Universality for the Toda algorithm to compute the largest eigenvalue of a random matrix

DOI10.1002/CPA.21715zbMATH Open1454.60012arXiv1604.07384OpenAlexW2605491513MaRDI QIDQ4604585FDOQ4604585

Authors: Thomas Trogdon, Percy A. Deift 

Publication date: 2 March 2018

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Abstract: We prove universality for the fluctuations of the halting time for the Toda algorithm to compute the largest eigenvalue of real symmetric and complex Hermitian matrices. The proof relies on recent results on the statistics of the eigenvalues and eigenvectors of random matrices (such as delocalization, rigidity and edge universality) in a crucial way.

Full work available at URL: https://arxiv.org/abs/1604.07384

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Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

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