Type: Seminar

Distribution: World

Expiry: 3 May 2012

Auth: zhangou@bari.maths.usyd.edu.au

Speaker: Dr. Sheehan Olver (Sydney) Time: Friday, April 20, 2--3PM Room: RC-4082, East Wing of the Red Centre Building (UNSW) Joint Colloquium web site: http://www.maths.usyd.edu.au/u/SemConf/JointColloquium/index.html ----------------------------------------------- Title: Numerical Free Probability: Computing Eigenvalue Distributions of Large Random Matrices Abstract: suppose that the global eigenvalue distribution of two large random matrices A and B are known. It is a remarkable fact that, generically, the eigenvalue distribution of A + B and (if A and B are positive definite) A*B are uniquely determined from only the eigenvalue distributions of A and B; i.e., no information about eigenvectors are required. These operations on eigenvalue distributions are described by free probability theory. We construct a numerical toolbox which can efficiently and reliably calculate these operations with spectral accuracy, by exploiting the complex analytical framework that underlies free probability theory. ----------------------------------------------- Lunch with speaker: we meet at 12:30PM at the entrance to the East Wing of Red Centre Building. One choice of commuting from Sydney: meet at Carslaw 620 around 12NOON and we share a taxi to UNSW. The round trip is covered by department colloquium fund.