We study the averaged product of characteristic polynomials of large random matrices in the Gaussian beta-ensemble perturbed by an external source of finite rank. We prove that at the edge of the spectrum, the limiting correlations involve two families of multivariate functions of Airy and Gaussian types. The precise form of the limiting correlations depends on the strength of the nonzero eigenvalues of the external source. A critical value for the latter is obtained and a phase transition phenomenon similar to that of arXiv:math/0403022 is established. The derivation of our results relies mainly on previous articles by the authors, which deal with duality formulas arXiv:0801.3438 and asymptotics for Selberg-type integrals arXiv:1112.1119v3.
We study the level statistics for two classes of 1-dimensional random Schrödinger operators : (1) for operators whose coupling constants decay as the system size becomes large, and (2) for operators with critically decaying random potential. As a byproduct of (2) with our previous result \cite{KN} imply the coincidence of the limits of circular and Gaussian beta ensembles.
Gaussian and Chiral Beta-Ensembles, which generalise well known orthogonal (Beta=1), unitary (Beta=2), and symplectic (Beta=4) ensembles of random Hermitian matrices, are considered. Averages are shown to satisfy duality relations like {Beta,N,n} <--> {4/Beta,n,N} for all Beta>0, where N and n respectively denote the number of eigenvalues and products of characteristic polynomials. At the edge of the spectrum, matrix integrals of the Airy (Kontsevich) type are obtained. Consequences on the integral representation of the multiple orthogonal polynomials and the partition function of the formal o…
We show that beta ensembles in Random Matrix Theory with generic real analytic potential have the asymptotic equipartition property. In addition, we prove a Central Limit Theorem for the density of the eigenvalues of these ensembles.
In this paper we examine the zero and first order eigenvalue fluctuations for the $β$-Hermite and $β$-Laguerre ensembles, using the matrix models we described in \cite{dumitriu02}, in the limit as $β\to \infty$. We find that the fluctuations are described by Gaussians of variance $O(1/β)$, centered at the roots of a corresponding Hermite (Laguerre) polynomial. We also show that the approximation is very good, even for small values of $β$, by plotting exact level densities versus sum of Gaussians approximations.
We prove the edge universality of the beta ensembles for any $β\ge 1$, provided that the limiting spectrum is supported on a single interval, and the external potential is $\mathscr{C}^4$ and regular. We also prove that the edge universality holds for generalized Wigner matrices for all symmetry classes. Moreover, our results allow us to extend bulk universality for beta ensembles from analytic potentials to potentials in class $\mathscr{C}^4$.
We consider two families of non-Hermitian Gaussian random matrices, namely the elliptical Ginibre ensembles of asymmetric N-by-N matrices with Dyson index beta=1 (real elements) and with beta=4 (quaternion-real elements). Both ensembles have already been solved for finite N using the method of skew-orthogonal polynomials, given for these particular ensembles in terms of Hermite polynomials in the complex plane. In this paper we investigate the microscopic weakly non-Hermitian large-N limit of each ensemble in the vicinity of the largest or smallest real eigenvalue. Specifically, we derive the …
For a beta-Jacobi ensemble determined by parameters a_1, a_2 and n, under the restriction that the three parameters go to infinity with n and a_1 being of small orders of a_2, we obtain both the bulk and the edge scaling limits. In particular, we derive the asymptotic distributions for the largest and the smallest eigenvalues, the Central Limit Theorems of the eigenvalues, and the limiting distributions of the empirical distributions of the eigenvalues.
