Generation of Random Orthogonal Matrices

DOI10.1137/0908055MaRDI QIDQ3777300zbMATH OpenOpenAlexFDO

Authors T. W. Anderson, Leslie G. Underhill, 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

beta densitieschi-square random variableseigenvalue decompositionGivens transformationsHaar measureHouseholder transformationorthogonal groupQR factorizationrandom normal numbersrandom orthogonal matricessimulationsingular value decomposition

Mathematics Subject Classification ID

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

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