Numerical Methods for Eigenvalue Distributions of Random Matrices

arXivmath-ph/0501068MaRDI QIDQ6469352FDOQ6469352

Publication date: 27 January 2005

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.

Mathematics Subject Classification ID

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

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