Related papers: Random weighted projections, random quadratic form…

We consider $N\times N$ Hermitian random matrices with i.i.d. entries. The matrix is normalized so that the average spacing between consecutive eigenvalues is of order $1/N$. We study the connection between eigenvalue statistics on…

In this paper, we adopt the eigenvector empirical spectral distribution (VESD) to investigate the limiting behavior of eigenvectors of a large dimensional Wigner matrix W_n. In particular, we derive the optimal bound for the rate of…

The entropy per coordinate in a log-concave random vector of any dimension with given density at the mode is shown to have a range of just 1. Uniform distributions on convex bodies are at the lower end of this range, the distribution with…

It is proved that the projection constants of two- and three-dimensional spaces are bounded by $4/3$ and $(1+\sqrt 5)/2$, respectively. These bounds are attained precisely by the spaces whose unit balls are the regular hexagon and…

Generalized entropic projections and dominating points are solutions to convex minimization problems related to conditional laws of large numbers. They appear in many areas of applied mathematics such as statistical physics, information…

We investigate the eigenvalues statistics of ensembles of normal random matrices when their order N tends to infinite. In the model the eigenvalues have uniform density within a region determined by a simple analytic polynomial curve. We…

We study the behavior of eigenvalues of matrix P_N + Q_N where P_N and Q_N are two N -by-N random orthogonal projections. We relate the joint eigenvalue distribution of this matrix to the Jacobi matrix ensemble and establish the universal…

We survey a few concentration inequalities for submodular and fractionally subadditive functions of independent random variables, implied by the entropy method for self-bounding functions. The power of these concentration bounds is that…

We examine the empirical distribution of the eigenvalues and the eigenvectors of adjacency matrices of sparse regular random graphs. We find that when the degree sequence of the graph slowly increases to infinity with the number of…

We study the angles between the eigenvectors of a random $n\times n$ complex matrix $M$ with density $\propto \mathrm{e}^{-n\operatorname{Tr}V(M^*M)}$ and $x\mapsto V(x^2)$ convex. We prove that for unit eigenvectors…

We provide a simple and efficient algorithm for the projection operator for weighted $\ell_1$-norm regularization subject to a sum constraint, together with an elementary proof. The implementation of the proposed algorithm can be downloaded…

We consider multiple and set-indexed sums of random vectors taking values in Euclidean space of growing dimension. It is shown that, when viewed as finite metric spaces, the sets of values of such sums converge in probability. The limit is…

In this paper, we consider the singular values and singular vectors of finite, low rank perturbations of large rectangular random matrices. Specifically, we prove almost sure convergence of the extreme singular values and appropriate…

Let $\mathbf{W}\in\mathbb{C}^{n\times n}$ be a {\it single-spiked} Wishart matrix in the class $\mathbf{W}\sim \mathcal{CW}_n(m,\mathbf{I}_n+ \theta \mathbf{v}\mathbf{v}^\dagger) $ with $m\geq n$, where $\mathbf{I}_n$ is the $n\times n$…

We generalize the supersymmetry method in Random Matrix Theory to arbitrary rotation invariant ensembles. Our exact approach further extends a previous contribution in which we constructed a supersymmetric representation for the class of…

We study approximation properties of weighted $\mathrm{L}^2$-orthogonal projectors onto spaces of polynomials of bounded degree in the Euclidean unit ball, where the weight is of the reflection-invariant form $(1-\lVert x \rVert^2)^\alpha…

Euclidean random matrices arise in a wide range of physical systems where interactions are determined by spatial configurations, including disordered media and cooperative phenomena in atomic ensembles. Unlike classical random matrix…

This article studies the \emph{robust covariance matrix estimation} of a data collection $X = (x_1,\ldots,x_n)$ with $x_i = \sqrt \tau_i z_i + m$, where $z_i \in \mathbb R^p$ is a \textit{concentrated vector} (e.g., an elliptical random…

Using operator methods, we generally present the level densities for kinds of random matrix unitary ensembles in weak sense. As a corollary, the limit spectral distributions of random matrices from Gaussian, Laguerre and Jacobi unitary…

We prove localization with high probability on sets of size of order $N/\log N$ for the eigenvectors of non-Hermitian finitely banded $N\times N$ Toeplitz matrices $P_N$ subject to small random perturbations, in a very general setting. As…