Advances in Random Matrix Theory (stochastic analysis) eigen

advertisement
Advances in Random Matrix Theory
(stochastic eigenanalysis)
Alan Edelman
MIT: Dept of Mathematics,
Computer Science AI Laboratories
5/28/2016
1
Stochastic Eigenanalysis
Counterpart
to stochastic differential equations
Emphasis on applications to engineering & finance
Beautiful mathematics:
Random
Matrix Theory
Free Probability
Raw
Material from
Physics
Combinatorics
Numerical
Linear Algebra
Multivariate Statistics
5/28/2016
2
Scalars, Vectors, Matrices
Mathematics:
 Computation:
 Statistics:

Notation = power & less ink!
Use those caches!
Classical, Multivariate, 
Modern Random Matrix Theory
The Stochastic Eigenproblem
* Mathematics of probabilistic linear algebra
* Emerging Computational Algorithms
* Emerging Statistical Techniques
Ideas from numerical computation that stand the test of time are
right for mathematics!
3
Open Questions
 Find
new applications of spacing (or other)
statistics
 Cleanest derivation of Tracy-Widom?
 “Finite” free probability?
 Finite meets infinite
 Muirhead
 Software
meets Tracy-Widom
for stochastic eigen-analysis
4
 The
Wigner’s Semi-Circle
classical & most famous rand eig theorem
 Let S = random symmetric Gaussian
 MATLAB: A=randn(n);
S=( A+A’)/2;
S
known as the Hermite Ensemble
 Normalized eigenvalue histogram is a semi-circle
 Precise
statements require n etc.
5
 The
Wigner’s Semi-Circle
classical & most famous rand eig theorem
 Let S = random symmetric Gaussian
 MATLAB: A=randn(n);
S=( A+A’)/2;
S
known as the Hermite Ensemble
 Normalized eigenvalue histogram is a semi-circle
 Precise
statements require n etc.
n x n iid standard normals
6
 The
Wigner’s Semi-Circle
classical & most famous rand eig theorem
 Let S = random symmetric Gaussian
 MATLAB: A=randn(n);
S=( A+A’)/2;
S
known as the Hermite Ensemble
 Normalized eigenvalue histogram is a semi-circle
 Precise
statements require n etc.
7
Wigner’s original proof
Compute E(tr A2p) as n∞
 Terms with too many indices, have some element with
power 1. Vanishes with mean 0.
 Terms with too few indices: not enough to be relevant as
n∞
 Leaves only a Catalan number left: Cp=(2p
p )/(p+1) for the
moments when all is said and done
 Semi-circle only distribution with Catalan number
moments

8
n=2;
n=3;
Finite Versions of semicircle
n=4;
n=5;
9
n=2;
n=3;
Finite Versions
n=4;
Area under curve (-∞,x): Can
n=5;as sums of
be expressed
probabilities that certain
tridiagonal determinants are
positive.
10
Wigner’s Semi-Circle
 Real
Numbers:
x
 Complex Numbers: x+iy
 Quaternions:
x+iy+jz+kw
Defined through joint eigenvalue
density:
 β=2½?
x+iy+jz
β
2
const x ∏|xi-xj| ∏exp(-xi /2)
β=1
β=2
β=4
β=2½?
β=repulsion strength
β=0 “no interference” spacings are Poisson
Classical research only β=1,2,4 missing the link to
Poisson, continuous techniques, etc
11
Largest eigenvalue
“convection-diffusion?”
12
Haar or not Haar?
“Uniform Distribution on orthogonal matrices”
Gram-Schmidt or [Q,R]=QR(randn(n))
13
Haar or not Haar?
“Uniform Distribution on orthogonal matrices”
Gram-Schmidt or [Q,R]=QR(randn(n))
Eigenvalues Wrong

14
Longest Increasing Subsequence
(n=4) (Baik-Deift-Johansson)
(Okounkov’s proof)
Green: 4 Yellow: 3 Red: 2 Purple: 1
1234
2134
3124
4123
1243
2143
3142
4132
1324
2314
3214
4213
1342
2341
3241
4231
1423
2413
3412
4312
1432
2431
3421
4321
15
Bulk spacing statistics
“convection-diffusion?”
Bus wait times in Mexico
 Energy levels of heavy atoms
 Parked Cars in London
 Zeros of Riemann zeta
Telltale Sign: Repulsion +
 Mice Brain Wave Spikes optimality

