Eigenvalue attraction

DOI10.1007/S10955-015-1424-5zbMATH Open1356.15016arXiv1404.4113OpenAlexW3037437418MaRDI QIDQ267728FDOQ267728

Authors: Ramis Movassagh 

Publication date: 11 April 2016

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We prove that the complex conjugate (c.c.) eigenvalues of a smoothly varying real matrix attract (Eq. 15). We offer a dynamical perspective on the motion and interaction of the eigenvalues in the complex plane, derive their governing equations and discuss applications. C.c. pairs closest to the real axis, or those that are ill-conditioned, attract most strongly and can collide to become exactly real. As an application we consider random perturbations of a fixed matrix $M$. If $M$ is Normal, the total expected force on any eigenvalue is shown to be only the attraction of its c.c. (Eq. 24) and when $M$ is circulant the strength of interaction can be related to the power spectrum of white noise. We extend this by calculating the expected force (Eq. 41) for real stochastic processes with zero-mean and independent intervals. To quantify the dominance of the c.c. attraction, we calculate the variance of other forces. We apply the results to the Hatano-Nelson model and provide other numerical illustrations. It is our hope that the simple dynamical perspective herein might help better understanding of the aggregation and low density of the eigenvalues of real random matrices on and near the real line respectively. In the appendix we provide a Matlab code for plotting the trajectories of the eigenvalues.

Full work available at URL: https://arxiv.org/abs/1404.4113

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zbMATH Keywords

random matrix theoryBrownian motioncirculant matriceseigenvalue perturbation theoryHatano-Nelson modelHermitian matricesnormal matricessymmetric matrices

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Hermitian, skew-Hermitian, and related matrices (15B57) Random matrices (probabilistic aspects) (60B20) Brownian motion (60J65)

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Cited In (7)

• The distribution of overlaps between eigenvectors of Ginibre matrices
• Coalescing Eigenvalues and Crossing Eigencurves of 1-Parameter Matrix Flows
• Mean left-right eigenvector self-overlap in the real Ginibre ensemble
• On statistics of bi-orthogonal eigenvectors in real and complex Ginibre ensembles: combining partial Schur decomposition with supersymmetry
• Probing non-orthogonality of eigenvectors in non-Hermitian matrix models: diagrammatic approach
• Eigenpairs of Toeplitz and disordered Toeplitz matrices with a Fisher-Hartwig symbol
• Full Dysonian dynamics of the complex Ginibre ensemble

Uses Software

• Matlab

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