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

DOI10.1002/CPA.21715MaRDI QIDQ4604585zbMATH OpenOpenAlexFDO

Authors Thomas Trogdon, Percy A. Deift

Publication date 2 March 2018

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

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

Mathematics Subject Classification ID

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

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.

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