Universality of the least singular value for the sum of random matrices

DOI10.1214/21-EJP603zbMATH Open1470.15031arXiv1908.04060OpenAlexW3144780717MaRDI QIDQ2042837FDOQ2042837

Authors: Ziliang Che, Patrick Lopatto 

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We consider the least singular value of $M=R^{\ast }XT+U^{\ast }YV$, where $R,T,U,V$ are independent Haar-distributed unitary matrices and $X,Y$ are deterministic diagonal matrices. Under weak conditions on $X$ and $Y$, we show that the limiting distribution of the least singular value of $M$, suitably rescaled, is the same as the limiting distribution for the least singular value of a matrix of i.i.d. gaussian random variables. Our proof is based on the dynamical method used by Che and Landon to study the local spectral statistics of sums of Hermitian matrices.

Full work available at URL: https://arxiv.org/abs/1908.04060

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zbMATH Keywords

random matrix theorysingular valueuniversalitysparse

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (3)

• Universality and least singular values of random matrix products: a simplified approach
• Central Limit Theorem for Linear Eigenvalue Statistics of <scp>Non‐Hermitian</scp> Random Matrices
• Universality of the least singular value for sparse random matrices

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