In this paper we propose a new method for studying spectral properties of the non-hermitian random matrix ensembles. Alike complex Green's function encodes, via discontinuities, the real spectrum of the hermitian ensembles, the proposed here quaternion extension of the Green's function leads directly to complex spectrum in case of non-hermitian ensembles and encodes additionally some spectral properties of the eigenvectors. The standard two-by-two matrix representation of the quaternions leads to generalization of so-called matrix-valued resolvent, proposed recently in the context of diagrammatic methods [1-6]. We argue that quaternion Green's function obeys Free Variables Calculus [7,8]. In particular, the quaternion functional inverse of the matrix Green's function, called after [9] Blue's function obeys simple addition law, as observed some time ago [1,3]. Using this law we derive new, general, algorithmic and efficient method to find the non-holomorphic Green's function for all non-hermitian ensembles of the form H+iH', where ensembles H and H' are independent (free in the sense of Voiculescu [7]) hermitian ensembles from arbitrary measure. We demonstrate the power of the method by a straightforward rederivation of spectral properties for several examples of non-hermitian random matrix models.
The statistical properties of trajectories of eigenvalues of Gaussian complex matrices whose Hermitian condition is progressively broken are investigated. It is shown how the ordering on the real axis of the real eigenvalues is reflected in the structure of the trajectories and also in the final distribution of the eigenvalues in the complex plane.
We study the eigenvalue trajectories of a time dependent matrix $ G_t = H+i t vv^*$ for $t \geq 0$, where $H$ is an $N \times N$ Hermitian random matrix and $v$ is a unit vector. In particular, we establish that with high probability, an outlier can be distinguished at all times $t>1+N^{-1/3+ε}$, for any $ε>0$. The study of this natural process combines elements of Hermitian and non-Hermitian analysis, and illustrates some aspects of the intrinsic instability of (even weakly) non-Hermitian matrices.
We consider the asymptotics of the second-order correlation function of the characteristic polynomial of a random matrix. We show that the known result for a random matrix from the Gaussian Unitary Ensemble essentially continues to hold for a general Hermitian Wigner matrix. Our proofs rely on an explicit formula for the exponential generating function of the second-order correlation function of the characteristic polynomial.
The partition functions of Hermitian one-matrix models are known to be tau-functions of the KP hierarchy. In this paper we explicitly compute the elements in Sato grassmannian these tau-functions correspond to, and use them to compute the $n$-point functions of Hermitian one-matrix model.
This paper provides the constructive loop vertex expansion for stable matrix models with (single trace) interactions of arbitrarily high even order in the Hermitian and real symmetric cases. It relies on a new and simpler method which can also be applied in the previously treated complex case. We prove analyticity in the coupling constant of the free energy for such models in a domain uniform in the size of the matrix
Using the loop equations we find an explicit expression for genus 1 correction in hermitian two-matrix model in terms of holomorphic objects associated to spectral curve arising in large N limit. Our result generalises known expression for $F^1$ in hermitian one-matrix model. We discuss the relationship between $F^1$, Bergmann tau-function on Hurwitz spaces, G-function of Frobenius manifolds and determinant of Laplacian over spectral curve.
We consider the limiting location and limiting distribution of the largest eigenvalue in real symmetric ($β$ = 1), Hermitian ($β$ = 2), and Hermitian self-dual ($β$ = 4) random matrix models with rank 1 external source. They are analyzed in a uniform way by a contour integral representation of the joint probability density function of eigenvalues. Assuming the one-band condition and certain regularities of the potential function, we obtain the limiting location of the largest eigenvalue when the nonzero eigenvalue of the external source matrix is not the critical value, and further obtain the …
We investigate the eigenvalues statistics of ensembles of normal random matrices when their order N tends to infinite. In the model the eigenvalues have uniform density within a region determined by a simple analytic polynomial curve. We study the conformal deformations of normal random ensembles to Hermitian random ensembles and give sufficient conditions for the latter to be a Wigner ensemble.
This is a concise review of the complex, real and quaternion real Ginibre random matrix ensembles and their elliptic deformations. Eigenvalue correlations are exactly reduced to two-point kernels and discussed in the strongly and weakly non-Hermitian limits of large matrix size.
We compute expectation values of mixed traces containing both matrices in a two matrix model, i.e. generating function for counting bicolored discrete surfaces with non uniform boundary conditions. As an application, we prove the $x-y$ symmetry of the algebraic curve invariants introduced in math-ph/0702045.
We consider two different genus expansions of the free energy functions of Hermitian one-matrix models, one using fat graphs, one using ordinary graphs (thin graphs). Some structural results are first proved for the thin version of genus expansion using renormalized coupling constants, and then applied to the fat version.
