TY - JOUR
AB - We consider sample covariance matrices of the form Q = ( σ1/2X)(σ1/2X)∗, where the sample X is an M ×N random matrix whose entries are real independent random variables with variance 1/N and whereσ is an M × M positive-definite deterministic matrix. We analyze the asymptotic fluctuations of the largest rescaled eigenvalue of Q when both M and N tend to infinity with N/M →d ϵ (0,∞). For a large class of populations σ in the sub-critical regime, we show that the distribution of the largest rescaled eigenvalue of Q is given by the type-1 Tracy-Widom distribution under the additional assumptions that (1) either the entries of X are i.i.d. Gaussians or (2) that σ is diagonal and that the entries of X have a sub-exponential decay.
AU - Lee, Ji
AU - Schnelli, Kevin
ID - 1157
IS - 6
JF - Annals of Applied Probability
TI - Tracy-widom distribution for the largest eigenvalue of real sample covariance matrices with general population
VL - 26
ER -
TY - JOUR
AB - We consider N×N random matrices of the form H = W + V where W is a real symmetric or complex Hermitian Wigner matrix and V is a random or deterministic, real, diagonal matrix whose entries are independent of W. We assume subexponential decay for the matrix entries of W, and we choose V so that the eigenvalues ofW and V are typically of the same order. For a large class of diagonal matrices V , we show that the local statistics in the bulk of the spectrum are universal in the limit of large N.
AU - Lee, Jioon
AU - Schnelli, Kevin
AU - Stetler, Ben
AU - Yau, Horngtzer
ID - 1219
IS - 3
JF - Annals of Probability
TI - Bulk universality for deformed wigner matrices
VL - 44
ER -
TY - JOUR
AB - We consider a random Schrödinger operator on the binary tree with a random potential which is the sum of a random radially symmetric potential, Qr, and a random transversally periodic potential, κQt, with coupling constant κ. Using a new one-dimensional dynamical systems approach combined with Jensen's inequality in hyperbolic space (our key estimate) we obtain a fractional moment estimate proving localization for small and large κ. Together with a previous result we therefore obtain a model with two Anderson transitions, from localization to delocalization and back to localization, when increasing κ. As a by-product we also have a partially new proof of one-dimensional Anderson localization at any disorder.
AU - Froese, Richard
AU - Lee, Darrick
AU - Sadel, Christian
AU - Spitzer, Wolfgang
AU - Stolz, Günter
ID - 1223
IS - 3
JF - Journal of Spectral Theory
TI - Localization for transversally periodic random potentials on binary trees
VL - 6
ER -
TY - JOUR
AB - We consider products of random matrices that are small, independent identically distributed perturbations of a fixed matrix (Formula presented.). Focusing on the eigenvalues of (Formula presented.) of a particular size we obtain a limit to a SDE in a critical scaling. Previous results required (Formula presented.) to be a (conjugated) unitary matrix so it could not have eigenvalues of different modulus. From the result we can also obtain a limit SDE for the Markov process given by the action of the random products on the flag manifold. Applying the result to random Schrödinger operators we can improve some results by Valko and Virag showing GOE statistics for the rescaled eigenvalue process of a sequence of Anderson models on long boxes. In particular, we solve a problem posed in their work.
AU - Sadel, Christian
AU - Virág, Bálint
ID - 1257
IS - 3
JF - Communications in Mathematical Physics
TI - A central limit theorem for products of random matrices and GOE statistics for the Anderson model on long boxes
VL - 343
ER -
TY - JOUR
AB - We prove the Wigner-Dyson-Mehta conjecture at fixed energy in the bulk of the spectrum for generalized symmetric and Hermitian Wigner matrices. Previous results concerning the universality of random matrices either require an averaging in the energy parameter or they hold only for Hermitian matrices if the energy parameter is fixed. We develop a homogenization theory of the Dyson Brownian motion and show that microscopic universality follows from mesoscopic statistics.
