How to generate random matrices from the classical compact groups
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Publication:94262
DOI10.48550/ARXIV.MATH-PH/0609050zbMATH Open1156.22004arXivmath-ph/0609050MaRDI QIDQ94262FDOQ94262
Publication date: 18 September 2006
Abstract: We discuss how to generate random unitary matrices from the classical compact groups U(N), O(N) and USp(N) with probability distributions given by the respective invariant measures. The algorithm is straightforward to implement using standard linear algebra packages. This approach extends to the Dyson circular ensembles too. This article is based on a lecture given by the author at the summer school on Number Theory and Random Matrix Theory held at the University of Rochester in June 2006. The exposition is addressed to a general mathematical audience.
Full work available at URL: https://arxiv.org/abs/math-ph/0609050
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