Eigenvalue Distribution Of Large Random Matrices
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Eigenvalue Distribution of Large Random Matrices
Author | : Leonid Andreevich Pastur,Mariya Shcherbina |
Publsiher | : American Mathematical Soc. |
Total Pages | : 650 |
Release | : 2011 |
Genre | : Mathematics |
ISBN | : 9780821852859 |
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Random matrix theory is a wide and growing field with a variety of concepts, results, and techniques and a vast range of applications in mathematics and the related sciences. The book, written by well-known experts, offers beginners a fairly balanced collection of basic facts and methods (Part 1 on classical ensembles) and presents experts with an exposition of recent advances in the subject (Parts 2 and 3 on invariant ensembles and ensembles with independent entries). The text includes many of the authors' results and methods on several main aspects of the theory, thus allowing them to present a unique and personal perspective on the subject and to cover many topics using a unified approach essentially based on the Stieltjes transform and orthogonal polynomials. The exposition is supplemented by numerous comments, remarks, and problems. This results in a book that presents a detailed and self-contained treatment of the basic random matrix ensembles and asymptotic regimes. This book will be an important reference for researchers in a variety of areas of mathematics and mathematical physics. Various chapters of the book can be used for graduate courses; the main prerequisite is a basic knowledge of calculus, linear algebra, and probability theory.
A Dynamical Approach to Random Matrix Theory
Author | : László Erdős,Horng-Tzer Yau |
Publsiher | : American Mathematical Soc. |
Total Pages | : 226 |
Release | : 2017-08-30 |
Genre | : Random matrices |
ISBN | : 9781470436483 |
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A co-publication of the AMS and the Courant Institute of Mathematical Sciences at New York University This book is a concise and self-contained introduction of recent techniques to prove local spectral universality for large random matrices. Random matrix theory is a fast expanding research area, and this book mainly focuses on the methods that the authors participated in developing over the past few years. Many other interesting topics are not included, and neither are several new developments within the framework of these methods. The authors have chosen instead to present key concepts that they believe are the core of these methods and should be relevant for future applications. They keep technicalities to a minimum to make the book accessible to graduate students. With this in mind, they include in this book the basic notions and tools for high-dimensional analysis, such as large deviation, entropy, Dirichlet form, and the logarithmic Sobolev inequality. This manuscript has been developed and continuously improved over the last five years. The authors have taught this material in several regular graduate courses at Harvard, Munich, and Vienna, in addition to various summer schools and short courses. Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.
Large Random Matrices Lectures on Macroscopic Asymptotics
Author | : Alice Guionnet |
Publsiher | : Springer |
Total Pages | : 296 |
Release | : 2009-04-20 |
Genre | : Mathematics |
ISBN | : 9783540698975 |
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Random matrix theory has developed in the last few years, in connection with various fields of mathematics and physics. These notes emphasize the relation with the problem of enumerating complicated graphs, and the related large deviations questions. Such questions are also closely related with the asymptotic distribution of matrices, which is naturally defined in the context of free probability and operator algebra. The material of this volume is based on a series of nine lectures given at the Saint-Flour Probability Summer School 2006. Lectures were also given by Maury Bramson and Steffen Lauritzen.
An Introduction to Random Matrices
Author | : Greg W. Anderson,Alice Guionnet,Ofer Zeitouni |
Publsiher | : Cambridge University Press |
Total Pages | : 507 |
Release | : 2010 |
Genre | : Mathematics |
ISBN | : 9780521194525 |
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A rigorous introduction to the basic theory of random matrices designed for graduate students with a background in probability theory.
The Random Matrix Theory of the Classical Compact Groups
Author | : Elizabeth S. Meckes |
Publsiher | : Cambridge University Press |
Total Pages | : 225 |
Release | : 2019-08 |
Genre | : Mathematics |
ISBN | : 9781108419529 |
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Provides a comprehensive introduction to the theory of random orthogonal, unitary, and symplectic matrices.
Introduction to Random Matrices
Author | : Giacomo Livan,Marcel Novaes,Pierpaolo Vivo |
Publsiher | : Springer |
Total Pages | : 124 |
Release | : 2018-01-16 |
Genre | : Science |
ISBN | : 9783319708850 |
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Modern developments of Random Matrix Theory as well as pedagogical approaches to the standard core of the discipline are surprisingly hard to find in a well-organized, readable and user-friendly fashion. This slim and agile book, written in a pedagogical and hands-on style, without sacrificing formal rigor fills this gap. It brings Ph.D. students in Physics, as well as more senior practitioners, through the standard tools and results on random matrices, with an eye on most recent developments that are not usually covered in introductory texts. The focus is mainly on random matrices with real spectrum.The main guiding threads throughout the book are the Gaussian Ensembles. In particular, Wigner’s semicircle law is derived multiple times to illustrate several techniques (e.g., Coulomb gas approach, replica theory).Most chapters are accompanied by Matlab codes (stored in an online repository) to guide readers through the numerical check of most analytical results.
Spectral Analysis of Large Dimensional Random Matrices
Author | : Zhidong Bai,Jack W. Silverstein |
Publsiher | : Springer Science & Business Media |
Total Pages | : 560 |
Release | : 2009-12-10 |
Genre | : Mathematics |
ISBN | : 9781441906618 |
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The aim of the book is to introduce basic concepts, main results, and widely applied mathematical tools in the spectral analysis of large dimensional random matrices. The core of the book focuses on results established under moment conditions on random variables using probabilistic methods, and is thus easily applicable to statistics and other areas of science. The book introduces fundamental results, most of them investigated by the authors, such as the semicircular law of Wigner matrices, the Marcenko-Pastur law, the limiting spectral distribution of the multivariate F matrix, limits of extreme eigenvalues, spectrum separation theorems, convergence rates of empirical distributions, central limit theorems of linear spectral statistics, and the partial solution of the famous circular law. While deriving the main results, the book simultaneously emphasizes the ideas and methodologies of the fundamental mathematical tools, among them being: truncation techniques, matrix identities, moment convergence theorems, and the Stieltjes transform. Its treatment is especially fitting to the needs of mathematics and statistics graduate students and beginning researchers, having a basic knowledge of matrix theory and an understanding of probability theory at the graduate level, who desire to learn the concepts and tools in solving problems in this area. It can also serve as a detailed handbook on results of large dimensional random matrices for practical users. This second edition includes two additional chapters, one on the authors' results on the limiting behavior of eigenvectors of sample covariance matrices, another on applications to wireless communications and finance. While attempting to bring this edition up-to-date on recent work, it also provides summaries of other areas which are typically considered part of the general field of random matrix theory.
A First Course in Random Matrix Theory
Author | : Marc Potters,Jean-Philippe Bouchaud |
Publsiher | : Cambridge University Press |
Total Pages | : 371 |
Release | : 2020-12-03 |
Genre | : Computers |
ISBN | : 9781108488082 |
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An intuitive, up-to-date introduction to random matrix theory and free calculus, with real world illustrations and Big Data applications.