相关论文: Random matrices, Virasoro algebras, and noncommuta…
We study the hermitian one matrix model with semi-classical potential. This is a general unitary invariant random matrix ensemble in which the potential has a derivative that is a rational function and the measure is supported on some…
With $<\cdot>$ denoting an average with respect to the eigenvalue PDF for the Laguerre unitary ensemble, the object of our study is $ \tilde{E}_N(I;a,\mu) := < \prod_{l=1}^N \chi_{(0,\infty)\backslash I}^{(l)} (\lambda - \lambda_l)^\mu>$…
In this paper, we develop an ensemble-based time-stepping algorithm to efficiently find numerical solutions to a group of linear, second-order parabolic partial differential equations (PDEs). Particularly, the PDE models in the group could…
We exhibit a randomized algorithm which given a matrix $A\in \mathbb{C}^{n\times n}$ with $\|A\|\le 1$ and $\delta>0$, computes with high probability an invertible $V$ and diagonal $D$ such that $\|A-VDV^{-1}\|\le \delta$ using…
We investigate the implications of free probability for random matrices. From rules for calculating all possible joint moments of two free random matrices, we develop a notion of partial freeness which is quantified by the breakdown of…
Using the standard concepts of free random variables, we show that for a large class of nonhermitean random matrix models, the support of the eigenvalue distribution follows from their hermitean analogs using a conformal transformation. We…
An elliptic random matrix $X$ is a square matrix whose $(i,j)$-entry $X_{ij}$ is independent of the rest of the entries except possibly $X_{ji}$. Elliptic random matrices generalize Wigner matrices and non-Hermitian random matrices with…
We place ourselves in the setting of high-dimensional statistical inference where the number of variables $p$ in a dataset of interest is of the same order of magnitude as the number of observations $n$. We consider the spectrum of certain…
We prove that matrix Fredholm determinants related to multi-time processes can be expressed in terms of determinants of integrable kernels \`a la Its-Izergin-Korepin-Slavnov (IIKS) and hence related to suitable Riemann-Hilbert problems,…
For every non-autonomous system, there is the related family of Koopman operators $\mathcal{K}^{(t,t_0)}$, parameterized by the time pair $(t,t_0)$. In this paper we are investigating the time dependency of the spectral properties of the…
Multiple orthogonal polynomials are a generalization of orthogonal polynomials in which the orthogonality is distributed among a number of orthogonality weights. They appear in random matrix theory in the form of special determinantal point…
For a wide class of Hermitian random matrices, the limit distribution of the eigenvalues close to the largest one is governed by the Airy point process. In such ensembles, the limit distribution of the k-th largest eigenvalue is given in…
We represent an algorithm allowing one to construct new classes of partially integrable multidimensional nonlinear partial differential equations (PDEs) starting with the special type of solutions to the (1+1)-dimensional hierarchy of…
Let $(-A,B,C)$ be a linear system in continuous time $t>0$ with input and output space ${\bf C}$ and state space $H$. The function $\phi_{(x)}(t)=Ce^{-(t+2x)A}B$ determines a Hankel integral operator $\Gamma_{\phi_{(x)}}$ on $L^2((0, \infty…
Stochastic models share many characteristics with generic parametric models. In some ways they can be regarded as a special case. But for stochastic models there is a notion of weak distribution or generalised random variable, and the same…
This short course offers a new perspective on randomized algorithms for matrix computations. It explores the distinct ways in which probability can be used to design algorithms for numerical linear algebra. Each design template is…
We study the distribution of the smallest eigenvalue for certain classes of positive-definite Hermitian random matrices, in the limit where the size of the matrices becomes large. Their limit distributions can be expressed as Fredholm…
We consider the Wigner ensemble of Hermitian n-dimensional random matrices and study the correlation function K(s',s") of their moments in the limit when the numbers s', s" of the moments are proportional to n to the power 2/3. We show that…
Motivated by the asymptotic collective behavior of random and deterministic matrices, we propose an approximation (called "free deterministic equivalent") to quite general random matrix models, by replacing the matrices with operators…
A wave function of the $N$-component KP Hierarchy with continuous flows determined by an invertible matrix $H$ is constructed from the choice of an $MN$-dimensional space of finitely-supported vector distributions. This wave function is…