The spectral measures of random Jacobi matrices related to beta ensembles at high temperature and Dirichlet processes
Mathematical Institute, Tohoku University（东北大学数学研究所）；Faculty of Mathematics Mechanics Informatics, University of Science, Vietnam National University（越南国立大学科学大学数学力学信息学院）；Global Center for Science and Engineering, Waseda University（早稻田大学全球科学与工程中心）
We give a proof of the Universality Conjecture for orthogonal (beta=1) and symplectic (beta=4) random matrix ensembles of Laguerre-type in the bulk of the spectrum as well as at the hard and soft spectral edges. Our results are stated precisely in the Introduction (Theorems 1.1, 1.4, 1.6 and Corollaries 1.2, 1.5, 1.7). They concern the appropriately rescaled kernels K_{n,beta}, correlation and cluster functions, gap probabilities and the distributions of the largest and smallest eigenvalues. Corresponding results for unitary (beta=2) Laguerre-type ensembles have been proved by the fourth autho…
Let L be a positive line bundle over a projective complex manifold X. Consider the space of holomorphic sections of the tensor power of order p of L. The determinant of a basis of this space, together with some given probability measure on a weighted compact set in X, induces naturally a beta-ensemble, i.e., a random point process on the compact set. Physically, this general setting corresponds to a gas of free fermions in X and may admit some random matrix models. The empirical measures, associated with such beta-ensembles, converge almost surely to an equilibrium measure when p goes to infin…
We study CMV matrices (a discrete one-dimensional Dirac-type operator) with random decaying coefficients. Under mild assumptions we identify the local eigenvalue statistics in the natural scaling limit. For rapidly decreasing coefficients, the eigenvalues have rigid spacing (like the numerals on a clock); in the case of slow decrease, the eigenvalues are distributed according to a Poisson process. For a certain critical rate of decay we obtain the circular beta ensembles of random matrix theory. The temperature β^{-1} appears as the square of the coupling constant.
We study limiting distribution of pair counting statistics of the form $ \sum_{1\leq i\neq j\leq N} f(L_N\*(θ_i-θ_j))$ for the circular $β$-ensemble (C$β$E) of random matrices for sufficiently smooth test function $f$ and $L_N=O(N).$ For $β=2$ and $L_N=N$ our results are inspired by a classical result of Montgomery on pair correlation of zeros of Riemann zeta function.
We present the diagrammatic technique for calculating the free energy of the matrix eigenvalue model (the model with arbitrary power beta by the Vandermonde) to all orders of 1/N expansion in the case where the limiting eigenvalue distribution spans arbitrary (but fixed) number of disjoint intervals (curves) and when logarithmic terms are present. This diagrammatic technique is corrected and refined as compared to our first paper with B.Eynard of year 2006.
This paper constructs tridiagonal random matrix models for general ($β>0$) $β$-Hermite (Gaussian) and $β$-Laguerre (Wishart) ensembles. These generalize the well-known Gaussian and Wishart models for $β= 1,2,4$. Furthermore, in the cases of the $β$-Laguerre ensembles, we eliminate the exponent quantization present in the previously known models. We further discuss applications for the new matrix models, and present some open problems.
We prove that the largest eigenvalues of the beta ensembles of random matrix theory converge in distribution to the low-lying eigenvalues of the random Schroedinger operator -d^2/dx^2 + x + (2/beta^{1/2}) b_x' restricted to the positive half-line, where b_x' is white noise. In doing so we extend the definition of the Tracy-Widom(beta) distributions to all beta>0, and also analyze their tails. Last, in a parallel development, we provide a second characterization of these laws in terms of a one-dimensional diffusion. The proofs rely on the associated tridiagonal matrix models and a universality …
We study the beta-ensemble that represents conformal blocks of Liouville theory on the sphere. This quantity is related through AGT conjecture to the Nekrasov instanton partition function of 4d $\mathcal{N}=2$ SU(2) gauge theory with four flavors. We focus on the large N limit, equivalent to the Nekrasov-Shatashvili limit where one of the Omega-background deformation parameters is vanishing. A quantized Seiberg-Witten differential form is defined perturbatively in h-bar as the singular part of the beta-ensemble resolvent. Using the Dyson collective field action, we show that the free energy ob…
We introduce and study a family of $(q,t)$-deformed discrete $N$-particle beta ensembles, where $q$ and $t$ are the parameters of Macdonald polynomials. The main result is the existence of a large-$N$ limit transition leading to random point processes with infinitely many particles.
