Random matrices Guilherme Silva University of Michigan - USA Guilherme Silva Random matrices
Random matrices
Guilherme SilvaUniversity of Michigan - USA
Guilherme Silva Random matrices
Random matrices
I Random matrix: matrix whose entries are randomvariables
I First systematic studies in the 1950’s by Dyson in thecontext of high energy physics
I Deep connections with number theory, statisticalmechanics, PDE’s, telecommunications, dynamicalsystems, approximation theory, among many others
Guilherme Silva Random matrices
Random matrices
I Random matrix: matrix whose entries are randomvariables
I First systematic studies in the 1950’s by Dyson in thecontext of high energy physics
I Deep connections with number theory, statisticalmechanics, PDE’s, telecommunications, dynamicalsystems, approximation theory, among many others
Guilherme Silva Random matrices
Random matrices
I Random matrix: matrix whose entries are randomvariables
I First systematic studies in the 1950’s by Dyson in thecontext of high energy physics
I Deep connections with number theory, statisticalmechanics, PDE’s, telecommunications, dynamicalsystems, approximation theory, among many others
Guilherme Silva Random matrices
Random matrices
I Random matrix: matrix whose entries are randomvariables
I First systematic studies in the 1950’s by Dyson in thecontext of high energy physics
I Deep connections with number theory, statisticalmechanics, PDE’s, telecommunications, dynamicalsystems, approximation theory, among many others
Guilherme Silva Random matrices
Basic (asymptotic) questions
• We are typically interested in large random matrices
• Questions of interest when n→∞
I Distribution of eigenvalues and eigenvectors
I Behavior of extremal eigenvalues
I Typical location of eigenvectors
I Correlations between nearby eigenvalues
I Typical spacing between consecutive eigenvalues
Guilherme Silva Random matrices
Basic (asymptotic) questions
• We are typically interested in large random matrices
• Questions of interest when n→∞
I Distribution of eigenvalues and eigenvectors
I Behavior of extremal eigenvalues
I Typical location of eigenvectors
I Correlations between nearby eigenvalues
I Typical spacing between consecutive eigenvalues
Guilherme Silva Random matrices
Basic (asymptotic) questions
• We are typically interested in large random matrices
• Questions of interest when n→∞
I Distribution of eigenvalues and eigenvectors
I Behavior of extremal eigenvalues
I Typical location of eigenvectors
I Correlations between nearby eigenvalues
I Typical spacing between consecutive eigenvalues
Guilherme Silva Random matrices
Basic (asymptotic) questions
• We are typically interested in large random matrices
• Questions of interest when n→∞
I Distribution of eigenvalues and eigenvectors
I Behavior of extremal eigenvalues
I Typical location of eigenvectors
I Correlations between nearby eigenvalues
I Typical spacing between consecutive eigenvalues
Guilherme Silva Random matrices
Basic (asymptotic) questions
• We are typically interested in large random matrices
• Questions of interest when n→∞
I Distribution of eigenvalues and eigenvectors
I Behavior of extremal eigenvalues
I Typical location of eigenvectors
I Correlations between nearby eigenvalues
I Typical spacing between consecutive eigenvalues
Guilherme Silva Random matrices
Basic (asymptotic) questions
• We are typically interested in large random matrices
• Questions of interest when n→∞
I Distribution of eigenvalues and eigenvectors
I Behavior of extremal eigenvalues
I Typical location of eigenvectors
I Correlations between nearby eigenvalues
I Typical spacing between consecutive eigenvalues
Guilherme Silva Random matrices
Basic (asymptotic) questions
• We are typically interested in large random matrices
• Questions of interest when n→∞
I Distribution of eigenvalues and eigenvectors
I Behavior of extremal eigenvalues
I Typical location of eigenvectors
I Correlations between nearby eigenvalues
I Typical spacing between consecutive eigenvalues
Guilherme Silva Random matrices
First part:
Random Matrix Theory, why?
Guilherme Silva Random matrices
Examples and applications - CUE
Circular Unitary Ensemble: space U(N) of N ×N unitarymatrices equipped with uniform distribution (normalized Haarmeasure)
Guilherme Silva Random matrices
Examples and applications - CUE
Circular Unitary Ensemble: space U(N) of N ×N unitarymatrices equipped with uniform distribution (normalized Haarmeasure)
Guilherme Silva Random matrices
Examples and applications - CUE
Circular Unitary Ensemble: space U(N) of N ×N unitarymatrices equipped with uniform distribution (normalized Haarmeasure)
I Eigenvalues eiθ1 , . . . , eiθN (0 ≤ θ1 ≤ . . . ≤ θN < 2π) ofU ∈ U(N) distribute according to
1
ZN
∏j<k
|eiθk − eiθk |2dθ1 . . . dθN ,
and consequently
E(θk+1 − θk) =1
2πN
Guilherme Silva Random matrices
Examples and applications - CUE
Circular Unitary Ensemble: space U(N) of N ×N unitarymatrices equipped with uniform distribution (normalized Haarmeasure)
I Eigenvalues eiθ1 , . . . , eiθN (0 ≤ θ1 ≤ . . . ≤ θN < 2π) ofU ∈ U(N) distribute according to
1
ZN
∏j<k
|eiθk − eiθk |2dθ1 . . . dθN ,
and consequently
E(θk+1 − θk) =1
2πN
Guilherme Silva Random matrices
Examples and applications - CUE
Circular Unitary Ensemble: space U(N) of N ×N unitarymatrices equipped with uniform distribution (normalized Haarmeasure)
I Rescale φk = θk2πN so that
E (φk+1 − φk) = 1
I For 0 ≤ α < β [Dyson, 1962]
limN→∞
1
NE (#(φn, φm) | α ≤ φm − φn ≤ β)
=
∫ β
α
(1−
(sinπx
πx
)2)dx
Guilherme Silva Random matrices
Examples and applications - CUE
Circular Unitary Ensemble: space U(N) of N ×N unitarymatrices equipped with uniform distribution (normalized Haarmeasure)
I Rescale φk = θk2πN so that
E (φk+1 − φk) = 1
I For 0 ≤ α < β [Dyson, 1962]
limN→∞
1
NE (#(φn, φm) | α ≤ φm − φn ≤ β)
=
∫ β
α
(1−
(sinπx
πx
)2)dx
Guilherme Silva Random matrices
Examples and applications - CUE and RiemannHyphothesis
The Riemann zeta function
ζ(s) =
∞∑n=1
1
ns=
∏p prime
(1− 1
ps
)−1
, Re s > 1,
has a meromorphic extension to C with simple pole at s = 1and no other poles.
Guilherme Silva Random matrices
Examples and applications - CUE and RiemannHyphothesis
The Riemann zeta function
ζ(s) =
∞∑n=1
1
ns=
∏p prime
(1− 1
ps
)−1
, Re s > 1,
has a meromorphic extension to C with simple pole at s = 1and no other poles.
I It has simple zeros at s = −2,−4,−6 . . . (the so calledtrivial zeros)
I It has no other zeros outside the strips ∈ C | 0 < Re s < 1
Guilherme Silva Random matrices
Examples and applications - CUE and RiemannHyphothesis
The Riemann zeta function
ζ(s) =
∞∑n=1
1
ns=
∏p prime
(1− 1
ps
)−1
, Re s > 1,
has a meromorphic extension to C with simple pole at s = 1and no other poles.
I It has simple zeros at s = −2,−4,−6 . . . (the so calledtrivial zeros)
I It has no other zeros outside the strips ∈ C | 0 < Re s < 1
Guilherme Silva Random matrices
Examples and applications - CUE and RiemannHyphothesis
The Riemann zeta function
ζ(s) =
∞∑n=1
1
ns=
∏p prime
(1− 1
ps
)−1
, Re s > 1,
has a meromorphic extension to C with simple pole at s = 1and no other poles.
I It has an infinite number of zeros on the vertical lineL := s ∈ C | Re s = 1/2
I The Riemann Hypothesis conjectures that every nontrivialzero of ζ belongs to L
Guilherme Silva Random matrices
Examples and applications - CUE and RiemannHyphothesis
The Riemann zeta function
ζ(s) =
∞∑n=1
1
ns=
∏p prime
(1− 1
ps
)−1
, Re s > 1,
has a meromorphic extension to C with simple pole at s = 1and no other poles.