This paper is devoted to the phenomenon of superintegrability. This phenomenon is manifested in the existence of a formula for character averages, expressed through the same characters at special points and of its various generalization. In this paper we develop a method of proving such formulas from first principle from Virasoro constraints and $W$-representation. We apply it to prove the formula for the Jack functions averages - appropriate analogue of characters for the $β$-deformed Hermitian Gaussian matrix model. We also sketch the construction of $W$-operators from Calogero-Ruijsenaars H…
We use genus zero free energy functions of Hermitian matrix models to define spectral curves and their special deformations. They are special plane curves defined by formal power series with integral coefficients generalizing the Catalan numbers. This is done in two different versions, depending on two different genus expansions, and these two versions are in some sense dual to each other.
We study the universality of the local eigenvalue statistics of Gaussian divisible Hermitian Wigner matrices. These random matrices are obtained by adding an independent GUE matrix to an Hermitian random matrix with independent elements, a Wigner matrix. We prove that Tracy-Widom universality holds at the edge in this class of random matrices under the optimal moment condition that there is a uniform bound on the fourth moment of the matrix elements. Furthermore, we show that universality holds in the bulk for Gaussian divisible Wigner matrices if we just assume finite second moments.
We present the exact analytical expression for the spectrum of a sparse non-Hermitian random matrix ensemble, generalizing two classical results in random-matrix theory: this analytical expression forms a non-Hermitian version of the Kesten-Mckay law as well as a sparse realization of Girko's elliptic law. Our exact result opens new perspectives in the study of several physical problems modelled on sparse random graphs. In this context, we show analytically that the convergence rate of a transport process on a very sparse graph depends upon the degree of symmetry of the edges in a non-monotono…
We consider large non-Hermitian real or complex random matrices $X$ with independent, identically distributed centred entries. We prove that their local eigenvalue statistics near the spectral edge, the unit circle, coincide with those of the Ginibre ensemble, i.e. when the matrix elements of $X$ are Gaussian. This result is the non-Hermitian counterpart of the universality of the Tracy-Widom distribution at the spectral edges of the Wigner ensemble.
After reviewing the Hermitian one matrix model, we will give a brief introduction to the Hermitian two matrix model and present a summary of some recent results on the asymptotic behavior of the two matrix model with a quartic potential. In particular, we will discuss a limiting kernel in the quartic/quadratic case that is constructed out of a $4\times 4$ Riemann-Hilbert problem related to Painlevé II equation. Also an open problem will be presented.
Consider a Hermitian matrix model under an external potential with spiked external source. When the external source is of rank one, we compute the limiting distribution of the largest eigenvalue for general, regular, analytic potential for all values of the external source. There is a transitional phenomenon, which is universal for convex potentials. However, for non-convex potentials, new types of transition may occur. The higher rank external source is analyzed in the subsequent paper.
For any $β>0$, we provide a tridiagonal matrix model and compute the joint eigenvalue density of a random rank one non-Hermitian perturbation of Gaussian and Laguerre $β$-ensembles of random matrices.
We review our recent results on pseudo-hermitian random matrix theory which were hitherto presented in various conferences and talks. (Detailed accounts of our work will appear soon in separate publications.) Following an introduction of this new type of random matrices, we focus on two specific models of matrices which are pseudo-hermitian with respect to a given indefinite metric B. Eigenvalues of pseudo-hermitian matrices are either real, or come in complex-conjugate pairs. The diagrammatic method is applied to deriving explicit analytical expressions for the density of eigenvalues in the c…
We briefly review the solution of three ensembles of non-Hermitian random matrices generalizing the Wishart-Laguerre (also called chiral) ensembles. These generalizations are realized as Gaussian two-matrix models, where the complex eigenvalues of the product of the two independent rectangular matrices are sought, with the matrix elements of both matrices being either real, complex or quaternion real. We also present the more general case depending on a non-Hermiticity parameter, that allows us to interpolate between the corresponding three Hermitian Wishart ensembles with real eigenvalues and…
Virasoro constraint is the operator algebra version of one-loop equation for a Hermitian one-matrix model, and it plays an important role in solving the model. We construct the realization of the Virasoro constraint from the Conformal Field Theory (CFT) method. From multi-loop equations of the one-matrix model, we get a more general constraint. It can be expressed in terms of the operator algebras, which is the Virasoro subalgebra with extra parameters. In this sense, we named as generalized Virasoro constraint. We enlarge this algebra with central extension, this is a new kind of algebra, and…
Hermitian symplectic spaces provide a natural framework for the extension theory of symmetric operators. Here we show that hermitian symplectic spaces may also be used to describe the solution to the factorisation problem for the scattering matrix on a graph, ie. we derive a formula for the scattering matrix of a graph in terms of the scattering matrices of its subgraphs. The solution of this problem is shown to be given by the intersection of a Lagrange plane and a coisotropic subspace which, in an appropriate hermitian symplectic space, forms a new Lagrange plane. The scattering matrix is gi…
Using techniques of supersymmetric quantum mechanics, scattering properties of Hermitian Hamiltonians, which are related to non-Hermitian ones by similarity transformations, are studied. We have found that the scattering matrix of the Hermitian Hamiltonian coincides with the phase factor of the non-unitary scattering matrix of the non-Hermitian Hamiltonian. The possible presence of a spectral singularity in a non-Hermitian Hamiltonian translates into a pronounced resonance in the scattering cross section of its Hermitian counterpart. This opens a way for detecting spectral singularities in sca…
Consider an $N\times N$ hermitian random matrix with independent entries, not necessarily Gaussian, a so called Wigner matrix. It has been conjectured that the local spacing distribution, i.e. the distribution of the distance between nearest neighbour eigenvalues in some part of the spectrum is, in the limit as $N\to\infty$, the same as that of hermitian random matrices from GUE. We prove this conjecture for a certain subclass of hermitian Wigner matrices.
