Product of random projections, Jacobi ensembles and universality problems arising from free probability

Universality of the Stochastic Airy Operator

We introduce a new method for studying universality of random matrices. Let T_n be the Jacobi matrix associated to the Dyson beta ensemble with uniformly convex polynomial potential. We show that after scaling, T_n converges to the Stochastic Airy operator. In particular, the top edge of the Dyson beta ensemble and the corresponding eigenvectors are universal. As a byproduct, our work leads to conjectured operator limits for the entire family of soft edge distributions.

A review from the PDE viewpoint of Hamilton-Jacobi-Bellman Equations Arising in Optimal Control with Vectorial Cost

This paper is a review of results on Optimisation which are perhaps not so standard in the PDE realm. To this end, we consider the problem of deriving the PDEs associated to the optimal control of a system of either ODEs or SDEs with respect to a vector-valued cost functional. Optimisation is considered with respect to a partial ordering generated by a given cone. Since in the vector case minima may not exist, we define vectorial value functions as (Pareto) minimals of the ordering. Our main objective is the derivation of the model PDEs which turn out to be parametric families of HJB single eq…

Inhomogeneity and universality: off-critical behavior of interfaces

We further study the interfaces arising in a situation of inhomogeneity. More precisely, we identify a characteristic length for the gradient percolation model, that enables us to tighten previous estimates established for it. This allows to construct non-trivial scaling limits: the limiting objects share some properties with critical percolation interfaces, but locally, they rather behave like off-critical percolation interfaces.

About universality of entropy in stochastic chemical kinetic models

This paper studies the relationship between the Lyapunov function of a macrosystem whose dynamics is governed by the laws of stochastic chemical kinetics and the invariant measure of this macrosystem arising at large times. A necessary and sufficient condition for the reduction of the search problem for the equilibrium of the macrosystem (the most probable macrostate of the invariant measure of this macrosystem) to an entropy-linear programming problem is given.

Eigenvalue Distribution of Large Random Matrices Arising in Deep Neural Networks: Orthogonal Case

The paper deals with the distribution of singular values of the input-output Jacobian of deep untrained neural networks in the limit of their infinite width. The Jacobian is the product of random matrices where the independent rectangular weight matrices alternate with diagonal matrices whose entries depend on the corresponding column of the nearest neighbor weight matrix. The problem was considered in \cite{Pe-Co:18} for the Gaussian weights and biases and also for the weights that are Haar distributed orthogonal matrices and Gaussian biases. Basing on a free probability argument, it was clai…

Universality classes for general random matrix flows

We consider matrix-valued processes described as solutions to stochastic differential equations of very general form. We study the family of the empirical measure-valued processes constructed from the corresponding eigenvalues. We show that the family indexed by the size of the matrix is tight under very mild assumptions on the coefficients of the initial SDE. We characterize the limiting distributions of its subsequences as solutions to an integral equation. We use this result to study some universality classes of random matrix flows. These generalize the classical results related to Dyson Br…

Probability theory for random groups arising in number theory

We consider the probability theory, and in particular the moment problem and universality theorems, for random groups of the sort of that arise or are conjectured to arise in number theory, and in related situations in topology and combinatorics. The distributions of random groups that are discussed include those conjectured in the Cohen-Lenstra-Martinet heuristics to be the distributions of class groups of random number fields, as well as distributions of non-abelian generalizations, and those conjectured to be the distributions of Selmer groups of random elliptic curves. For these sorts of d…

On the universality of the distribution of the generalized eigenvalues of a pencil of Hankel random matrices

Universality properties of the distribution of the generalized eigenvalues of a pencil of random Hankel matrices, arising in the solution of the exponential interpolation problem of a complex discrete stationary process, are proved under the assumption that every finite set of random variables of the process have a multivariate spherical distribution. An integral representation of the condensed density of the generalized eigenvalues is also derived. The asymptotic behavior of this function turns out to depend only on stationarity and not on the specific distribution of the process.

随机持续同调中的普适性与尺度不变量泛函

Universality in Random Persistent Homology and Scale-Invariant Functionals

本文证明了随机点过程几何滤过产生的持续图极限分布具有普适性，并提出尺度不变量泛函普适性的通用框架，同时给出随机几何复形中Morse理论的新结果。

On the Universality of Random Persistence Diagrams

One of the most elusive challenges within the area of topological data analysis is understanding the distribution of persistence diagrams. Despite much effort, this is still largely an open problem. In this paper, we present a series of novel conjectures regarding the behavior of persistence diagrams arising from random point-clouds. We claim that these diagrams obey a universal probability law, and include an explicit expression as a candidate for what this law is. We back these conjectures with an exhaustive set of experiments, including both simulated and real data. We demonstrate the power…

Universality and least singular values of random matrix products: a simplified approach

In this note, we show how to provide sharp control on the least singular value of a certain translated linearization matrix arising in the study of the local universality of products of independent random matrices. This problem was first considered in a recent work of Koppel, O'Rourke, and Vu, and compared to their work, our proof is substantially simpler and established in much greater generality . In particular, we only assume that the entries of the ensemble are centered, and have second and fourth moments uniformly bounded away from $0$ and infinity, whereas previous work assumed a uniform…

Universality in polytope phase transitions and message passing algorithms

We consider a class of nonlinear mappings $\mathsf{F}_{A,N}$ in $\mathbb{R}^N$ indexed by symmetric random matrices $A\in\mathbb{R}^{N\times N}$ with independent entries. Within spin glass theory, special cases of these mappings correspond to iterating the TAP equations and were studied by Bolthausen [Comm. Math. Phys. 325 (2014) 333-366]. Within information theory, they are known as "approximate message passing" algorithms. We study the high-dimensional (large $N$) behavior of the iterates of $\mathsf{F}$ for polynomial functions $\mathsf{F}$, and prove that it is universal; that is, it depen…

分裂约化群上乘积的高斯普适性与Satake同构

Gaussian Universality of Products Over Split Reductive Groups and the Satake Isomorphism

该研究利用Satake同构与Hall-Littlewood多项式，刻画非阿基米德域上分裂约化群乘积的奇异数与角元，推广已有结果并证明其最小分离性，推导相关概率极限定理，建立代数分解与概率极限的统一框架。