We extend recent results on the Asymptotic Equipartition Property for the density of $n$ particles in $β$-ensembles, as $n$ tends to infinity. We prove the Large Deviation Principle of the log-density for a general potential and the mod-gaussian convergence in the classical examples.
We investigate $β$-Generalized random Hermitian matrices ensemble sometimes called Chiral ensemble. We give global asymptotic of the density of eigenvalues or the statistical density. We investigate general method names as equilibrium measure method. When taking $n$ large limit we will see that the asymptotic density of eigenvalues generalize the Wigner semi-circle law.
Despite the widespread usage of discrete generation Ensemble Kalman particle filtering methodology to solve nonlinear and high dimensional filtering and inverse problems, little is known about their mathematical foundations. As genetic-type particle filters (a.k.a. sequential Monte Carlo), this ensemble-type methodology can also be interpreted as mean-field particle approximations of the Kalman-Bucy filtering equation. In contrast with conventional mean-field type interacting particle methods equipped with a globally Lipschitz interacting drift-type function, Ensemble Kalman filters depend on …
The aim of this paper is to give fine asymptotics for random variables with moments of Gamma type. Among the examples we consider are random determinants of Laguerre and Jacobi beta ensembles with varying dimensions (the number of observed variables and the number of measurements vary and may be different). In addition to the Dyson threefold way of classical random matrix models (GOE, GUE, GSE), we study random determinants of random matrices of the so-called tenfold way, including the Bogoliubov-de Gennes and chiral ensembles from mesoscopic physics. We show that fixed-trace matrix ensembles …
Uniform Asymptotics for Polynomials Orthogonal With Respect to a General Class of Discrete Weights and Universality Results for Associated Ensembles
这是“Uniform Asymptotics for Polynomials Orthogonal With Respect to a General Class of Discrete Weights and Universality Results for Associated Ensembles:Announcement of Results”的完整版本,出现在此服务器上,也发表在IMRN 2003,第15号,第15页。821-858.
We study averages of multiplicative eigenvalue statistics in ensembles of orthogonal Haar distributed matrices, which can alternatively be written as Toeplitz+Hankel determinants. We obtain new asymptotics for symbols with Fisher-Hartwig singularities in cases where some of the singularities merge together, and for symbols with a gap or an emerging gap. We obtain these asymptotics by relying on known analogous results in the unitary group and on asymptotics for associated orthogonal polynomials on the unit circle. As consequences of our results, we derive asymptotics for gap probabilities in t…
We consider the Gaussian beta-ensemble when $β$ scales with $n$ the number of particles such that $\displaystyle{{n}^{-1}\ll β\ll 1}$. Under a certain regime for $β$, we show that the largest particle satisfies a large deviations principle in $\mathbb{R}$ with speed $nβ$ and explicit rate function. As a consequence, the largest particle converges in probability to $2$, the rightmost point of the semicircle law.
We introduce and study stochastic $N$-particle ensembles which are discretizations for general-$β$ log-gases of random matrix theory. The examples include random tilings, families of non-intersecting paths, $(z,w)$-measures, etc. We prove that under technical assumptions on general analytic potential, the global fluctuations for such ensembles are asymptotically Gaussian as $N\to\infty$. The covariance is universal and coincides with its counterpart in random matrix theory. Our main tool is an appropriate discrete version of the Schwinger-Dyson (or loop) equations, which originates in the work…
We study the distribution of the smallest eigenvalue for certain classes of positive-definite Hermitian random matrices, in the limit where the size of the matrices becomes large. Their limit distributions can be expressed as Fredholm determinants of integral operators associated to kernels built out of Meijer $G$-functions or Wright's generalized Bessel functions. They generalize in a natural way the hard edge Bessel kernel Fredholm determinant. We express the logarithmic derivatives of the Fredholm determinants identically in terms of a $2\times 2$ Riemann-Hilbert problem, and use this repre…
We introduce and study a class of discrete particle ensembles that naturally arise in connection with classical random matrix ensembles, log-gases and Jack polynomials. Under technical assumptions on a general analytic potential we prove that the global fluctuations of these ensembles are asymptotically Gaussian with a universal covariance that remarkably differs from its counterpart in random matrix theory. Our main tools are certain novel algebraic identities that we have discovered. They play a role of discrete multi-level analogues of loop equations.
