An Introduction to Random Matrices

DOI10.1017/cbo9780511801334zbMath1184.15023OpenAlexW653925602MaRDI QIDQ3651575

Greg W. Anderson, Alice Guionnet, Ofer Zeitouni

Publication date: 11 December 2009

Full work available at URL: https://doi.org/10.1017/cbo9780511801334

zbMATH Keywords

monographStieltjes transformspectral radiusrandom matricesFredholm determinantscentral limit theoremsWigner matricesfree probabilityTracy-Widom distributionsemicircle lawWishart matricesgap probabilityGaussian ensemblesWigner's Theoremjoint distributions of eigenvalues

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to linear algebra (15-01)

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Spectrum of random convolution operators on large finite groups ⋮ The IDS and asymptotic of the largest eigenvalue of random Schrödinger operators with decaying random potential ⋮ Unnamed Item ⋮ Large deviations for disordered bosons and multiple orthogonal polynomial ensembles ⋮ Stochastic geometry and dynamics of infinitely many particle systems—random matrices and interacting Brownian motions in infinite dimensions ⋮ Wigner law for matrices with dependent entries—a perturbative approach ⋮ On High Moments of Strongly Diluted Large Wigner Random Matrices ⋮ Dyson Processes on the Octonion Algebra ⋮ The norm of polynomials in large random and deterministic matrices ⋮ A concentration inequality and a local law for the sum of two random matrices ⋮ Large deviations of the extreme eigenvalues of random deformations of matrices ⋮ Support convergence in the single ring theorem ⋮ Continuum statistics of the Airy\(_{2}\) process ⋮ Asymptotic expansion of \(\beta \) matrix models in the one-cut regime ⋮ Universality properties of Gelfand-Tsetlin patterns ⋮ On the maximal size of large-average and ANOVA-fit submatrices in a Gaussian random matrix ⋮ The moment convergence rates for largest eigenvalues of \(\beta\) ensembles ⋮ On finite rank deformations of Wigner matrices ⋮ Supremum of the \(\mathrm{Airy}_{2}\) process minus a parabola on a half line ⋮ Gaussian multiplicative chaos for symmetric isotropic matrices ⋮ Eigenvector distribution of Wigner matrices ⋮ Markov processes of infinitely many nonintersecting random walks ⋮ Concentration and convergence rates for spectral measures of random matrices ⋮ Random matrices: Universality of local eigenvalue statistics up to the edge ⋮ Empirical spectral distributions of sparse random graphs ⋮ Malliavin calculus for non-colliding particle systems ⋮ Three-parametric Marcenko-Pastur density ⋮ Discrete approximations of determinantal point processes on continuous spaces: tree representations and tail triviality ⋮ Traffic distributions of random band matrices ⋮ A random walk approach to linear statistics in random tournament ensembles ⋮ Mesoscopic fluctuations for unitary invariant ensembles ⋮ Contiguity and non-reconstruction results for planted partition models: the dense case ⋮ Circular law for the sum of random permutation matrices ⋮ Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix ⋮ Random Laplacian matrices and convex relaxations ⋮ Hydrodynamic limit of multiple SLE ⋮ Loop models, random matrices and planar algebras ⋮ On the limiting spectral density of random matrices filled with stochastic processes ⋮ The \((q, t)\)-Gaussian process ⋮ Two-dimensional elliptic determinantal point processes and related systems ⋮ Small gaps of GOE ⋮ A rate of convergence for the circular law for the complex Ginibre ensemble ⋮ Sharp asymptotics for Fredholm pfaffians related to interacting particle systems and random matrices ⋮ Phase transitions for products of characteristic polynomials under Dyson Brownian motion ⋮ The Curie-Weiss model with complex temperature: phase transitions ⋮ Book review of: A. Bose, Patterned random matrices ⋮ Eigenvectors distribution and quantum unique ergodicity for deformed Wigner matrices ⋮ Fast sampling from \(\beta \)-ensembles ⋮ Moderate deviations for extreme eigenvalues of real-valued sample covariance matrices ⋮ A functional CLT for partial traces of random matrices ⋮ \(W\)-entropy formulas on super Ricci flows and Langevin deformation on Wasserstein space over Riemannian manifolds ⋮ Fluctuations of particle systems determined by Schur generating functions ⋮ An emergent autonomous flow for mean-field spin glasses ⋮ On collision of multiple eigenvalues for matrix-valued Gaussian processes ⋮ Lyapunov exponents of the half-line SHE ⋮ Macdonald-level extension of beta ensembles and large-\(N\) limit transition ⋮ Tracy-Widom distribution, Airy\(_2\) process and its sample path properties ⋮ Quantitative estimates of propagation of chaos for stochastic systems with \(W^{-1,\infty}\) kernels ⋮ How much can the eigenvalues of a random Hermitian matrix fluctuate? ⋮ A central limit theorem for star-generators of \({S}_{\infty }\), which relates to the law of a GUE matrix ⋮ A law of the iterated logarithm for directed last passage percolation ⋮ Semicircle law for generalized Curie-Weiss matrix ensembles at subcritical temperature ⋮ Optimality and sub-optimality of PCA. I: Spiked random matrix models ⋮ Roots of random polynomials with coefficients of polynomial growth ⋮ Asymptotic windings of the block determinants of a unitary Brownian motion and related diffusions ⋮ Rate of convergence for products of independent non-Hermitian random matrices ⋮ High-dimensional central limit theorems for a class of particle systems ⋮ Universality of the least singular value for the sum of random matrices ⋮ Fluctuation around the circular law for random matrices with real entries ⋮ Holographic entanglement negativity and replica symmetry breaking ⋮ Spectral fluctuations for Schrödinger operators with a random decaying potential ⋮ On the Laughlin function and its perturbations ⋮ Sum rules via large deviations: extension to polynomial potentials and the multi-cut regime ⋮ Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ Recent advances on eigenvalues of matrix-valued stochastic processes ⋮ The spectral norm of random lifts of matrices ⋮ Triviality of the geometry of mixed \(p\)-spin spherical Hamiltonians with external field ⋮ Scattering in quantum dots via noncommutative rational functions ⋮ Asymptotic behaviour of linear eigenvalue statistics of Hankel matrices ⋮ Optimal delocalization for generalized Wigner matrices ⋮ Gap probability for products of random matrices in the critical regime ⋮ Eigenvector distribution in the critical regime of BBP transition ⋮ Universality for Langevin-like spin glass dynamics ⋮ Random matrix theory and its applications ⋮ A vector Riemann-Hilbert approach to the Muttalib-Borodin ensembles ⋮ Thermalisation for Wigner matrices ⋮ Thin-shell theory for rotationally invariant random simplices ⋮ Hausdorff dimensions for shared endpoints of disjoint geodesics in the directed landscape ⋮ Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices ⋮ GUE corners process in boundary-weighed six-vertex models ⋮ Fluctuations for matrix-valued Gaussian processes ⋮ Spectrum and pseudospectrum for quadratic polynomials in Ginibre matrices ⋮ Optimal multi-resolvent local laws for Wigner matrices ⋮ Freezing limits for beta-Cauchy ensembles ⋮ Three-halves variation of geodesics in the directed landscape ⋮ The many faces of the stochastic zeta function ⋮ Marginals of a spherical spin Glass model with correlated disorder ⋮ Optimal signal detection in some spiked random matrix models: likelihood ratio tests and linear spectral statistics ⋮ Exact minimax risk for linear least squares, and the lower tail of sample covariance matrices ⋮ Noncolliding Macdonald walks with an absorbing wall ⋮ Asymptotic expansions for a class of Fredholm Pfaffians and interacting particle systems ⋮ Concentration inequality around the thermal equilibrium measure of Coulomb gases ⋮ Duality for optimal couplings in free probability ⋮ Lozenge tilings and the Gaussian free field on a cylinder ⋮ Asymptotics of the inertia moments and the variance conjecture in Schatten balls ⋮ Skew information-based coherence generating power of quantum channels ⋮ Power spectrum of the circular unitary ensemble ⋮ Central limit theorems for the brownian motion on large unitary groups ⋮ On the probability of positive-definiteness in the gGUE via semi-classical Laguerre polynomials ⋮ Heat kernel empirical laws on \({\mathrm {U}}_N\) and \({\mathrm {GL}}_N\) ⋮ Average-case complexity without the black swans ⋮ FREE DETERMINISTIC EQUIVALENTS, RECTANGULAR RANDOM MATRIX MODELS, AND OPERATOR-VALUED FREE PROBABILITY THEORY ⋮ The extremal process of critical points of the pure \(p\)-spin spherical spin Glass model ⋮ Delocalization at small energy for heavy-tailed random matrices ⋮ TRUNCATIONS OF HAAR DISTRIBUTED MATRICES, TRACES AND BIVARIATE BROWNIAN BRIDGES ⋮ The zeta function on the critical line: Numerical evidence for moments and random matrix theory models ⋮ Dropping the independence: singular values for products of two coupled random matrices ⋮ Convergence of the empirical spectral distribution of Gaussian matrix-valued