AU - Bourgade, Paul
AU - Erdös, László
AU - Yau, Horngtzer
AU - Yin, Jun
ID - 1280
IS - 10
JF - Communications on Pure and Applied Mathematics
TI - Fixed energy universality for generalized wigner matrices
VL - 69
ER -
TY - JOUR
AB - We prove that the system of subordination equations, defining the free additive convolution of two probability measures, is stable away from the edges of the support and blow-up singularities by showing that the recent smoothness condition of Kargin is always satisfied. As an application, we consider the local spectral statistics of the random matrix ensemble A+UBU⁎A+UBU⁎, where U is a Haar distributed random unitary or orthogonal matrix, and A and B are deterministic matrices. In the bulk regime, we prove that the empirical spectral distribution of A+UBU⁎A+UBU⁎ concentrates around the free additive convolution of the spectral distributions of A and B on scales down to N−2/3N−2/3.
AU - Bao, Zhigang
AU - Erdös, László
AU - Schnelli, Kevin
ID - 1434
IS - 3
JF - Journal of Functional Analysis
TI - Local stability of the free additive convolution
VL - 271
ER -
TY - JOUR
AB - We prove optimal local law, bulk universality and non-trivial decay for the off-diagonal elements of the resolvent for a class of translation invariant Gaussian random matrix ensembles with correlated entries.
AU - Ajanki, Oskari H
AU - Erdös, László
AU - Krüger, Torben H
ID - 1489
IS - 2
JF - Journal of Statistical Physics
TI - Local spectral statistics of Gaussian matrices with correlated entries
VL - 163
ER -
TY - JOUR
AB - We show that the Anderson model has a transition from localization to delocalization at exactly 2 dimensional growth rate on antitrees with normalized edge weights which are certain discrete graphs. The kinetic part has a one-dimensional structure allowing a description through transfer matrices which involve some Schur complement. For such operators we introduce the notion of having one propagating channel and extend theorems from the theory of one-dimensional Jacobi operators that relate the behavior of transfer matrices with the spectrum. These theorems are then applied to the considered model. In essence, in a certain energy region the kinetic part averages the random potentials along shells and the transfer matrices behave similar as for a one-dimensional operator with random potential of decaying variance. At d dimensional growth for d>2 this effective decay is strong enough to obtain absolutely continuous spectrum, whereas for some uniform d dimensional growth with d<2 one has pure point spectrum in this energy region. At exactly uniform 2 dimensional growth also some singular continuous spectrum appears, at least at small disorder. As a corollary we also obtain a change from singular spectrum (d≤2) to absolutely continuous spectrum (d≥3) for random operators of the type rΔdr+λ on ℤd, where r is an orthogonal radial projection, Δd the discrete adjacency operator (Laplacian) on ℤd and λ a random potential.
AU - Sadel, Christian
ID - 1608
IS - 7
JF - Annales Henri Poincare
TI - Anderson transition at 2 dimensional growth rate on antitrees and spectral theory for operators with one propagating channel
VL - 17
ER -
TY - JOUR
AB - We consider random matrices of the form H=W+λV, λ∈ℝ+, where W is a real symmetric or complex Hermitian Wigner matrix of size N and V is a real bounded diagonal random matrix of size N with i.i.d.\ entries that are independent of W. We assume subexponential decay for the matrix entries of W and we choose λ∼1, so that the eigenvalues of W and λV are typically of the same order. Further, we assume that the density of the entries of V is supported on a single interval and is convex near the edges of its support. In this paper we prove that there is λ+∈ℝ+ such that the largest eigenvalues of H are in the limit of large N determined by the order statistics of V for λ>λ+. In particular, the largest eigenvalue of H has a Weibull distribution in the limit N→∞ if λ>λ+. Moreover, for N sufficiently large, we show that the eigenvectors associated to the largest eigenvalues are partially localized for λ>λ+, while they are completely delocalized for λ<λ+. Similar results hold for the lowest eigenvalues.