I It has an infinite number of zeros on the vertical lineL := s ∈ C | Re s = 1/2
I The Riemann Hypothesis conjectures that every nontrivialzero of ζ belongs to L
Guilherme Silva Random matrices
Examples and applications - CUE and RiemannHyphothesis
Denote by σn = 12 + itn the zeros of ζ on L with tn+1 > tn > 0.
I The rescaled quantities wn = 12π tn log tn
2π have the propertythat
limW→∞
1
W#wn ∈ [0,W ] = 1,
so that E(wn+1 − wn) ≈ 1.
I Conjecture [Montgomery, 1973]: For 0 < α < β,
limW→∞
1
W#(wn, wm) ∈ [0,W ]2 | α ≤ wm − wn ≤ β
=
∫ β
α
(1−
(sinπx
πx
)2)dx
Guilherme Silva Random matrices
Examples and applications - CUE and RiemannHyphothesis
Denote by σn = 12 + itn the zeros of ζ on L with tn+1 > tn > 0.
I The rescaled quantities wn = 12π tn log tn
2π have the propertythat
limW→∞
1
W#wn ∈ [0,W ] = 1,
so that E(wn+1 − wn) ≈ 1.
I Conjecture [Montgomery, 1973]: For 0 < α < β,
limW→∞
1
W#(wn, wm) ∈ [0,W ]2 | α ≤ wm − wn ≤ β
=
∫ β
α
(1−
(sinπx
πx
)2)dx
Guilherme Silva Random matrices
Examples and applications - CUE and RiemannHyphothesis
Denote by σn = 12 + itn the zeros of ζ on L with tn+1 > tn > 0.
I The rescaled quantities wn = 12π tn log tn
2π have the propertythat
limW→∞
1
W#wn ∈ [0,W ] = 1,
so that E(wn+1 − wn) ≈ 1.
I Conjecture [Montgomery, 1973]: For 0 < α < β,
limW→∞
1
W#(wn, wm) ∈ [0,W ]2 | α ≤ wm − wn ≤ β
=
∫ β
α
(1−
(sinπx
πx
)2)dx
Guilherme Silva Random matrices
Examples and applications - Random Schrodingeroperators and sparse matrices
I The Anderson model (or random Schrodinger operator) isthe operator
H = −∆ + λV
acting on l2(Zd), where V is a random potential, λ > 0 is a(disorder) parameter and
∆φ(u) =∑|u−v|=1
(φ(u)− φ(v))
is the discrete Laplacian
I Labelling the vertices of Zd, the operator H can berepresented as a two-sided infinite random band matrix,with random entries along the diagonal and 1’s in theremaining non-zero entries
Guilherme Silva Random matrices
Examples and applications - Random Schrodingeroperators and sparse matrices
I The Anderson model (or random Schrodinger operator) isthe operator
H = −∆ + λV
acting on l2(Zd), where V is a random potential, λ > 0 is a(disorder) parameter and
∆φ(u) =∑|u−v|=1
(φ(u)− φ(v))
is the discrete Laplacian
I Labelling the vertices of Zd, the operator H can berepresented as a two-sided infinite random band matrix,with random entries along the diagonal and 1’s in theremaining non-zero entries
Guilherme Silva Random matrices
Examples and applications - Random Schrodingeroperators and sparse matrices
I For example, if we assume d = 1, the (truncated) matrixrepresentation H of H is
H :=
V1 11 V2 1
1 V3 1. . . . . .
1 Vn−1 11 Vn
where the Vk’s are random
Guilherme Silva Random matrices
Examples and applications - Random Schrodingeroperators and sparse matrices
For d ≥ 3, one of the forms of the universality conjectureassures that
I If λ is sufficiently large (but still finite) every eigenfunction φis localized: |φ(u)| is exponentially decreasing with u
I If λ is sufficiently small (but still positive) everyeigenfunction is delocalized
Guilherme Silva Random matrices
Examples and applications - Random Schrodingeroperators and sparse matrices
For d ≥ 3, one of the forms of the universality conjectureassures that
I If λ is sufficiently large (but still finite) every eigenfunction φis localized: |φ(u)| is exponentially decreasing with u
I If λ is sufficiently small (but still positive) everyeigenfunction is delocalized
Guilherme Silva Random matrices
Examples and applications - Random Schrodingeroperators and sparse matrices
For d ≥ 3, one of the forms of the universality conjectureassures that
I If λ is sufficiently large (but still finite) every eigenfunction φis localized: |φ(u)| is exponentially decreasing with u
I If λ is sufficiently small (but still positive) everyeigenfunction is delocalized
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
I The Brownian motion is a stochastic process W = Wt
(t ≥ 0) on R satisfying the following properties
• W0 = 0 with probability 1• With probability 1, t 7→Wt is continuous• For any t1 < · · · < tn, the random variablesWt1 ,Wt2−t1 , . . . ,Wtn−tn−1
are independent• If s < t, the random variables Wt−s and Wt −Ws are
(equally distributed) centered normal variables withvariance t− s
I Describes the motion of a particle suspended in a fluid
I It is the natural limit for random walks
I Appears in stochastic calculus, financial market models,statistical mechanics, biology...
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
I The Brownian motion is a stochastic process W = Wt
(t ≥ 0) on R satisfying the following properties
• W0 = 0 with probability 1• With probability 1, t 7→Wt is continuous• For any t1 < · · · < tn, the random variablesWt1 ,Wt2−t1 , . . . ,Wtn−tn−1
are independent• If s < t, the random variables Wt−s and Wt −Ws are
(equally distributed) centered normal variables withvariance t− s
I Describes the motion of a particle suspended in a fluid
I It is the natural limit for random walks
I Appears in stochastic calculus, financial market models,statistical mechanics, biology...
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
I The Brownian motion is a stochastic process W = Wt
(t ≥ 0) on R satisfying the following properties• W0 = 0 with probability 1
• With probability 1, t 7→Wt is continuous• For any t1 < · · · < tn, the random variablesWt1 ,Wt2−t1 , . . . ,Wtn−tn−1
are independent• If s < t, the random variables Wt−s and Wt −Ws are
(equally distributed) centered normal variables withvariance t− s
I Describes the motion of a particle suspended in a fluid
I It is the natural limit for random walks
I Appears in stochastic calculus, financial market models,statistical mechanics, biology...
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
I The Brownian motion is a stochastic process W = Wt
(t ≥ 0) on R satisfying the following properties• W0 = 0 with probability 1• With probability 1, t 7→Wt is continuous
• For any t1 < · · · < tn, the random variablesWt1 ,Wt2−t1 , . . . ,Wtn−tn−1
are independent• If s < t, the random variables Wt−s and Wt −Ws are
(equally distributed) centered normal variables withvariance t− s
I Describes the motion of a particle suspended in a fluid
I It is the natural limit for random walks
I Appears in stochastic calculus, financial market models,statistical mechanics, biology...
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
I The Brownian motion is a stochastic process W = Wt
(t ≥ 0) on R satisfying the following properties• W0 = 0 with probability 1• With probability 1, t 7→Wt is continuous• For any t1 < · · · < tn, the random variablesWt1 ,Wt2−t1 , . . . ,Wtn−tn−1
are independent
• If s < t, the random variables Wt−s and Wt −Ws are(equally distributed) centered normal variables withvariance t− s
I Describes the motion of a particle suspended in a fluid
I It is the natural limit for random walks
I Appears in stochastic calculus, financial market models,statistical mechanics, biology...
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
I The Brownian motion is a stochastic process W = Wt
(t ≥ 0) on R satisfying the following properties• W0 = 0 with probability 1• With probability 1, t 7→Wt is continuous• For any t1 < · · · < tn, the random variablesWt1 ,Wt2−t1 , . . . ,Wtn−tn−1
are independent• If s < t, the random variables Wt−s and Wt −Ws are
(equally distributed) centered normal variables withvariance t− s
I Describes the motion of a particle suspended in a fluid
I It is the natural limit for random walks
I Appears in stochastic calculus, financial market models,statistical mechanics, biology...
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
I The Brownian motion is a stochastic process W = Wt
(t ≥ 0) on R satisfying the following properties• W0 = 0 with probability 1• With probability 1, t 7→Wt is continuous• For any t1 < · · · < tn, the random variablesWt1 ,Wt2−t1 , . . . ,Wtn−tn−1
are independent• If s < t, the random variables Wt−s and Wt −Ws are
(equally distributed) centered normal variables withvariance t− s
I Describes the motion of a particle suspended in a fluid
I It is the natural limit for random walks
I Appears in stochastic calculus, financial market models,statistical mechanics, biology...
