Numerical Methods for Eigenvalue Distributions of Random Matrices

MaRDI QIDQ6469352zbMATH OpenFDO

Authors Alan Edelman, Per-Olof Persson

Publication date 27 January 2005

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Matrices over function rings in one or more variables (15A54)

Abstract: We present efficient numerical techniques for calculation of eigenvalue distributions of random matrices in the beta-ensembles. We compute histograms using direct simulations on very large matrices, by using tridiagonal matrices with appropriate simplifications. The distributions are also obtained by numerical solution of the Painleve II and V equations with high accuracy. For the spacings we show a technique based on the Prolate matrix and Richardson extrapolation, and we compare the distributions with the zeros of the Riemann zeta function.

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