The conjugate gradient algorithm on a general class of spiked covariance matrices (Q5022481)

scientific article; zbMATH DE number 7459354

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English	The conjugate gradient algorithm on a general class of spiked covariance matrices	scientific article; zbMATH DE number 7459354

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instance of

scholarly article

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title

The conjugate gradient algorithm on a general class of spiked covariance matrices (English)

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Quarterly of Applied Mathematics

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publication date

19 January 2022

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full work available at URL

https://arxiv.org/abs/2106.13902

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zbMATH Keywords

sample covariance matrices

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conjugate gradient

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describes a project that uses

numericaluniversality

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MaRDI profile type

MaRDI publication profile

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cites work

Spectral analysis of large dimensional random matrices

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Superlinear Convergence of Conjugate Gradients

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Limits of spiked random matrices. I

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Uniform asymptotics for polynomials orthogonal with respect to varying exponential weights and applications to universality questions in random matrix theory

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Universality for the Toda Algorithm to Compute the Largest Eigenvalue of a Random Matrix

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The conjugate gradient algorithm on well-conditioned Wishart matrices is almost deterministic

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A Riemann-Hilbert approach to asymptotic problems arising in the theory of random matrix models, and also in the theory of integrable statistical mechanics

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Universality in numerical computations with random data

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Spiked sample covariance matrices with possibly multiple bulk components

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A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices

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Spiked separable covariance matrices and principal components

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Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices

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Q4337625

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Eigenvalue distributions of large Hermitian matrices; Wigner's semi- circle law and a theorem of Kac, Murdock, and Szegö

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Identifiers

zbMATH Open document ID

1480.65069

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5022481