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
I The Brownian motion is a stochastic process W = Wt
(t ≥ 0) on R satisfying the following properties• W0 = 0 with probability 1• With probability 1, t 7→Wt is continuous• For any t1 < · · · < tn, the random variablesWt1 ,Wt2−t1 , . . . ,Wtn−tn−1
are independent• If s < t, the random variables Wt−s and Wt −Ws are
(equally distributed) centered normal variables withvariance t− s
I Describes the motion of a particle suspended in a fluid
I It is the natural limit for random walks
I Appears in stochastic calculus, financial market models,statistical mechanics, biology...
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
I The Brownian motion is a stochastic process W = Wt
(t ≥ 0) on R satisfying the following properties• W0 = 0 with probability 1• With probability 1, t 7→Wt is continuous• For any t1 < · · · < tn, the random variablesWt1 ,Wt2−t1 , . . . ,Wtn−tn−1
are independent• If s < t, the random variables Wt−s and Wt −Ws are
(equally distributed) centered normal variables withvariance t− s
I Describes the motion of a particle suspended in a fluid
I It is the natural limit for random walks
I Appears in stochastic calculus, financial market models,statistical mechanics, biology...
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
Consider n Brownian motions B1, . . . , Bn on [0, 1] with thefollowing conditions
I Bk(0) = Bk(1) = 1, k = 1, . . . , n
I B1(t) < B2(t) < · · · < Bn(t), ∀t ∈ (0, 1)
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
Consider n Brownian motions B1, . . . , Bn on [0, 1] with thefollowing conditions
I Bk(0) = Bk(1) = 1, k = 1, . . . , n
I B1(t) < B2(t) < · · · < Bn(t), ∀t ∈ (0, 1)
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
Consider n Brownian motions B1, . . . , Bn on [0, 1] with thefollowing conditions
I Bk(0) = Bk(1) = 1, k = 1, . . . , n
I B1(t) < B2(t) < · · · < Bn(t), ∀t ∈ (0, 1)
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions
Guilherme Silva Random matrices
Examples and applications - Non-intersectingBrownian motions and the GUE
Consider n Brownian motions B1, . . . , Bn on [0, 1] with thefollowing conditions
I Bk(0) = Bk(1) = 1, k = 1, . . . , n
I B1(t) < B2(t) < · · · < Bn(t), ∀t ∈ (0, 1)
The distribution of (B1, . . . , Bn) at time t is the same as thedistribution of eigenvalues of the Gaussian unitary ensemble(GUE): the spaceMn of n× n hermitian matrices M withdistribution
1
Zne−Tr M2√
2t(1−t)dM
Guilherme Silva Random matrices
Examples and applications - random permutations
I For a permutation σ ∈ Sn, denote by ln(σ) the length of itslongest increasing subsequence
σ = (1 3 5 4 2 6)
Thus ln(σ) = 4
I Equip the set of permutations of length n, say Sn, with theuniform distribution P(σ ∈ Sn) = 1/(n!)
I Law of large numbers for ln(σ) [Kerov & Vershik, Logan &Shepp, 1977]:
limn→∞
E(ln(σ))√n
= 2
Guilherme Silva Random matrices
Examples and applications - random permutations
I For a permutation σ ∈ Sn, denote by ln(σ) the length of itslongest increasing subsequence
σ = (1 3 5 4 2 6)
Thus ln(σ) = 4
I Equip the set of permutations of length n, say Sn, with theuniform distribution P(σ ∈ Sn) = 1/(n!)
I Law of large numbers for ln(σ) [Kerov & Vershik, Logan &Shepp, 1977]:
limn→∞
E(ln(σ))√n
= 2
Guilherme Silva Random matrices
Examples and applications - random permutations
I For a permutation σ ∈ Sn, denote by ln(σ) the length of itslongest increasing subsequence
σ = (1 3 5 4 2 6)
Thus ln(σ) = 4
I Equip the set of permutations of length n, say Sn, with theuniform distribution P(σ ∈ Sn) = 1/(n!)
I Law of large numbers for ln(σ) [Kerov & Vershik, Logan &Shepp, 1977]:
limn→∞
E(ln(σ))√n
= 2
Guilherme Silva Random matrices
Examples and applications - random permutations
I For a permutation σ ∈ Sn, denote by ln(σ) the length of itslongest increasing subsequence
σ = (1 3 5 4 2 6)
Thus ln(σ) = 4
I Equip the set of permutations of length n, say Sn, with theuniform distribution P(σ ∈ Sn) = 1/(n!)
I Law of large numbers for ln(σ) [Kerov & Vershik, Logan &Shepp, 1977]:
limn→∞
E(ln(σ))√n
= 2
Guilherme Silva Random matrices
Examples and applications - random permutations
I For a permutation σ ∈ Sn, denote by ln(σ) the length of itslongest increasing subsequence
σ = (1 3 5 4 2 6)
Thus ln(σ) = 4
I Equip the set of permutations of length n, say Sn, with theuniform distribution P(σ ∈ Sn) = 1/(n!)
I Law of large numbers for ln(σ) [Kerov & Vershik, Logan &Shepp, 1977]:
limn→∞
E(ln(σ))√n
= 2
Guilherme Silva Random matrices
Examples and applications - random permutations
I For a permutation σ ∈ Sn, denote by ln(σ) the length of itslongest increasing subsequence
σ = (1 3 5 4 2 6)
Thus ln(σ) = 4
I Equip the set of permutations of length n, say Sn, with theuniform distribution P(σ ∈ Sn) = 1/(n!)
I Law of large numbers for ln(σ) [Kerov & Vershik, Logan &Shepp, 1977]:
limn→∞
E(ln(σ))√n
= 2
Guilherme Silva Random matrices
Examples and applications - random permutations
I For a permutation σ ∈ Sn, denote by ln(σ) the length of itslongest increasing subsequence
σ = (1 3 5 4 2 6)
Thus ln(σ) = 4
I Equip the set of permutations of length n, say Sn, with theuniform distribution P(σ ∈ Sn) = 1/(n!)
I Law of large numbers for ln(σ) [Kerov & Vershik, Logan &Shepp, 1977]:
limn→∞
E(ln(σ))√n
= 2
Guilherme Silva Random matrices
Examples and applications - random permutationsand the GUE
I Roughly, the law of large numbers for ln(σ) tells us that
ln(σ) = 2√
(n) + o(n1/2)
I It is natural to ask about computing the next order error(fluctuations) ln(σ)− 2
√n
I Denote by λmax the largest eigenvalue of the GUE
1
Zne−
M2
2 dM
I [Baik, Deift & Johansson, 1998]
limn→∞
P(ln(σ)− 2
√n
n1/6≤ t)
= limn→∞
P(λmax − 2
√n
n−1/6≤ t)
Guilherme Silva Random matrices
Examples and applications - random permutationsand the GUE
I Roughly, the law of large numbers for ln(σ) tells us that
ln(σ) = 2√
(n) + o(n1/2)
I It is natural to ask about computing the next order error(fluctuations) ln(σ)− 2
√n
I Denote by λmax the largest eigenvalue of the GUE
1
Zne−
M2
2 dM
I [Baik, Deift & Johansson, 1998]
limn→∞
P(ln(σ)− 2
√n
n1/6≤ t)
= limn→∞
P(λmax − 2
√n
n−1/6≤ t)
Guilherme Silva Random matrices
Examples and applications - random permutationsand the GUE
I Roughly, the law of large numbers for ln(σ) tells us that
ln(σ) = 2√
(n) + o(n1/2)
I It is natural to ask about computing the next order error(fluctuations) ln(σ)− 2
√n
I Denote by λmax the largest eigenvalue of the GUE
1
Zne−
M2
2 dM
I [Baik, Deift & Johansson, 1998]
limn→∞
P(ln(σ)− 2
√n
n1/6≤ t)
= limn→∞
P(λmax − 2
√n
n−1/6≤ t)
Guilherme Silva Random matrices
Examples and applications - random permutationsand the GUE
I Roughly, the law of large numbers for ln(σ) tells us that
ln(σ) = 2√
(n) + o(n1/2)
I It is natural to ask about computing the next order error(fluctuations) ln(σ)− 2
√n
I Denote by λmax the largest eigenvalue of the GUE
1
Zne−
M2
2 dM
I [Baik, Deift & Johansson, 1998]
limn→∞
P(ln(σ)− 2
√n
n1/6≤ t)
= limn→∞
P(λmax − 2
√n
n−1/6≤ t)
Guilherme Silva Random matrices
Examples and applications - random permutationsand the GUE
I [Baik, Deift & Johansson, 1998]
limn→∞
P(ln(σ)− 2
√n
n1/6≤ t)
= limn→∞
P(λmax − 2
√n
n−1/6≤ t)
I More precisely, these limits are equal to the celebratedTracy-Widom distribution F2(t),
F2(t) := 1 +
∞∑k=1
(−1)k
k!