AU - Lee, Jioon
AU - Schnelli, Kevin
ID - 1881
IS - 1-2
JF - Probability Theory and Related Fields
TI - Extremal eigenvalues and eigenvectors of deformed Wigner matrices
VL - 164
ER -
TY - JOUR
AB - This paper is aimed at deriving the universality of the largest eigenvalue of a class of high-dimensional real or complex sample covariance matrices of the form W N =Σ 1/2XX∗Σ 1/2 . Here, X = (xij )M,N is an M× N random matrix with independent entries xij , 1 ≤ i M,≤ 1 ≤ j ≤ N such that Exij = 0, E|xij |2 = 1/N . On dimensionality, we assume that M = M(N) and N/M → d ε (0, ∞) as N ∞→. For a class of general deterministic positive-definite M × M matrices Σ , under some additional assumptions on the distribution of xij 's, we show that the limiting behavior of the largest eigenvalue of W N is universal, via pursuing a Green function comparison strategy raised in [Probab. Theory Related Fields 154 (2012) 341-407, Adv. Math. 229 (2012) 1435-1515] by Erd″os, Yau and Yin for Wigner matrices and extended by Pillai and Yin [Ann. Appl. Probab. 24 (2014) 935-1001] to sample covariance matrices in the null case (&Epsi = I ). Consequently, in the standard complex case (Ex2 ij = 0), combing this universality property and the results known for Gaussian matrices obtained by El Karoui in [Ann. Probab. 35 (2007) 663-714] (nonsingular case) and Onatski in [Ann. Appl. Probab. 18 (2008) 470-490] (singular case), we show that after an appropriate normalization the largest eigenvalue of W N converges weakly to the type 2 Tracy-Widom distribution TW2 . Moreover, in the real case, we show that whenΣ is spiked with a fixed number of subcritical spikes, the type 1 Tracy-Widom limit TW1 holds for the normalized largest eigenvalue of W N , which extends a result of Féral and Péché in [J. Math. Phys. 50 (2009) 073302] to the scenario of nondiagonal Σ and more generally distributed X . In summary, we establish the Tracy-Widom type universality for the largest eigenvalue of generally distributed sample covariance matrices under quite light assumptions on &Sigma . Applications of these limiting results to statistical signal detection and structure recognition of separable covariance matrices are also discussed.
AU - Bao, Zhigang
AU - Pan, Guangming
AU - Zhou, Wang
ID - 1505
IS - 1
JF - Annals of Statistics
TI - Universality for the largest eigenvalue of sample covariance matrices with general population
VL - 43
ER -
TY - JOUR
AB - We consider generalized Wigner ensembles and general β-ensembles with analytic potentials for any β ≥ 1. The recent universality results in particular assert that the local averages of consecutive eigenvalue gaps in the bulk of the spectrum are universal in the sense that they coincide with those of the corresponding Gaussian β-ensembles. In this article, we show that local averaging is not necessary for this result, i.e. we prove that the single gap distributions in the bulk are universal. In fact, with an additional step, our result can be extended to any C4(ℝ) potential.
AU - Erdös, László
AU - Yau, Horng
ID - 1508
IS - 8
JF - Journal of the European Mathematical Society
TI - Gap universality of generalized Wigner and β ensembles
VL - 17
ER -
TY - JOUR
AB - Consider the square random matrix An = (aij)n,n, where {aij:= a(n)ij , i, j = 1, . . . , n} is a collection of independent real random variables with means zero and variances one. Under the additional moment condition supn max1≤i,j ≤n Ea4ij <∞, we prove Girko's logarithmic law of det An in the sense that as n→∞ log | detAn| ? (1/2) log(n-1)! d/→√(1/2) log n N(0, 1).
AU - Bao, Zhigang
AU - Pan, Guangming
AU - Zhou, Wang
ID - 1506
IS - 3
JF - Bernoulli
TI - The logarithmic law of random determinant
VL - 21
ER -
TY - JOUR
AB - In this paper, we consider the fluctuation of mutual information statistics of a multiple input multiple output channel communication systems without assuming that the entries of the channel matrix have zero pseudovariance. To this end, we also establish a central limit theorem of the linear spectral statistics for sample covariance matrices under general moment conditions by removing the restrictions imposed on the second moment and fourth moment on the matrix entries in Bai and Silverstein (2004).
AU - Bao, Zhigang
AU - Pan, Guangming
AU - Zhou, Wang
ID - 1585
IS - 6
JF - IEEE Transactions on Information Theory
TI - Asymptotic mutual information statistics of MIMO channels and CLT of sample covariance matrices
VL - 61
ER -
TY - JOUR
AB - We consider N × N random matrices of the form H = W + V where W is a real symmetric Wigner matrix and V a random or deterministic, real, diagonal matrix whose entries are independent of W. We assume subexponential decay for the matrix entries of W and we choose V so that the eigenvalues of W and V are typically of the same order. For a large class of diagonal matrices V, we show that the rescaled distribution of the extremal eigenvalues is given by the Tracy-Widom distribution F1 in the limit of large N. Our proofs also apply to the complex Hermitian setting, i.e. when W is a complex Hermitian Wigner matrix.
