English

Regularization of non-normal matrices by Gaussian noise - the banded Toeplitz and twisted Toeplitz cases

Probability 2018-12-17 v3

Abstract

We consider the spectrum of additive, polynomially vanishing random perturbations of deterministic matrices, as follows. Let MNM_N be a deterministic N×NN\times N matrix, and let GNG_N be a complex Ginibre matrix. We consider the matrix MN=MN+NγGN\mathcal{M}_N=M_N+N^{-\gamma}G_N, where γ>1/2\gamma>1/2. With LNL_N the empirical measure of eigenvalues of MN\mathcal{M}_N, we provide a general deterministic equivalence theorem that ties LNL_N to the singular values of zMNz-M_N, with zCz\in \mathbb{C}. We then compute the limit of LNL_N when MNM_N is an upper triangular Toeplitz matrix of finite symbol: if MN=i=0daiJiM_N=\sum_{i=0}^{\mathfrak{d}} a_i J^i where d\mathfrak{d} is fixed, aiCa_i\in\mathcal{C} are deterministic scalars and JJ is the nilpotent matrix J(i,j)=1j=i+1J(i,j)={\bf 1}_{j=i+1}, then LNL_N converges, as NN\to\infty, to the law of i=0daiUi\sum_{i=0}^{\mathfrak{d}} a_i U^i where UU is a uniform random variable on the unit circle in the complex plane. We also consider the case of slowly varying diagonals (twisted Toeplitz matrices), and, when d=1\mathfrak{d}=1, also of i.i.d.~entries on the diagonals in MNM_N.

Keywords

Cite

@article{arxiv.1712.00042,
  title  = {Regularization of non-normal matrices by Gaussian noise - the banded Toeplitz and twisted Toeplitz cases},
  author = {Anirban Basak and Elliot Paquette and Ofer Zeitouni},
  journal= {arXiv preprint arXiv:1712.00042},
  year   = {2018}
}

Comments

V2 has a new subsection (1.3) concerning relations with pseudospectra, and additional references. V3 is the revised version, to appear in Forum of Math - Sigma