Generation of Random Orthogonal Matrices

DOI10.1137/0908055zbMath0637.65004OpenAlexW2074423218MaRDI QIDQ3777300

Leslie G. Underhill, T. W. Anderson, Ingram Olkin

Publication date: 1987

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0908055

zbMATH Keywords

simulationsingular value decompositionorthogonal groupHaar measureQR factorizationHouseholder transformationrandom orthogonal matriceseigenvalue decompositionGivens transformationschi-square random variablesbeta densitiesrandom normal numbers

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Measures on groups and semigroups, etc. (43A05) Random matrices (algebraic aspects) (15B52) Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99)

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