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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(13)

• Three lectures on ``Fifty years of KdV: an integrable system
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• Universality for the Conjugate Gradient and MINRES Algorithms on Sample Covariance Matrices
• The conjugate gradient algorithm on a general class of spiked covariance matrices
• How long does it take to compute the eigenvalues of a random symmetric matrix?
• Universality in numerical computations with random data
• Universality in numerical computation with random data: case studies and analytical results
• Smoothed analysis for the conjugate gradient algorithm
• Universality for Eigenvalue Algorithms on Sample Covariance Matrices
• The Toda flow as a porous medium equation
• Universal statistics of incubation periods and other detection times via diffusion models
• Some open problems in random matrix theory and the theory of integrable systems. II

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