Sampling unitary invariant ensembles
Mathematical Physics
2014-04-02 v1 math.MP
Probability
Abstract
We develop an algorithm for sampling from the unitary invariant random matrix ensembles. The algorithm is based on the representation of their eigenvalues as a determinantal point process whose kernel is given in terms of orthogonal polynomials. Using this algorithm, statistics beyond those known through analysis are calculable through Monte Carlo simulation. Unexpected phenomena are observed in the simulations.
Cite
@article{arxiv.1404.0071,
title = {Sampling unitary invariant ensembles},
author = {Sheehan Olver and Raj Rao Nadakuditi and Thomas Trogdon},
journal= {arXiv preprint arXiv:1404.0071},
year = {2014}
}