Since the seminal work of Keating and Snaith, the characteristic polynomial of a random Haar-distributed unitary matrix has seen several of its functional studied or turned into a conjecture; for instance:
$ \bullet $ its value in $1$ (Keating-Snaith theorem),
$ \bullet $ the truncation of its Fourier series up to any fraction of its degree,
$ \bullet $ the computation of the relative volume of the Birkhoff polytope,
$ \bullet $ its products and ratios taken in different points,
$ \bullet $ the product of its iterated derivatives in different points,
$ \bullet $ functionals in relation with sums of divisor functions in $ \mathbb{F}_q[X] $.
$ \bullet $ its mid-secular coefficients,
$ \bullet $ the "moments of moments", etc.
We revisit or compute for the first time the asymptotics of the integer moments of these last functionals and several others. The method we use is a very general one based on reproducing kernels, a symmetric function generalisation of some classical orthogonal polynomials interpreted as the Fourier transform of particular random variables and a local Central Limit Theorem for these random variables. We moreover provide an equivalent paradigm based on a randomisation of the mid-secular coefficients to rederive them all. These methodologies give a new and unified framework for all the considered limits and explain the apparition of Hankel determinants or Wronskians in the limiting functional.
It was recently conjectured by Fyodorov, Hiary and Keating that the maximum of the characteristic polynomial on the unit circle of a $N\times N$ random unitary matrix sampled from the Haar measure grows like $CN/(\log N)^{3/4}$ for some random variable $C$. In this paper, we verify the leading order of this conjecture, that is, we prove that with high probability the maximum lies in the range $[N^{1 - \varepsilon},N^{1 + \varepsilon}]$, for arbitrarily small $\varepsilon$. The method is based on identifying an approximate branching random walk in the Fourier decomposition of the characteristic…
We show that almost all the zeros of any finite linear combination of independent characteristic polynomials of random unitary matrices lie on the unit circle. This result is the random matrix analogue of an earlier result by Bombieri and Hejhal on the distribution of zeros of linear combinations of $L$-functions, thus providing further evidence for the conjectured links between the value distribution of the characteristic polynomial of random unitary matrices and the value distribution of $L$-functions on the critical line.
We calculate joint moments of the characteristic polynomial of a random unitary matrix from the circular unitary ensemble and its derivative in the case that the power in the moments is an odd positive integer. The calculations are carried out for finite matrix size and in the limit as the size of the matrices goes to infinity. The latter asymptotic calculation allows us to prove a long-standing conjecture from random matrix theory.
Based on the multivariate saddle point method we study the asymptotic behavior of the characteristic polynomials associated to Wishart type random matrices that are formed as products consisting of independent standard complex Gaussian and a truncated Haar distributed unitary random matrix. These polynomials form a general class of hypergeometric functions of type \(_2 F_r\). We describe the oscillatory behavior on the asymptotic interval of zeros by means of formulae of Plancherel-Rotach type and subsequently use it to obtain the limiting distribution of the suitably rescaled zeros. Moreover,…
In a recent work Killip and Nenciu gave random recurrences for the characteristic polynomials of certain unitary and real orthogonal upper Hessenberg matrices. The corresponding eigenvalue p.d.f.'s are beta-generalizations of the classical groups. Left open was the direct calculation of certain Jacobians. We provide the sought direct calculation. Furthermore, we show how a multiplicative rank 1 perturbation of the unitary Hessenberg matrices provides a joint eigenvalue p.d.f generalizing the circular beta-ensemble, and we show how this joint density is related to known inter-relations between …
Orthogonal polynomial duality and unitary symmetries of multi--species ASEP$(q,\boldsymbolθ)$ and higher--spin vertex models via $^*$--bialgebra structure of higher rank quantum groups
We study the characteristic polynomial of Haar distributed random unitary matrices. We show that after a suitable normalization, as one increases the size of the matrix, powers of the absolute value of the characteristic polynomial as well as powers of the exponential of its argument converge in law to a Gaussian multiplicative chaos measure for small enough real powers. This establishes a connection between random matrix theory and the theory of Gaussian multiplicative chaos.