We present new and streamlined proofs of various formulae for products and ratios of characteristic polynomials of random Hermitian matrices that have appeared recently in the literature.
We prove that when suitably normalized, small enough powers of the absolute value of the characteristic polynomial of random Hermitian matrices, drawn from one-cut regular unitary invariant ensembles, converge in law to Gaussian multiplicative chaos measures. We prove this in the so-called $L^2$-phase of multiplicative chaos. Our main tools are asymptotics of Hankel determinants with Fisher-Hartwig singularities. Using Riemann-Hilbert methods, we prove a rather general Fisher-Hartwig formula for one-cut regular unitary invariant ensembles.
The goal of this article is to study how much the eigenvalues of large Hermitian random matrices deviate from certain deterministic locations -- or in other words, to investigate optimal rigidity estimates for the eigenvalues. We do this in the setting of one-cut regular unitary invariant ensembles of random Hermitian matrices -- the Gaussian Unitary Ensemble being the prime example of such an ensemble. Our approach to this question combines extreme value theory of log-correlated stochastic processes, and in particular the theory of multiplicative chaos, with asymptotic analysis of large Hanke…
We derive a multiplication law for free non-hermitian random matrices allowing for an easy reconstruction of the two-dimensional eigenvalue distribution of the product ensemble from the characteristics of the individual ensembles. We define the corresponding non-hermitian S transform being a natural generalization of the Voiculescu S transform. In addition we extend the classical hermitian S transform approach to deal with the situation when the random matrix ensemble factors have vanishing mean including the case when both of them are centered. We use planar diagrammatic techniques to derive …
We construct six multi-parameter families of Hermitian quasi-exactly solvable matrix Schroedinger operators in one variable. The method for finding these operators relies heavily upon a special representation of the Lie algebra o(2,2) whose representation space contains an invariant finite-dimensional subspace. Besides that we give several examples of quasi-exactly solvable matrix models that have square-integrable eigenfunctions. These examples are in direct analogy with the quasi-exactly solvable scalar Schroedinger operators obtained by Turbiner and Ushveridze.
We investigate the existence and properties of a double asymptotic expansion in $1/N^{2}$ and $1/\sqrt{D}$ in $\mathrm{U}(N)\times\mathrm{O}(D)$ invariant Hermitian multi-matrix models, where the $N\times N$ matrices transform in the vector representation of $\mathrm{O}(D)$. The crucial point is to prove the existence of an upper bound $η(h)$ on the maximum power $D^{1+η(h)}$ of $D$ that can appear for the contribution at a given order $N^{2-2h}$ in the large $N$ expansion. We conjecture that $η(h)=h$ in a large class of models. In the case of traceless Hermitian matrices with the quartic tetr…
Pseudo-hermitian matrices are matrices hermitian with respect to an indefinite metric. They can be thought of as the truncation of pseudo-hermitian operators, defined over some Krein space, together with the associated metric, to a finite dimensional subspace. As such, they can be used, in the usual spirit of random matrix theory, to model chaotic or disordered PT-symmetric quantum systems, or their gain-loss-balanced classical analogs, in the phase of broken PT-symmetry. The eigenvalues of pseudo-hermitian matrices are either real, or come in complex-conjugate pairs. In this paper we introduc…
Non-Hermitian random matrices have been utilized in such diverse fields as dissipative and stochastic processes, mesoscopic physics, nuclear physics, and neural networks. However, the only known universal level-spacing statistics is that of the Ginibre ensemble characterized by complex-conjugation symmetry. Here we report our discovery of two other distinct universality classes characterized by transposition symmetry. We find that transposition symmetry alters repulsive interactions between two neighboring eigenvalues and deforms their spacing distribution. Such alteration is not possible with…
Random non-Hermitian Jacobi matrices $J_n$ of increasing dimension $n$ are considered. We prove that the normalized eigenvalue counting measure of $J_n$ converges weakly to a limiting measure $μ$ as $n\to\infty$. We also extend to the non-Hermitian case the Thouless formula relating $μ$ and the Lyapunov exponent of the second-order difference equation associated with the sequence $J_n$. The measure $μ$ is shown to be log-Hölder continuous.
