Residential College | false |
Status | 已發表Published |
Distributions of demmel and related condition numbers | |
Prathapasinghe Dharmawansa1; Matthew R. McKay,2; Yang Chen3 | |
2013-03-26 | |
Source Publication | SIAM Journal on Matrix Analysis and Applications |
ISSN | 0895-4798 |
Volume | 34Issue: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. |
Keyword | Demmel Condition Number Eigenvalues Random Matrix Wishart Distribution |
DOI | 10.1137/110843423 |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Mathematics |
WOS Subject | Mathematics, Applied |
WOS ID | WOS:000316855600013 |
Publisher | SIAM PUBLICATIONS, 3600 UNIV CITY SCIENCE CENTER, PHILADELPHIA, PA 19104-2688 |
Scopus ID | 2-s2.0-84877334907 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | University of Macau |
Corresponding Author | Prathapasinghe Dharmawansa |
Affiliation | 1.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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