Regularization of Non-Normal Matrices by Gaussian Noise

Abstract: We consider the regularization of matrices

M^{N}

written in Jordan form by additive Gaussian noise

N^{- g a m m a} G^{N}

, where

G^{N}

is a matrix of i.i.d. standard Gaussians and

g a m m a > 1 / 2

so that the operator norm of the additive noise tends to

0

with

N

. Under mild conditions on the structure of

M^{N}

we evaluate the limit of the empirical measure of eigenvalues of

M^{N} + N^{- g a m m a} G^{N}

and show that it depends on

g a m m a

, in contrast with the case of a single Jordan block.

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