Introduction to random matrices. Theory and practice
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classical ensemblesfree probabilityorthogonal polynomial techniquesrandom matricesreplica approachspectral densities
General applied mathematics (00A69) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to linear algebra (15-01) Random matrices (algebraic aspects) (15B52) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Other physical applications of random processes (60K40)
Abstract: This is a book for absolute beginners. If you have heard about random matrix theory, commonly denoted RMT, but you do not know what that is, then welcome!, this is the place for you. Our aim is to provide a truly accessible introductory account of RMT for physicists and mathematicians at the beginning of their research career. We tried to write the sort of text we would have loved to read when we were beginning Ph.D. students ourselves. Our book is structured with light and short chapters, and the style is informal. The calculations we found most instructive are spelt out in full. Particular attention is paid to the numerical verification of most analytical results. Our book covers standard material - classical ensembles, orthogonal polynomial techniques, spectral densities and spacings - but also more advanced and modern topics - replica approach and free probability - that are not normally included in elementary accounts on RMT. This book is dedicated to the fond memory of Oriol Bohigas.
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- Identifiability analysis of linear ordinary differential equation systems with a single trajectory
- The high temperature crossover for general 2D Coulomb gases
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- Random matrix ensembles in hyperchaotic classical dissipative dynamic systems
- Entanglement and relative entropies for low-lying excited states in inhomogeneous one-dimensional quantum systems
- Stability of large complex systems with heterogeneous relaxation dynamics
- Optimization landscape in the simplest constrained random least-square problem
- Conditioning two diffusion processes with respect to their first-encounter properties
- Analysis of Bayesian inference algorithms by the dynamical functional approach
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- Perturbative construction of mean-field equations in extensive-rank matrix factorization and denoising
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- From entropic to energetic barriers in glassy dynamics: the Barrat-Mézard trap model on sparse networks
- A dynamical mean-field theory for learning in restricted Boltzmann machines
- The higher-order spectrum of simplicial complexes: a renormalization group approach
- Spectral theory of sparse non-Hermitian random matrices
- Top eigenpair statistics for weighted sparse graphs
- Analytic continuation over complex landscapes
- Bose–Einstein-like condensation of deformed random matrix: a replica approach
- Penalization-induced shrinking without rotation in high dimensional GLM regression: a cavity analysis
- Commutators of random matrices from the unitary and orthogonal groups
- The elliptic Ginibre ensemble: A unifying approach to local and global statistics for higher dimensions
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- Random matrices with row constraints and eigenvalue distributions of graph Laplacians
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- Replica approach to the generalized Rosenzweig-Porter model
- Beyond Fermi's golden rule with the statistical Jacobi approximation
- No-resonance conditions, random matrices, and quantum chaotic models
- Random matrices and the free energy of Ising-like models with disorder
- Matrix models for extremal and integrated correlators of higher rank
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- Semi-classical dilaton gravity and the very blunt defect expansion
- Top eigenpair statistics of diluted Wishart matrices
- Quantum dynamics in Krylov space: methods and applications
- Gaussian approximation of dynamic cavity equations for linearly-coupled stochastic dynamics
- Identifying patterns using cross-correlation random matrices derived from deterministic and stochastic differential equations
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- Random features and polynomial rules
- Hammerstein equations for sparse random matrices
- -shaped random matrices, -plane trees, and -Dyck paths
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- Non-Markovianity in the adapted Caldeira-Leggett model
- Weakly universal dynamical correlations between eigenvalues of large random matrices
- The Wishart-Rosenzweig-Porter random matrix ensemble
- Twisted moments of characteristic polynomials of random matrices in the unitary group
- Largest eigenvalue and top eigenvector statistics of large Euclidean random matrices
- Large deviations for the largest eigenvalues and eigenvectors of spiked Gaussian random matrices
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