Bessel processes associated with the root systems $A_{N-1}$ and $B_N$ describe interacting particle systems with $N$ particles on $\mathbb R$; they form dynamic versions of the classical $β$-Hermite and Laguerre ensembles. In this paper we study corresponding Cauchy processes constructed via some subordination. This leads to $β$-Cauchy ensembles in both cases with explicit distributions. For these distributions we derive central limit theorems for fixed $N$ in the freezing regime, i.e., when the parameters tend to infinity. The results are closely related to corresponding known freezing result…
In this paper we study entanglement of the reduced density matrix of a bipartite quantum system in a random pure state. It transpires that this involves the computation of the smallest eigenvalue distribution of the fixed trace Laguerre ensemble of $N\times N$ random matrices. We showed that for finite $N$ the smallest eigenvalue distribution may be expressed in terms of Jack polynomials. Furthermore, based on the exact results, we found, a limiting distribution, when the smallest eigenvalue is suitably scaled with $N$ followed by a large $N$ limit. Our results turn out to be the same as the s…
We access the edge of Gaussian beta ensembles with one spike by analyzing high powers of the associated tridiagonal matrix models. In the classical cases beta=1, 2, 4, this corresponds to studying the fluctuations of the largest eigenvalues of additive rank one perturbations of the GOE/GUE/GSE random matrices. In the infinite-dimensional limit, we arrive at a one-parameter family of random Feynman-Kac type semigroups, which features the stochastic Airy semigroup of Gorin and Shkolnikov [13] as an extreme case. Our analysis also provides Feynman-Kac formulas for the spiked stochastic Airy opera…
The K-matrix, also known as the "Wigner reaction matrix" in nuclear scattering or "impedance matrix" in the electromagnetic wave scattering, is given essentially by an M x M diagonal block of the resolvent (E-H)^{-1} of a Hamiltonian H. For chaotic quantum systems the Hamiltonian H can be modelled by random Hermitian N x N matrices taken from invariant ensembles with the Dyson symmetry index beta=1,2,4. For beta=2 we prove by explicit calculation a universality conjecture by P. Brouwer which is equivalent to the claim that the probability distribution of K, for a broad class of invariant ensem…
We consider the macroscopic large N limit of the Circular beta-Ensemble at high temperature, and its weighted version as well, in the regime where the inverse temperature scales as beta/N for some parameter beta>0. More precisely, in the large N limit, the equilibrium measure of this particle system is described as the unique minimizer of a functional which interpolates between the relative entropy (beta=0) and the weighted logarithmic energy (beta=\infty). More precisely, we provide subGaussian concentration estimates in the W1 metric for the deviations of the empirical measure to this equili…
We derive the joint probability distribution of the first two spectral moments for the G$β$E random matrix ensembles in N dimensions for any N. This is achieved by making use of two complementary invariants of the domain in $\mathbb{R}^N$ where the spectral moments are defined. Our approach is significantly different from those employed previously to answer related questions and potentially offers new insights. We also discuss the problems faced when attempting to include higher spectral moments.
The purpose of the article is to provide partial proofs for two conjectures given by Witte and Forrester in "Moments of the Gaussian $β$ Ensembles and the large $N$ expansion of the densities" with the use of the topological recursion adapted for general $β$ Gaussian case. In particular, the paper uses a version at coinciding points that provides a simple proof for some of the coefficients involved in the conjecture. Additionally, we propose a generalized version of the conjectures for all correlation functions evaluated at coinciding points.
