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| Author | : Greg W. Anderson |
| Publisher | : Cambridge University Press |
| Total Pages | : 507 |
| Release | : 2010 |
| Genre | : Mathematics |
| ISBN | : 0521194520 |
A rigorous introduction to the basic theory of random matrices designed for graduate students with a background in probability theory.
| Author | : Giacomo Livan |
| Publisher | : Springer |
| Total Pages | : 124 |
| Release | : 2018-01-16 |
| Genre | : Science |
| ISBN | : 3319708856 |
Modern developments of Random Matrix Theory as well as pedagogical approaches to the standard core of the discipline are surprisingly hard to find in a well-organized, readable and user-friendly fashion. This slim and agile book, written in a pedagogical and hands-on style, without sacrificing formal rigor fills this gap. It brings Ph.D. students in Physics, as well as more senior practitioners, through the standard tools and results on random matrices, with an eye on most recent developments that are not usually covered in introductory texts. The focus is mainly on random matrices with real spectrum.The main guiding threads throughout the book are the Gaussian Ensembles. In particular, Wigner’s semicircle law is derived multiple times to illustrate several techniques (e.g., Coulomb gas approach, replica theory).Most chapters are accompanied by Matlab codes (stored in an online repository) to guide readers through the numerical check of most analytical results.
| Author | : Marc Potters |
| Publisher | : Cambridge University Press |
| Total Pages | : 371 |
| Release | : 2020-12-03 |
| Genre | : Computers |
| ISBN | : 1108488080 |
An intuitive, up-to-date introduction to random matrix theory and free calculus, with real world illustrations and Big Data applications.
| Author | : Alexei Borodin |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 498 |
| Release | : 2019-10-30 |
| Genre | : Education |
| ISBN | : 1470452804 |
Random matrix theory has many roots and many branches in mathematics, statistics, physics, computer science, data science, numerical analysis, biology, ecology, engineering, and operations research. This book provides a snippet of this vast domain of study, with a particular focus on the notations of universality and integrability. Universality shows that many systems behave the same way in their large scale limit, while integrability provides a route to describe the nature of those universal limits. Many of the ten contributed chapters address these themes, while others touch on applications of tools and results from random matrix theory. This book is appropriate for graduate students and researchers interested in learning techniques and results in random matrix theory from different perspectives and viewpoints. It also captures a moment in the evolution of the theory, when the previous decade brought major break-throughs, prompting exciting new directions of research.
| Author | : Terence Tao |
| Publisher | : American Mathematical Society |
| Total Pages | : 296 |
| Release | : 2023-08-24 |
| Genre | : Mathematics |
| ISBN | : 147047459X |
The field of random matrix theory has seen an explosion of activity in recent years, with connections to many areas of mathematics and physics. However, this makes the current state of the field almost too large to survey in a single book. In this graduate text, we focus on one specific sector of the field, namely the spectral distribution of random Wigner matrix ensembles (such as the Gaussian Unitary Ensemble), as well as iid matrix ensembles. The text is largely self-contained and starts with a review of relevant aspects of probability theory and linear algebra. With over 200 exercises, the book is suitable as an introductory text for beginning graduate students seeking to enter the field.
| Author | : László Erdős |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 226 |
| Release | : 2017-08-30 |
| Genre | : Random matrices |
| ISBN | : 1470436485 |
A co-publication of the AMS and the Courant Institute of Mathematical Sciences at New York University This book is a concise and self-contained introduction of recent techniques to prove local spectral universality for large random matrices. Random matrix theory is a fast expanding research area, and this book mainly focuses on the methods that the authors participated in developing over the past few years. Many other interesting topics are not included, and neither are several new developments within the framework of these methods. The authors have chosen instead to present key concepts that they believe are the core of these methods and should be relevant for future applications. They keep technicalities to a minimum to make the book accessible to graduate students. With this in mind, they include in this book the basic notions and tools for high-dimensional analysis, such as large deviation, entropy, Dirichlet form, and the logarithmic Sobolev inequality. This manuscript has been developed and continuously improved over the last five years. The authors have taught this material in several regular graduate courses at Harvard, Munich, and Vienna, in addition to various summer schools and short courses. Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.