This paper is devoted to the computations of some relevant quantities associated with the free unitary Brownian motion. Using the Lagrange inversion formula, we first derive an explicit expression for its alternating star cumulants of even lengths and relate them to those having odd lengths by means of a summation formula for the free cumulants with product as entries. Next, we use again this formula together with a generating series for Laguerre polynomials in order to compute the Taylor coefficients of the reciprocal of the $R$-transform of the free Jacobi process associated with a single pr…
In this paper, we propose a probabilistic approach to the study of the characteristic polynomial of a random unitary matrix. We recover the Mellin Fourier transform of such a random polynomial, first obtained by Keating and Snaith, using a simple recursion formula, and from there we are able to obtain the joint law of its radial and angular parts in the complex plane. In particular, we show that the real and imaginary parts of the logarithm of the characteristic polynomial of a random unitary matrix can be represented in law as the sum of independent random variables. From such representations…
We establish the asymptotics of the joint moments of the characteristic polynomial of a random unitary matrix and its derivative for general real values of the exponents, proving a conjecture made by Hughes in 2001. Moreover, we give a probabilistic representation for the leading order coefficient in the asymptotic in terms of a real-valued random variable that plays an important role in the ergodic decomposition of the Hua-Pickrell measures. This enables us to establish connections between the characteristic function of this random variable and the $σ$-Painlevé III' equation.
In this note we give a combinatorial and non-computational proof of the asymptotics of the integer moments of the moments of the characteristic polynomials of Haar distributed unitary matrices as the size of the matrix goes to infinity. This is achieved by relating these quantities to a lattice point count problem. Our main result is a new explicit expression for the leading order coefficient in the asymptotic as a volume of a certain region involving continuous Gelfand-Tsetlin patterns with constraints.
Let $U^N = (U_1^N,\dots, U^N_p)$ be a d-tuple of $N\times N$ independent Haar unitary matrices and $Z^{NM}$ be any family of deterministic matrices in $\mathbb{M}_N(\mathbb{C})\otimes \mathbb{M}_M(\mathbb{C})$. Let $P$ be a self-adjoint non-commutative polynomial. In 1998, Voiculescu showed that the empirical measure of the eigenvalues of this polynomial evaluated in Haar unitary matrices and deterministic matrices converges towards a deterministic measure defined thanks to free probability theory. Let now $f$ be a smooth function, the main technical result of this paper is a precise bound of …
We prove that the convergence of the real and imaginary parts of the logarithm of the characteristic polynomial of unitary Brownian motion toward Gaussian free fields on the cylinder, as the matrix dimension goes to infinity, holds in certain suitable Sobolev spaces, which we believe to be optimal. This is the natural dynamical analogue of the result for a fixed time by Hughes, Keating and O'Connell [1]. A weak kind of convergence is known since the work of Spohn [2], which was widely improved recently by Bourgade and Falconet [3]. In the course of this research we also proved a Wick-type iden…
We present a concentration inequality for linear functionals of noncommutative polynomials in random matrices. Our hypotheses cover most standard ensembles, including Gaussian matrices, matrices with independent uniformly bounded entries and unitary or orthogonal matrices.
We give a probabilistic interpretation for the Barnes G-function which appears in random matrix theory and in analytic number theory in the important moments conjecture due to Keating-Snaith for the Riemann zeta function, via the analogy with the characteristic polynomial of random unitary matrices. We show that the Mellin transform of the characteristic polynomial of random unitary matrices and the Barnes G-function are intimately related with products and sums of gamma, beta and log-gamma variables. In particular, we show that the law of the modulus of the characteristic polynomial of random…
We express the topological expansion of the Jacobi Unitary Ensemble in terms of triple monotone Hurwitz numbers. This completes the combinatorial interpretation of the topological expansion of the classical unitary invariant matrix ensembles. We also provide effective formulae for generating functions of multipoint correlators of the Jacobi Unitary Ensemble in terms of Wilson polynomials, generalizing the known relations between one point correlators and Wilson polynomials.
The zeros of the random Laurent series $1/μ- \sum_{j=1}^\infty c_j/z^j$, where each $c_j$ is an independent standard complex Gaussian, is known to correspond to the scaled eigenvalues of a particular additive rank 1 perturbation of a standard complex Gaussian matrix. For the corresponding random Maclaurin series obtained by the replacement $z \mapsto 1/z$, we show that these same zeros correspond to the scaled eigenvalues of a particular multiplicative rank 1 perturbation of a random unitary matrix. Since the correlation functions of the latter are known, by taking an appropriate limit the cor…
We revisit the work of the first named author and using simpler algebraic arguments we calculate integrals of polynomial functions with respect to the Haar measure on the unitary group U(d). The previous result provided exact formulas only for 2d bigger than the degree of the integrated polynomial and we show that these formulas remain valid for all values of d. Also, we consider the integrals of polynomial functions on the orthogonal group O(d) and the symplectic group Sp(d). We obtain an exact character expansion and the asymptotic behavior for large d. Thus we can show the asymptotic freene…
We generally study the density of eigenvalues in unitary ensembles of random matrices from the recurrence coefficients with regularly varying conditions for the orthogonal polynomials. First we calculate directly the moments of the density. Then, by studying some deformation of the moments, we get a family of differential equations of first order which the densities satisfy (see Theorem 1.2), and give the densities by solving them. Further, we prove that the density is invariant after the polynomial perturbation of the weight function (see Theorem 1.5).
