scholarly journals On the smallest singular value of symmetric random matrices

Author(s):  
Vishesh Jain ◽  
Ashwin Sah ◽  
Mehtaab Sawhney

Abstract We show that for an $n\times n$ random symmetric matrix $A_n$ , whose entries on and above the diagonal are independent copies of a sub-Gaussian random variable $\xi$ with mean 0 and variance 1, \begin{equation*}\mathbb{P}[s_n(A_n) \le \epsilon/\sqrt{n}] \le O_{\xi}(\epsilon^{1/8} + \exp(\!-\Omega_{\xi}(n^{1/2}))) \quad \text{for all } \epsilon \ge 0.\end{equation*} This improves a result of Vershynin, who obtained such a bound with $n^{1/2}$ replaced by $n^{c}$ for a small constant c, and $1/8$ replaced by $(1/8) - \eta$ (with implicit constants also depending on $\eta > 0$ ). Furthermore, when $\xi$ is a Rademacher random variable, we prove that \begin{equation*}\mathbb{P}[s_n(A_n) \le \epsilon/\sqrt{n}] \le O(\epsilon^{1/8} + \exp(\!-\Omega((\!\log{n})^{1/4}n^{1/2}))) \quad \text{for all } \epsilon \ge 0.\end{equation*} The special case $\epsilon = 0$ improves a recent result of Campos, Mattos, Morris, and Morrison, which showed that $\mathbb{P}[s_n(A_n) = 0] \le O(\exp(\!-\Omega(n^{1/2}))).$ Notably, in a departure from the previous two best bounds on the probability of singularity of symmetric matrices, which had relied on somewhat specialized and involved combinatorial techniques, our methods fall squarely within the broad geometric framework pioneered by Rudelson and Vershynin, and suggest the possibility of a principled geometric approach to the study of the singular spectrum of symmetric random matrices. The main innovations in our work are new notions of arithmetic structure – the Median Regularized Least Common Denominator (MRLCD) and the Median Threshold, which are natural refinements of the Regularized Least Common Denominator (RLCD)introduced by Vershynin, and should be more generally useful in contexts where one needs to combine anticoncentration information of different parts of a vector.

2019 ◽  
Vol 10 (4) ◽  
pp. 467-492 ◽  
Author(s):  
Mario Kieburg ◽  
Peter J. Forrester ◽  
Jesper R. Ipsen

AbstractThe singular values of products of standard complex Gaussian random matrices, or sub-blocks of Haar distributed unitary matrices, have the property that their probability distribution has an explicit, structured form referred to as a polynomial ensemble. It is furthermore the case that the corresponding bi-orthogonal system can be determined in terms of Meijer G-functions, and the correlation kernel given as an explicit double contour integral. It has recently been shown that the Hermitised product {X_{M}\cdots X_{2}X_{1}AX_{1}^{T}X_{2}^{T}\cdots X_{M}^{T}}, where each {X_{i}} is a standard real Gaussian matrix and A is real anti-symmetric, exhibits analogous properties. Here we use the theory of spherical functions and transforms to present a theory which, for even dimensions, includes these properties of the latter product as a special case. As an example we show that the theory also allows for a treatment of this class of Hermitised product when the {X_{i}} are chosen as sub-blocks of Haar distributed real orthogonal matrices.


Author(s):  
Frank C. Park

Abstract We present a Riemannian geometric framework for variational approaches to geometric design. Optimal surface design is regarded as a special case of the more general problem of finding a minimum distortion mapping between Riemannian manifolds. This geometric approach emphasizes the coordinate-invariant aspects of the problem, and engineering constraints are naturally embedded by selecting a suitable metric in the physical space. In this context we also present an engineering application of the theory of harmonic maps.


2019 ◽  
Vol 7 (1) ◽  
pp. 257-262
Author(s):  
Kenji Toyonaga

Abstract Given a combinatorially symmetric matrix A whose graph is a tree T and its eigenvalues, edges in T can be classified in four categories, based upon the change in geometric multiplicity of a particular eigenvalue, when the edge is removed. We investigate a necessary and sufficient condition for each classification of edges. We have similar results as the case for real symmetric matrices whose graph is a tree. We show that a g-2-Parter edge, a g-Parter edge and a g-downer edge are located separately from each other in a tree, and there is a g-neutral edge between them. Furthermore, we show that the distance between a g-downer edge and a g-2-Parter edge or a g-Parter edge is at least 2 in a tree. Lastly we give a combinatorially symmetric matrix whose graph contains all types of edges.


