On the numerical evaluation of distributions in random matrix theory: a review
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Publication:5199036
zbMATH Open1222.60013arXiv0904.1581MaRDI QIDQ5199036FDOQ5199036
Authors: Folkmar Bornemann 
Publication date: 11 August 2011
Abstract: In this paper we review and compare the numerical evaluation of those probability distributions in random matrix theory that are analytically represented in terms of Painlev'e transcendents or Fredholm determinants. Concrete examples for the Gaussian and Laguerre (Wishart) beta-ensembles and their various scaling limits are discussed. We argue that the numerical approximation of Fredholm determinants is the conceptually more simple and efficient of the two approaches, easily generalized to the computation of joint probabilities and correlations. Having the means for extensive numerical explorations at hand, we discovered new and surprising determinantal formulae for the k-th largest (or smallest) level in the edge scaling limits of the Orthogonal and Symplectic Ensembles; formulae that in turn led to improved numerical evaluations. The paper comes with a toolbox of Matlab functions that facilitates further mathematical experiments by the reader.
Full work available at URL: https://arxiv.org/abs/0904.1581
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random matrix theorynumerical approximation\texttt{Matlab}Fredholm determinantsPainlevé transcendents
Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Numerical methods for integral equations (65R20) Painlevé-type functions (33E17) Integral operators (47G10)
Cited In (53)
- A Stirling-type formula for the distribution of the length of longest increasing subsequences
- Asymptotic expansions relating to the distribution of the length of longest increasing subsequences
- Power spectra of Dyson's circular ensembles
- Systematic time expansion for the Kardar-Parisi-Zhang equation, linear statistics of the GUE at the edge and trapped fermions
- A result on precise asymptotics for largest eigenvalues of \(\beta\) ensembles
- Open problems for Painlevé equations
- Asymptotics for the covariance of the Airy\(_{2}\) process
- Some connections between the classical Calogero-Moser model and the log-gas
- Rank 1 perturbations in random matrix theory — A review of exact results
- Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices
- Local central limit theorem for determinantal point processes
- Glass-like transition described by toppling of stability hierarchy
- Asymptotic independence of the extreme eigenvalues of Gaussian unitary ensemble
- On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix
- Computable structural formulas for the distribution of the \(\beta\)-Jacobi edge eigenvalues
- Kardar-Parisi-Zhang universality class for the critical dynamics of reaction-diffusion fronts
- Tail sums of Wishart and Gaussian eigenvalues beyond the bulk edge
- Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution
- Batch latency analysis and phase transitions for a tandem of queues with exponentially distributed service times
- Beyond universality in random matrix theory
- Hyperskewness of (1 + 1)-dimensional KPZ height fluctuations
- The moment convergence rates for largest eigenvalues of \(\beta\) ensembles
- Stationary correlations for the 1D KPZ equation
- Airy processes and variational problems
- Numerical approach to Painlevé transcendents on unbounded domains
- Singular values and evenness symmetry in random matrix theory
- Fast approach to the tracy-widom law at the edge of GOE and GUE
- Generic phase coexistence in the totally asymmetric kinetic Ising model
- Numerical solution of Riemann-Hilbert problems: random matrix theory and orthogonal polynomials
- Functional form for the leading correction to the distribution of the largest eigenvalue in the GUE and LUE
- Shock fluctuations in flat TASEP under critical scaling
- Half-space stationary Kardar-Parisi-Zhang equation
- Computing the Tracy-Widom distribution for arbitrary \(\beta>0\)
- Janossy densities for chiral random matrix ensembles and their applications to two-color QCD
- Nonperturbative theory of power spectrum in complex systems
- Low-temperature random matrix theory at the soft edge
- The characteristic function of Gaussian stochastic volatility models: an analytic expression
- Random matrix ensembles in hyperchaotic classical dissipative dynamic systems
- A review of exact results for fluctuation formulas in random matrix theory
- Limiting distribution of maximal crossing and nesting of Poissonized random matchings
- Singular Values of Products of Ginibre Random Matrices
- The singular values of the gue (less is more)
- Finite size corrections relating to distributions of the length of longest increasing subsequences
- On the evaluation of the eigendecomposition of the Airy integral operator
- Entanglement and relative entropies for low-lying excited states in inhomogeneous one-dimensional quantum systems
- Octonions in random matrix theory
- Painlevé functions in statistical physics
- Numerical methods for the discrete map \(Z^a\)
- Finite size effects for spacing distributions in random matrix theory: circular ensembles and Riemann zeros
- Resurgent extrapolation: rebuilding a function from asymptotic data. Painlevé I
- Endpoint distribution of directed polymers in \(1 + 1\) dimensions
- Large deviations of surface height in the \(1 + 1\)-dimensional Kardar-Parisi-Zhang equation: exact long-time results for \(\lambda H<0\)
- Considering Horn's parallel analysis from a random matrix theory point of view
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