Beta-ensembles of random matrices are naturally considered as quantum integrable systems, in particular, due to their relation with conformal field theory, and more recently appeared connection with quantized Painlevé Hamiltonians. Here we demonstrate that, at least for {\it even integer} beta, these systems are classically integrable, e.g. there are Lax pairs associated with them, which we explicitly construct. To come to the result, we show that a solution of every Fokker-Planck equation in one space (and one time) dimensions can be considered as a component of an eigenvector of a Lax pair. …
Starting from the diffusion equation at beta random matrix hard edge obtained by Ramirez and Rider (2008), we study the question of its relation with Lax pairs for Painleve III. The results are in many respects similar to the ones found for soft edge by Bloemendal and Virag (2010). In particular, the values beta = 2 and 4 (but not beta = 1) allow for a simple connection with Painlevé III solutions and Lax pairs. However, there is an additional surprise for a special relation of parameters where a simple solution of the diffusion equation can be obtained, which is a one-parameter generalization…
We develop a theory of multilevel distributions of eigenvalues which complements the Dyson's threefold $β=1,2,4$ approach corresponding to real/complex/quaternion matrices by $β=\infty$ point. Our central objects are G$\infty$E ensemble, which is a counterpart of classical Gaussian Orthogonal/Unitary/Symplectic ensembles, and Airy$_{\infty}$ line ensemble, which is a collection of continuous curves serving as a scaling limit for largest eigenvalues at $β=\infty$. We develop two points of views on these objects. Probabilistic one treats them as partition functions of certain additive polymers c…
We study multilevel matrix ensembles at general beta by identifying them with a class of processes defined via the branching rules for multivariate Bessel and Heckman-Opdam hypergeometric functions. For beta = 1, 2, we express the joint multilevel density of the eigenvalues of a generalized beta-Wishart matrix as a multivariate Bessel ensemble, generalizing a result of Dieker-Warren. In the null case, we prove the conjecture of Borodin-Gorin that the joint multilevel density of the beta-Jacobi ensemble is given by a principally specialized Heckman-Opdam measure.
We establish universality at the hard edge for general beta ensembles provided that the background potential V is a polynomial such that x -> V(x^2) is uniformly convex and beta is larger than or equal to one. The method rests on the corresponding tridiagonal matrix models, showing that their appropriate continuum scaling limit is given by the Stochastic Bessel Operator. As conjectured by Edelman-Sutton and rigorously established by Ramirez-Rider, the latter characterizes the hard edge in the case of linear potential and all beta (the classical "beta-Laguerre" ensembles)
We prove universality at the edge of the spectrum for unitary (beta=2), orthogonal (beta=1) and symplectic (beta=4) ensembles of random matrices in the scaling limit for a class of weights w(x)=exp(-V(x)) where V is a polynomial, V(x)=kappa_{2m}x^{2m}+..., kappa_{2m}>0. The precise statement of our results is given in Theorem 1.1 and Corollaries 1.2, 1.3 below. For a proof of universality in the bulk of the spectrum, for the same class of weights, for unitary ensembles see [DKMVZ2], and for orthogonal and symplectic ensembles see [DG]. Our starting point in the unitary case is [DKMVZ2], and fo…
We prove that the two-dimensional Gaussian Free Field describes the asymptotics of global fluctuations of a multilevel extension of the general beta Jacobi random matrix ensembles. Our approach is based on the connection of the Jacobi ensembles to a degeneration of the Macdonald processes that parallels the degeneration of the Macdonald polynomials to to the Heckman-Opdam hypergeometric functions (of type A). We also discuss the beta goes to infinity limit.
The class of norm-dependent Random Matrix Ensembles is studied in the presence of an external field. The probability density in those ensembles depends on the trace of the squared random matrices, but is otherwise arbitrary. An exact mapping to superspace is performed. A transformation formula is derived which gives the probability density in superspace as a single integral over the probability density in ordinary space. This is done for orthogonal, unitary and symplectic symmetry. In the case of unitary symmetry, some explicit results for the correlation functions are derived.