∫[0,t]k
det1≤j,l≤k
(A(xk, xl))dx1 . . . dxk
where
A(x, y) :=Ai(x) Ai′(y)−Ai(y) Ai′(x)
x− yand Ai is the Airy function
Guilherme Silva Random matrices
Examples and applications - random permutationsand the GUE
I [Baik, Deift & Johansson, 1998]
limn→∞
P(ln(σ)− 2
√n
n1/6≤ t)
= limn→∞
P(λmax − 2
√n
n−1/6≤ t)
I More precisely, these limits are equal to the celebratedTracy-Widom distribution F2(t),
F2(t) := 1 +
∞∑k=1
(−1)k
k!
∫[0,t]k
det1≤j,l≤k
(A(xk, xl))dx1 . . . dxk
where
A(x, y) :=Ai(x) Ai′(y)−Ai(y) Ai′(x)
x− yand Ai is the Airy function
Guilherme Silva Random matrices
TIME FOR A BREAK?
Guilherme Silva Random matrices
Second part
Random matrix theory: basic techniques foruniversality
Guilherme Silva Random matrices
Universality - a known example
Given a sequence of i.i.d. random variables X1, X2, . . . withE(Xj) = µ, Var(Xj) = σ2 > 0, the average
X1 + . . .+Xn − nµσ√n
converges in distribution to N (0, 1)
I After scaling, the limit above does not depend on preciseinformation on the Xj ’s!
I This phenomenon is one instance of universality
Guilherme Silva Random matrices
Universality - a known example
Given a sequence of i.i.d. random variables X1, X2, . . . withE(Xj) = µ, Var(Xj) = σ2 > 0, the average
X1 + . . .+Xn − nµσ√n
converges in distribution to N (0, 1)
I After scaling, the limit above does not depend on preciseinformation on the Xj ’s!
I This phenomenon is one instance of universality
Guilherme Silva Random matrices
Universality - a known example
Given a sequence of i.i.d. random variables X1, X2, . . . withE(Xj) = µ, Var(Xj) = σ2 > 0, the average
X1 + . . .+Xn − nµσ√n
converges in distribution to N (0, 1)
I After scaling, the limit above does not depend on preciseinformation on the Xj ’s!
I This phenomenon is one instance of universality
Guilherme Silva Random matrices
Universality - a not so known example
The Benford law assures that about 30% (more preciselylog10 2) of numerical data statistics’ start with the digit 1
I 30% of the cities have a population size that starts withdigit 1
I 30% of the house numbers in Campinas start with digit 1
I 30% of cash withdraws amounts start with digit 1
So 30% of the numbers drawn for “mega-sena” start with digit1??
Guilherme Silva Random matrices
Universality - a not so known example
The Benford law assures that about 30% (more preciselylog10 2) of numerical data statistics’ start with the digit 1
I 30% of the cities have a population size that starts withdigit 1
I 30% of the house numbers in Campinas start with digit 1
I 30% of cash withdraws amounts start with digit 1
So 30% of the numbers drawn for “mega-sena” start with digit1??
Guilherme Silva Random matrices
Universality - a not so known example
The Benford law assures that about 30% (more preciselylog10 2) of numerical data statistics’ start with the digit 1
I 30% of the cities have a population size that starts withdigit 1
I 30% of the house numbers in Campinas start with digit 1
I 30% of cash withdraws amounts start with digit 1
So 30% of the numbers drawn for “mega-sena” start with digit1??
Guilherme Silva Random matrices
Universality - a not so known example
The Benford law assures that about 30% (more preciselylog10 2) of numerical data statistics’ start with the digit 1
I 30% of the cities have a population size that starts withdigit 1
I 30% of the house numbers in Campinas start with digit 1
I 30% of cash withdraws amounts start with digit 1
So 30% of the numbers drawn for “mega-sena” start with digit1??
Guilherme Silva Random matrices
Universality - a not so known example
The Benford law assures that about 30% (more preciselylog10 2) of numerical data statistics’ start with the digit 1
I 30% of the cities have a population size that starts withdigit 1
I 30% of the house numbers in Campinas start with digit 1
I 30% of cash withdraws amounts start with digit 1
So 30% of the numbers drawn for “mega-sena” start with digit1??
Guilherme Silva Random matrices
Unitary ensembles
I Unitary ensembles: space Hn of n× n hermitian matricesequipped with probability distribution
1
Zne−nTrV (M)dM, (1)
where V is a real polynomial of even degree and dM is theLebesgue measure on Hn ' Rn2
.
• Unitary because (1) is invariant under unitary conjugationM 7→ UMU∗
• When V (x) = x2/2, entries are independent Gaussianrandom variables (GUE)
• The factor n makes sure that eigenvalues remain bounded• The results that will be discussed also hold true for more
general V ’s
Guilherme Silva Random matrices
Unitary ensembles
I Unitary ensembles: space Hn of n× n hermitian matricesequipped with probability distribution
1
Zne−nTrV (M)dM, (1)
where V is a real polynomial of even degree and dM is theLebesgue measure on Hn ' Rn2
.
• Unitary because (1) is invariant under unitary conjugationM 7→ UMU∗
• When V (x) = x2/2, entries are independent Gaussianrandom variables (GUE)
• The factor n makes sure that eigenvalues remain bounded• The results that will be discussed also hold true for more
general V ’s
Guilherme Silva Random matrices
Unitary ensembles
I Unitary ensembles: space Hn of n× n hermitian matricesequipped with probability distribution
1
Zne−nTrV (M)dM, (1)
where V is a real polynomial of even degree and dM is theLebesgue measure on Hn ' Rn2
.
• Unitary because (1) is invariant under unitary conjugationM 7→ UMU∗
• When V (x) = x2/2, entries are independent Gaussianrandom variables (GUE)
• The factor n makes sure that eigenvalues remain bounded• The results that will be discussed also hold true for more
general V ’s
Guilherme Silva Random matrices
Unitary ensembles
I Unitary ensembles: space Hn of n× n hermitian matricesequipped with probability distribution
1
Zne−nTrV (M)dM, (1)
where V is a real polynomial of even degree and dM is theLebesgue measure on Hn ' Rn2
.
• Unitary because (1) is invariant under unitary conjugationM 7→ UMU∗
• When V (x) = x2/2, entries are independent Gaussianrandom variables (GUE)
• The factor n makes sure that eigenvalues remain bounded• The results that will be discussed also hold true for more
general V ’s
Guilherme Silva Random matrices
Unitary ensembles
I Unitary ensembles: space Hn of n× n hermitian matricesequipped with probability distribution
1
Zne−nTrV (M)dM, (1)
where V is a real polynomial of even degree and dM is theLebesgue measure on Hn ' Rn2
.
• Unitary because (1) is invariant under unitary conjugationM 7→ UMU∗
• When V (x) = x2/2, entries are independent Gaussianrandom variables (GUE)
• The factor n makes sure that eigenvalues remain bounded
• The results that will be discussed also hold true for moregeneral V ’s
Guilherme Silva Random matrices
Unitary ensembles
I Unitary ensembles: space Hn of n× n hermitian matricesequipped with probability distribution
1
Zne−nTrV (M)dM, (1)
where V is a real polynomial of even degree and dM is theLebesgue measure on Hn ' Rn2
.
• Unitary because (1) is invariant under unitary conjugationM 7→ UMU∗
• When V (x) = x2/2, entries are independent Gaussianrandom variables (GUE)
• The factor n makes sure that eigenvalues remain bounded• The results that will be discussed also hold true for more
general V ’s
Guilherme Silva Random matrices
Unitary ensembles - techniques
I We can see the diagonalization
M = U
λ1 0 · · · 00 λ2 · · · 0...
.... . .
