All Questions
50 questions
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vote
0
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80
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Moments from characteristic function for matrices
When $x$ is a random variable with the smooth characteristic function $\phi_x(t) = \mathbb{E}e^{itx}$, we can easily compute the moments as $\mathbb{E}[x^k] = i^{-n}\phi_x^{(n)}(0)$. There is no magic ...
CommunityBot
- 1
3
votes
2
answers
2k
views
Expected value of the largest singular value of a random matrix with entries in $N (0,1)$
Given a matrix $A \in \mathbb R^{n \times n}$ whose entries are i.i.d. $N(0,1)$, what is the expected value of its largest singular value? Equivalently, what is the expected value of the largest ...
- 2,252
2
votes
1
answer
81
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Distribution of scaled Johnson-Lindenstrauss transforms
Suppose that $\mathcal{D}$ is a Johnson-Lindenstrauss (JL) distribution on $\mathbb{R}^{r\times n}$ ($1 \le r \le n$), meaning that there exist constants $\epsilon, \delta \in(0,1)$ such that
$$
\...
- 128k
4
votes
1
answer
3k
views
Approximating the expectation of a matrix inverse
Let
$$R := A \Lambda^{-1} A^H + \frac{1}{\gamma} I_n$$
where $A$ is a given $n \times m$ matrix (where $m \gg n$),
$$\Lambda := \mbox{diag} \big( \lambda_1, \lambda_2, \dots, \lambda_m \big)$$
...
2
votes
1
answer
231
views
Trace inverse of random PSD matrix?
Consider a random matrix $A \in \mathbb{R}^{m\times n}$ with i.i.d. entries, with mean zero and variance 1 and $m <n $. I am interested in the expectation of $$E_{A}(\mathrm{Tr}( (A^T A + \lambda \...
- 188k
2
votes
0
answers
106
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The distribution of eigenvalues of linear combinations of random unitary matrices
Suppose that $\alpha_{1},\dots,\alpha_{r}$ are non-zero complex numbers. Let $U_{1},\dots,U_{r}$ be random $n\times n$-unitary matrices. Let $A=\alpha_{1}U_{1}+\dots+\alpha_{r}U_{r}$.
I have observed ...
27
votes
3
answers
13k
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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 ...
- 101
2
votes
0
answers
95
views
Maximum volume submatrices of a Khatri-Rao product of matrix exponentials
My question requires quite a bit of setup, which leads to a conjecture. So I split my question into three parts, Setup, Conjecture, and Question.
Setup:
Pick any two right stochastic matrices $\...
- 237
2
votes
1
answer
236
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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 ...
- 52.3k
1
vote
0
answers
225
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Distribution and expectation of inverse of a random Bernoulli matrix
This question cropped up as a part of my research. Let us assume a $n\times n$ random matrix $\mathbf{M}$ with elements iid distributed to a Bernoulli distribution that takes values $\{0,1\}$ with ...
- 63.9k
2
votes
1
answer
265
views
Limit law of eigenvalue of random matrix with mean different to 0
If $X$ denotes a $m \times n$ random matrix whose entries are independent identically distributed random variables with mean $\mu$ and $\sigma^2 < \infty$, let
$$Y = X X^T$$
with $X^T$ the ...
- 63.9k
0
votes
0
answers
45
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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{...
CommunityBot
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0
votes
0
answers
47
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"Probability" for a partitioned matrix to be singular
Let $A,B\in\mathbb{R}^{n\times n}$ be two nonsingular matrices with $A\ne B$, and consider the following partitioned matrix
$$
M:=\begin{bmatrix}AA^\top + BB^\top & A^\top \Delta_1 A + B^\top \...
- 2,712
2
votes
0
answers
458
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Random variable matrix exponential
I am trying to find out the distribution of a matrix exponential which is a function of a random variable. My mathematics background is very limited and I hope I can receive some help from here.
What ...
1
vote
1
answer
218
views
Is there a bound on the norm of the product of second moment matrix with random vector?
Let $X_1,\dots,X_n$ be vectors in $\mathbb{R^d}$. Assume all of the vectors are inside the unite $\ell_2$ ball, but outside the ball of radius $r$ for some $r \in (0,1)$, i.e. $r \leq \|X_i\| \leq 1$ ....
- 128k
2
votes
1
answer
280
views
Properties of eigenvalues and eigenvectors of a particular random matrix
Let $\mathbf{A}$ be a given $n \times m$ matrix with positive entries, and $\mathbf{B}_{n\times m}$ be a random i.i.d complex Gaussian matrix with unit variance. Assume that $\mathbf{C}$ is the ...