processes ⋮ Global fluctuations for 1D log-gas dynamics. Covariance kernel and support ⋮ Universality of the least singular value for sparse random matrices ⋮ Renormalized energy concentration in random matrices ⋮ Average discrete energies of spectra of Gaussian random matrices ⋮ Extremal eigenvalues and eigenvectors of deformed Wigner matrices ⋮ Large deviation for outlying coordinates in \({\beta}\) ensembles ⋮ EIGENVALUE VARIANCE BOUNDS FOR WIGNER AND COVARIANCE RANDOM MATRICES ⋮ Universality of local eigenvalue statistics in random matrices with external source ⋮ Thin-shell concentration for convex measures ⋮ A transportation approach to universality in random matrix theory ⋮ Nonstandard limit theorems and large deviations for the Jacobi beta ensemble ⋮ An elementary approach to free entropy theory for convex potentials ⋮ Gaussian asymptotics of discrete \(\beta \)-ensembles ⋮ High-dimensional limits of eigenvalue distributions for general Wishart process ⋮ On the law of large numbers for the empirical measure process of generalized Dyson Brownian motion ⋮ Parameter symmetry in perturbed GUE corners process and reflected drifted Brownian motions ⋮ Circular law for sparse random regular digraphs ⋮ The recovery of complex sparse signals from few phaseless measurements ⋮ A CLT concerning critical points of random functions on a Euclidean space ⋮ Permanental processes from products of complex and quaternionic induced Ginibre ensembles ⋮ Random matrices with log-range correlations, and log-Sobolev inequalities ⋮ Error bounds for kernel density estimator of spectral distribution for Gaussian unitary ensembles ⋮ Large deviations for the largest eigenvalue of sub-Gaussian matrices ⋮ The \(\mathrm{Sine}_{\beta}\) operator ⋮ Tridiagonal random matrix: Gaussian fluctuations and deviations ⋮ Edge statistics for a class of repulsive particle systems ⋮ RDS free CLT for spiked eigenvalues of high-dimensional covariance matrices ⋮ Point processes, hole events, and large deviations: random complex zeros and Coulomb gases ⋮ Harnessing uncertainty to approximate mechanistic models of interspecific interactions ⋮ Fluctuations for stationary \(q\)-TASEP ⋮ General β-Jacobi Corners Process and the Gaussian Free Field ⋮ Determinantal point processes ⋮ Book review of: J. A. Mingo and R. Speicher, Free probability and random matrices ⋮ Spectrum of SYK model ⋮ Strong solutions to a beta-Wishart particle system ⋮ Some algebraic structures in KPZ universality ⋮ Stationary solutions and local equations for interacting diffusions on regular trees ⋮ Local single ring theorem on optimal scale ⋮ Exceptional times when the KPZ fixed point violates Johansson's conjecture on maximizer uniqueness ⋮ An efficient superpostional quantum Johnson-Lindenstrauss lemma via unitary \(t\)-designs ⋮ Orthogonal polynomials for self-dual weights ⋮ Singular value distribution of dense random matrices with block Markovian dependence ⋮ Exponential growth of random determinants beyond invariance ⋮ Airy point process via supersymmetric lifts ⋮ Level crossing in random matrices: I. Random perturbation of a fixed matrix ⋮ Small deviation estimates for the largest eigenvalue of Wigner matrices ⋮ On the singular values of complex matrix Brownian motion with a matrix drift ⋮ Large deviation principles via spherical integrals ⋮ Wavelet eigenvalue regression in high dimensions ⋮ Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails ⋮ Asymptotic expansion of smooth functions in polynomials in deterministic matrices and iid GUE matrices ⋮ A multilinear algebra proof of the Cauchy-Binet formula and a multilinear version of Parseval's identity ⋮ Hurwitz and the origins of random matrix theory in mathematics ⋮ Sum rules and large deviations for spectral measures on the unit circle ⋮ Free fermion six vertex model: symmetric functions and random domino tilings ⋮ Squared eigenvalue condition numbers and eigenvector correlations from the single ring theorem ⋮ Metric and classical fidelity uncertainty relations for random unitary matrices ⋮ Integrable probability: from representation theory to MacDonald processes ⋮ Matrix regularizing effects of Gaussian perturbations ⋮ Asymptotically liberating sequences of random unitary matrices ⋮ Coupling functions for domino tilings of Aztec diamonds ⋮ Universality of general \(\beta\)-ensembles ⋮ Random matrix techniques in quantum information theory ⋮ On the asymptotic distribution of block-modified random matrices ⋮ Higher-Dimensional Coulomb Gases and Renormalized Energy