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Questions tagged [random-matrices]

Statistics of spectral properties of matrix-valued random variables.

2
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0answers
67 views

A question related to (random) matrix factorization

Let $\mathbf{B}$ be an $m\times r$ binary matrix taking values in $\{0,1\}$, and assume that $m\geq r$. I am wondering what can be said about the recovery of $\mathbf{B}$ from $\mathbf{B}\mathbf{B}^T$....
3
votes
1answer
72 views

Spectral density of $D + XX^T$

Let $D$ be a fixed diagonal matrix with real entries, and $X$ a random $m\times n$ matrix. More precisely, the entries $X_{ij}$ are real independent and identically distributed. It can be shown that ...
1
vote
1answer
72 views
+50

Expected determinant of random symmetric matrix with different Gaussian distributions of the diagonal and non-diagonal elements

Consider a random matrix $A \in \mathbb{R}^{N \times N}$ where the elements are random gaussian variables. The mean and variance of the elements are different on the diagonal and the off-diagonal: $\...
0
votes
1answer
29 views

Probability of a quantity from Ginibre ensemble

I'm doing a project on random matrices and its applications. I have the joint probability density and want to calculate the probability of $s=\sum_{j=1}^N\lambda_j^2$. So we have $$P(s)=C_{N,K}\int.....
2
votes
0answers
63 views

Inclusion of convex polytopes and embedding from $\ell_2$ to $\ell_\infty$

I would like to dig deeper into the problem posted Probability that a convex shape contains the unit ball: If you pick n points uniformly at random from the surface of a d dimensional sphere of ...
1
vote
0answers
92 views

Error correcting codes via random matrices: How close to the Shannon bound?

I have a vague and probably rather naive question on error correcting codes. Suppose we want to encode binary vectors of length $k$ as binary vectors of length $n$ in such a way that differences of ...
3
votes
1answer
100 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 ...
2
votes
1answer
120 views

The effect of random projections on matrices

Let $A\in\mathbb{R}^{n\times n}$ be a given normal matrix, i.e. $A^TA=AA^T$. Let $P_s\in\mathbb{R}^n$ be a random projection matrix to an $s$-dimensional subspace in $\mathbb{R}^n$. Suppose $\frac{A+...
1
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0answers
29 views

Expected value of inverse of complex non-central Wishart matrix

I have a matrix $W$ that abides a complex non-central Wishart distribution. My question is what the expectation of the inverse is, i.e., how to compute $$\mathbb{E}(W^{-1}).$$ I have tried to read up ...
1
vote
1answer
81 views

Can eigenvectors determine their original matrices given the basis of matrices space is small?

Let $A_1$, $A_2$, and $A_3$ be three different mutually orthogonal random hermitian operators, say dimension of $30\times 30$. For three random real numbers $a_1$, $a_2$, $a_3$, we have $$ (a_1A_1+...
2
votes
1answer
80 views

stationary measure for linear cocycle(random transformation matrices)

Let $(M,\mathcal B, \mu)$ be a probability space which $M=\{A_{1},A_{2},...,A_{N}\}^{\mathbb{N}}$ ($A_{i} \in GL(d ,\mathbb{R})$) and $\mu=p^{\mathbb{N}}$. Let $F:M\times \mathbb R^d\to M\times \...
2
votes
1answer
80 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 ...
1
vote
1answer
55 views

On the eigenvalue of the expectation value of a random matrix in quadratic form

When we handle with some dynamic input-output mappings, there occurs a question as follows: Let $M$ be a random matrix, of which each element contains random terms. Consider the two expectation ...
1
vote
1answer
41 views

Asymptotic eigenvalue distribution of sum of two i.i.d random matrices with Marchenko Pastur distributed eigenvalues?

Is there a method using random matrix theory and NOT using free probability to determine the asymptotic eigenvalue distribution of the random matrix $\mathbf{M}=\mathbf{X}_1+ \mathbf{X}_2$? where: $\...
3
votes
1answer
117 views

Tail probability of random projection

Suppose $v\in R^n$ is a constant unit vector. $P_l$ is a random projection matrix to an $l$ dimensional subspace of $R^n$ which is uniformly sampled from $G(l,R^n)$ which is the collection of all $l$-...
4
votes
1answer
183 views

integral kernel function for the SU(N) group

It is well know that the Haar probability measure for the $U(N)$ group, given by $$ \begin{align} dX_{U(N)} & = \frac{1}{N!(2\pi)^N} \begin{vmatrix} 1 & 1 ...
-2
votes
1answer
93 views

On the Cauchy-Schwarz Inequality for trace function of random matrices

In the deterministic case, for two matrices $A$ and $B$ with appropriate matrices, we know that $$tr((A^{T}B)^{2})\leq tr(A^{T}A)tr(B^{T}B)$$ which is the trace form of Cauchy-Schwarz-Inequality (CSI)....
3
votes
0answers
79 views

Evaluating a Fermi gas problem for a SO(2N+1) matrix integral

I have the following multiple integral derived from a random matrix calculation I wish to evaluate $$\int_0^{\pi} dx_1 dx_2 \cdots dx_n \rho(x_1,x_2)\cdots \rho(x_n,x_1)$$ where the $\rho$ functions ...
2
votes
1answer
114 views

What is the Essential Difference Between Random Matrices and Random Graphs?

