Sampling the eigenvalues of random orthogonal and unitary matrices (Q2020693): Difference between revisions
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Revision as of 06:34, 5 March 2024
scientific article
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English | Sampling the eigenvalues of random orthogonal and unitary matrices |
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Sampling the eigenvalues of random orthogonal and unitary matrices (English)
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24 April 2021
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The authors develop an efficient algorithm for sampling the eigenvalues of random matrices distributed according to the Haar measure over the orthogonal or unitary group. Their approach uses a technique of \textit{G. W. Stewart} [SIAM J. Numer. Anal. 17, 403--409 (1980; Zbl 0443.65027)] for sampling the upper Hessenberg form of Haar-distributed matrices, and an algorithm for computing the eigenvalues of an \(n\times n\) upper Hesenberg unitary or orthogonal matrix in \(O(n^2)\) flops. Using the unitary QR algorithm (a special case of a rootfinding algorithm of the second author and others [\textit{J. L. Aurentz} et al., SIAM J. Matrix Anal. Appl. 39, No. 3, 1245--1269 (2018; Zbl 1398.65056)]), their technique samples a factorization of the Hessenberg form and computes the eigenvalues with a core-chasing algorithm. The number of floating point operations required is quadratic in the order of the sampled matrix.
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random matrix
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unitary matrix
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orthogonal matrix
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eigenvalue sampling
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Haar distribution
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