmetric random tensors
I am studying the eigenvalues of large random tensors and realise that very little is known about it. I was wondering what is already known and what could be potential leads to find their limiting ...
- 117
3
votes
1
answer
844
views
Concentration inequality for the sample covariance matrix
I'd like to know if there is a concentration inequality for the sample covariance matrix that don't assume the knowledge of the true mean.
Background.
Given a probability distribution $\mu$ on $\...
- 903
3
votes
0
answers
225
views
Eigenvalues of Hadamard product of two Wishart-type matrices
Given two independent Gaussian matrices with i.i.d. entries: $A\in\mathbb{R}^{n\times p}$ and $B\in\mathbb{R}^{n\times q}$, where and $A_{i,j},B_{i,j}\sim\mathcal{N}(0,1)$. Assume that $\max(p,q)<n....
- 31
1
vote
1
answer
295
views
How to compute the first moment of the distribution of the convolution of Marcenko-Pastur law with a not iid matrix?
Let $\mathbf{F}$ denote an M × N matrix whose entries are independent zero-mean complex random variables, the limiting eigenvalue distribution is given by the Marchenko Pastur law $MP_{\beta}$, where $...
- 77
2
votes
2
answers
584
views
Can the eigenvalues of a real symmetric tensor be complex?
Let $T$ be a fully symmetric tensor of rank $3$ and size $N$.
Using the following definition of eigenvalues, let $x\in \mathbb{C}^N$ and $\lambda\in\mathbb{C}$ such that:
\begin{equation}
\sum_{jk}^...
- 117
4
votes
1
answer
662
views
Spectrum of sum of weighted Wishart matrices
This is a repost from mathstackexchange, as I think asking this question is more appropriate here.
Coming from statistical physics, I am interested in the (real) spectrum of the following sum, and ...
- 41
8
votes
1
answer
746
views
Counting eigenvalues without diagonalizing a matrix
Today's arXiv has a paper by Pierpaolo Vivo, Index of a matrix, complex logarithms, and multidimensional Fresnel integrals, which asks the question whether it is possible to calculate the number $N(\...
- 188k
0
votes
0
answers
92
views
Linear independence of Wishart matrices
Let $W\sim W_n(I,d)$ be a real Wishart matrix of an identity covariance matrix and $d$ degrees of freedom, i.e., $W=XX^T$ for $X$ being an $n\times d$ matrix whose entries are i.i.d sampled from a ...
- 123
3
votes
0
answers
58
views
Projection onto column space perturbed by Gaussian noise
Suppose we have a matrix $X\in\mathbb{R}^{m\times n}$ (with $n \le m$) with iid standard Gaussian entries, and suppose we have noise matrix $W\in\mathbb{R}^{m\times n}$ with iid Gaussian entries, but ...
- 141
2
votes
1
answer
904
views
Diagonalizability of Gaussian random matrices
Let $X$ be an $n\times n$ matrix whose elements are i.i.d. sampled from a normal distribution of zero mean and unit variance. Is $X$ diagonalizable over $\mathbb{C}$ with probability 1? Is there a ...
- 123
1
vote
1
answer
52
views
Reference Request: Randomly Generated Contraction
Let $n_1>n_2\geq 1$ be integers. Are there a known algorithms for generating $n_2\times n_1$-dimensional random matrices $A$ such that
$$
\|Ax - Ay\|<\|x-y\| \mbox{ if $x\neq y$}?
$$
- 5,405
1
vote
2
answers
922
views
Eigenvectors of random unitary matrices
Any unitary matrix $U$ can be diagonalized by another unitary matrix $V$,
$$U=VDV^\dagger,$$
where $D={\rm diag}(z_1,z_2,...,z_N)$ is diagonal.
If $U$ is taken at random uniformly with respect to Haar ...
- 1,549
0
votes
0
answers
45
views
On full rank submatrices of a construction
Take two matrices $T_1$ and $T_2$ in $\mathbb Z^{n\times n}$ with entries uniformly in $[-b,b]\cap\mathbb Z$ at some $b>0$. The matrices will be of rank $n$ each with probability at least $1-\frac1{...
- 1,826