We reconsider the large N asymptotics of Harish-Chandra-Itzykson-Zuber integrals. We provide, using Dyson's Brownian motion and the method of instantons, an alternative, transparent derivation of the Matytsin formalism for the unitary case. Our method is easily generalized to the orthogonal and symplectic ensembles. We obtain an explicit solution of Matytsin's equations in the case of Wigner matrices, as well as a general expansion method in the dilute limit, when the spectrum of eigenvalues spreads over very wide regions.
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http://dx.doi.org/10.1103/PhysRevLett.113.070201 | DOI Listing |
Phys Rev E
August 2022
Ecole Polytechnique Fédérale de Lausanne (EPFL), CH-1015 Lausanne, Switzerland.
We consider increasingly complex models of matrix denoising and dictionary learning in the Bayes-optimal setting, in the challenging regime where the matrices to infer have a rank growing linearly with the system size. This is in contrast with most existing literature concerned with the low-rank (i.e.
View Article and Find Full Text PDFPhys Rev E
November 2021
Institute of Theoretical Physics, Jagiellonian University, 30-348 Cracow, Poland.
The standard approach to dynamical random matrix models relies on the description of trajectories of eigenvalues. Using the analogy from optics, based on the duality between the Fermat principle (rays) and the Huygens principle (wavefronts), we formulate the Hamilton-Jacobi dynamics for large random matrix models. The resulting equations describe a broad class of random matrix models in a unified way, including normal (Hermitian or unitary) as well as strictly non-normal dynamics.
View Article and Find Full Text PDFPhys Rev Lett
August 2014
Capital Fund Management, 23-25, rue de l'Université, 75007 Paris, France.
We reconsider the large N asymptotics of Harish-Chandra-Itzykson-Zuber integrals. We provide, using Dyson's Brownian motion and the method of instantons, an alternative, transparent derivation of the Matytsin formalism for the unitary case. Our method is easily generalized to the orthogonal and symplectic ensembles.
View Article and Find Full Text PDFPhys Rev E Stat Nonlin Soft Matter Phys
November 2013
Department of Physics, Bielefeld University, Postfach 100131, D-33501 Bielefeld, Germany.
We discuss the product of M rectangular random matrices with independent Gaussian entries, which have several applications, including wireless telecommunication and econophysics. For complex matrices an explicit expression for the joint probability density function is obtained using the Harish-Chandra-Itzykson-Zuber integration formula. Explicit expressions for all correlation functions and moments for finite matrix sizes are obtained using a two-matrix model and the method of biorthogonal polynomials.
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