English

Regularization of non-normal matrices by Gaussian noise

Probability 2014-04-22 v2

Abstract

We consider the regularization of matrices MNM^N written in Jordan form by additive Gaussian noise NγGNN^{-\gamma}G^N, where GNG^N is a matrix of i.i.d. standard Gaussians and γ>1/2\gamma>1/2 so that the operator norm of the additive noise tends to 00 with NN. Under mild conditions on the structure of MNM^N we evaluate the limit of the empirical measure of eigenvalues of MN+NγGNM^N+N^{-\gamma} G^N and show that it depends on γ\gamma, in contrast with the case of a single Jordan block.

Cite

@article{arxiv.1404.3491,
  title  = {Regularization of non-normal matrices by Gaussian noise},
  author = {Ohad Feldheim and Elliot Paquette and Ofer Zeitouni},
  journal= {arXiv preprint arXiv:1404.3491},
  year   = {2014}
}

Comments

Typo corrected

R2 v1 2026-06-22T03:49:57.302Z