We introduce Random Matrix Models for the Hermitian Wilson-Dirac operator of QCD-like theories. We show that they are equivalent to the $ε$-limit of the chiral Lagrangian for Wilson chiral perturbation theory. Results are obtained for two-color QCD with quarks in the fundamental representation of the color group as well as any-color QCD with quarks in the adjoint representation. For $N_c=2$ we also have obtained the lattice spacing dependence of the quenched average spectral density for a fixed value of the index of the Dirac operator. Comparisons with direct numerical simulations of the rando…
We present a method to characterize and compute the large N formal asymptotics of regular and critical Hermitian matrix models with general even potentials in the one-cut and two-cut cases. Our analysis is based on a method to solve continuum limits of the discrete string equation which uses the resolvent of the Lax operator of the underlying Toda hierarchy. This method also leads to an explicit formulation, in terms of coupling constants and critical parameters, of the members of the Painlevé I and Painlevé II hierarchies associated with one-cut and two-cut critical models respectively.
We study multiplicative statistics for the eigenvalues of unitarily-invariant Hermitian random matrix models. We consider one-cut regular polynomial potentials and a large class of multiplicative statistics. We show that in the large matrix limit several associated quantities converge to limits which are universal in both the potential and the family of multiplicative statistics considered. In turn, such universal limits are described by the integro-differential Painlevé II equation, and in particular they connect the random matrix models considered with the narrow wedge solution to the KPZ eq…
R-transforms for non-Hermitian block random matrices: a spherical integral approach
Institut Louis Bachelier（路易·巴舍利耶研究所）；Econophysics Lab, Institut Louis Bachelier（经济物理学实验室，路易·巴舍利耶研究所）；LadHyX, UMR CNRS 7646, École polytechnique, Institut Polytechnique de Paris（拉迪克斯实验室，法国国家科学研究中心联合研究单位7646，巴黎综合理工学院，巴黎理工学院）
Eigenvalues and eigenvectors of non-Hermitian tridiagonal periodic random matrices are studied by means of the Hatano-Nelson deformation. The deformed spectrum is annular-shaped, with inner radius measured by the complex Thouless formula. The inner bounding circle and the annular halo are stuctures that correspond to the two-arc and wings observed by Hatano and Nelson in deformed Hermitian models, and are explained in terms of localization of eigenstates via a spectral duality and the Argument principle.
We introduce a random two-matrix model interpolating between a chiral Hermitian (2n+nu)x(2n+nu) matrix and a second Hermitian matrix without symmetries. These are taken from the chiral Gaussian Unitary Ensemble (chGUE) and Gaussian Unitary Ensemble (GUE), respectively. In the microscopic large-n limit in the vicinity of the chGUE (which we denote by weakly non-chiral limit) this theory is in one to one correspondence to the partition function of Wilson chiral perturbation theory in the epsilon regime, such as the related two matrix-model previously introduced in refs. [20,21]. For a generic nu…
The singular sector of zero genus case for the Hermitian random matrix model in the large N limit is analyzed. It is proved that the singular sector of the hodograph solutions for the underlying dispersionless Toda hierarchy and the singular sector of the 1-layer Benney (classical long wave equation) hierarchy are deeply connected. This property is due to the fact that the hodograph equations for both hierarchies describe the critical points of solutions of Euler-Poisson-Darboux equations E(a,a), with a=-1/2 for the dToda hierarchy and a=1/2 for the 1-layer Benney hierarchy.
Distribution functions for random variables that depend on a parameter are computed asymptotically for ensembles of positive Hermitian matrices. The inverse Fourier transform of the distribution is shown to be a Fredholm determinant of a certain operator that is an analogue of a Wiener-Hopf operator. The asymptotic formula shows that up to the terms of order $o(1)$, the distributions are Gaussian.