I have the impression, that random graphs and random matrices seem to be perceived and treated as separate areas of interest; I'm not an expert in either of the subjects, so maybe my impression is ...
2
votes
0answers
56 views

Recovering a rank-one matrix from its eigendecomposition after randomized rounding

Let $A = xy^T$ be a rank-$1$ matrix, and suppose every entry of $A$ is in $[0,1]$. We can create a binary matrix $A_{\rm rounded}$ by setting $$ [A_{\rm rounded}]_{ij} = \begin{cases} 1 & \mbox{ ...
0
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0answers
140 views

What functions can one try employing to fit an apparently doubly-periodic real function over $[0,1]$?

I have a cosine-like data curve over $x \in [0,1]$ that I can rather well-fit by a function of the form $a \cos{2 \pi x} +b$. Although good, the fit is still lacking, in that the residuals from the ...
1
vote
0answers
32 views

Singular values of random matrices with inhomogeneous variances

If $X$ is a random rectangular matrix with independent identically distributed entries of zero mean and equal variance, then as $X$ gets big its singular values tend to a Marchenko-Pastur distribution....
2
votes
0answers
74 views

Matrix Chernoff sampling with out replacement

I am interested to know if the matrix Chernoff bound (see Theorem 5.1.1 in https://arxiv.org/pdf/1501.01571.pdf) holds if one samples without replacement. For example, the Bernstein inequality is ...
1
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0answers
77 views

How does the graph of percolation probability $\Pi$ vs. $p$ vary for different finite values of $L$?

This is a sequel to my previous question. @Carlo's response here (to my comment) prompted me to ask this question: As mentioned in the textbook "Introduction to Percolation Theory" (Chapter 4) by ...
0
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0answers
56 views

How to mathematically justify the “sampling” over only $100$ random matrices to estimate percolation thresholds?

As mentioned in the textbook "Introduction to Percolation Theory" (Chapter 4) by Stauffer et al., the variation of spanning cluster percolation probability $\Pi$ in a finite $L < \infty$ square ...
1
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0answers
139 views

Matrix Bernstein for spherical random variables

Theorem 4.1 in Tropp's Matrix Concentration Inequalities provides an exponential concentration inequality for the spectral norm of a matrix $Z = \sum_i \gamma_i B_i $, where $\gamma_i$ are an i.i.d. ...
0
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0answers
38 views

Dominating powers of a random matrix

Let $A_n$ be a (sequence of) random matrix such that $ A_n = (a_{ij})_{1 \leq i,j \leq n}$ and the $a_{ij}$ are iid, $\mathbb E\left[ a_{ij}\right] = 0 \quad E\left[ \vert a_{ij}\vert^2\right] = 1$. ...
0
votes
0answers
21 views

Why do middle roots of the $\chi(p)$ graphs and percolation thresholds vary linearly with diagonal probability $q$ (in large random binary matrices)?

Consider a large $N\times N$ square lattice, where each cell has a probability $p$ of being "occupied" (let's call denote them as "black") and a probability $1-p$ of being empty (let's denote them as "...
2
votes
1answer
71 views

Generalization: (The “number” of) smaller sized clusters in large random binary matrices follow a descending order. Why?

This is a sequel to the question: Why is number of single cell clusters always greatest in a random matrix? In their answer, @Aaron Meyerowitz came up with a nice strategy to prove why the number of ...
3
votes
1answer
134 views

Why is number of single cell clusters always greatest in a random matrix?

Consider a large $N\times N$ square lattice, where each cell has a probability $p$ of being "occupied" (let's call denote them as "black") and a probability $1-p$ of being empty (let's denote them as "...
1
vote
0answers
25 views

What is the distribution of engenvalues of covariance matrix when the covariance has some block diagonal structure

Let's say we have a matrix $X \in \mathbb R^{n\times p}$, where $X_{i,j}$ sampled from a Gaussian $N(\mu, \sigma^2)$, we use $\Phi$ to denote $\{\mu,\sigma\}$ for simplicity. Now, we sample $m$ ...
3
votes
1answer
220 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 $m \gg n$), $$\Lambda := \mbox{diag} \big( \lambda_1, \lambda_2, \dots, \lambda_m \big)$$ ...
3
votes
3answers
151 views