Functionals ⋮ A note on the simulation of the Ginibre point process ⋮ h-Transforms and Orthogonal Polynomials ⋮ The interpolating Airy kernels for the \(\beta=1\) and \(\beta=4\) elliptic Ginibre ensembles ⋮ On the universality of the non-singularity of general Ginibre and Wigner random matrices ⋮ Convergence rates of spectral distributions of large dimensional quaternion sample covariance matrices ⋮ Simultaneous large deviations for the shape of Young diagrams associated with random words ⋮ Matrix optimization under random external fields ⋮ Asymptotics for the partition function in two-cut random matrix models ⋮ Bulk behaviour of some patterned block matrices ⋮ From random matrices to long range dependence ⋮ Ewens Measures on Compact Groups and Hypergeometric Kernels ⋮ Fluctuations of Linear Eigenvalue Statistics of Random Band Matrices ⋮ On the spectrum of random anti-symmetric and tournament matrices ⋮ k-Extendibility of high-dimensional bipartite quantum states ⋮ Self-similarity in the circular unitary ensemble ⋮ Central limit theorems for biorthogonal ensembles and asymptotics of recurrence coefficients ⋮ Jacobi polynomial moments and products of random matrices ⋮ Outlier Eigenvalues for Deformed I.I.D. Random Matrices ⋮ Testing for high-dimensional geometry in random graphs ⋮ On connections between the theory of random operators and the theory of random matrices ⋮ RANDOM MATRICES: SHARP CONCENTRATION OF EIGENVALUES ⋮ Eigenvalues of Random Matrices with Isotropic Gaussian Noise and the Design of Diffusion Tensor Imaging Experiments ⋮ Bulk universality of general β-ensembles with non-convex potential ⋮ Universality in bipartite mean field spin glasses ⋮ Coulomb and Riesz gases: The known and the unknown ⋮ On the Cartan decomposition for classical random matrix ensembles ⋮ Concentration estimates for random subspaces of a tensor product and application to quantum information theory ⋮ On the mean density of states of some matrices related to the beta ensembles and an application to the Toda lattice ⋮ Operator Shifting for General Noisy Matrix Systems ⋮ The elliptic Ginibre ensemble: A unifying approach to local and global statistics for higher dimensions ⋮ Singularities of Solutions to Quadratic Vector Equations on the Complex Upper Half‐Plane ⋮ Lyapunov exponent, universality and phase transition for products of random matrices ⋮ A stochastic analysis approach to lattice Yang-Mills at strong coupling ⋮ Last passage isometries for the directed landscape ⋮ Hitting probabilities of Gaussian random fields and collision of eigenvalues of random matrices ⋮ A CLT for the characteristic polynomial of random Jacobi matrices, and the G\(\beta\)E ⋮ Asymptotics of rectangular spherical integrals ⋮ Limit theorems and large deviations for \(\beta\)-Jacobi ensembles at scaling temperatures ⋮ Spectrum of SYK model II: Central limit theorem ⋮ Large \(N\) limit of Yang-Mills partition function and Wilson loops on compact surfaces ⋮ Gelfand-Tsetlin polytopes and random contractions away from the limiting shape ⋮ Local law and rigidity for unitary Brownian motion ⋮ Upper tail of the spectral radius of sparse Erdös-Rényi graphs ⋮ Numerical Solution of Free Stochastic Differential Equations ⋮ Fluctuation moments induced by conjugation with asymptotically liberating random matrix ensembles ⋮ Matrix concentration inequalities and free probability ⋮ Spectral graph matching and regularized quadratic relaxations. I: Algorithm and Gaussian analysis ⋮ Unified limits and large deviation principles for \(\beta\)-Laguerre ensembles in global regime ⋮ Gaussian fluctuations for interacting particle systems with singular kernels ⋮ Global eigenvalue fluctuations of random biregular bipartite graphs ⋮ Limit theorems for moment processes of beta Dyson’s Brownian motions and beta Laguerre processes ⋮ Central Limit Theorem for Linear Eigenvalue Statistics of <scp>Non‐Hermitian</scp> Random Matrices ⋮ Precise deviations for discrete ensembles ⋮ The semiclassical limit of a quantum Zeno dynamics ⋮ Universal cutoff for Dyson Ornstein Uhlenbeck process ⋮ The sampling complexity on nonconvex sparse phase retrieval problem ⋮ The ground state energy and concentration of complexity in spherical bipartite models ⋮ Large deviations for top eigenvalues of \(\beta\)-Jacobi ensembles at scaling temperatures ⋮ On thermodynamic and ultraviolet stability bounds for bosonic lattice QCD models in Euclidean dimensions d = 2,3,4 ⋮ On convergence of form factor expansions in the infinite volume quantum sinh-Gordon