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Distributions of demmel and related condition numbers
Prathapasinghe Dharmawansa1; Matthew R. McKay,2; Yang Chen3
2013-03-26
Source PublicationSIAM Journal on Matrix Analysis and Applications
ISSN0895-4798
Volume34Issue:1Pages:257-279
Abstract

Consider a random matrix A ≫ C (m ≥ n) containing independent complex Gaussian entries with zero mean and unit variance, and let 0 < λ ≤ λ ≤ ·· · ≤ λ < ∞ denote the eigenvalues of A*A, where (·)* represents conjugate-transpose. This paper investigates the distribution of the random variables Σ λ/λ for k = 1 and k = 2. These two variables are related to certain condition number metrics, including the so-called Demmel condition number, which have been shown to arise in a variety of applications. For both cases, we derive new exact expressions for the probability densities and establish the asymptotic behavior as the matrix dimensions grow large. In particular, it is shown that as n and m tend to infinity with their difference fixed, both densities scale on the order of n. After suitable transformations, we establish exact expressions for the asymptotic densities, obtaining simple closed-form expressions in some cases. Our results generalize the work of Edelman on the Demmel condition number for the case m = n.

KeywordDemmel Condition Number Eigenvalues Random Matrix Wishart Distribution
DOI10.1137/110843423
URLView the original
Indexed BySCIE
Language英語English
WOS Research AreaMathematics
WOS SubjectMathematics, Applied
WOS IDWOS:000316855600013
PublisherSIAM PUBLICATIONS, 3600 UNIV CITY SCIENCE CENTER, PHILADELPHIA, PA 19104-2688
Scopus ID2-s2.0-84877334907
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Document TypeJournal article
CollectionUniversity of Macau
Corresponding AuthorPrathapasinghe Dharmawansa
Affiliation1.Department of Statistics, Sequoia Hall, 390 Serra Mall, Stanford University, Stanford, CA 94305
2.Department of Electronic and Computer Engineering, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong
3.Department of Mathematics, Faculty of Science and Technology, University of Macau, Av. Padre Tom´as Pereira, Taipa, Macau, China
Recommended Citation
GB/T 7714
Prathapasinghe Dharmawansa,Matthew R. McKay,,Yang Chen. Distributions of demmel and related condition numbers[J]. SIAM Journal on Matrix Analysis and Applications, 2013, 34(1), 257-279.
APA Prathapasinghe Dharmawansa., Matthew R. McKay,., & Yang Chen (2013). Distributions of demmel and related condition numbers. SIAM Journal on Matrix Analysis and Applications, 34(1), 257-279.
MLA Prathapasinghe Dharmawansa,et al."Distributions of demmel and related condition numbers".SIAM Journal on Matrix Analysis and Applications 34.1(2013):257-279.
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