...0 0 · · · λn
U∗
as a change of variables
Hn 3M 7→ (λ,U) ∈ Rn × U(n)/Tn
where λ = (λ1, . . . , λn) and T = eiθ | θ ∈ R
Guilherme Silva Random matrices
Unitary ensembles - techniques
I Computing the Jacobian of the change of variables we getthat
1
Zne−nTrV (M)dM =
1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj)dλ1 . . . dλn dU
where dU is the Haar measure on Un
I Consequences:
• Eigenvalues and eigenvectors are statistically independent• Eigenvectors are completely delocalized (uniformly
distributed on U(n))• Eigenvalues exhibit local repulsion
Guilherme Silva Random matrices
Unitary ensembles - techniques
I Computing the Jacobian of the change of variables we getthat
1
Zne−nTrV (M)dM =
1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj)dλ1 . . . dλn dU
where dU is the Haar measure on UnI Consequences:
• Eigenvalues and eigenvectors are statistically independent• Eigenvectors are completely delocalized (uniformly
distributed on U(n))• Eigenvalues exhibit local repulsion
Guilherme Silva Random matrices
Unitary ensembles - techniques
I Computing the Jacobian of the change of variables we getthat
1
Zne−nTrV (M)dM =
1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj)dλ1 . . . dλn dU
where dU is the Haar measure on UnI Consequences:
• Eigenvalues and eigenvectors are statistically independent
• Eigenvectors are completely delocalized (uniformlydistributed on U(n))
• Eigenvalues exhibit local repulsion
Guilherme Silva Random matrices
Unitary ensembles - techniques
I Computing the Jacobian of the change of variables we getthat
1
Zne−nTrV (M)dM =
1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj)dλ1 . . . dλn dU
where dU is the Haar measure on UnI Consequences:
• Eigenvalues and eigenvectors are statistically independent• Eigenvectors are completely delocalized (uniformly
distributed on U(n))
• Eigenvalues exhibit local repulsion
Guilherme Silva Random matrices
Unitary ensembles - techniques
I Computing the Jacobian of the change of variables we getthat
1
Zne−nTrV (M)dM =
1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj)dλ1 . . . dλn dU
where dU is the Haar measure on UnI Consequences:
• Eigenvalues and eigenvectors are statistically independent• Eigenvectors are completely delocalized (uniformly
distributed on U(n))• Eigenvalues exhibit local repulsion
Guilherme Silva Random matrices
Unitary ensembles and orthogonal polynomials
After some massage, we get that1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj) = det(Kn(λk, λj))1≤k,j≤n
where Kn is the correlation kernel
Kn(x, y) = e−n2
(V (x)+V (y))n−1∑k=0
pk(x)pk(y),
pk = pn,k’s are the orthonormal polynomials for e−nV (x)dx,∫pj(x)pk(x)e−nV (x)dx = δjk.
Furthermore, for some hn > 0,
pn(x) =1
hnE [det(Ix−M)]
Main message: all information is encoded in the OP’s!
Guilherme Silva Random matrices
Unitary ensembles and orthogonal polynomials
After some massage, we get that1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj) = det(Kn(λk, λj))1≤k,j≤n
where Kn is the correlation kernel
Kn(x, y) = e−n2
(V (x)+V (y))n−1∑k=0
pk(x)pk(y),
pk = pn,k’s are the orthonormal polynomials for e−nV (x)dx,∫pj(x)pk(x)e−nV (x)dx = δjk.
Furthermore, for some hn > 0,
pn(x) =1
hnE [det(Ix−M)]
Main message: all information is encoded in the OP’s!
Guilherme Silva Random matrices
Unitary ensembles and orthogonal polynomials
After some massage, we get that1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj) = det(Kn(λk, λj))1≤k,j≤n
where Kn is the correlation kernel
Kn(x, y) = e−n2
(V (x)+V (y))n−1∑k=0
pk(x)pk(y),
pk = pn,k’s are the orthonormal polynomials for e−nV (x)dx,∫pj(x)pk(x)e−nV (x)dx = δjk.
Furthermore, for some hn > 0,
pn(x) =1
hnE [det(Ix−M)]
Main message: all information is encoded in the OP’s!
Guilherme Silva Random matrices
Unitary ensembles and orthogonal polynomials
After some massage, we get that1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj) = det(Kn(λk, λj))1≤k,j≤n
where Kn is the correlation kernel
Kn(x, y) = e−n2
(V (x)+V (y))n−1∑k=0
pk(x)pk(y),
pk = pn,k’s are the orthonormal polynomials for e−nV (x)dx,∫pj(x)pk(x)e−nV (x)dx = δjk.
Furthermore, for some hn > 0,
pn(x) =1
hnE [det(Ix−M)]
Main message: all information is encoded in the OP’s!Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
We can rewrite
1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj) =1
Zne−n
2H(λ1,...,λn)
where
H(λ1, . . . , λn) =1
n2
∑j 6=k
log1
|λj − λk|+
1
n
∑j
Q(λj)
I Thus the most likely eigenvalues should be the onesminimizing H(λ1, . . . , λn)
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
We can rewrite
1
Zn
∏j<k
(λj − λk)2∏j
e−nV (λj) =1
Zne−n
2H(λ1,...,λn)
where
H(λ1, . . . , λn) =1
n2
∑j 6=k
log1
|λj − λk|+
1
n
∑j
Q(λj)
I Thus the most likely eigenvalues should be the onesminimizing H(λ1, . . . , λn)
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
H(λ1, . . . , λn) =1
n2
∑j 6=k
log1
|λj − λk|+
1
n
∑j
Q(λj)
I Denoting
νn,λ =1
n
n∑j=1
δλj , λ = (λ1, . . . , λn)
we can alternatively write
H(λ) =
∫∫x6=y
log1
|x− y|dνn,λ(x)dνn,λ(y) +
∫V (x)dνn,λ(x)
I So when n→∞ the eigenvalues should follow thedistribution µV that minimizes∫∫
log1
|x− y|dν(x)dν(y) +
∫V (x)dν(x)
over all probability measures ν on R
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
H(λ1, . . . , λn) =1
n2
∑j 6=k
log1
|λj − λk|+
1
n
∑j
Q(λj)
I Denoting
νn,λ =1
n
n∑j=1
δλj , λ = (λ1, . . . , λn)
we can alternatively write
H(λ) =
∫∫x6=y
log1
|x− y|dνn,λ(x)dνn,λ(y) +
∫V (x)dνn,λ(x)
I So when n→∞ the eigenvalues should follow thedistribution µV that minimizes∫∫
log1
|x− y|dν(x)dν(y) +
∫V (x)dν(x)
over all probability measures ν on R
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
H(λ1, . . . , λn) =1
n2
∑j 6=k
log1
|λj − λk|+
1
n
∑j
Q(λj)
I Denoting
νn,λ =1
n
n∑j=1
δλj , λ = (λ1, . . . , λn)
we can alternatively write
H(λ) =
∫∫x6=y
log1
|x− y|dνn,λ(x)dνn,λ(y) +
∫V (x)dνn,λ(x)
I So when n→∞ the eigenvalues should follow thedistribution µV that minimizes∫∫
log1
|x− y|dν(x)dν(y) +
∫V (x)dν(x)
over all probability measures ν on R
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
H(λ1, . . . , λn) =1
n2
∑j 6=k
log1
|λj − λk|+
1
n
∑j
Q(λj)
I Denoting
νn,λ =1
n
n∑j=1
δλj , λ = (λ1, . . . , λn)
we can alternatively write
H(λ) =
∫∫x6=y
log1
|x− y|dνn,λ(x)dνn,λ(y) +
∫V (x)dνn,λ(x)
I So when n→∞ the eigenvalues should follow thedistribution µV that minimizes∫∫
log1
|x− y|dν(x)dν(y) +
∫V (x)dν(x)
over all probability measures ν on RGuilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
I For a real polynomial V of even degree, there exists aunique measure µV , called the equilibrium measure, thatminimizes the energy∫∫
log1
|x− y|dν(x)dν(y) +
∫V (x)dν(x)
over all probability measures on R
I The measure µV is absolutely continuous with continuousdensity ρV .
I For instance, if V (x) = x2/2, then
ρV (x) = ρsc(x) =1
2π
√4− x2χ[−2,2](x)
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
I For a real polynomial V of even degree, there exists aunique measure µV , called the equilibrium measure, thatminimizes the energy∫∫
log1
|x− y|dν(x)dν(y) +
∫V (x)dν(x)
over all probability measures on RI The measure µV is absolutely continuous with continuous
density ρV .
