I want to compute the expected norm of a vector-matrix multiplication. I have a vector $x \in \mathbb{R}^n$ with norm one and a matrix $M \in \mathbb{R}^{n \times n}$, whose entries are taken from a gaussian distribution with mean zero and squared variance $2/n$. Which means, $M_{i,j} = \mathcal{N}(0,2/n)$.

I need to compute the expected value of the norm of the product, i.e. $ \mathbb{E}[||xM||].$

I have computed $\mathbb{E}[||xM||^2] = 2$, but i have no idea on how to get rid of that square sign.

I could use the chi or Gamma functions, but I'm somehow stuck:

I'd have $$\sqrt{\sum_i\sum_j^n x_i^2 M_{i,j}^2 + \sum_i \sum_j \sum_k x_i x_j M_{i,j} M_{i,k}}$$

I know I can use the gamma function for the first sum, and that the expected value of the second part goes to zero. The problem is that I can't compute the expected value of just the second part since it's under the square root. Any suggestions?

Thank you!