All Questions
11 questions
0
votes
1
answer
159
views
Dot product of a randomly orientated vector and a fixed vector
Let us consider a random variable $Z$ with a probability density function $f$ with respect to the Haar measure on $\mathrm{SO}(3)$. Next, we consider two fixed normal vectors $u,v$ in $\mathbb{R}^3$. ...
user528399
0
votes
0
answers
82
views
Conditional distributions of random orthogonal projection matrix
I have encountered a rather curious question.
Suppose I have a symmetric idempotent orthogonal projection matrix $A\in\mathbb R^{N\times N}$ that projects onto a uniformly random $n$-dimensional ...
- 319
1
vote
1
answer
206
views
Is svd of a Gaussian iid matrix corresponds to Haar measure on the Stiefel manifold?
I want to draw a matrix $A\in \mathbb{R}^{n\times k}$ uniformally at random from the Stiefel manifold $\mathbb{V}_k(\mathbb{R}^n)$, that is from the collection of all $n\times k$ matrices $A$ such ...
- 503
8
votes
2
answers
653
views
Average of the maximum matrix element over the Haar measure
Let $U$ be a $d\times d$ unitary matrix, and $U_{i,j}$ be its matrix elements. I am interested in the following quantity
$$\int dU \max_j |U_{1,j}|^2 \ , $$
where $dU$ is the uniform Haar measure over ...
- 121
3
votes
0
answers
267
views
Conditional distributions of uniformly distributed random orthonormal matrices
Let $U, U'\in R^{d\times k} (d>k)$ be two independent uniformly distributed random orthonormal matrices. In specific, let $S$ be the set of all $d\times k$ orthonormal matrices. Here 'uniform' is ...
- 1,127
8
votes
1
answer
552
views
Frobenius norm of the principal submatrix of a uniformly distributed random orthonormal matrix
Suppose that we have a uniformly distributed $d\times d$ random orthonormal matrix $\mathbf{X}$. Here "uniform" is defined in the sense of Haar measure, i.e., the distribution does not change up to ...
- 1,127
1
vote
0
answers
85
views
Majorizing inequality on spectral norm of product of a random and a deterministic low-rank projection
Let $P$ be a rank $k$ uniformly randomly oriented projection matrix in ${\mathbb R}^d$ -- this is constructed as $R^T(RR^T)^{-1}R$ where $R$ is a $k\times d, k<d$ random matrix with i.i.d. 0-mean ...
- 517
2
votes
1
answer
685
views
Averages of vector inner products over the Haar measure
Consider arbitrary unit vectors $w,x,y,z \in \mathbb{C}^d$. Is there an explicit formula for what this average is?
$$
\int \mathrm{Tr}( \psi \psi^* \, \, w x^* \,\, \psi \psi^* \,\, y z^*) d\psi
$$
...
- 2,019
36
votes
0
answers
2k
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 ...
- 188k
10
votes
2
answers
3k
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 $O(N)$?...
- 1,890
20
votes
6
answers
19k
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 ...
- 1,890