16
“what’s my β?”
web page
•
•
•
•
Cy’s tricks:
Maximum Likelihood Estimation
Bayesian Probability
Kernel Density Estimation
• Epanechnikov kernel
Confidence Intervals
http://people.csail.mit.edu/cychan/BetaEstimator.html
17
Open Questions
 Find
new applications of spacing (or other)
distributions
 Cleanest derivation of Tracy-Widom?
 “Finite” free probability?
 Finite meets infinite
 Muirhead
 Software
meets Tracy-Widom
for stochastic eigen-analysis
18
Everyone’s Favorite Tridiagonal
-2
1
1
-2
1
1
n2
1
1
-2
d2
dx2
5/28/2016
19
Everyone’s Favorite Tridiagonal
-2
1
1
-2
G
1
1
+(βn)1/2
1
n2
1
d2
dx2
5/28/2016
G
1
-2
G
+
dW
β1/2
20
Stochastic Operator Limit
d2
- x +
2
dx
2
dW ,
β
 N(0,2) χ (n -1)β

 χ (n -1)β N(0,2) χ (n - 2)β
1 
Hβn ~
2 nβ 

χ 2β


H
β
n
 H

n
+




,
N(0,2)
χβ 

χβ
N(0,2) 
2
G
β
Cast of characters: Dumitriu, Sutton, Rider
n
,
21
Open Questions
 Find
new applications of spacing (or other)
distributions
 Cleanest derivation of Tracy-Widom?
 “Finite” free probability?
 Finite meets infinite
 Muirhead
 Software
meets Tracy-Widom
for stochastic eigen-analysis
22
Is it really the random matrices?
The excitement is that the random matrix statistics are
everyhwere
 Random matrices properly tridiagonalized are
discretizations of stochastic differential operators!
 Eigenvalues of SDO’s not as well studied
 Deep down this is what I believe is the important
mechanism in the spacings, not the random matrices! (See
Brian Sutton thesis, Brian Rider papers—connection to
Schrodinger operators)
 Deep down for other statistics, though it’s the matrices

23
Open Questions
 Find
new applications of spacing (or other)
distributions
 Cleanest derivation of Tracy-Widom?
 “Finite” free probability?
 Finite meets infinite
 Muirhead
 Software
meets Tracy-Widom
for stochastic eigen-analysis
24
Open Questions
 Find
new applications of spacing (or other)
distributions
 Cleanest derivation of Tracy-Widom?
 “Finite” free probability?
 Finite meets infinite
 Muirhead
 Software
meets Tracy-Widom
for stochastic eigen-analysis
26
Free Probability
 Free
Probability (name refers to “free algebras”
meaning no strings attached)
 Gets us past Gaussian ensembles and Wishart
Matrices
27
The flipping coins example
 Classical
Probability: Coin: +1 or -1 with p=.5
50% 50%
50%
50%
y:
x:
-1.5
-1
-1
-0.5
0
0.5
1
1.5
-1.5
-1
-0.5
-1
+1
0
0.5
1
1.5
+1
x+y:
28
-2
0
+2
The flipping coins example
 Classical
Probability: Coin: +1 or -1 with p=.5
Free
50% 50%
50%
50%
eig(B):
eig(A):
-1.5
-1
-1
-0.5
0
0.5
1
1.5
+1
-1.5
-1
-0.5
-1
0
0.5
1
1.5
+1
eig(A+QBQ’):
29
-2
0
+2
From Finite to Infinite
30
From Finite to Infinite
 Gaussian (m=1)
31
From Finite to Infinite
 Gaussian (m=1)
Wiggly
32
From Finite to Infinite
 Gaussian (m=1)
Wiggly
Wigner
33
Semi-circle law for different betas
34
Open Questions
 Find
new applications of spacing (or other)
distributions
 Cleanest derivation of Tracy-Widom?
 “Finite” free probability?
 Finite meets infinite
 Muirhead
 Software
meets Tracy-Widom
for stochastic eigen-analysis
35
Matrix Statistics
•Many Worked out in 1950s and 1960s
•Muirhead “Aspects of Multivariate Statistics”
•Are two covariance matrices equal?
•Does my matrix equal this matrix?
•Is my matrix a multiple of the identity?
•Answers Require Computation of
•Hypergeometrics of Matrix Argument
•Long thought Computationally Intractible
36
The special functions of multivariate
statistics
Hypergeometric Functions of Matrix Argument
 β=2: Schur Polynomials
 Other values: Jack Polynomials
 Orthogonal Polynomials of Matrix Argument