- 96.4k
1
vote
1
answer
684
views
Probability that random Bernoulli matrix is full rank
This is probably known already, but I could not find a quick argument.
Let $M$ be an $n\times m$ binary matrix with iid Bernoulli$(1/2)$ entries, and $n>m$. Tikhomirov recently settled that the ...
- 1,096
7
votes
1
answer
857
views
Trace of inverse of random positive-definite matrix in high dimension?
Consider a random matrix $A \in \mathbb{R}^{n\times n}$ with i.i.d. entries, with symmetric law and finite variance. I am curious about the behavior of $$\mathrm{Tr}( (A^T A + \lambda \mathrm{Id})^{-1}...
- 188k
4
votes
1
answer
346
views
Rank of a random sparse matrix with nonnegative reals
I believe this should be some standard result in random matrices theory, but my initial search failed to find a definitive answer.
The question is given a random sparse matrix $M\in\mathbb{R}^{n\...
CommunityBot
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6
votes
1
answer
1k
views
Largest eigenvalues of a (random) correlation matrix?
I am recently studying on eigenvalues of a (random) correltion matrix. For a $N\times N$ correlation matrix (with a given meaning of randomness), its (1st, 2nd, etc.) eigenvalues have some ...
- 96.4k
4
votes
1
answer
372
views
Eigenvalues of random matrix conditional on positive definiteness
Consider the Gaussian Orthogonal Ensemble, considered as a probability measure $\mu$ on the space of real symmetric matrices. Let $\mu|PD$ denote this measure conditioned on the event that the matrix ...
- 188k
6
votes
2
answers
738
views
Probability of a large random integer Matrix to have zero determinant
Suppose we have a matrix $A \in \{0,1\}^{n \times n}$ where
$$A_{ij} = \begin{cases} 1 & \text{with probability} \quad p\\ 0 &\text{with probability} \quad 1-p\end{cases}$$
I would like to ...
CommunityBot
- 1
13
votes
2
answers
879
views
The expected square of the determinant of a random row stochastic matrix
In this
question Anthony Quas asks about the expected absolute value of
the determinant of an $n\times n$ row stochastic matrix $A$, where
the rows are independently selected from the uniform ...
- 4,653
2
votes
0
answers
64
views
Largest eigenvalue of two types of slightly different random matrices
Consider two types of slightly different $n \times n$ symmetric random matrices $X$. The diagonal elements of $X$ are fixed as $1$. Suppose $\frac{k}{n} \to \alpha$ for some constant $\alpha\in(0,1)$.
...
CommunityBot
- 1
3
votes
2
answers
581
views
Largest eigenvalue of the adjacency matrix of weighted random graph
I find the theorem for largest eigenvalue of the adjacency matrix of ER random graph in here https://arxiv.org/pdf/math/0106066.pdf. The adjacency matrix is a symmetric random matrix s.t. diagonal ...
- 7,514
7
votes
1
answer
880
views
Bound for largest eigenvalue of symmetric matrices of uniform random variables over $[0,1]$ and fixed $1$s along diagonal and scattered $1$s
Given a $n\times n$ symmetric random matrix whose diagonal elements are all fixed as $1$. In addition, there are $k$ $1$s will be randomly scattered in upper triangular (of course, the corresponding ...
- 7,514
3
votes
0
answers
151
views
Largest eigenvalue divided by $n$
Let $X$ be an $n\times n$ symmetric random matrix whose diagonal is fixed as $1$, and every element in the upper triangle (excluding the diagonal) is drawn from Bernoulli($p$). The elements in the ...
CommunityBot
- 1
4
votes
0
answers
355
views
Distribution of min/max row sum of matrix with i.i.d. uniform random variables
Given a $n\times n$ symmetric random matrix such that
all diagonal elements are all fixed as $1$.
all elements in upper triangle (excluding the diagonal) are i.i.d. uniform random variables ...
- 272
3
votes
0
answers
414
views
Eigenvalue distribution of a special symmetric matrix of uniform random variables
Given a $n\times n$ symmetric random matrix such that
all diagonal elements are all fixed as $0$.
all other elements in the upper triangle are uniform random variables over $[0,1]$. all ...
- 272
2
votes
0
answers
59
views
Min/max row-sum distribution of a symmetric matrix of uniform random variables over $[0,1]$ and fixed $1$s along diagonal and scattered $1$s
Given a $n\times n$ symmetric random matrix such that
all diagonal elements are all fixed as $0$.
randomly select $k$ distinct cells in the upper triangle (excluding the diagonal), and then ...
- 272
1
vote
1
answer
552
views
Probability of positive definiteness of a random matrix [duplicate]
Given an $n \times n$ symmetric random matrix whose entries have distribution $N(0,1)$, how to calculate the probability of positive definiteness of this matrix?