We compute the gap probability that a circle of radius r around the origin contains exactly k complex eigenvalues. Four different ensembles of random matrices are considered: the Ginibre ensembles and their chiral complex counterparts, with both complex (beta=2) or quaternion real (beta=4) matrix elements. For general non-Gaussian weights we give a Fredholm determinant or Pfaffian representation respectively, depending on the non-Hermiticity parameter. At maximal non-Hermiticity, that is for rotationally invariant weights, the product of Fredholm eigenvalues for beta=4 follows from beta=2 by s…
This is a review of recent developments in the theory of beta ensembles of random matrices and their relations with conformal filed theory (CFT). There are (almost) no new results here. This article can serve as a guide on appearances and studies of quantum Painlevé and more general multidimensional linear equations of Belavin-Polyakov-Zamolodchikov (BPZ) type in literature. We demonstrate how BPZ equations of CFT arise from $β$-ensemble eigenvalue integrals. Quantum Painlevé equations are relatively simple instances of BPZ or confluent BPZ equations, they are PDEs in two independent variables…
There is a unique unitarily-invariant ensemble of $N\times N$ Hermitian matrices with a fixed set of real eigenvalues $a_1 > \dots > a_N$. The joint eigenvalue distribution of the $(N - 1)$ top-left principal submatrices of a random matrix from this ensemble is called the orbital unitary process. There are analogous matrix ensembles of symmetric and quaternionic Hermitian matrices that lead to the orbital orthogonal and symplectic processes, respectively. By extrapolation, on the dimension of the base field, of the explicit density formulas, we define the orbital beta processes. We prove the u…
We characterize the phenomenon of "crowding" near the largest eigenvalue $λ_{\max}$ of random $N \times N$ matrices belonging to the Gaussian $β$-ensemble of random matrix theory, including in particular the Gaussian orthogonal ($β=1$), unitary ($β=2$) and symplectic ($β= 4$) ensembles. We focus on two distinct quantities: (i) the density of states (DOS) near $λ_{\max}$, $ρ_{\rm DOS}(r,N)$, which is the average density of eigenvalues located at a distance $r$ from $λ_{\max}$ (or the density of eigenvalues seen from $λ_{\max}$) and (ii) the probability density function of the gap between the fi…
We introduce a one-parameter deformation of the Wishart-Laguerre or chiral ensembles of positive definite random matrices with Dyson index beta=1,2 and 4. Our generalised model has a fat-tailed distribution while preserving the invariance under orthogonal, unitary or symplectic transformations. The spectral properties are derived analytically for finite matrix size NxM for all three beta, in terms of the orthogonal polynomials of the standard Wishart-Laguerre ensembles. For large-N in a certain double scaling limit we obtain a generalised Marcenko-Pastur distribution on the macroscopic scale, …
The unitarily invariant probability measures on infinite Hermitian matrices have been classified by Pickrell, and by Olshanski and Vershik. This classification is equivalent to determining the boundary of a certain inhomogeneous Markov chain with given transition probabilities. This formulation of the problem makes sense for general $β$-ensembles when one takes as the transition probabilities the Dixon-Anderson conditional probability distribution. In this paper we determine the boundary of this Markov chain for any $β\in (0,\infty]$, also giving in this way a new proof of the classical $β=2$ …
We solve the loop equations of the $β$-ensemble model analogously to the solution found for the Hermitian matrices $β=1$. For β=1$, the solution was expressed using the algebraic spectral curve of equation $y^2=U(x)$. For arbitrary $β$, the spectral curve converts into a Schrödinger equation $((\hbar\partial)^2-U(x))ψ(x)=0$ with $\hbar\propto (\sqrtβ-1/\sqrtβ)/N$. This paper is similar to the sister paper~I, in particular, all the main ingredients specific for the algebraic solution of the problem remain the same, but here we present the second approach to finding a solution of loop equations …
We present detailed computations of the 'at least finite' terms (three dominant orders) of the free energy in a one-cut matrix model with a hard edge a, in beta-ensembles, with any polynomial potential. beta is a positive number, so not restricted to the standard values beta = 1 (hermitian matrices), beta = 1/2 (symmetric matrices), beta = 2 (quaternionic self-dual matrices). This model allows to study the statistic of the maximum eigenvalue of random matrices. We compute the large deviation function to the left of the expected maximum. We specialize our results to the gaussian beta-ensembles …
