A note on the exact simulation of a random eigenvalue of a GUE matrix
Probability
2026-03-30 v3
Abstract
We develop a simple algorithm to generate random variables described by densities equaling squared Hermite functions. As an application, we show how to generate a randomly chosen eigenvalue of a matrix from the Gaussian Unitary Ensemble ({\textsc{gue}}) in sub-linear expected time.
Keywords
Cite
@article{arxiv.2304.03741,
title = {A note on the exact simulation of a random eigenvalue of a GUE matrix},
author = {Luc Devroye and Jad Hamdan},
journal= {arXiv preprint arXiv:2304.03741},
year = {2026}
}
Comments
12 pages, 3 figures