2018 ◽  
Author(s):  
Peter D. Kvam

Multiple-choice and continuous-response tasks pose a number of challenges for models of the decision process, from empirical challenges like context effects to computational demands imposed by choice sets with a large number of outcomes. This paper develops a general framework for constructing models of the cognitive processes underlying both inferential and preferential choice among any arbitrarily large number of alternatives. This geometric approach represents the alternatives in a choice set along with a decision maker's beliefs or preferences in a ``decision space,'' simultaneously capturing the support for different alternatives along with the similarity relations between the alternatives in the choice set. Support for the alternatives (represented as vectors) shifts over time according to the dynamics of the belief / preference state (represented as a point) until a stopping rule is met (state crosses a hyperplane) and the corresponding selection is made. I review stopping rules that guarantee optimality in multi-alternative inferential choice, minimizing response time for a desired level of accuracy, as well as methods for constructing the decision space, which can result in context effects when applied to preferential choice.


2016 ◽  
Vol 24 (1) ◽  
pp. 29-41 ◽  
Author(s):  
Roman Frič ◽  
Martin Papčo

Abstract The influence of “Grundbegriffe” by A. N. Kolmogorov (published in 1933) on education in the area of probability and its impact on research in stochastics cannot be overestimated. We would like to point out three aspects of the classical probability theory “calling for” an upgrade: (i) classical random events are black-and-white (Boolean); (ii) classical random variables do not model quantum phenomena; (iii) basic maps (probability measures and observables { dual maps to random variables) have very different “mathematical nature”. Accordingly, we propose an upgraded probability theory based on Łukasiewicz operations (multivalued logic) on events, elementary category theory, and covering the classical probability theory as a special case. The upgrade can be compared to replacing calculations with integers by calculations with rational (and real) numbers. Namely, to avoid the three objections, we embed the classical (Boolean) random events (represented by the f0; 1g-valued indicator functions of sets) into upgraded random events (represented by measurable {0; 1}-valued functions), the minimal domain of probability containing “fractions” of classical random events, and we upgrade the notions of probability measure and random variable.


2004 ◽  
Vol 41 (4) ◽  
pp. 1081-1092 ◽  
Author(s):  
P. Vellaisamy

Consider a sequence of independent Bernoulli trials with success probability p. Let N(n; k1, k2) denote the number of times that k1 failures are followed by k2 successes among the first n Bernoulli trials. We employ the Stein-Chen method to obtain a total variation upper bound for the rate of convergence of N(n; k1, k2) to a suitable Poisson random variable. As a special case, the corresponding limit theorem is established. Similar results are obtained for Nk3(n; k1, k2), the number of times that k1 failures followed by k2 successes occur k3 times successively in n Bernoulli trials. The bounds obtained are generally sharper than, and improve upon, some of the already known results. Finally, the technique is adapted to obtain Poisson approximation results for the occurrences of the above-mentioned events under Markov-dependent trials.


Author(s):  
Serban T Belinschi ◽  
Hari Bercovici ◽  
Mireille Capitaine

Abstract Given a selfadjoint polynomial $P(X,Y)$ in two noncommuting selfadjoint indeterminates, we investigate the asymptotic eigenvalue behavior of the random matrix $P(A_N,B_N)$, where $A_N$ and $B_N$ are independent Hermitian random matrices and the distribution of $B_N$ is invariant under conjugation by unitary operators. We assume that the empirical eigenvalue distributions of $A_N$ and $B_N$ converge almost surely to deterministic probability measures $\mu$ and $\nu$, respectively. In addition, the eigenvalues of $A_N$ and $B_N$ are assumed to converge uniformly almost surely to the support of $\mu$ and $\nu ,$ respectively, except for a fixed finite number of fixed eigenvalues (spikes) of $A_N$. It is known that almost surely the empirical distribution of the eigenvalues of $P(A_N,B_N)$ converges to a certain deterministic probability measure $\eta \ (\textrm{sometimes denoted}\ P^\square(\mu,\nu))$ and, when there are no spikes, the eigenvalues of $P(A_N,B_N)$ converge uniformly almost surely to the support of $\eta$. When spikes are present, we show that the eigenvalues of $P(A_N,B_N)$ still converge uniformly to the support of $\eta$, with the possible exception of certain isolated outliers whose location can be determined in terms of $\mu ,\nu ,P$, and the spikes of $A_N$. We establish a similar result when $B_N$ is replaced by a Wigner matrix. The relation between outliers and spikes is described using the operator-valued subordination functions of free probability theory. These results extend known facts from the special case in which $P(X,Y)=X+Y$.


