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Random Matrices

Hsien-Ching Kao

Wolfram Technology Conference 2015
Conference location

Champaign, Illinois USA

Random matrix theory was introduced due to its profound applications in multivariate statistics, theoretical physics, and other disciplines. The matrix distributions being studied are universal and can be used for statistical simulation and the modeling of physical systems such as many-body quantum systems and chaotic dynamics. The Wolfram Language has the capabilities of sampling from a wide variety of matrix distributions and also computing the corresponding properties. The asymptotic distributions of the eigenvalues of the random matrices, which include Wigner semicircle distribution, Tracy-Widom distribution, and Marchenko-Pastur distribution are built-in supported.

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