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Register a new userCompleting the picture for the smallest eigenvalue of real Wishart matrices
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Rectangular real $N times (N + u)$ matrices $W$ with a Gaussian distribution appear very frequently in data analysis, condensed matter physics and quantum field theory. A central question concerns the correlations encoded in the spectral statistics of $WW^T$. The extreme eigenvalues of $W W^T$ are of particular interest. We explicitly compute the distribution and the gap probability of the smallest non-zero eigenvalue in this ensemble, both for arbitrary fixed $N$ and $ u$, and in the universal large $N$ limit with $ u$ fixed. We uncover an integrable Pfaffian structure valid for all even values of $ ugeq 0$. This extends previous results for odd $ u$ at infinite $N$ and recursive results for finite $N$ and for all $ u$. Our mathematical results include the computation of expectation values of half integer powers of characteristic polynomials.
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We study the joint probability density of the eigenvalues of a product of rectangular real, complex or quaternion random matrices in a unified way. The random matrices are distributed according to arbitrary probability densities, whose only restriction is the invariance under left and right multiplication by orthogonal, unitary or unitary symplectic matrices, respectively. We show that a product of rectangular matrices is statistically equivalent to a product of square matrices. Hereby we prove a weak commutation relation of the random matrices at finite matrix sizes, which previously have been discussed for infinite matrix size. Moreover we derive the joint probability densities of the eigenvalues. To illustrate our results we apply them to a product of random matrices drawn from Ginibre ensembles and Jacobi ensembles as well as a mixed version thereof. For these weights we show that the product of complex random matrices yield a determinantal point process, while the real and quaternion matrix ensembles correspond to Pfaffian point processes. Our results are visualized by numerical simulations. Furthermore, we present an application to a transport on a closed, disordered chain coupled to a particle bath.
We consider a general Langevin dynamics for the one-dimensional N-particle Coulomb gas with confining potential $V$ at temperature $beta$. These dynamics describe for $beta=2$ the time evolution of the eigenvalues of $Ntimes N$ random Hermitian matrices. The equilibrium partition function -- equal to the normalization constant of the Laughlin wave function in fractional quantum Hall effect -- is known to satisfy an infinite number of constraints called Virasoro or loop constraints. We introduce here a dynamical generating function on the space of random trajectories which satisfies a large class of constraints of geometric origin. We focus in this article on a subclass induced by the invariance under the Schrodinger-Virasoro algebra.
We compute the partition function of the $q$-states Potts model on a random planar lattice with $pleq q$ allowed, equally weighted colours on a connected boundary. To this end, we employ its matrix model representation in the planar limit, generalising a result by Voiculescu for the addition of random matrices to a situation beyond free probability theory. We show that the partition functions with $p$ and $q-p$ colours on the boundary are related algebraically. Finally, we investigate the phase diagram of the model when $0leq qleq 4$ and comment on the conformal field theory description of the critical points.
The Nearest Neighbour Spacing (NNS) distribution can be computed for generalized symmetric 2x2 matrices having different variances in the diagonal and in the off-diagonal elements. Tuning the relative value of the variances we show that the distributions of the level spacings exhibit a crossover from clustering to repulsion as in GOE. The analysis is extended to 3x3 matrices where distributions of NNS as well as Ratio of Nearest Neighbour Spacing (RNNS) show similar crossovers. We show that it is possible to calculate NNS distributions for Hermitian matrices (N=2, 3) where also crossovers take place between clustering and repulsion as in GUE. For large symmetric and Hermitian matrices we use interpolation between clustered and repulsive regimes and identify phase diagrams with respect to the variances.
We investigate the level density for several ensembles of positive random matrices of a Wishart--like structure, $W=XX^{dagger}$, where $X$ stands for a nonhermitian random matrix. In particular, making use of the Cauchy transform, we study free multiplicative powers of the Marchenko-Pastur (MP) distribution, ${rm MP}^{boxtimes s}$, which for an integer $s$ yield Fuss-Catalan distributions corresponding to a product of $s$ independent square random matrices, $X=X_1cdots X_s$. New formulae for the level densities are derived for $s=3$ and $s=1/3$. Moreover, the level density corresponding to the generalized Bures distribution, given by the free convolution of arcsine and MP distributions is obtained. We also explain the reason of such a curious convolution. The technique proposed here allows for the derivation of the level densities for several other cases.
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