2016 ◽  
Vol 53 (1) ◽  
pp. 1-21
Author(s):  
Chunmao Huang

Abstract We consider the distributional equation Z =D ∑k=1NAkZ(k), where N is a random variable taking value in N0 = {0, 1, . . .}, A1, A2, . . . are p x p nonnegative random matrices, and Z, Z(1), Z(2), . . ., are independent and identically distributed random vectors in R+p with R+ = [0, ∞), which are independent of (N, A1, A2, . . .). Let {Yn} be the multidimensional Mandelbrot martingale defined as sums of products of random matrices indexed by nodes of a Galton–Watson tree plus an appropriate vector. Its limit Y is a solution of the equation above. For α > 1, we show a sufficient condition for E|Y|α ∈ (0, ∞). Then for a nondegenerate solution Z of the distributional equation above, we show the decay rates of Ee-t∙Z as |t| → ∞ and those of the tail probability P(y ∙ Z ≤ x) as x → 0 for given y = (y1, . . ., yp) ∈ R+p, and the existence of the harmonic moments of y ∙ Z. As an application, these results concerning the moments (of positive and negative orders) of Y are applied to a special multitype branching random walk. Moreover, for the case where all the vectors and matrices of the equation above are complex, a sufficient condition for the Lα convergence and the αth-moment of the Mandelbrot martingale {Yn} are also established.


2015 ◽  
Vol 2015 ◽  
pp. 1-16 ◽  
Author(s):  
Georg M. Goerg

I present a parametric, bijective transformation to generate heavy tail versions of arbitrary random variables. The tail behavior of thisheavy tail Lambert  W × FXrandom variable depends on a tail parameterδ≥0: forδ=0,Y≡X, forδ>0 Yhas heavier tails thanX. ForXbeing Gaussian it reduces to Tukey’shdistribution. The Lambert W function provides an explicit inverse transformation, which can thus remove heavy tails from observed data. It also provides closed-form expressions for the cumulative distribution (cdf) and probability density function (pdf). As a special case, these yield analytic expression for Tukey’shpdf and cdf. Parameters can be estimated by maximum likelihood and applications to S&P 500 log-returns demonstrate the usefulness of the presented methodology. The R packageLambertWimplements most of the introduced methodology and is publicly available onCRAN.


1999 ◽  
Vol 29 (2) ◽  
pp. 191-195 ◽  
Author(s):  
Virginia R. Young

Christofides (1998) studies the proportional hazards (PH) transform of Wang (1995) and shows that for some parametric families, the PH premium principle reduces to the standard deviation (SD) premium principle. Christofides conjectures that for a parametric family of distributions with constant skewness, the PH premium principle reduces to the SD principle. I will show that this conjecture is false in general but that it is true for location-scale families and for certain other families.Wang's premium principle has been established as a sound measure of risk in Wang (1995, 1996), Wang, Young, and Panjer (1997), and Wang and Young (1998). Determining when the SD premium principle is a special case of Wang's premium principle is important because it will help identify circumstances under which the more easily applied SD premium principle is a reliable measure of risk.First, recall that a distortion g is a non-decreasing function from [0, 1] onto itself. Wang's premium principle, with a fixed distortion g, associates the following certainty equivalent with a random variable X, (Wang, 1996) and (Denneberg, 1994):in which Sx is the decumulative distribution function (ddf) of X, Sx(t) = Pr(X > t), t ∈ R. If g is a power distortion, g(p) = pc, then Hg is the proportional hazards (PH) premium principle (Wang, 1995).Second, recall that a location-scale family of ddfs is , in which Sz is a fixed ddf. Alternatively, if Z has ddf Sz, then {X = μ + σZ: μ∈ R, σ > 0} forms a location-scale family of random variables, and the ddf of . Examples of location-scale families include the normal, Cauchy, logistic, and uniform families (Lehmann, 1991, pp. 20f). In the next proposition, I show that Wang's premium principle reduces to the SD premium principle on a location-scale family. Christofides (1998) observes this phenomenon in several special cases.


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