| Author | : Zhidong Bai |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 560 |
| Release | : 2009-12-10 |
| Genre | : Mathematics |
| ISBN | : 1441906614 |
The aim of the book is to introduce basic concepts, main results, and widely applied mathematical tools in the spectral analysis of large dimensional random matrices. The core of the book focuses on results established under moment conditions on random variables using probabilistic methods, and is thus easily applicable to statistics and other areas of science. The book introduces fundamental results, most of them investigated by the authors, such as the semicircular law of Wigner matrices, the Marcenko-Pastur law, the limiting spectral distribution of the multivariate F matrix, limits of extreme eigenvalues, spectrum separation theorems, convergence rates of empirical distributions, central limit theorems of linear spectral statistics, and the partial solution of the famous circular law. While deriving the main results, the book simultaneously emphasizes the ideas and methodologies of the fundamental mathematical tools, among them being: truncation techniques, matrix identities, moment convergence theorems, and the Stieltjes transform. Its treatment is especially fitting to the needs of mathematics and statistics graduate students and beginning researchers, having a basic knowledge of matrix theory and an understanding of probability theory at the graduate level, who desire to learn the concepts and tools in solving problems in this area. It can also serve as a detailed handbook on results of large dimensional random matrices for practical users. This second edition includes two additional chapters, one on the authors' results on the limiting behavior of eigenvectors of sample covariance matrices, another on applications to wireless communications and finance. While attempting to bring this edition up-to-date on recent work, it also provides summaries of other areas which are typically considered part of the general field of random matrix theory.
| Author | : Elizabeth S. Meckes |
| Publisher | : Cambridge University Press |
| Total Pages | : 225 |
| Release | : 2019-08-01 |
| Genre | : Mathematics |
| ISBN | : 1108317995 |
This is the first book to provide a comprehensive overview of foundational results and recent progress in the study of random matrices from the classical compact groups, drawing on the subject's deep connections to geometry, analysis, algebra, physics, and statistics. The book sets a foundation with an introduction to the groups themselves and six different constructions of Haar measure. Classical and recent results are then presented in a digested, accessible form, including the following: results on the joint distributions of the entries; an extensive treatment of eigenvalue distributions, including the Weyl integration formula, moment formulae, and limit theorems and large deviations for the spectral measures; concentration of measure with applications both within random matrix theory and in high dimensional geometry; and results on characteristic polynomials with connections to the Riemann zeta function. This book will be a useful reference for researchers and an accessible introduction for students in related fields.
| Author | : Madan Lal Mehta |
| Publisher | : Elsevier |
| Total Pages | : 707 |
| Release | : 2004-10-06 |
| Genre | : Mathematics |
| ISBN | : 008047411X |
Random Matrices gives a coherent and detailed description of analytical methods devised to study random matrices. These methods are critical to the understanding of various fields in in mathematics and mathematical physics, such as nuclear excitations, ultrasonic resonances of structural materials, chaotic systems, the zeros of the Riemann and other zeta functions. More generally they apply to the characteristic energies of any sufficiently complicated system and which have found, since the publication of the second edition, many new applications in active research areas such as quantum gravity, traffic and communications networks or stock movement in the financial markets. This revised and enlarged third edition reflects the latest developements in the field and convey a greater experience with results previously formulated. For example, the theory of skew-orthogoanl and bi-orthogonal polynomials, parallel to that of the widely known and used orthogonal polynomials, is explained here for the first time. Presentation of many new results in one place for the first time First time coverage of skew-orthogonal and bi-orthogonal polynomials and their use in the evaluation of some multiple integrals Fredholm determinants and Painlevé equations The three Gaussian ensembles (unitary, orthogonal, and symplectic); their n-point correlations, spacing probabilities Fredholm determinants and inverse scattering theory Probability densities of random determinants
| Author | : Antonia M. Tulino |
| Publisher | : Now Publishers Inc |
| Total Pages | : 196 |
| Release | : 2004 |
| Genre | : Computers |
| ISBN | : 9781933019000 |
Random Matrix Theory and Wireless Communications is the first tutorial on random matrices which provides an overview of the theory and brings together in one source the most significant results recently obtained.
