Numerical solution of Riemann-Hilbert problems: random matrix theory and orthogonal polynomials
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Publication:485294
DOI10.1007/S00365-013-9221-3zbMATH Open1357.60015arXiv1210.2199OpenAlexW2009624315MaRDI QIDQ485294FDOQ485294
Publication date: 9 January 2015
Published in: Constructive Approximation (Search for Journal in Brave)
Abstract: In recent developments, a general approach for solving Riemann--Hilbert problems numerically has been developed. We review this numerical framework, and apply it to the calculation of orthogonal polynomials on the real line. Combining this numerical algorithm with an approach to compute Fredholm determinants, we are able to calculate level densities and gap statistics for general finite-dimensional unitary ensembles. We also include a description of how to compute the Hastings--McLeod solution of the homogeneous Painlev'e II equation.
Full work available at URL: https://arxiv.org/abs/1210.2199
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Cited In (14)
- Open problems for Painlevé equations
- On the variable exponent Riemann boundary value problem for Liapunov open curve
- On compound Riemann Hilbert boundary value problem in the framework of variable exponent spaces
- Riemann–Hilbert problem for variable exponent poly-Smirnov space on a piecewise Lyapunov boundary
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- A fast and well-conditioned spectral method for singular integral equations
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- Sampling unitary ensembles
- Numerical inverse scattering for the Toda lattice
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