AU - Lee, Jioon
AU - Schnelli, Kevin
ID - 1674
IS - 8
JF - Reviews in Mathematical Physics
TI - Edge universality for deformed Wigner matrices
VL - 27
ER -
TY - JOUR
AB - Condensation phenomena arise through a collective behaviour of particles. They are observed in both classical and quantum systems, ranging from the formation of traffic jams in mass transport models to the macroscopic occupation of the energetic ground state in ultra-cold bosonic gases (Bose-Einstein condensation). Recently, it has been shown that a driven and dissipative system of bosons may form multiple condensates. Which states become the condensates has, however, remained elusive thus far. The dynamics of this condensation are described by coupled birth-death processes, which also occur in evolutionary game theory. Here we apply concepts from evolutionary game theory to explain the formation of multiple condensates in such driven-dissipative bosonic systems. We show that the vanishing of relative entropy production determines their selection. The condensation proceeds exponentially fast, but the system never comes to rest. Instead, the occupation numbers of condensates may oscillate, as we demonstrate for a rock-paper-scissors game of condensates.
AU - Knebel, Johannes
AU - Weber, Markus
AU - Krüger, Torben H
AU - Frey, Erwin
ID - 1824
JF - Nature Communications
TI - Evolutionary games of condensates in coupled birth-death processes
VL - 6
ER -
TY - JOUR
AB - The Altshuler–Shklovskii formulas (Altshuler and Shklovskii, BZh Eksp Teor Fiz 91:200, 1986) predict, for any disordered quantum system in the diffusive regime, a universal power law behaviour for the correlation functions of the mesoscopic eigenvalue density. In this paper and its companion (Erdős and Knowles, The Altshuler–Shklovskii formulas for random band matrices I: the unimodular case, 2013), we prove these formulas for random band matrices. In (Erdős and Knowles, The Altshuler–Shklovskii formulas for random band matrices I: the unimodular case, 2013) we introduced a diagrammatic approach and presented robust estimates on general diagrams under certain simplifying assumptions. In this paper, we remove these assumptions by giving a general estimate of the subleading diagrams. We also give a precise analysis of the leading diagrams which give rise to the Altschuler–Shklovskii power laws. Moreover, we introduce a family of general random band matrices which interpolates between real symmetric (β = 1) and complex Hermitian (β = 2) models, and track the transition for the mesoscopic density–density correlation. Finally, we address the higher-order correlation functions by proving that they behave asymptotically according to a Gaussian process whose covariance is given by the Altshuler–Shklovskii formulas.
AU - Erdös, László
AU - Knowles, Antti
ID - 1864
IS - 3
JF - Annales Henri Poincare
TI - The Altshuler–Shklovskii formulas for random band matrices II: The general case
VL - 16
ER -
TY - JOUR
AB - We consider the spectral statistics of large random band matrices on mesoscopic energy scales. We show that the correlation function of the local eigenvalue density exhibits a universal power law behaviour that differs from the Wigner-Dyson- Mehta statistics. This law had been predicted in the physics literature by Altshuler and Shklovskii in (Zh Eksp Teor Fiz (Sov Phys JETP) 91(64):220(127), 1986); it describes the correlations of the eigenvalue density in general metallic sampleswith weak disorder. Our result rigorously establishes the Altshuler-Shklovskii formulas for band matrices. In two dimensions, where the leading term vanishes owing to an algebraic cancellation, we identify the first non-vanishing term and show that it differs substantially from the prediction of Kravtsov and Lerner in (Phys Rev Lett 74:2563-2566, 1995). The proof is given in the current paper and its companion (Ann. H. Poincaré. arXiv:1309.5107, 2014).
AU - Erdös, László
AU - Knowles, Antti
ID - 2166
IS - 3
JF - Communications in Mathematical Physics
TI - The Altshuler-Shklovskii formulas for random band matrices I: the unimodular case
VL - 333
ER -
TY - JOUR
AB - We consider real symmetric and complex Hermitian random matrices with the additional symmetry hxy = hN-y,N-x. The matrix elements are independent (up to the fourfold symmetry) and not necessarily identically distributed. This ensemble naturally arises as the Fourier transform of a Gaussian orthogonal ensemble. Italso occurs as the flip matrix model - an approximation of the two-dimensional Anderson model at small disorder. We show that the density of states converges to the Wigner semicircle law despite the new symmetry type. We also prove the local version of the semicircle law on the optimal scale.