We prove that the fluctuations of mesocopic linear statistics for orthogonal polynomial ensembles are universal in the sense that two measures with asymptotic recurrence coefficients have the same asymptotic mesoscopic fluctuations (under an additional assumption on the local regularity of one of the measures). The convergence rate of the recurrence coefficients determines the range of scales on which the limiting fluctuations are identical. Our main tool is an analysis of the Green's function for the associated Jacobi matrices. As a particular consequence we obtain a Central Limit Theorem for…
Uniform Asymptotics for Polynomials Orthogonal With Respect to a General Class of Discrete Weights and Universality Results for Associated Ensembles: Announcement of Results
Rider, Sinclair and Xu (2013) introduced a solvable two charge ensemble of interacting charged particles on the real line in the presence of the harmonic oscillator potential. It can be seen as a special form of a grand canonical ensemble with the total charge being fixed and unit charge particles being random. Moreover, it serves as an interpolation between the Gaussian orthogonal and the Gaussian symplectic ensembles and maintains the Pfaffian structure of the eigenvalues. A similar solvable ensemble of charged particles on the unit circle was studied by Shum and Sinclair (2014) and Forreste…
Let $\mathbf{T}_{d, N}: Ω\to \mathbb{R}^{N^d}$ be a random real symmetric Wigner-type tensor. For unit vectors $(u_N^{(i, j)})_{i \in I, j \in [d-2]} \subset \mathbb{S}^{N-1}$, we study the contracted tensor ensemble \[ \left(\frac{1}{\sqrt{N}}\mathbf{T}_{d, N}\left[u_N^{(i, 1)} \otimes \cdots \otimes u_N^{(i, d-2)}\right]\right)_{i \in I}. \] For large $N$, we show that the joint spectral distribution of this ensemble is well-approximated by a semicircular family $(s_i)_{i \in I}$ whose covariance $(\mathbf{K}_{i, i'}^{(N)})_{i, i'\in I}$ is given by the rescaled overlaps of the corresponding…
We introduce the affine ensemble, a class of determinantal point processes (DPP) in the half-plane C^+ associated with the ax+b (affine) group, depending on an admissible Hardy function ψ. We obtain the asymptotic behavior of the variance, the exact value of the asymptotic constant, and non-asymptotic upper and lower bounds for the variance on a compact set Ω contained in C^+. As a special case one recovers the DPP related to the weighted Bergman kernel. When ψ is chosen within a finite family whose Fourier transform are Laguerre functions, we obtain the DPP associated to hyperbolic Landau lev…
We introduce constellation ensembles, in which charged particles on a line (or circle) are linked with charged particles on parallel lines (or concentric circles). We present formulas for the partition functions of these ensembles in terms of either the Hyperpfaffian or the Berezin integral of an appropriate alternating tensor. Adjusting the distances between these lines (or circles) gives an interpolation between a pair of limiting ensembles, such as one-dimensional $β$-ensembles with $β=K$ and $β=K^2$.
The probability distribution of a function of a subsystem conditioned on the value of the function of the whole, in the limit when the ratio of their values goes to zero, has a limit law: It equals the unconditioned marginal probability distribution weighted by an exponential factor whose exponent is uniquely determined by the condition. We apply this theorem to explain the canonical equilibrium ensemble of a system in contact with a heat reservoir. Since the theorem only requires analysis at the level of the function of the subsystem and reservoir, it is applicable even without the knowledge …
A New Look at the Ensemble Kalman Filter for Inverse Problems: Duality, Non-Asymptotic Analysis and Convergence Acceleration
Department of Aerospace Engineering & Engineering Mechanics, UT Austin(德克萨斯大学奥斯汀分校航空航天工程与应用力学系);Hildebrand Department of Petroleum and Geosystems Engineering(希尔布兰德石油与地质系统工程系);Oden Institute for Computational Engineering and Sciences, UT Austin(德克萨斯大学奥斯汀分校奥登计算工程与科学学院);Facebook research(Facebook 研究)
We introduce ensembles of repelling charged particles restricted to a ball in a non-archimedean field (such as the $p$-adic numbers) with interaction energy between pairs of particles proportional to the logarithm of the ($p$-adic) distance between them. In the {\em canonical ensemble}, a system of $N$ particles is put in contact with a heat bath at fixed inverse temperature $β$ and energy is allowed to flow between the system and the heat bath. Using standard axioms of statistical physics, the relative density of states is given by the $β$ power of the ($p$-adic) absolute value of the Vanderm…
We consider determinantal Coulomb gas ensembles with a class of discrete rotational symmetric potentials whose droplets consist of several disconnected components. Under the insertion of a point charge at the origin, we derive the asymptotic behaviour of the correlation kernels both in the macro- and microscopic scales. In the macroscopic scale, this particularly shows that there are strong correlations among the particles on the boundary of the droplets. In the microscopic scale, this establishes the edge universality. For the proofs, we use the nonlinear steepest descent method on the matrix…