Sampling unitary ensembles

DOI10.1142/S2010326315500021zbMath1333.65010arXiv1404.0071OpenAlexW2023379490MaRDI QIDQ5256455

Raj Rao Nadakuditi, Sheehan Olver, 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

algorithmorthogonal polynomialsnumerical examplesinvariant ensemblesunitary random matrix ensemblesdeterminatal point process

Mathematics Subject Classification ID

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

Related Items

Monte Carlo with determinantal point processes ⋮ Orthogonal structure on a wedge and on the boundary of a square ⋮ Universality in numerical computations with random data ⋮ Simulating Coulomb and log-gases with hybrid Monte Carlo algorithms ⋮ Optimal transport between determinantal point processes and application to fast simulation ⋮ Some open problems in random matrix theory and the theory of integrable systems. II ⋮ Fast sampling from \(\beta \)-ensembles ⋮ Universality in numerical computation with random data: Case studies and analytical results

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bulk universality holds in measure for compactly supported measures
• Numerical solution of Riemann-Hilbert problems: random matrix theory and orthogonal polynomials
• Random matrices: universality of local eigenvalue statistics
• Computation of equilibrium measures
• Determinantal processes and independence
• The polynomial method for random matrices
• Random matrices: Universality of local eigenvalue statistics up to the edge
• Universality of a double scaling limit near singular edge points in random matrix models
• Universality in numerical computations with random data
• Random matrix theory
• The Efficient Generation of Random Orthogonal Matrices with an Application to Condition Estimators
• Barycentric Lagrange Interpolation
• An Extension of MATLAB to Continuous Functions and Operators
• Numerical study of higher order analogues of the Tracy–Widom distribution
• Painlevé II asymptotics near the leading edge of the oscillatory zone for the Korteweg—de Vries equation in the small‐dispersion limit
• Probability