The Living Thing / Notebooks : Random matrix theory

Many dimensions plus linear algebra plus probability equals Random Matrix Theory.

Turns out to pop up in a lot of linear systems, and induce some elegant results, and be useful where linear algebra is (“the whole modern world”) therefore super trendy.

I mostly encounter this though matrix concentration, which is where most of the information is; This is a sideshow for my purposes.

To read

Refs

EdRa05
Edelman, A., & Rao, N. R.(2005) Random matrix theory. Acta Numerica, 14, 233–297. DOI.
KrSe00
Krbálek, M., & Seba, P. (2000) The statistical properties of the city transport in Cuernavaca (Mexico) and random matrix ensembles. Journal of Physics A: Mathematical and General, 33(26), L229–L234. DOI.
OrMo00
Ormerod, P., & Mounfield, C. (2000) Random matrix theory and the failure of macro-economic forecasts. Physica A: Statistical Mechanics and Its Applications, 280(3–4), 497–504. DOI.
Trop15
Tropp, J. A.(2015) An Introduction to Matrix Concentration Inequalities. arXiv:1501.01571 [Cs, Math, Stat].