21
votes
0
answers
2k
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 ...
- 52.3k
2
votes
0
answers
102
views
Eigenvalue distribution for a real-valued random matrix with correlated Gaussian entries
I'm working on an application where I would greatly benefit from knowing the distributions of the eigenvalues of a real-valued random matrix whose elements can be assumed to be Gaussian, but where I ...
- 321
3
votes
0
answers
436
views
Rank of Hadamard product with random matrices
I do research in statistics and am not sure whether the following is considered research level or not in mathematics. If it isn't, I'm happy because that means the answer is probably known and I can ...
4
votes
1
answer
294
views
Finding high-dimensional correlation matrices that are both sparse and low-rank
Let $\boldsymbol{R}$ be the correlation matrix of $X_i,i=1,\dots,p$ with a large $p\gg q=\text{rank}(\boldsymbol{R})$. Is that reasonable to assume that $\boldsymbol{R}$ is both (approximately) sparse ...
CommunityBot
- 1
2
votes
0
answers
322
views
Expectation of square root of positive definite matrix
Let $U$ be a random matrix, supported on the positive-definite cone of matrices.
We denote $\sqrt{U}$ to be the principal square root of $U$. That is, the unique positive-definite matrix such that $\...
CommunityBot
- 1
4
votes
1
answer
910
views
Uniformly Random Independent Unit Vectors Inner Product Limit
Suppose $V$ is a $N\times n$ matrix the columns of which are independently distributed uniformly on $\mathbf S^{N-1}$ the surface of the unit sphere in $\mathbf R^N$. I conjecture that $V^TV$ ...
- 1,533
1
vote
1
answer
394
views
On rank of random $0/1$ matrices
It is known that a $0/1$ matrix picked from uniform distribution from $\{0,1\}^{n\times n}$ is non-singular with probability $1-o(1)$.
Fix an integer $t$.
Consider a random matrix formed the ...
CommunityBot
- 1
42
votes
3
answers
5k
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=...
- 91
5
votes
1
answer
331
views
Matrix concentration bound
Suppose we have $N$ constant matrices $A_i \in R^{m\times m}, 1\leq i \leq N$. Consider $N$ random rotation-matrices $R_i \in SO(m), 1\leq i \leq N$. Is it possible to obtain a concentration bound on
$...
- 166
1
vote
0
answers
167
views
Expected amount of linearly dependent random vectors? [closed]
Given a random Matrix $A\in \mathbb{F}_2^{n\times n}$ what is the expectation value of the amount of linearly dependent row-vectors of $A$?
EDIT: As said in the comments, I'm looking for the ...
- 123
5
votes
0
answers
133
views
Expectation of a specific random variable on the probability space of $n\times n$ matrices over $\{0,1\}$
Let $\mathcal{G}_{n,\frac{1}{2}}$ be the probability space of $n\times n$ matrices over $\{0,1\}$ and each entry of the matrix is independently equal to 1 with probability $\frac{1}{2}$ and equal to 0 ...
- 2,552
6
votes
3
answers
425
views
Probability a random matrix contains a short integer vector in its kernel
Consider a random $m$ by $n$ matrix $M$ with $m \leq n$, chosen uniformly over all those whose elements are in $\{0,1\}$ (or $\{-1,1\}$ if it is any easier). Is there any mathematical theory that ...
CommunityBot
- 1
5
votes
0
answers
327
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 ...
- 161
-2
votes
3
answers
447
views
Determinant of matrix from set {-1, 1} [closed]
Let $A \in \mathbb{R}^{11 \times 11}$ and it's elements are form set $\{ -1,1 \}$. $\mathbb{P}(-1) = \mathbb{P}(1) = 0.5$. What is a probability to get such a matrix, that $\det A > 4000$?
I have ...
- 45
10
votes
1
answer
441
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 ...
- 6,210
2
votes
1
answer
2k
views
Bounds on the eigenvalues of a random binary matrix
Consider $A$, a random binary matrix of zeros and ones in $\mathbb{R}^{{M\times N}}$, and $M>N$. We assume that $P(a_{i,j}=0)=P(a_{i,j}=1)=0.5$ (although I appreciate any advice on the case of non-...
CommunityBot
- 1
11
votes
1
answer
636
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 ...
- 1,343
14
votes
1
answer
1k
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 ...
- 3,626
1
vote
1
answer
752
views
Random sampling a symmetric matrix
I'd like to sample the elements of a symmetric square matrix uniformly. For example, for a $N\times N$ matrix, I'd like to only keep $\alpha$% of the matrix elements to build a sparse matrix, while ...
- 188k