I For instance, if V (x) = x2/2, then
ρV (x) = ρsc(x) =1
2π
√4− x2χ[−2,2](x)
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
I For a real polynomial V of even degree, there exists aunique measure µV , called the equilibrium measure, thatminimizes the energy∫∫
log1
|x− y|dν(x)dν(y) +
∫V (x)dν(x)
over all probability measures on RI The measure µV is absolutely continuous with continuous
density ρV .I For instance, if V (x) = x2/2, then
ρV (x) = ρsc(x) =1
2π
√4− x2χ[−2,2](x)
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
I Limiting distribution of eigenvalues: Let λ1, . . . , λn be theeigenvalues of a matrix M , distributed according to the UEwith potential V . Then the limit
1
n
n∑j=1
δλj∗→ µV
holds true with probability one.
I In particular, for an interval J ⊂ R
limn→∞
E (# eigenvalues in J)
n=
∫JdµV
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
I Limiting distribution of eigenvalues: Let λ1, . . . , λn be theeigenvalues of a matrix M , distributed according to the UEwith potential V . Then the limit
1
n
n∑j=1
δλj∗→ µV
holds true with probability one.I In particular, for an interval J ⊂ R
limn→∞
E (# eigenvalues in J)
n=
∫JdµV
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
I Limiting zero distribution: Let pn be the n-th orthonormalpolynomial for e−nV (x)dx. Then
1
n
∑pn(w)=0
δw∗→ µV
I Thus, at the macroscopic scale, zeros and eigenvalueshave the same large n behavior
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
Guilherme Silva Random matrices
Unitary ensembles - global behavior of eigenvalues
equilibrium measure µV
Guilherme Silva Random matrices
Unitary ensembles - Bulk universality
Recall that Kn is the Christoffel-Darboux kernel,
Kn(x, y) = e−n2
(V (x)+V (y))n−1∑k=0
pk(x)pk(y)
= e−n2
(V (x)+V (y)) pn(x)pn−1(y)− pn(y)pn−1(x)
x− y
I Sine universality: Fix x∗ for which ρV (x∗) > 0. Usingasymptotics of OP’s,
limn→∞
1
nρV (x∗)Kn
(x∗ +
u
nρV (x∗), x∗ +
v
nρV (x∗)
)=
sinπ(u− v)
π(u− v)
Guilherme Silva Random matrices
Unitary ensembles - Bulk universality
Recall that Kn is the Christoffel-Darboux kernel,
Kn(x, y) = e−n2
(V (x)+V (y))n−1∑k=0
pk(x)pk(y)
= e−n2
(V (x)+V (y)) pn(x)pn−1(y)− pn(y)pn−1(x)
x− y
I Sine universality: Fix x∗ for which ρV (x∗) > 0. Usingasymptotics of OP’s,
limn→∞
1
nρV (x∗)Kn
(x∗ +
u
nρV (x∗), x∗ +
v
nρV (x∗)
)=
sinπ(u− v)
π(u− v)
Guilherme Silva Random matrices
Unitary ensembles - Fluctuations at the edge
I suppµV is a finite union of compact intervals, and
ρV (x) ∼ c |x− p|4k+1
2 , k = k(p) ≥ 0
at each endpoint p of the connected components ofsuppµV .
I Tracy-Widom Universality Let x∗ be the right-most endpointof suppµV and suppose that k(x∗) = 0. Then
P(λn ≤ x∗ +
t
n2/3
)= F2(t)
where F2 is the Tracy-Widom distribution
Guilherme Silva Random matrices
Unitary ensembles - Fluctuations at the edge
I suppµV is a finite union of compact intervals, and
ρV (x) ∼ c |x− p|4k+1
2 , k = k(p) ≥ 0
at each endpoint p of the connected components ofsuppµV .
I Tracy-Widom Universality Let x∗ be the right-most endpointof suppµV and suppose that k(x∗) = 0. Then
P(λn ≤ x∗ +
t
n2/3
)= F2(t)
where F2 is the Tracy-Widom distribution
Guilherme Silva Random matrices
Unitary ensembles - Fluctuations at the edge
I The condition k(x∗) = 0, that is,
ρV (x) ∼ c (x∗ − x)1/2, x x∗
is “generically” satisfied. For instance, it holds true if V isconvex.
I The Tracy-Widom distribution admits the representation
F2(t) = exp
(−∫ ∞t
(y − t)q20(y)dy
),
where q0 is a particular (a.k.a. Hastings-McLeod) solutionto the Painleve II equation
q′′(y) = yq(y) + 2q(y)3
I For k(x∗) 6= 0, the limiting distribution is expressed in termsof solutions to higher-order ODE’s (members of the PIIhierarchy)
Guilherme Silva Random matrices
Unitary ensembles - Fluctuations at the edge
I The condition k(x∗) = 0, that is,
ρV (x) ∼ c (x∗ − x)1/2, x x∗
is “generically” satisfied. For instance, it holds true if V isconvex.
I The Tracy-Widom distribution admits the representation
F2(t) = exp
(−∫ ∞t
(y − t)q20(y)dy
),
where q0 is a particular (a.k.a. Hastings-McLeod) solutionto the Painleve II equation
q′′(y) = yq(y) + 2q(y)3
I For k(x∗) 6= 0, the limiting distribution is expressed in termsof solutions to higher-order ODE’s (members of the PIIhierarchy)
Guilherme Silva Random matrices
Unitary ensembles - Fluctuations at the edge
I The condition k(x∗) = 0, that is,
ρV (x) ∼ c (x∗ − x)1/2, x x∗
is “generically” satisfied. For instance, it holds true if V isconvex.
I The Tracy-Widom distribution admits the representation
F2(t) = exp
(−∫ ∞t
(y − t)q20(y)dy
),
where q0 is a particular (a.k.a. Hastings-McLeod) solutionto the Painleve II equation
q′′(y) = yq(y) + 2q(y)3
I For k(x∗) 6= 0, the limiting distribution is expressed in termsof solutions to higher-order ODE’s (members of the PIIhierarchy)
Guilherme Silva Random matrices
Main technique: asymptotics for OP’s via theRiemann-Hilbert approach
Let qn be the monic OP of degree n for e−nV (x)dx
qn = Y11, where Y is the solution to the followingRiemann-Hilbert problem
• Y : C \ Σ→ C2×2 is analytic;
• Y+(x) = Y−(x)
(1 e−nV (x)
0 1
), x ∈ R;
• Y (z) = (I +O(z−1))
(zn 00 z−n
), z →∞.
Guilherme Silva Random matrices
Main technique: asymptotics for OP’s via theRiemann-Hilbert approach
Let qn be the monic OP of degree n for e−nV (x)dx
qn = Y11, where Y is the solution to the followingRiemann-Hilbert problem
• Y : C \ Σ→ C2×2 is analytic;
• Y+(x) = Y−(x)
(1 e−nV (x)
0 1
), x ∈ R;
• Y (z) = (I +O(z−1))
(zn 00 z−n
), z →∞.
Guilherme Silva Random matrices
Main technique: asymptotics for OP’s via theRiemann-Hilbert approach
Let qn be the monic OP of degree n for e−nV (x)dx
qn = Y11, where Y is the solution to the followingRiemann-Hilbert problem
• Y : C \ Σ→ C2×2 is analytic;
• Y+(x) = Y−(x)
(1 e−nV (x)
0 1
), x ∈ R;
• Y (z) = (I +O(z−1))
(zn 00 z−n
), z →∞.
Guilherme Silva Random matrices
Main technique: asymptotics for OP’s via theRiemann-Hilbert approach
Let qn be the monic OP of degree n for e−nV (x)dx
qn = Y11, where Y is the solution to the followingRiemann-Hilbert problem
• Y : C \ Σ→ C2×2 is analytic;
• Y+(x) = Y−(x)
(1 e−nV (x)
0 1
), x ∈ R;
• Y (z) = (I +O(z−1))
(zn 00 z−n
), z →∞.
Guilherme Silva Random matrices
Main technique: asymptotics for OP’s via theRiemann-Hilbert approach
Let qn be the monic OP of degree n for e−nV (x)dx
qn = Y11, where Y is the solution to the followingRiemann-Hilbert problem
• Y : C \ Σ→ C2×2 is analytic;
• Y+(x) = Y−(x)
(1 e−nV (x)
0 1
), x ∈ R;
• Y (z) = (I +O(z−1))
(zn 00 z−n
), z →∞.