The present paper studies a Gaussian Hermitian random matrix ensemble with external source, given by a fixed diagonal matrix with two eigenvalues a and -a. As a first result, the probability that the eigenvalues of the ensemble belong to a set satisfies a fourth order PDE with quartic non-linearity; the variables being the eigenvalue a and the boundary points of the set. This equation enables one to find a PDE for the Pearcey distribution. The latter describes the statistics of the eigenvalues near the closure of a gap; i.e., when the support of the equilibrium measure for large size random ma…
We continue investigating spectral properties of a Hermitised random matrix product, which, contrary to previous product ensembles, allows for eigenvalues on the full real line. When a GUE matrix with an external source is involved, we prove that the eigenvalues of the product form a determinantal point process and derive a double integral representation for correlation kernel. As the source changes, we observe a critical value and establish the existence of a phase transition for scaled eigenvalues at the origin. Particularly in the critical case, we obtain a new family of Pearcey-type kernel…
We prove the edge and bulk universality of random Hermitian matrices with equi-spaced external source. One feature of our method is that we use neither a Christoffel-Darboux type formula, nor a double-contour formula, which are standard methods to prove universality results for exactly solvable models. This matrix model is an example of a biorthogonal ensemble, which is a special kind of determinantal point process whose kernel generally does not have a Christoffel-Darboux type formula or double-contour representation. Our methods may showcase how to handle universality problems for biorthogon…
Stochastic Loewner Evolution (SLE_kappa) has been introduced as a description of the continuum limit of cluster boundaries in two-dimensional critical systems. We show that the problem of N radial SLEs in the unit disc is equivalent to Dyson's Brownian motion on the boundary of the disc, with parameter beta=4/kappa. As a result various equilibrium critical models give realisations of circular ensembles with beta different from the classical values of 1,2 and 4 which correspond to symmetry classes of random U(N) matrices. Some of the bulk critical exponents are related to the spectrum of the as…
We study five dimensional AGT correspondence by means of the q-deformed beta-ensemble technique. We provide a special basis of states in the q-deformed CFT Hilbert space consisting of generalized Macdonald polynomials, derive the loop equations for the beta-ensemble and obtain the factorization formulas for the corresponding matrix elements. We prove the spectral duality for Nekrasov functions and discuss its meaning for conformal blocks. We also clarify the relation between topological strings and q-Liouville vertex operators.
We consider ensembles of Gaussian (Hermite) and Wishart (Laguerre) $N\times N$ hermitian matrices. We study the effect of finite rank perturbations of these ensembles by a source term. The rank $r$ of the perturbation corresponds to the number of non-null eigenvalues of the source matrix. In the perturbed ensembles, the correlation functions can be written in terms of kernels. We show that for all $N$, the difference between the perturbed and the unperturbed kernels is a degenerate kernel of size $r$ which depends on multiple Hermite or Laguerre functions. We also compute asymptotic formulas f…
Exact integral expressions of the skew orthogonal polynomials involved in Orthogonal (beta=1) and Symplectic (beta=4) random matrix ensembles are obtained: the (even rank) skew orthogonal polynomials are average characteristic polynomials of random matrices. From there, asymptotics of the skew orthogonal polynomials are derived.
We evaluate averages involving characteristic polynomials, inverse characteristic polynomials and ratios of characteristic polynomials for a $N\times N$ random matrix taken from a $L$-deformed Chiral Gaussian Unitary Ensemble with an external source $Ω$. Relation to a recently studied statistics of bi-orthogonal eigenvectors in the complex Ginibre ensemble, see Y.V. Fyodorov arXiv:1710.04699, is briefly discussed as a motivation to study asymptotics of these objects in the case of external source proportional to the identity matrix. In particular, for an associated 'complex bulk/chiral edge' s…
Embedded random matrix ensembles are generic models for describing statistical properties of finite isolated interacting quantum many-particle systems. For the simplest spinless systems, with say $m$ particles in $N$ single particle states and interacting via $k$-body interactions, we have EGUE($k$) and the embedding algebra is $U(N)$. A finite quantum system, induced by a transition operator, makes transitions from its states to the states of the same system or to those of another system. Examples are electromagnetic transitions (same initial and final systems), nuclear beta and double beta d…