Begin with w(x) on I
pκ(x)pλ(x) Δ(x)β ∏i w(xi)dxi = δκλ
 Jack Polynomials orthogonal for w=1 on the unit circle.
Analogs of xm
∫
 Plamen
Koev revolutionary computation
 Dumitriu’s MOPS symbolic package
37
Multivariate Orthogonal Polynomials
&
Hypergeometrics of Matrix Argument
important special functions of the 21st century
 Begin with w(x) on I
 The
pκ(x)pλ(x) Δ(x)β ∏i w(xi)dxi = δκλ
Jack Polynomials orthogonal for w=1
on the unit circle. Analogs of xm
∫
38
Smallest eigenvalue statistics
A=randn(m,n); hist(min(svd(A).^2))
39
Multivariate Hypergeometric Functions
40
Multivariate Hypergeometric Functions
41
Open Questions
 Find
new applications of spacing (or other)
distributions
 Cleanest derivation of Tracy-Widom?
 “Finite” free probability?
 Finite meets infinite
 Muirhead
 Software
meets Tracy-Widom
for stochastic eigen-analysis
42
Plamen Koev’s clever idea
43
Symbolic MOPS applications
A=randn(n); S=(A+A’)/2; trace(S^4)
det(S^3)
44
Mops (Ioana Dumitriu) Symbolic
45
Random Matrix Calculator
46
Encoding the semicircle
The algebraic secret
= sqrt(4-x2)/(2π)
 m(z) = (-z + i*sqrt(4-z2))/2
 L(m,z) ≡ m2+zm+1=0
 f(x)
m(z) = ∫ (x-z)-1f(x) dx
0.35
0.3
Probability
0.25
0.2
0.15
0.1
0.05
0
-3
-2
-1
0
x
1
2
Stieltjes transform
Practical encoding:
Polynomial L whose root m is Stieltjes transform
47
3
The Polynomial Method
 RMTool

http://arxiv.org/abs/math/0601389
 The polynomial method for random matrices
 Eigenvectors
as well!
48
Plus
1
0.9
0.35
0.8
0.3
0.7
0.6
Probability
0.2
+
0.15
0.1
0
-3
0.5
0.4
0.3
0.2
0.05
0.1
-2
-1
0
x
1
2
0
0
3
X =randn(n,n)
A=X+X’
m2+zm+1=0
0.5
1
1.5
x
2
2.5
3
Y=randn(n,2n)
B=Y*Y’
zm2+(2z-1)m+2=0
0.4
0.35
0.3
0.25
Probability
Probability
0.25
0.2
0.15
0.1
0.05
0
-2
-1
0
1
x
2
3
4
A+B
m3+(z+2)m2+(2z-1)m+2=0
49
Times
1
0.9
0.35
0.8
0.3
0.7
0.6
Probability
0.2
*
0.15
0.1
0
-3
0.5
0.4
0.3
0.2
0.05
0.1
-2
-1
0
x
1
2
0
0
3
X =randn(n,n)
A=X+X’
m2+zm+1=0
0.5
1
1.5
x
2
2.5
3
Y=randn(n,2n)
B=Y*Y’
zm2+(2z-1)m+2=0
0.7
0.4
0.6
0.35
0.3
0.5
Probability
Probability
Probability
0.25
0.25
0.4
0.2
0.3
0.15
0.2
0.1
0.1
0.05
00
-3-2
-2-1
-10
10
xx
21
3 2
A*B
m4z2-2m3z+m2+4mz+4=0
4 3
50
Open Questions
 Find
new applications of spacing (or other)
distributions
 Cleanest derivation of Tracy-Widom?
 “Finite” free probability?
 Finite meets infinite
 Muirhead
 Software
meets Tracy-Widom
for stochastic eigen-analysis
51
Matrix Versions of Classical Stats
Orthog
Matrix
MATLAB (A=randn(n) B=randn(n))
Hermite Sym Eig eig(A+A’)
Laguerre SVD
eig(A*A’)
Jacobi
GSVD
gsvd(A,B)
Fourier
Eig
[U,R]=qr(A+i*B)
Normal
Chisquared
Beta
52
The big structure
Orthog
Matrix
Weight
Stats
Hermite Sym Eig exp(-x2) Normal
Laguerre SVD
Jacobi
GSVD
xαe-x
Chisquared
(1-x)α x
Beta
β
(1+x)
Graph Theory SymSpace
Complete
Graph
Bipartite
Graph
noncompact
A,AI,AII
noncompact
AIII,BDI,CII
compact
Regular
Graph
A, AI, AII, C,
D, CI, D, DIII
compact
Fourier
Eig
eiθ
AIII, BDI,
53
CDI
Summary
 Stochastic
Eigenanalysis
 Emerging Techniques
 Open Problems
54
Download