AU - Alt, Johannes
ID - 1677
IS - 10
JF - Journal of Mathematical Physics
TI - The local semicircle law for random matrices with a fourfold symmetry
VL - 56
ER -
TY - JOUR
AB - We consider cross products of finite graphs with a class of trees that have arbitrarily but finitely long line segments, such as the Fibonacci tree. Such cross products are called tree-strips. We prove that for small disorder random Schrödinger operators on such tree-strips have purely absolutely continuous spectrum in a certain set.
AU - Sadel, Christian
ID - 1926
IS - 3-4
JF - Mathematical Physics, Analysis and Geometry
TI - Absolutely continuous spectrum for random Schrödinger operators on the Fibonacci and similar Tree-strips
VL - 17
ER -
TY - JOUR
AB - We prove the edge universality of the beta ensembles for any β ≥ 1, provided that the limiting spectrum is supported on a single interval, and the external potential is C4 and regular. We also prove that the edge universality holds for generalized Wigner matrices for all symmetry classes. Moreover, our results allow us to extend bulk universality for beta ensembles from analytic potentials to potentials in class C4.
AU - Bourgade, Paul
AU - Erdös, László
AU - Yau, Horngtzer
ID - 1937
IS - 1
JF - Communications in Mathematical Physics
TI - Edge universality of beta ensembles
VL - 332
ER -
TY - JOUR
AB - We prove that the empirical density of states of quantum spin glasses on arbitrary graphs converges to a normal distribution as long as the maximal degree is negligible compared with the total number of edges. This extends the recent results of Keating et al. (2014) that were proved for graphs with bounded chromatic number and with symmetric coupling distribution. Furthermore, we generalise the result to arbitrary hypergraphs. We test the optimality of our condition on the maximal degree for p-uniform hypergraphs that correspond to p-spin glass Hamiltonians acting on n distinguishable spin- 1/2 particles. At the critical threshold p = n1/2 we find a sharp classical-quantum phase transition between the normal distribution and the Wigner semicircle law. The former is characteristic to classical systems with commuting variables, while the latter is a signature of noncommutative random matrix theory.
AU - Erdös, László
AU - Schröder, Dominik J
ID - 2019
IS - 3-4
JF - Mathematical Physics, Analysis and Geometry
TI - Phase transition in the density of states of quantum spin glasses
VL - 17
ER -
TY - JOUR
AB - We extend the proof of the local semicircle law for generalized Wigner matrices given in MR3068390 to the case when the matrix of variances has an eigenvalue -1. In particular, this result provides a short proof of the optimal local Marchenko-Pastur law at the hard edge (i.e. around zero) for sample covariance matrices X*X, where the variances of the entries of X may vary.
AU - Ajanki, Oskari H
AU - Erdös, László
AU - Krüger, Torben H
ID - 2179
JF - Electronic Communications in Probability
TI - Local semicircle law with imprimitive variance matrix
VL - 19
ER -
TY - JOUR
AB - We consider sample covariance matrices of the form X∗X, where X is an M×N matrix with independent random entries. We prove the isotropic local Marchenko-Pastur law, i.e. we prove that the resolvent (X∗X−z)−1 converges to a multiple of the identity in the sense of quadratic forms. More precisely, we establish sharp high-probability bounds on the quantity ⟨v,(X∗X−z)−1w⟩−⟨v,w⟩m(z), where m is the Stieltjes transform of the Marchenko-Pastur law and v,w∈CN. We require the logarithms of the dimensions M and N to be comparable. Our result holds down to scales Iz≥N−1+ε and throughout the entire spectrum away from 0. We also prove analogous results for generalized Wigner matrices.
AU - Bloemendal, Alex
AU - Erdös, László
AU - Knowles, Antti
AU - Yau, Horng
AU - Yin, Jun
ID - 2225
JF - Electronic Journal of Probability
SN - 10836489
TI - Isotropic local laws for sample covariance and generalized Wigner matrices
VL - 19
ER -
TY - JOUR
AB - We prove the universality of the β-ensembles with convex analytic potentials and for any β >
0, i.e. we show that the spacing distributions of log-gases at any inverse temperature β coincide with those of the Gaussian β-ensembles.
