Eigenvalues and singular values of certain random matrices

DOI10.1016/0377-0427(90)90025-UMaRDI QIDQ913451zbMATH OpenFDO

Authors Alan L. Andrew

Publication date 1990

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-0427(90)90025-U

zbMATH Keywords

eigenvaluesrandom matricessingular valuestest matrices for numerical algorithms

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Review text

The author considers the eigenvalues and singular values of certain random matrices whose expected value is a non-null matrix of low rank. Emphasis is given to the case where the expected matrix has rank 1, and a variety of different results and bounds - analytic as well as heuristic - are presented. In adition, it is indicated how to obtain similar results from the case where the expected matrix has rank greater than 1.

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• Strong Law for the singular values and eigenvectors of random matrices I
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• Strong Law for the singular values and eigenvectors of random matrices III. Inequalities for the spectral radius of large random matrices
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Cites work

• A limit theorem for the norm of random matrices
• Computing Derivatives of Eigenvalues and Elgenvectors by Simultaneous Iteration
• Eigenvalue distributions of large Hermitian matrices; Wigner's semi- circle law and a theorem of Kac, Murdock, and Szegö
• Eigenvalues and Condition Numbers of Random Matrices
• Expected Conditioning
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• Inequalities between the Two Kinds of Eigenvalues of a Linear Transformation
• The 2-norm of random matrices
• The behavior of eigenvalues and singular values under perturbations of restricted rank

Cited in

(16)

• Henrici's transformation and its application to the computation of derivatives of eigensystems
• On the singular values of random matrices
• Linear functionals of eigenvalues of random matrices
• Exact relation between singular value and eigenvalue statistics
• scientific article; zbMATH DE number 6671920 (Why is no real title available?)
• Eigenvectors of a matrix under random perturbation
• Singular values of large non-central random matrices
• Identities and inequalities for the expected values of random matrices and loewner's theory
• scientific article; zbMATH DE number 1242982 (Why is no real title available?)
• Around the circular law
• A universal expectation bound on empirical projections of deformed random matrices
• Spectrum of Markov generators on sparse random graphs
• On the singular values of Gaussian random matrices
• Circular law for noncentral random matrices
• Finite rank perturbation of non-Hermitian random matrices: heavy tail and sparse regimes
• The Dirichlet Markov ensemble

Describes a project that uses

Uses Software

• Matlab

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