Approximation of Rectangular Beta-Laguerre Ensembles and Large Deviations

We investigate the random eigenvalues coming from the beta-Laguerre ensemble with parameter p, which is a generalization of the real, complex and quaternion Wishart matrices of parameter (n,p). In the case that the sample size n is much smaller than the dimension of the population distribution p, a common situation in modern data, we approximate the beta-Laguerre ensemble by a beta-Hermite ensemble which is a generalization of the real, complex and quaternion Wigner matrices. As corollaries, when n is much smaller than p, we show that the largest and smallest eigenvalues of the complex Wishart matrix are asymptotically independent; we obtain the limiting distribution of the condition numbers as a sum of two i.i.d. random variables with a Tracy-Widom distribution, which is much different from the exact square case that n=p by Edelman (1988); we propose a test procedure for a spherical hypothesis test. By the same approximation tool, we obtain the asymptotic distribution of the smallest eigenvalue of the beta-Laguerre ensemble. In the second part of the paper, under the assumption that n is much smaller than p in a certain scale, we prove the large deviation principles for three basic statistics: the largest eigenvalue, the smallest eigenvalue and the empirical distribution of eigenvalues, where the last large deviation is derived by using a non-standard method

From synaptic interactions to collective dynamics in random neuronal networks models: critical role of eigenvectors and transient behavior

The study of neuronal interactions is currently at the center of several neuroscience big collaborative projects (including the Human Connectome, the Blue Brain, the Brainome, etc.) which attempt to obtain a detailed map of the entire brain matrix. Under certain constraints, mathematical theory can advance predictions of the expected neural dynamics based solely on the statistical properties of such synaptic interaction matrix. This work explores the application of free random variables (FRV) to the study of large synaptic interaction matrices. Besides recovering in a straightforward way known results on eigenspectra of neural networks, we extend them to heavy-tailed distributions of interactions. More importantly, we derive analytically the behavior of eigenvector overlaps, which determine stability of the spectra. We observe that upon imposing the neuronal excitation/inhibition balance, although the eigenvalues remain unchanged, their stability dramatically decreases due to strong non-orthogonality of associated eigenvectors. It leads us to the conclusion that the understanding of the temporal evolution of asymmetric neural networks requires considering the entangled dynamics of both eigenvectors and eigenvalues, which might bear consequences for learning and memory processes in these models. Considering the success of FRV analysis in a wide variety of branches disciplines, we hope that the results presented here foster additional application of these ideas in the area of brain sciences.Comment: 24 pages + 4 pages of refs, 8 figure

On the limit of extreme eigenvalues of large dimensional random quaternion matrices

Since E.P.Wigner (1958) established his famous semicircle law, lots of attention has been paid by physicists, probabilists and statisticians to study the asymptotic properties of the largest eigenvalues for random matrices. Bai and Yin (1988) obtained the necessary and sufficient conditions for the strong convergence of the extreme eigenvalues of a Wigner matrix. In this paper, we consider the case of quaternion self-dual Hermitian matrices. We prove the necessary and sufficient conditions for the strong convergence of extreme eigenvalues of quaternion self-dual Hermitian matrices corresponding to the Wigner case.Comment: 16 pages, 5 figure

Approximated structured pseudospectra

Pseudospectra and structured pseudospectra are important tools for the analysis of matrices. Their computation, however, can be very demanding for all but small-matrices. A new approach to compute approximations of pseudospectra and structured pseudospectra, based on determining the spectra of many suitably chosen rank-one or projected rank-one perturbations of the given matrix is proposed. The choice of rank-one or projected rank-one perturbations is inspired by Wilkinson's analysis of eigenvalue sensitivity. Numerical examples illustrate that the proposed approach gives much better insight into the pseudospectra and structured pseudospectra than random or structured random rank-one perturbations with lower computational burden. The latter approach is presently commonly used for the determination of structured pseudospectra

Induced measures in the space of mixed quantum states

We analyze several product measures in the space of mixed quantum states. In particular we study measures induced by the operation of partial tracing. The natural, rotationally invariant measure on the set of all pure states of a N x K composite system, induces a unique measure in the space of N x N mixed states (or in the space of K x K mixed states, if the reduction takes place with respect to the first subsystem). For K=N the induced measure is equal to the Hilbert-Schmidt measure, which is shown to coincide with the measure induced by singular values of non-Hermitian random Gaussian matrices pertaining to the Ginibre ensemble. We compute several averages with respect to this measure and show that the mean entanglement of $N \times N$ pure states behaves as lnN-1/2.Comment: 12 latex pages, 2 figures in epsf, submited to J. Phys. A. ver.3, some improvements and a few references adde