Universality for Eigenvalue Algorithms on Sample Covariance Matrices

DOI10.1137/17M1110900zbMath1378.65089arXiv1701.01896MaRDI QIDQ4594907

Thomas Trogdon, Percy A. Deift

Publication date: 27 November 2017

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.01896

zbMATH Keywords

algorithmeigenvectoruniversalityrandom matrixcomplexity estimatecovariance matriceseigenvalue computationuniversal limit theoremQR eigenvalue algorithminverse power methods

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Random matrices (algebraic aspects) (15B52)

Related Items (8)

Universal statistics of incubation periods and other detection times via diffusion models ⋮ Universality for the Conjugate Gradient and MINRES Algorithms on Sample Covariance Matrices ⋮ Three Lectures on “Fifty Years of KdV: An Integrable System” ⋮ Universal halting times in optimization and machine learning ⋮ Mini-workshop: Reflectionless operators: the Deift and Simon conjectures. Abstracts from the mini-workshop held October 22--28, 2017 ⋮ Some open problems in random matrix theory and the theory of integrable systems. II ⋮ Universality in numerical computation with random data: Case studies and analytical results ⋮ The conjugate gradient algorithm on a general class of spiked covariance matrices

Uses Software

• numericaluniversality

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