We prove that the squared singular values of a fixed matrix multiplied with a truncation of a Haar distributed unitary matrix are distributed by a polynomial ensemble. This result is applied to a multiplication of a truncated unitary matrix with a random matrix. We show that the structure of polynomial ensembles and of certain Pfaffian ensembles is preserved. Furthermore we derive the joint singular value density of a product of truncated unitary matrices and its corresponding correlation kernel which can be written as a double contour integral. This leads to hard edge scaling limits that also…
We consider integrals on unitary groups $U_d$ of the form $$\int_{U_d}U_{i_1j_1}... U_{i_qj_q}U^*_{j'_{1}i'_{1}} ... U^*_{j'_{q'}i'_{q'}}dU$$ We give an explicit formula in terms of characters of symmetric groups and Schur functions, which allows us to rederive an asymptotic expansion as $d\to\infty$. Using this we rederive and strenghthen a result of asymptotic freeness due to Voiculescu. We then study large $d$ asymptotics of matrix model integrals and of the logarithm of Itzykson-Zuber integrals and show that they converge towards a limit when considered as power series. In particular we gi…
We develop an algorithm for sampling from the unitary invariant random matrix ensembles. The algorithm is based on the representation of their eigenvalues as a determinantal point process whose kernel is given in terms of orthogonal polynomials. Using this algorithm, statistics beyond those known through analysis are calculable through Monte Carlo simulation. Unexpected phenomena are observed in the simulations.
In this paper, we study the relationship between polynomial integrals on the unitary group and the conjugacy class expansion of symmetric functions in Jucys-Murphy elements. Our main result is an explicit formula for the top coefficients in the class expansion of monomial symmetric functions in Jucys-Murphy elements, from which we recover the first order asymptotics of polynomial integrals over $\U(N)$ as $N \rightarrow \infty$. Our results on class expansion include an analogue of Macdonald's result for the top connection coefficients of the class algebra, a generalization of Stanley and Olsh…
Recent work on recurrence in quantum walks has provided a representation of Schur functions in terms of unitary operators. We propose a generalization of Schur functions by extending this operator representation to arbitrary operators on Banach spaces. Such generalized Schur functions meet the formal structure of first return generating functions, thus we call them FR-functions. We derive general properties of FR-functions, among them a generalization of the renewal equation already known for random and quantum walks, as well as splitting properties which extend useful factorizations of Schur …
We show in this paper that after proper scalings, the characteristic polynomial of a random unitary matrix converges almost surely to a random analytic function whose zeros, which are on the real line, form a determinantal point process with sine kernel. Our scaling is performed at the so-called "microscopic" level, that is we consider the characteristic polynomial at points which are of order $1/n$ distant. We prove this in the framework of virtual isometries to circumvent the fact that the rescaled characteristic polynomial does not even have a moment of order one, hence making the classical…
We define a new matrix-valued stochastic process with independent stationary increments from the Laguerre Unitary Ensemble, which in a certain sense may be considered a matrix generalisation of the gamma process. We show that eigenvalues of this matrix-valued process forms a spatiotemporal determinantal point process and give an explicit expression for the correlation kernel in terms of Laguerre polynomials. Furthermore, we show that in an appropriate long time scaling limit, this correlation kernel becomes identical to that of Dyson Brownian Motion.
Using the results on the $1/n$-expansion of the Verblunsky coefficients for a class of polynomials orthogonal on the unit circle with $n$ varying weight, we prove that the local eigenvalue statistic for unitary matrix models is independent of the form of the potential, determining the matrix model. Our proof is applicable to the case of four times differentiable potentials and of supports, consisting of one interval.
Let $X$ be a random matrix whose squared singular value density is a polynomial ensemble. We derive double contour integral formulas for the correlation kernels of the squared singular values of $GX$ and $TX$, where $G$ is a complex Ginibre matrix and $T$ is a truncated unitary matrix. We also consider the product of $X$ and several complex Ginibre/truncated unitary matrices. As an application, we derive the precise condition for the squared singular values of the product of several truncated unitary matrices to follow a polynomial ensemble. We also consider the sum $H + M$ where $H$ is a GUE …
