SYD-UNSW Joint Colloquium: Olver -- Numerical Free Probability: Computing Eigenvalue Distributions of Large Random Matrices

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

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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.

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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.