Sampling the eigenvalues of random orthogonal and unitary matrices

DOI10.1016/J.LAA.2021.02.031zbMATH Open1479.15036arXiv2009.11515OpenAlexW3135389212MaRDI QIDQ2020693FDOQ2020693

Leonardo Robol, Massimiliano Fasi

Publication date: 24 April 2021

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Abstract: We develop an efficient algorithm for sampling the eigenvalues of random matrices distributed according to the Haar measure over the orthogonal or unitary group. Our technique samples directly a factorization of the Hessenberg form of such matrices, and then computes their eigenvalues with a tailored core-chasing algorithm. This approach requires a number of floating-point operations that is quadratic in the order of the matrix being sampled, and can be adapted to other matrix groups. In particular, we explain how it can be used to sample the Haar measure over the special orthogonal and unitary groups and the conditional probability distribution obtained by requiring the determinant of the sampled matrix be a given complex number on the complex unit circle.

Full work available at URL: https://arxiv.org/abs/2009.11515

zbMATH Keywords

random matrixorthogonal matrixunitary matrixHaar distributioneigenvalue sampling

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Factorization of matrices (15A23) Random matrices (algebraic aspects) (15B52) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Orthogonal matrices (15B10)

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Cited In (3)

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• Random orthogonal matrix simulation
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Uses Software

• UDC

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