The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices (Q531808): Difference between revisions
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Let \(X_n\) be an \(n\times n\) Hermitian or symmetric random matrix. Let \(P_n\) be an \(n\times n\) Hermitian or symmetric matrix of rank \(r\). The authors study the behaviour of the eigenvalues and eigenvectors of perturbations of \(X_n\) by \(P_n\), namely \(X_n+P_n\), \(X_n(I_n+P_n)\), \((I_n+P_n)^{1/2}X_n(I_n+P_n)^{1/2}\). Almost sure convergence of the extreme eigenvalues and of the projections of the corresponding eigenvectors on the eigenspaces of \(P_n\) are proven. The limiting eigenvalue is shown to depend explicitly on the limiting eigenvalue distribution of \(X_n\). A threshold is found where the limit as \(n\to\infty\) of the extreme eigenvalues of the perturbed matrix differ from those of \(X_n\) if and only if the eigenvalues of \(P_n\) are above that threshold. An analogous phase transition is found for the eigenvectors. | |||
Property / review text: Let \(X_n\) be an \(n\times n\) Hermitian or symmetric random matrix. Let \(P_n\) be an \(n\times n\) Hermitian or symmetric matrix of rank \(r\). The authors study the behaviour of the eigenvalues and eigenvectors of perturbations of \(X_n\) by \(P_n\), namely \(X_n+P_n\), \(X_n(I_n+P_n)\), \((I_n+P_n)^{1/2}X_n(I_n+P_n)^{1/2}\). Almost sure convergence of the extreme eigenvalues and of the projections of the corresponding eigenvectors on the eigenspaces of \(P_n\) are proven. The limiting eigenvalue is shown to depend explicitly on the limiting eigenvalue distribution of \(X_n\). A threshold is found where the limit as \(n\to\infty\) of the extreme eigenvalues of the perturbed matrix differ from those of \(X_n\) if and only if the eigenvalues of \(P_n\) are above that threshold. An analogous phase transition is found for the eigenvectors. / rank | |||
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Property / reviewed by: Martín Argerami / rank | |||
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Property / Mathematics Subject Classification ID: 15B52 / rank | |||
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Property / Mathematics Subject Classification ID: 15A18 / rank | |||
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Property / Mathematics Subject Classification ID: 46L54 / rank | |||
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Property / Mathematics Subject Classification ID: 60B20 / rank | |||
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Property / Mathematics Subject Classification ID: 62H25 / rank | |||
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Property / Mathematics Subject Classification ID: 82B26 / rank | |||
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Property / zbMATH DE Number: 5880832 / rank | |||
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random matrices | |||
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Haar measure | |||
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principal components analysis | |||
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informational limit | |||
Property / zbMATH Keywords: informational limit / rank | |||
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free probability | |||
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phase transition | |||
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random eigenvalues | |||
Property / zbMATH Keywords: random eigenvalues / rank | |||
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random eigenvectors | |||
Property / zbMATH Keywords: random eigenvectors / rank | |||
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random perturbation | |||
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sample covariance matrices | |||
Property / zbMATH Keywords: sample covariance matrices / rank | |||
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symmetric matrix | |||
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eigenvalue distribution | |||
Property / zbMATH Keywords: eigenvalue distribution / rank | |||
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Revision as of 08:01, 1 July 2023
scientific article
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English | The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices |
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The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices (English)
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20 April 2011
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Let \(X_n\) be an \(n\times n\) Hermitian or symmetric random matrix. Let \(P_n\) be an \(n\times n\) Hermitian or symmetric matrix of rank \(r\). The authors study the behaviour of the eigenvalues and eigenvectors of perturbations of \(X_n\) by \(P_n\), namely \(X_n+P_n\), \(X_n(I_n+P_n)\), \((I_n+P_n)^{1/2}X_n(I_n+P_n)^{1/2}\). Almost sure convergence of the extreme eigenvalues and of the projections of the corresponding eigenvectors on the eigenspaces of \(P_n\) are proven. The limiting eigenvalue is shown to depend explicitly on the limiting eigenvalue distribution of \(X_n\). A threshold is found where the limit as \(n\to\infty\) of the extreme eigenvalues of the perturbed matrix differ from those of \(X_n\) if and only if the eigenvalues of \(P_n\) are above that threshold. An analogous phase transition is found for the eigenvectors.
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random matrices
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Haar measure
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principal components analysis
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informational limit
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free probability
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phase transition
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random eigenvalues
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random eigenvectors
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random perturbation
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sample covariance matrices
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symmetric matrix
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eigenvalue distribution
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