AU - Erdös, László
AU - Bourgade, Paul
AU - Yau, Horng
ID - 2699
IS - 6
JF - Duke Mathematical Journal
TI - Universality of general β-ensembles
VL - 163
ER -
TY - CONF
AB - The Wigner-Dyson-Gaudin-Mehta conjecture asserts that the local eigenvalue statistics of large real and complex Hermitian matrices with independent, identically distributed entries are universal in a sense that they depend only on the symmetry class of the matrix and otherwise are independent of the details of the distribution. We present the recent solution to this half-century old conjecture. We explain how stochastic tools, such as the Dyson Brownian motion, and PDE ideas, such as De Giorgi-Nash-Moser regularity theory, were combined in the solution. We also show related results for log-gases that represent a universal model for strongly correlated systems. Finally, in the spirit of Wigner’s original vision, we discuss the extensions of these universality results to more realistic physical systems such as random band matrices.
AU - Erdös, László
ID - 1507
T2 - Proceedings of the International Congress of Mathematicians
TI - Random matrices, log-gases and Hölder regularity
VL - 3
ER -
TY - JOUR
AB - We consider non-interacting particles subject to a fixed external potential V and a self-generated magnetic field B. The total energy includes the field energy β∫B2 and we minimize over all particle states and magnetic fields. In the case of spin-1/2 particles this minimization leads to the coupled Maxwell-Pauli system. The parameter β tunes the coupling strength between the field and the particles and it effectively determines the strength of the field. We investigate the stability and the semiclassical asymptotics, h→0, of the total ground state energy E(β,h,V). The relevant parameter measuring the field strength in the semiclassical limit is κ=βh. We are not able to give the exact leading order semiclassical asymptotics uniformly in κ or even for fixed κ. We do however give upper and lower bounds on E with almost matching dependence on κ. In the simultaneous limit h→0 and κ→∞ we show that the standard non-magnetic Weyl asymptotics holds. The same result also holds for the spinless case, i.e. where the Pauli operator is replaced by the Schrödinger operator.
AU - Erdös, László
AU - Fournais, Søren
AU - Solovej, Jan
ID - 2698
IS - 6
JF - Journal of the European Mathematical Society
TI - Stability and semiclassics in self-generated fields
VL - 15
ER -
TY - JOUR
AB - We consider random n×n matrices of the form (XX*+YY*)^{-1/2}YY*(XX*+YY*)^{-1/2}, where X and Y have independent entries with zero mean and variance one. These matrices are the natural generalization of the Gaussian case, which are known as MANOVA matrices and which have joint eigenvalue density given by the third classical ensemble, the Jacobi ensemble. We show that, away from the spectral edge, the eigenvalue density converges to the limiting density of the Jacobi ensemble even on the shortest possible scales of order 1/n (up to log n factors). This result is the analogue of the local Wigner semicircle law and the local Marchenko-Pastur law for general MANOVA matrices.
AU - Erdös, László
AU - Farrell, Brendan
ID - 2782
IS - 6
JF - Journal of Statistical Physics
TI - Local eigenvalue density for general MANOVA matrices
VL - 152
ER -
TY - JOUR
AB - We consider a general class of N × N random matrices whose entries hij are independent up to a symmetry constraint, but not necessarily identically distributed. Our main result is a local semicircle law which improves previous results [17] both in the bulk and at the edge. The error bounds are given in terms of the basic small parameter of the model, maxi,j E|hij|2. As a consequence, we prove the universality of the local n-point correlation functions in the bulk spectrum for a class of matrices whose entries do not have comparable variances, including random band matrices with band width W ≫N1-εn with some εn > 0 and with a negligible mean-field component. In addition, we provide a coherent and pedagogical proof of the local semicircle law, streamlining and strengthening previous arguments from [17, 19, 6].
AU - Erdös, László
AU - Knowles, Antti
AU - Yau, Horng
AU - Yin, Jun
ID - 2837
IS - 59
JF - Electronic Journal of Probability
TI - The local semicircle law for a general class of random matrices
VL - 18
ER -