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We show that the mixing times of random walks on compact groups can be used to obtain concentration inequalities for the respective Haar measures. As an application, we derive a concentration inequality for the empirical distribution of…
Consider the space $C$ of conjugacy classes of a unitary group $U(n+m)$ with respect to a smaller unitary group $U(m)$. It is known that for any element of the space $C$ we can assign canonically a matrix-valued rational function on the…
We compute the gap probability that a circle of radius r around the origin contains exactly k complex eigenvalues. Four different ensembles of random matrices are considered: the Ginibre ensembles and their chiral complex counterparts, with…
This short but self-contained survey presents a number of elegant matrix/operator inequalities for general convex or concave functions, obtained with a unitary orbit technique. Jensen, sub or super-additivity type inequalities are…
A theoretical analysis is given of the equation of motion method, due to Alben et al., to compute the eigenvalue distribution (density of states) of very large matrices. The salient feature of this method is that for matrices of the kind…
It is generally accepted that statistics of energy levels in closed chaotic quantum systems is adequately described by the theory of Random Hermitian Matrices. Much less is known about properties of "resonances" - generic features of open…
Statistical properties of ensembles of random density matrices are investigated. We compute traces and von Neumann entropies averaged over ensembles of random density matrices distributed according to the Bures measure. The eigenvalues of…
Estimating the number of eigenvalues located in a given interval of a large sparse Hermitian matrix is an important problem in certain applications and it is a prerequisite of eigensolvers based on a divide-and-conquer paradigm. Often an…
The study of the spectrum of coupled random matrices has received rather little attention. To the best of our knowledge, coupled random matrices have been studied, to some extent, by Mehta. In this work, we explain how the integrable…
We show that the empirical eigenvalue measure for sum of $d$ independent Haar distributed $n$-dimensional unitary matrices, converge for $n \to \infty$ to the Brown measure of the free sum of $d$ Haar unitary operators. The same applies for…
A two dimensional eigenvalue problem (2DEVP) of a Hermitian matrix pair $(A, C)$ is introduced in this paper. The 2DEVP can be viewed as a linear algebraic formulation of the well-known eigenvalue optimization problem of the parameter…
The probabilities for gaps in the eigenvalue spectrum of the finite dimension $ N \times N $ random matrix Hermite and Jacobi unitary ensembles on some single and disconnected double intervals are found. These are cases where a reflection…
We show that the average characteristic polynomial P_n(z) = E [\det(zI-M)] of the random Hermitian matrix ensemble Z_n^{-1} \exp(-Tr(V(M)-AM))dM is characterized by multiple orthogonality conditions that depend on the eigenvalues of the…
For a given normalized Gaussian symmetric matrix-valued process $Y^{(n)}$, we consider the process of its eigenvalues $\{(\lambda_{1}^{(n)}(t),\dots, \lambda_{n}^{(n)}(t)); t\ge 0\}$ as well as its corresponding process of empirical…
We consider the random matrix ensemble with an external source \[ \frac{1}{Z_n} e^{-n \Tr({1/2}M^2 -AM)} dM \] defined on $n\times n$ Hermitian matrices, where $A$ is a diagonal matrix with only two eigenvalues $\pm a$ of equal…
Starting from the hyperoctahedral multivariate hypergeometric function of Heckman and Opdam (associated with the $BC_n$ root system), we arrive -- via partial confluent limits in the sense of Oshima and Shimeno -- at solutions of the…
We compute the spectral statistics of the sum H of two independent complex Wishart matrices, each of which is correlated with a different covariance matrix. Random matrix theory enjoys many applications including sums and products of random…
On a compact group the Haar probability measure plays the role of uniform distribution. The entropy and rate distortion theory for this uniform distribution is studied. New results and simplified proofs on convergence of convolutions on…
The supersymmetric solutions of PT-/non-PT-symmetric and non-Hermitian deformed Morse and P\"{o}schl-Teller potentials are obtained by solving the Schr\"{o}dinger equation. The Hamiltonian hierarchy method is used to get the real energy…
Exact eigenvalue correlation functions are computed for large $N$ hermitian one-matrix models with eigenvalues distributed in two symmetric cuts. An asymptotic form for orthogonal polynomials for arbitrary polynomial potentials that support…