The asymptotic distribution of the condition number for random circulant matrices

DOI10.1007/S10687-022-00442-WMaRDI QIDQ2093404zbMATH OpenOpenAlexWikidataFDO

Authors Gerardo Barrera, Paulo Cesar Manrique Mirón

Publication date 8 November 2022

Published in Extremes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2109.02282

zbMATH Keywords

circulant random matricescondition numberFréchet distributionGumbel distributionLyapunov integrability conditionRayleigh distribution

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Probability distributions: general theory (60E05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Ill-posedness and regularization problems in numerical linear algebra (65F22) Numerical computation of matrix norms, conditioning, scaling (65F35)

Abstract: In this manuscript, we study the limiting distribution for the joint law of the largest and the smallest singular values for random circulant matrices with generating sequence given by independent and identically distributed random elements satisfying the so-called Lyapunov condition. Under an appropriated normalization, the joint law of the extremal singular values converges in distribution, as the matrix dimension tends to infinity, to an independent product of Rayleigh and Gumbel laws. The latter implies that a normalized condition number converges in distribution to a Fr'echet law as the dimension of the matrix increases.

Review text

The condition number was independently introduced by \textit{H. H. Goldstine} and \textit{J. von Neumann} [Proc. Am. Math. Soc. 2, 188--202 (1951; Zbl 0043.12301); Bull. Am. Math. Soc. 53, 1021--1099 (1947; Zbl 0031.31402)] and by \textit{A. M. Turing} [Q. J. Mech. Appl. Math. 1, 287--308 (1948; Zbl 0033.28501)] for studying the accuracy in the solution of a linear system in the presence of finite-precision arithmetic. In this paper, the authors study the limiting distribution for the joint law of the largest and the smallest singular values for random circulant matrices with generating sequences given by independent and identically distributed random elements satisfying the so-called Lyapunov condition. Under an appropriated normalization, the joint law of the extremal singular values converges in distribution, as the matrix dimension tends to infinity, to an independent product of Rayleigh and Gumbel laws.

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Cited in

(2)

• On the asymptotic distribution of integer matrices
• The smallest singular value of large random rectangular Toeplitz and circulant matrices

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