Sampling the eigenvalues of random orthogonal and unitary matrices

DOI10.1016/J.LAA.2021.02.031MaRDI QIDQ2020693zbMATH OpenOpenAlexFDO

Authors Massimiliano Fasi, Leonardo Robol

Publication date 24 April 2021

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

Copyright license Creative Commons Attribution 4.0 International

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)

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.

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Cited in

(8)

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Describes a project that uses

Uses Software

• UDC

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