Guilherme Silva Random matrices
Deift-Zhou Steepest Descent method
The idea is to perform a number of (invertible) transformations
Y 7→ X 7→ · · · 7→ S
so that at the end JS ≈ I
and consequently
S ≈ I, n→∞.
Reverting the transformations, one gets asymptotics for Y , andconsequently for qn.
This has been first developed by Deift, Kriecherbauer,McLaughlin, Venakides and Zhou (1997), and since then hasbeen explored and generalized to countless different contextsand problems
Guilherme Silva Random matrices
Deift-Zhou Steepest Descent method
The idea is to perform a number of (invertible) transformations
Y 7→ X 7→ · · · 7→ S
so that at the end JS ≈ I and consequently
S ≈ I, n→∞.
Reverting the transformations, one gets asymptotics for Y , andconsequently for qn.
This has been first developed by Deift, Kriecherbauer,McLaughlin, Venakides and Zhou (1997), and since then hasbeen explored and generalized to countless different contextsand problems
Guilherme Silva Random matrices
Deift-Zhou Steepest Descent method
The idea is to perform a number of (invertible) transformations
Y 7→ X 7→ · · · 7→ S
so that at the end JS ≈ I and consequently
S ≈ I, n→∞.
Reverting the transformations, one gets asymptotics for Y , andconsequently for qn.
This has been first developed by Deift, Kriecherbauer,McLaughlin, Venakides and Zhou (1997), and since then hasbeen explored and generalized to countless different contextsand problems
Guilherme Silva Random matrices
Deift-Zhou Steepest Descent method
The idea is to perform a number of (invertible) transformations
Y 7→ X 7→ · · · 7→ S
so that at the end JS ≈ I and consequently
S ≈ I, n→∞.
Reverting the transformations, one gets asymptotics for Y , andconsequently for qn.
This has been first developed by Deift, Kriecherbauer,McLaughlin, Venakides and Zhou (1997), and since then hasbeen explored and generalized to countless different contextsand problems
Guilherme Silva Random matrices
Time to wrap things up!
I We motivated the study of RM’s through their appearancein other problems of math and physics
I We gave an overview on unitary ensembles
I We briefly commented on how orthogonal polynomials canbe used to study universality
I We showed recent developments on the normal matrixmodel
I There are many other different random matrix modelswhere OP’s and their generalizations appear. For instance,the normal matrix model, two-matrix models, the externalsource model, products of random matrices...
Guilherme Silva Random matrices
Time to wrap things up!
I We motivated the study of RM’s through their appearancein other problems of math and physics
I We gave an overview on unitary ensembles
I We briefly commented on how orthogonal polynomials canbe used to study universality
I We showed recent developments on the normal matrixmodel
I There are many other different random matrix modelswhere OP’s and their generalizations appear. For instance,the normal matrix model, two-matrix models, the externalsource model, products of random matrices...
Guilherme Silva Random matrices
Time to wrap things up!
I We motivated the study of RM’s through their appearancein other problems of math and physics
I We gave an overview on unitary ensembles
I We briefly commented on how orthogonal polynomials canbe used to study universality
I We showed recent developments on the normal matrixmodel
I There are many other different random matrix modelswhere OP’s and their generalizations appear. For instance,the normal matrix model, two-matrix models, the externalsource model, products of random matrices...
Guilherme Silva Random matrices
Time to wrap things up!
I We motivated the study of RM’s through their appearancein other problems of math and physics
I We gave an overview on unitary ensembles
I We briefly commented on how orthogonal polynomials canbe used to study universality
I We showed recent developments on the normal matrixmodel
I There are many other different random matrix modelswhere OP’s and their generalizations appear. For instance,the normal matrix model, two-matrix models, the externalsource model, products of random matrices...
Guilherme Silva Random matrices
Time to wrap things up!
I We motivated the study of RM’s through their appearancein other problems of math and physics
I We gave an overview on unitary ensembles
I We briefly commented on how orthogonal polynomials canbe used to study universality
I We showed recent developments on the normal matrixmodel
I There are many other different random matrix modelswhere OP’s and their generalizations appear. For instance,the normal matrix model, two-matrix models, the externalsource model, products of random matrices...
Guilherme Silva Random matrices
The normal matrix model
I Normal matrix model = space of n× n normal randommatrices (MM∗ = M∗M ) with probability distribution of theform
1
Znexp
(− nt0
TrV(M)
)dM
for some polynomial V on M and M∗ with V(M) = V(M)∗.I Distribution of eigenvalues (λ1, . . . , λn) ∈ Cn is
Pn(λ1, . . . , λn)dλ1 . . . dλn
=1
Zn
∏j<k
|λk − λj |2∏j
e− nt0V(λj)dλ1 · · · dλn
Guilherme Silva Random matrices
The normal matrix model
I Normal matrix model = space of n× n normal randommatrices (MM∗ = M∗M ) with probability distribution of theform
1
Znexp
(− nt0
TrV(M)
)dM
for some polynomial V on M and M∗ with V(M) = V(M)∗.
I Distribution of eigenvalues (λ1, . . . , λn) ∈ Cn is
Pn(λ1, . . . , λn)dλ1 . . . dλn
=1
Zn
∏j<k
|λk − λj |2∏j
e− nt0V(λj)dλ1 · · · dλn
Guilherme Silva Random matrices
The normal matrix model
I Normal matrix model = space of n× n normal randommatrices (MM∗ = M∗M ) with probability distribution of theform
1
Znexp
(− nt0
TrV(M)
)dM
for some polynomial V on M and M∗ with V(M) = V(M)∗.I Distribution of eigenvalues (λ1, . . . , λn) ∈ Cn is
Pn(λ1, . . . , λn)dλ1 . . . dλn
=1
Zn
∏j<k
|λk − λj |2∏j
e− nt0V(λj)dλ1 · · · dλn
Guilherme Silva Random matrices
The limiting shape of eigenvalues
I In the large n limit, the eigenvalues accumulate on a setΩt0 = Ωt0,V
V(z) = |z|2 + 2 log1
|z − 1|
t0 = 1 t0 = 4
Guilherme Silva Random matrices
Laplacian growth
Laplacian growth is a model of evolution for planar domains.
Guilherme Silva Random matrices
Laplacian growth
Laplacian growth is a model of evolution for planar domains.
Guilherme Silva Random matrices
Laplacian growth
Laplacian growth is a model of evolution for planar domains.
I For a bounded simply connected domain Ω ⊂ CC, itsassociated Green function (with pole at∞) gΩ is thesolution to the Dirichlet problem
4gΩ(z) = 0, z ∈ C \ Ω
gΩ(z) = 0, z ∈ ∂Ω
gΩ(z) = log |z|+O(1), z →∞
Guilherme Silva Random matrices
Laplacian growth
Laplacian growth is a model of evolution for planar domains.
I
4gΩ(z) = 0, z ∈ C \ Ω
gΩ(z) = 0, z ∈ ∂Ω
gΩ(z) = log |z|+O(1), z →∞
Guilherme Silva Random matrices
Laplacian growth
Laplacian growth is a model of evolution for planar domains.
I
4gΩ(z) = 0, z ∈ C \ Ω
gΩ(z) = 0, z ∈ ∂Ω
gΩ(z) = log |z|+O(1), z →∞
I A bounded simply connected domain Ω = Ωt0 evolvesaccording to the Laplacian growth if
Area(Ωt0) = πt0
∂t0ηt0(z) = const∇gΩt0(z)
Ωt0
ηt0
Guilherme Silva Random matrices
Laplacian growth and normal matrices - afterWiegmann et al.
At the formal level,
I The harmonic moments
tk := − 1
π
∫∫C\Ωt0
dA(z)
zk, k = 1, 2, 3, · · ·
are preserved by the Laplacian growth.I The domain Ωt0 coincides with the limiting domain for the
eigenvalues of the normal matrix model
1
Zne− nt0
Tr(MM∗−V (W )−V (W ∗))dM, V (z) =
∞∑k=1
tkkzk
Guilherme Silva Random matrices
Laplacian growth and normal matrices - afterWiegmann et al.
At the formal level,
I The harmonic moments
tk := − 1
π
∫∫C\Ωt0
dA(z)
zk, k = 1, 2, 3, · · ·
are preserved by the Laplacian growth.
I The domain Ωt0 coincides with the limiting domain for theeigenvalues of the normal matrix model
1
Zne− nt0
Tr(MM∗−V (W )−V (W ∗))dM, V (z) =
∞∑k=1
tkkzk
Guilherme Silva Random matrices
Laplacian growth and normal matrices - afterWiegmann et al.
