Sampling unitary ensembles

DOI10.1142/S2010326315500021MaRDI QIDQ5256455zbMATH OpenOpenAlexFDO

Authors Sheehan Olver, Raj Rao Nadakuditi, Thomas Trogdon

Publication date 17 June 2015

Published in Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.0071

zbMATH Keywords

algorithmdeterminatal point processinvariant ensemblesnumerical examplesorthogonal polynomialsunitary random matrix ensembles

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Monte Carlo methods (65C05)

Abstract: We develop an algorithm for sampling from the unitary invariant random matrix ensembles. The algorithm is based on the representation of their eigenvalues as a determinantal point process whose kernel is given in terms of orthogonal polynomials. Using this algorithm, statistics beyond those known through analysis are calculable through Monte Carlo simulation. Unexpected phenomena are observed in the simulations.

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Cited in

(11)

• Simulating Coulomb and log-gases with hybrid Monte Carlo algorithms
• Sampling the eigenvalues of random orthogonal and unitary matrices
• Fast sampling from \(\beta \)-ensembles
• Monte Carlo with determinantal point processes
• Optimal transport between determinantal point processes and application to fast simulation
• Orthogonal structure on a wedge and on the boundary of a square
• Universality in numerical computations with random data
• Some open problems in random matrix theory and the theory of integrable systems. II
• Universality in numerical computation with random data: case studies and analytical results
• Sampling measures, Muckenhoupt Hamiltonians, and triangular factorization
• Polynomial and rational measure modifications of orthogonal polynomials via infinite-dimensional banded matrix factorizations

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