model in \(1+1\) dimensions ⋮ Spectral distribution of random matrices from mutually unbiased bases ⋮ Stochastic analysis of infinite particle systems—A new development in classical stochastic analysis and dynamical universality of random matrices ⋮ Rare events in random matrix theory ⋮ Freezing limits for Calogero–Moser–Sutherland particle models ⋮ Random tensor networks with non-trivial links ⋮ Random band and block matrices with correlated entries ⋮ Norms of structured random matrices ⋮ Asymptotic freeness of unitary matrices in tensor product spaces for invariant states ⋮ Covariance kernel of linear spectral statistics for half-heavy tailed Wigner matrices ⋮ Exact solution of interacting particle systems related to random matrices ⋮ Spectral asymptotics for contracted tensor ensembles ⋮ A global large deviation principle for discrete \(\beta \)-ensembles ⋮ Operator shifting for noisy elliptic systems ⋮ On eigenvalues of the Brownian sheet matrix ⋮ Algebraic structures underlying quantum independences: theory and applications ⋮ Patterned sparse random matrices: A moment approach ⋮ The circular law for random regular digraphs with random edge weights ⋮ The free field: realization via unbounded operators and Atiyah property ⋮ Proof methods in random matrix theory ⋮ On systems of particles in singular repulsive interaction in dimension one: log and Riesz gas ⋮ Experiments with holographic associative memory ⋮ Necessary and sufficient conditions for convergence to the semicircle distribution ⋮ Large deviations for Ablowitz-Ladik lattice, and the Schur flow ⋮ The eigenvector LSD of information plus noise matrices and its application to linear regression model ⋮ High-dimensional estimation of quadratic variation based on penalized realized variance ⋮ A Spectral Method for Joint Community Detection and Orthogonal Group Synchronization ⋮ On estimating the structure factor of a point process, with applications to hyperuniformity ⋮ The mereology of thermodynamic equilibrium ⋮ On the distribution of eigenvalues of increasing trees ⋮ Asymptotic expansion of matrix models in the multi-cut regime ⋮ Limiting spectral distribution of stochastic block model ⋮ Random matrices associated to Young diagrams ⋮ Asymptotic expansions relating to the distribution of the length of longest increasing subsequences ⋮ On the integrable structure of deformed sine kernel determinants ⋮ Stochastic differential equations for Infinite particle systems of jump type with long range interactions ⋮ Traffic distributions and independence. II: Universal constructions for traffic spaces ⋮ On the spectral norm of Gaussian random matrices ⋮ Thinning and conditioning of the circular unitary ensemble ⋮ Largest eigenvalue of large random block matrices: A combinatorial approach ⋮ The Smith Normal Form Distribution of A Random Integer Matrix ⋮ Concentration for noncommutative polynomials in random matrices ⋮ Convergence of the spectral measure of non-normal matrices ⋮ Real second order freeness and Haar orthogonal matrices ⋮ Local deformed semicircle law and complete delocalization for Wigner matrices with random potential ⋮ Kerov's interlacing sequences and random matrices ⋮ Entanglement Thresholds for Random Induced States ⋮ From Boltzmann to random matrices and beyond ⋮ Central limit theorem for moments of spectral measures of Wigner matrices ⋮ High-temperature expansions and message passing algorithms ⋮ Matrix Liberation Process II: Relation to Orbital Free Entropy ⋮ Exact equivalences and phase discrepancies between random matrix ensembles ⋮ Fine asymptotics for models with Gamma type moments ⋮ Large deviations and a new sum rule for spectral matrix measures of the Jacobi ensemble ⋮ Spectra of adjacency and Laplacian matrices of inhomogeneous Erdős–Rényi random graphs ⋮ Joint global fluctuations of complex Wigner and deterministic matrices ⋮ Moderate deviations for linear eigenvalue statistics of β-ensembles ⋮ A Unifying Tutorial on Approximate Message Passing ⋮ A central limit theorem for star-generators of S∞, which relates to traceless CCR-GUE matrices ⋮ Fractional free convolution powers ⋮ On the non-commutative multifractional Brownian motion ⋮ From Painlevé to Zakharov–Shabat and beyond: Fredholm determinants and integro-differential hierarchies ⋮ Phase transition in random noncommutative geometries ⋮ A Dichotomous Behavior of Guttman-Kaiser Criterion from Equi-Correlated Normal Population ⋮ Universal characteristics of deep neural network loss surfaces from random matrix theory