Least singular value and condition number of a square random matrix with i.i.d. rows (Q2244514)
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English | Least singular value and condition number of a square random matrix with i.i.d. rows |
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Least singular value and condition number of a square random matrix with i.i.d. rows (English)
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12 November 2021
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The authors investigate the general probability distributions on \(\mathbb R^n\) and, using the notion of a mould, they generalize some results about the least singular value \(\sigma_{\min}\) and the condition number \(\kappa\) of random matrices with independent and identically distributed rows. The two main results are as follows. \begin{itemize} \item[1.] If \(\tilde X\) is a square random matrix with i.i.d. rows, then \[ \liminf_{\varepsilon\to 0^+}\frac{\mathbb P\left(\sigma_{\min}(\tilde X)<\varepsilon\right)}{\varepsilon}>0. \] Moreover, if \(\tilde X\) is invertible almost surely, then \[ \mathbb E\left[\frac 1{|\sigma_{\min}(\tilde X)|}\right]=\mathbb E\left[||\tilde X^{-1}||\right]=\infty. \] \item[2.] For any square random matrix \(\tilde X\) with i.i.d. rows and for any matrix norm \[ \mathbb E\left[\kappa(\tilde X)\right]=\infty. \] \end{itemize}
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least singular value
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condition number
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random matrix
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