Numerical solution of Riemann-Hilbert problems: random matrix theory and orthogonal polynomials
type: Item
instance of: scholarly article
title: Numerical solution of Riemann-Hilbert problems: random matrix theory and orthogonal polynomials
zbMATH Open document ID: 1357.60015
author: Sheehan Olver
author: Thomas Trogdon
published in: Constructive Approximation
publication date: 2015-01-09T00:00:00Z
full work available at URL: https://arxiv.org/abs/1210.2199
review text: The authors develop numerical methods for solving Riemann-Hilbert problems which are applied to the calculation of orthogonal polynomials. Spectral densities and gap statistics for a large family of finite-dimensional unitary invariant ensembles are calculated by applying the suggested approach. The considered techniques are related to the method of nonlinear steepest descent, including contour deformations and the g-function technique. The accuracy of the algorithm is investigated in detail and the results are illustrated in several examples, for example, the Hastings-McLeod solution of the homogeneous Painlevé II equation is computed.
Mathematics Subject Classification ID: 60B20
zbMATH DE Number: 6385011
zbMATH Keywords: random matrix theory
zbMATH Keywords: invariant ensembles
zbMATH Keywords: orthogonal polynomials
zbMATH Keywords: Riemann-Hilbert problems
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2009624315
arXiv ID: 1210.2199
cites work: Asymptotic Solutions of the Korteweg-deVries Equation
cites work: Q3090056
cites work: An Introduction to Random Matrices
cites work: On the Numerical Evaluation of Distributions in Random Matrix Theory: A Review
cites work: On the numerical evaluation of Fredholm determinants
cites work: Higher-order analogues of the Tracy-Widom distribution and the Painlevé II hierarchy
cites work: Numerical study of higher order analogues of the Tracy–Widom distribution
cites work: Orthogonal polynomials and random matrices: a Riemann-Hilbert approach.
cites work: Universality at the edge of the spectrum for unitary, orthogonal, and symplectic ensembles of random matrices
cites work: Q3636836
cites work: New results on the equilibrium measure for logarithmic potentials in the presence of an external field
cites work: Q4364980
cites work: Q4487945
cites work: Uniform asymptotics for polynomials orthogonal with respect to varying exponential weights and applications to universality questions in random matrix theory
cites work: Random matrix theory
cites work: Q5394330
cites work: The isomonodromy approach to matrix models in 2D quantum gravity
cites work: A numerical methodology for the Painlevé equations
cites work: Q4820343
cites work: A boundary value problem associated with the second Painleve transcendent and the Korteweg-de Vries equation
cites work: Q4681935
cites work: Extremal Problems for Polynomials with Exponential Weights
cites work: Q3579593
cites work: Computation of equilibrium measures
cites work: Computing the Hilbert transform and its inverse
cites work: Numerical solution of Riemann-Hilbert problems: Painlevé II
cites work: A general framework for solving Riemann-Hilbert problems numerically
cites work: Nonlinear Steepest Descent and Numerical Solution of Riemann‐Hilbert Problems
cites work: Exact scaling functions for one-dimensional stationary KPZ growth
cites work: Q4746987
cites work: Q4360405
cites work: Level-spacing distributions and the Airy kernel
cites work: Automatic deformation of Riemann-Hilbert problems with applications to the Painlevé II transcendents
DOI: 10.1007/S00365-013-9221-3
describes a project that uses: Digital Library of Mathematical Functions
description: scientific article