Random complex eigenvalues and averages of traces

I have asked this in MSE here, but got no interesting answers. Suppose I have a random matrix $M$ of dimension $N$ which is real, but not symmetric. Suppose I know that, for large $N$, the marginal ...
10
votes
0answers
430 views

multi-dimensional integral of modified Vandermonde determinant

I'm looking for suggestions on how one might try to compute the following $(N-1)$-dimensional integral: $$I_N= \frac{1}{(2\pi)^{N-1}(N-1)!} \int\cdots\int \\ \begin{vmatrix} 1 ...
3
votes
1answer
89 views

Statistical independence of eigenvectors of real symmetric Gaussian random matrices

What is known about the statistical independence of the eigenvectors of a real symmetric matrix with independent Gaussian entries with zero mean, and finite variance? The matrix elements are not ...
0
votes
1answer
94 views

Are they the $N\times N$ random matrices with real or complex entries asymptotically free?

The $N\times N$ random matrices with real or complex entries are generalizations of non-hermitian gaussian ensembles, also known as Girko ensemble: the entries are independent and identically ...
4
votes
1answer
243 views

Confusion about Montgomery's Pair Correlation Conjecture

This question will be based roughly on the Bourgade Keating review on Zeta function and eigenvalue asymptotics (BK): https://link.springer.com/chapter/10.1007/978-3-0348-0697-8_4 To set up the ...
1
vote
1answer
134 views

What are the disadvantage and advantages of the moment method and the resolvent method in Random Matrix Theory?

I am learning random matrix theory . I am aware that the most popular successful techniques for obtaining the limiting spectral measure of large Hermitian random matrices are the moment method and ...
27
votes
3answers
6k views

What is the Katz-Sarnak philosophy?

It has been recently mentioned by a speaker (his talk is completely not relevant to random matrix theory/RMT though) that modern statistics, especially random matrices theory, will help solving some ...
2
votes
2answers
101 views

Spectrum of finite-band random matrices?

Let $X_n=(X_{ij})_{1 \leq i,j \leq n}$ such that : $$ \begin{cases} &X_{ij} = 0 \quad \text{if}\quad \vert i - j \vert > k\\ & X_{ij} \sim P_X \quad \text{otherwise} \end{cases}$$ And ...
4
votes
1answer
90 views

Haar unitaries with constraints

Given that one can sample unitaries from the Haar measure over $U(n)$ (as in F. Mezzadri, Notices of the AMS 54 (2007), 592-604), how can one sample from the uniform distribution over the following ...
5
votes
5answers
340 views

Reviews of Probability in High Dimension not by Van Handel

I'm completely in love with Ramon van Handel's lecture notes Probability in High Dimension and I would like to find more learning resources. Lecture notes or reviews would be ideal as anything in this ...
0
votes
1answer
69 views

How to infer the eigenvalue distribution from matrix where each entry has a known Gaussian distribution?

Problem Given $X \in \mathbb{R}^{n \times n}$ where $X_{ij} \sim \mathcal{N}(\mu_{ij}, \sigma_{ij}^2 I)$ Find the marginal distribution of each eigenvalue, using whatever you can. Background In my ...
1
vote
1answer
127 views

Pair of vectors multiplied by a random matrix and its inverse transpose are distributed randomly up to their dot product

Given arbitrary nonzero vectors $\vec{x}_1, \vec{y}_1, \vec{x}_2, \vec{y}_2 \in \mathbb{Z}^{n}_p$ ($p$ prime) with $\langle x_1, y_1 \rangle = \langle x_2, y_2 \rangle$, I am trying to show that: $(...
0
votes
0answers
61 views

Conditonal convergence implies convergence?

Note : All measures below are probability measures. Let $\mu_n(X,Y)$ be a random probability measure on $\mathbb C$ depending on two random variables X and Y with values in $\mathbb{R}^N$. Actually,...
0
votes
0answers
90 views

A general question on random matrices

To give some context, suppose you have a sequence of random variables $X_n$ that you know weakly converges to a random variable $X$. Suppose you also have a sequence of random variables $Y_n$. Then, ...
2
votes
0answers
24 views

Confused about the generality of statements regarding rank one deformations of Wigner matrices

I'm interested in the behavior of the largest eigenvalue of random $n \times n$ Hermitian matrices of the form $A^{n} = \frac{1}{2}(Q^{n}+(Q^{n})^{\dagger})$ where the real and imaginary components of ...
3
votes
0answers
112 views

A guide to reading Alice Guionnet's Random Matrix book

I was reading Alice Guionnet's book "Large Random Matrices: Lectures on Macroscopic Analysis". I would need some help in understanding the author intends to do in Part III, "Matrix Models". In the ...
7
votes
2answers
391 views

Generating function of $SO(N)$ random matrix

I am interested in the generating function of $SO(N)$ random matrix, that is, I want to compute $$ Z_N[J]=\int dM e^{{\rm Tr} (J^T M)}, $$ where $dM$ is the $SO(N)$ Haar measure, and $J$ is an ...
6
votes
2answers
292 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 ...