Introduction to random matrices. Theory and practice
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Publication:4595265
random matricesfree probabilityspectral densitiesreplica approachorthogonal polynomial techniquesclassical ensembles
Random matrices (algebraic aspects) (15B52) General applied mathematics (00A69) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to linear algebra (15-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Other physical applications of random processes (60K40)
Abstract: This is a book for absolute beginners. If you have heard about random matrix theory, commonly denoted RMT, but you do not know what that is, then welcome!, this is the place for you. Our aim is to provide a truly accessible introductory account of RMT for physicists and mathematicians at the beginning of their research career. We tried to write the sort of text we would have loved to read when we were beginning Ph.D. students ourselves. Our book is structured with light and short chapters, and the style is informal. The calculations we found most instructive are spelt out in full. Particular attention is paid to the numerical verification of most analytical results. Our book covers standard material - classical ensembles, orthogonal polynomial techniques, spectral densities and spacings - but also more advanced and modern topics - replica approach and free probability - that are not normally included in elementary accounts on RMT. This book is dedicated to the fond memory of Oriol Bohigas.
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Cited in
(50)- An introduction to random matrix theory
- scientific article; zbMATH DE number 5943539 (Why is no real title available?)
- Spectral theory of sparse non-Hermitian random matrices
- Stability of large complex systems with heterogeneous relaxation dynamics
- Perturbative construction of mean-field equations in extensive-rank matrix factorization and denoising
- Introduction and guide to the handbook
- Optimization landscape in the simplest constrained random least-square problem
- A brief introduction to random matrices
- Analysis of Bayesian inference algorithms by the dynamical functional approach
- Extremal correlators and random matrix theory
- Quantum kicked rotor and its variants: chaos, localization and beyond
- Lectures on random matrices
- [[:Publication:5060004|Quiver ${\text{W}}_{{\boldsymbolTemplate:\epsilon}_{\mathbf{1}},{\boldsymbolTemplate:\epsilon}_{\mathbf{2}}}$ algebras of 4D $\boldsymbol{\mathcal{N}}\mathbf{=}\mathbf{2}$ gauge theories]]
- Riemannian Gaussian distributions, random matrix ensembles and diffusion kernels
- Top eigenpair statistics for weighted sparse graphs
- Analytic continuation over complex landscapes
- Antagonistic interactions can stabilise fixed points in heterogeneous linear dynamical systems
- Replica approach to the generalized Rosenzweig-Porter model
- Beyond Fermi's golden rule with the statistical Jacobi approximation
- An introduction to random matrices
- A memory-based method to select the number of relevant components in principal component analysis
- Penalization-induced shrinking without rotation in high dimensional GLM regression: a cavity analysis
- Ensemble averaging in JT gravity from entanglement in matrix quantum mechanics
- The elliptic Ginibre ensemble: A unifying approach to local and global statistics for higher dimensions
- On matrix models and their \(q\)-deformations
- Identifiability analysis of linear ordinary differential equation systems with a single trajectory
- From entropic to energetic barriers in glassy dynamics: the Barrat-Mézard trap model on sparse networks
- Emergent geometry from stochastic dynamics, or Hawking evaporation in M(atrix) theory
- Large deviations for the largest eigenvalues and eigenvectors of spiked Gaussian random matrices
- Bose–Einstein-like condensation of deformed random matrix: a replica approach
- Random matrices associated to Young diagrams
- The high temperature crossover for general 2D Coulomb gases
- No-resonance conditions, random matrices, and quantum chaotic models
- A dynamical mean-field theory for learning in restricted Boltzmann machines
- Conditioning two diffusion processes with respect to their first-encounter properties
- Commutators of random matrices from the unitary and orthogonal groups
- Random matrices and the free energy of Ising-like models with disorder
- Random matrix ensembles in hyperchaotic classical dissipative dynamic systems
- Volume of the set of LOCC-convertible quantum states
- On the evaluation of the eigendecomposition of the Airy integral operator
- Random matrices and loop equations
- Entanglement and relative entropies for low-lying excited states in inhomogeneous one-dimensional quantum systems
- The higher-order spectrum of simplicial complexes: a renormalization group approach
- Random matrices with row constraints and eigenvalue distributions of graph Laplacians
- Meet Andréief, Bordeaux 1886, and Andreev, Kharkov 1882--1883
- 1/2 BPS structure constants and random matrices
- Inflation as an information bottleneck: a strategy for identifying universality classes and making robust predictions
- Wormholes and spectral statistics in the Narain ensemble
- Spacing statistics of energy spectra: random matrices, black hole thermalization, and echoes
- Asymptotic predictions on the velocity gradient statistics in low-Reynolds-number random flows: onset of skewness, intermittency and alignments
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