At the formal level,
I The harmonic moments
tk := − 1
π
∫∫C\Ωt0
dA(z)
zk, k = 1, 2, 3, · · ·
are preserved by the Laplacian growth.I The domain Ωt0 coincides with the limiting domain for the
eigenvalues of the normal matrix model
1
Zne− nt0
Tr(MM∗−V (W )−V (W ∗))dM, V (z) =
∞∑k=1
tkkzk
Guilherme Silva Random matrices
The NMM with cubic potential (jointly with PavelBleher - IUPUI)
I For now on, we specify to the NMM
1
Zne− nt0
Tr(MM∗−V (W )−V (W ∗))dM
with
V (z) =z3
3+ t1z, −3
4< t1 <
1
4
I Symmetric case t1 = 0 studied by Bleher & Kuijlaars (2012)
Guilherme Silva Random matrices
The NMM with cubic potential (jointly with PavelBleher - IUPUI)
I For now on, we specify to the NMM
1
Zne− nt0
Tr(MM∗−V (W )−V (W ∗))dM
with
V (z) =z3
3+ t1z, −3
4< t1 <
1
4
I Symmetric case t1 = 0 studied by Bleher & Kuijlaars (2012)
Guilherme Silva Random matrices
The NMM with cubic potential (jointly with PavelBleher - IUPUI)
I For now on, we specify to the NMM
1
Zne− nt0
Tr(MM∗−V (W )−V (W ∗))dM
with
V (z) =z3
3+ t1z, −3
4< t1 <
1
4
I Symmetric case t1 = 0 studied by Bleher & Kuijlaars (2012)
Guilherme Silva Random matrices
Limiting domain of eigenvalues
Theorem (Bleher & S., 2016)There exists t0,crit = t0,crit(t1) > 0 for which
I For certain functions r = r(t0, t1) and a0 = a0(t0, t1),
∂Ωt0 = z = h(eiθ) | θ ∈ [0, 2π],
h(w) := rw + a0 +2a0r
w+r2
w2
In particular, ∂Ωt0 is analytic for t0 < t0,crit
I Ωt0 solves the Laplacian growth problem with harmonicmoments
t1 ∈ (−3/4, 1/4), t3 = 1, tk = 0, k = 2, 4, 5, . . .
Guilherme Silva Random matrices
Limiting domain of eigenvalues
Theorem (Bleher & S., 2016)There exists t0,crit = t0,crit(t1) > 0 for which
I For certain functions r = r(t0, t1) and a0 = a0(t0, t1),
∂Ωt0 = z = h(eiθ) | θ ∈ [0, 2π],
h(w) := rw + a0 +2a0r
w+r2
w2
In particular, ∂Ωt0 is analytic for t0 < t0,crit
I Ωt0 solves the Laplacian growth problem with harmonicmoments
t1 ∈ (−3/4, 1/4), t3 = 1, tk = 0, k = 2, 4, 5, . . .
Guilherme Silva Random matrices
Limiting domain of eigenvalues
Theorem (Bleher & S., 2016)There exists t0,crit = t0,crit(t1) > 0 for which
I For certain functions r = r(t0, t1) and a0 = a0(t0, t1),
∂Ωt0 = z = h(eiθ) | θ ∈ [0, 2π],
h(w) := rw + a0 +2a0r
w+r2
w2
In particular, ∂Ωt0 is analytic for t0 < t0,crit
I Ωt0 solves the Laplacian growth problem with harmonicmoments
t1 ∈ (−3/4, 1/4), t3 = 1, tk = 0, k = 2, 4, 5, . . .
Guilherme Silva Random matrices
Evolution of the boundary for t1 = 116 (left) and t1 = −1
4
(right)
Guilherme Silva Random matrices
Phase diagram
Guilherme Silva Random matrices
Average characteristic polynomial
For n even and t1 ≥ 0 we also study the (regularized) averagecharacteristic polynomials
pn(z) := E [det(Iz −M)]
Guilherme Silva Random matrices
Associated orthogonality
Theorem (Bleher & S., 2016)The polynomial pn satisfies the multiple orthogonality∫
Γpn(s)ske
nτV (s)y(s)ds = 0, k = 0, · · · , n
2− 1∫
Γpn(s)ske
nτV (s)y′(s)ds = 0, k = 0, · · · , n
2− 1
where Γ = Γ0 ∪ Γ1 ∪ Γ2, y∣∣Γj≡ yj and
Γ0
Γ2
Γ1
y0(s) := Ai(s),
y1(s) := ω2 Ai(ω2s),
y2(s) := ωAi(ωs),
ω := e2πi3 ,
s :=(nτ
)2/3(s− t)
Guilherme Silva Random matrices
Large n behavior of zeros
Theorem (Bleher & S., 2016)For t1 ∈ (−3/4, 1/4), the zeros of pn accumulate on a contourΣ∗ (explicitly determined).
Guilherme Silva Random matrices
Large n behavior of zeros
Theorem (Bleher & S., 2016)For t1 ∈ (−3/4, 1/4), the zeros of pn accumulate on a contourΣ∗ (explicitly determined).
Guilherme Silva Random matrices
Basic references
I General aspects of random matrix theory (including mostaspects discussed on applications of RMT):
• Madan L. Mehta. Random matrices - Third edition (2004),Academic Press - Series Pure and Applied Mathematics(book 142).
• Handbook of Random Matrix Theory (Edited by G.Akemann, J. Baik and P. Di Francesco), 960 pages, OxfordUniversity Press.
• Terence Tao. Topics in Random Matrix Theory, AMS, 2012.
• Percy Deift and Dimitri Gioev. Random matrix theory:invariant ensembles and universality. Courant LectureNotes in Mathematics 18, 2009.
Guilherme Silva Random matrices
Technical references
I Number theory:
• Madan L. Mehta. Random matrices - Third edition (2004),Academic Press - Series Pure and Applied Mathematics(book 142).
• J.P. Keating. Random matrices and the Riemannzeta-function – a review, Applied Mathematics Entering the21st Century: Invited Talks from the ICIAM 2003 Congress.
Guilherme Silva Random matrices
Technical references
I Brownian motion:
• Dyson, F. J.. A Brownian-motion model for the eigenvaluesof a random matrix, J. Math. Phys. 3(1962), 1191–1198.
• Madan L. Mehta. Random matrices - Third edition (2004),Academic Press - Series Pure and Applied Mathematics(book 142).
• C. Tracy and H. Widom. Nonintersecting Brownianexcursions, The Annals of Applied Probability 2007, Vol.17, No. 3, 953–979.
• E. Daems, A. Kuijlaars and W. Veys Asymptotics ofnon-intersecting Brownian motions and a 4 x 4Riemann-Hilbert problem, J. Approx. Theory 153 (2008),225–256.
Guilherme Silva Random matrices
Technical references
I Random permutations:
• J. Baik, P. Deift and K. Johansson. On the Distribution ofthe Length of the Longest Increasing Subsequence ofRandom Permutations, J. Amer. Math. Soc., 12,no.4:1119-1178, 1999
• D. Romik. The Surprising Mathematics of LongestIncreasing Subsequences, Cambridge University Press2015. Available online for free in author’s webpage
Guilherme Silva Random matrices
Technical references
I Unitary ensembles:
• P. Deift. Orthogonal polynomials and random matrices: aRiemann-Hilbert approach. Courant Lecture Notes 1999.
• D. Lubinsky. A New Approach to Universality LimitsInvolving Orthogonal Polynomials, Annals of Mathematics,170(2009), 915-939.
• T. Claeys, A. Its, and I. Krasovsky. Higher order analoguesof the Tracy-Widom distribution and the Painleve IIhierarchy, Comm. Pure Appl. Math. 63 (2010), 362-412
Guilherme Silva Random matrices
Technical references
I Normal Matrix Model:
• P. Elbau. Random Normal Matrices and Polynomial Curves,Ph.D. Thesis, ETH Zurich, 2006, 36 pages,arXiv:0707.0425
• P. Bleher and G. Silva. The mother body phase transition inthe normal matrix model, 2016, 127 pages,arXiv:1601.05124
Guilherme Silva Random matrices
Thank you!
Guilherme Silva Random matrices
Thank you!
Guilherme Silva Random matrices
Thank you!
Guilherme Silva Random matrices