Products of random Hermitian matrices and brickwork Hurwitz numbers. Products of normal matrices
College of Mathematics and Systems Science, Shandong University of Science and Technology（山东科技大学数学与系统科学学院）；Nonlinear Wave Processes Laboratory, Oceanology Institute（海洋学研究所非线性波过程实验室）
Delocalization transition is numerically found in a non-Hermitian extension of a discrete-time quantum walk on a one-dimensional random medium. At the transition, an eigenvector gets delocalized and at the same time the corresponding energy eigenvalue (the imaginary unit times the phase of the eigenvalue of the time-evolution operator) becomes complex. This is in accordance with a non-Hermitian extension of the random Anderson model in one dimension, called, the Hatano-Nelson model. We thereby numerically find that all eigenstates of the Hermitian quantum walk share a common localization lengt…
On determinantal formulas for hermitian random matrices
School of Mathematical Sciences, University of Science and Technology of China（中国科学技术大学数学科学学院）；Department of Mathematical Sciences, Tsinghua University（清华大学数学科学系）
Here we give brief account of hermitian symplectic spaces, showing that they are intimately connected to symmetric as well as self-adjoint extensions of a symmetric operator. Furthermore we find an explicit parameterisation of the Lagrange Grassmannian in terms of the unitary matrices $\U (n)$. This allows us to explicitly describe all self-adjoint boundary conditions for the Schroedinger operator on the graph in terms of a unitary matrix. We show that the asymptotics of the scattering matrix can be simply expressed in terms of this unitary matrix.
Given a diagonalizable $N\times N$ matrix $H$, whose non-degenerate spectrum consists of $p$ pairs of complex conjugate eigenvalues and additional $N-2p$ real eigenvalues, we determine all metrics $M$, of all possible signatures, with respect to which $H$ is pseudo-hermitian. In particular, we show that any compatible $M$ must have $p$ pairs of opposite eigenvalues in its spectrum so that $p$ is the minimal number of both positive and negative eigenvalues of $M$. We provide explicit parametrization of the space of all admissible metrics and show that it is topologically a $p$-dimensional torus…
Spectra of sparse non-Hermitian random matrices determine the dynamics of complex processes on graphs. Eigenvalue outliers in the spectrum are of particular interest, since they determine the stationary state and the stability of dynamical processes. We present a general and exact theory for the eigenvalue outliers of random matrices with a local tree structure. For adjacency and Laplacian matrices of oriented random graphs, we derive analytical expressions for the eigenvalue outliers, the first moments of the distribution of eigenvector elements associated with an outlier, the support of the …
We present a method to compute the genus expansion of the free energy of Hermitian matrix models from the large N expansion of the recurrence coefficients of the associated family of orthogonal polynomials. The method is based on the Bleher-Its deformation of the model, on its associated integral representation of the free energy, and on a method for solving the string equation which uses the resolvent of the Lax operator of the underlying Toda hierarchy. As a byproduct we obtain an efficient algorithm to compute generating functions for the enumeration of labeled k-maps which does not require…
Two trace formulas for the spectra of arbitrary Hermitian matrices are derived by transforming the given Hermitian matrix $H$ to a unitary analogue. In the first type the unitary matrix is $e^{i(λ\II - H)}$ where $λ$ is the spectral parameter. The new feature is that the spectral parameter appears in the final form as an argument of Eulerian polynomials -- thus connecting the periodic orbits to combinatorial objects in a novel way. To obtain the second type, one expresses the input in terms of a unitary scattering matrix in a larger Hilbert space. One of the surprising features here is that th…
We give a new proof of universality properties in the bulk of spectrum of the hermitian matrix models, assuming that the potential that determines the model is globally $C^{2}$ and locally $C^{3}$ function (see Theorem \ref{t:U.t1}). The proof as our previous proof in \cite{Pa-Sh:97} is based on the orthogonal polynomial techniques but does not use asymptotics of orthogonal polynomials. Rather, we obtain the $sin$-kernel as a unique solution of a certain non-linear integro-differential equation that follows from the determinant formulas for the correlation functions of the model. We also give …
Recently Burkhardt et. al. introduced the $k$-checkerboard random matrix ensembles, which have a split limiting behavior of the eigenvalues (in the limit all but $k$ of the eigenvalues are on the order of $\sqrt{N}$ and converge to semi-circular behavior, with the remaining $k$ of size $N$ and converging to hollow Gaussian ensembles). We generalize their work to consider non-Hermitian ensembles with complex eigenvalues; instead of a blip new behavior is seen, ranging from multiple satellites to annular rings. These results are based on moment method techniques adapted to the complex plane as w…
