skip to main content
US FlagAn official website of the United States government
dot gov icon
Official websites use .gov
A .gov website belongs to an official government organization in the United States.
https lock icon
Secure .gov websites use HTTPS
A lock ( lock ) or https:// means you've safely connected to the .gov website. Share sensitive information only on official, secure websites.


Title: Computing the Tracy-Widom Distribution for Arbitrary $\beta>0$
We compute the Tracy-Widom distribution describing the asymptotic distribution of the largest eigenvalue of a large random matrix by solving a boundary-value problem posed by Bloemendal in his Ph.D. Thesis (2011). The distribution is computed in two ways. The first method is a second-order finite-difference method and the second is a highly accurate Fourier spectral method. Since $$\beta$$ is simply a parameter in the boundary-value problem, any $$\beta> 0$$ can be used, in principle. The limiting distribution of the $$n$$th largest eigenvalue can also be computed. Our methods are available in the Julia package TracyWidomBeta.jl.  more » « less
Award ID(s):
2306438
PAR ID:
10503927
Author(s) / Creator(s):
;
Corporate Creator(s):
Publisher / Repository:
SIGMA
Date Published:
Journal Name:
Symmetry, Integrability and Geometry: Methods and Applications
ISSN:
1815-0659
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
More Like this
  1. null (Ed.)
    Recently Fraser and Schoen showed that the solution of a certain extremal Steklov eigenvalue problem on a compact surface with boundary can be used to generate a free boundary minimal surface, i.e. , a surface contained in the ball that has (i) zero mean curvature and (ii) meets the boundary of the ball orthogonally (doi: 10.1007/s00222-015-0604-x ). In this paper, we develop numerical methods that use this connection to realize free boundary minimal surfaces. Namely, on a compact surface, Σ, with genus γ and b boundary components, we maximize σ j (Σ, g )  L ( ∂ Σ, g ) over a class of smooth metrics, g , where σ j (Σ, g ) is the j th nonzero Steklov eigenvalue and L ( ∂ Σ, g ) is the length of ∂ Σ. Our numerical method involves (i) using conformal uniformization of multiply connected domains to avoid explicit parameterization for the class of metrics, (ii) accurately solving a boundary-weighted Steklov eigenvalue problem in multi-connected domains, and (iii) developing gradient-based optimization methods for this non-smooth eigenvalue optimization problem. For genus γ = 0 and b = 2, …, 9, 12, 15, 20 boundary components, we numerically solve the extremal Steklov problem for the first eigenvalue. The corresponding eigenfunctions generate a free boundary minimal surface, which we display in striking images. For higher eigenvalues, numerical evidence suggests that the maximizers are degenerate, but we compute local maximizers for the second and third eigenvalues with b = 2 boundary components and for the third and fifth eigenvalues with b = 3 boundary components. 
    more » « less
  2. The eigenvalue problem for second-order ordinary differential equation (SOODE) in a finite interval with the boundary conditions of the first, second and third kind is formulated. A computational scheme of the finite element method (FEM) is presented that allows the solution of the eigenvalue problem for a SOODE with the known potential function using the programs ODPEVP and KANTBP 4M that implement FEM in the Fortran and Maple, respectively. Numerical analysis of the solution using the KANTBP 4M program is performed for the SOODE exactly solvable eigenvalue problem. The discrete energy eigenvalues and eigenfunctions are analyzed for vibrational-rotational states of the diatomic beryllium molecule solving the eigenvalue problem for the SOODE numerically with the table-valued potential function approximated by interpolation Lagrange and Hermite polynomials and its asymptotic expansion for large values of the independent variable specified as Fortran function. The efficacy of the programs is demonstrated by the calculations of twelve eigenenergies of vibrational bound states with the required accuracy, in comparison with those known from literature, and the vibrational-rotational spectrum of the diatomic beryllium molecule. 
    more » « less
  3. null (Ed.)
    A method to compute sub-filter velocities due to shear induced instabilities on a liquid-gas interface for use in a dual scale LES-DNS model is presented. The method reconstructs the sub-filter velocity field as the sum of a prescribed base velocity profile and a perturbation velocity field determined by the Orr-Sommerfeld equations. The base velocity profile is approximated as an error function appropriately scaled with flow parameters, and the perturbation velocity field is computed by solving the Orr-Sommerfeld equations with appropriate boundary and interface conditions. The perturbation velocities of the Orr-Sommerfeld equations are expanded into Chebyshev polynomials to create a linear eigenvalue problem as outlined by Schmid and Henningson (2001). Finally the eigenvalue problem is solved using a standard linear algebra package and used to evaluate the perturbation velocities. The Chebyshev method is tested under a variety of flow parameters and initial interface disturbances. Results are presented and compared against prior literature and asymptotic solutions. 
    more » « less
  4. We study algorithms for approximating the spectral density (i.e., the eigenvalue distribution) of a symmetric matrix A ∈ ℝn×n that is accessed through matrix-vector product queries. Recent work has analyzed popular Krylov subspace methods for this problem, showing that they output an ∈ · || A||2 error approximation to the spectral density in the Wasserstein-1 metric using O (1/∈ ) matrix-vector products. By combining a previously studied Chebyshev polynomial moment matching method with a deflation step that approximately projects off the largest magnitude eigendirections of A before estimating the spectral density, we give an improved error bound of ∈ · σℓ (A) using O (ℓ log n + 1/∈ ) matrix-vector products, where σℓ (A) is the ℓth largest singular value of A. In the common case when A exhibits fast singular value decay and so σℓ (A) « ||A||2, our bound can be much stronger than prior work. We also show that it is nearly tight: any algorithm giving error ∈ · σℓ (A) must use Ω(ℓ + 1/∈ ) matrix-vector products. We further show that the popular Stochastic Lanczos Quadrature (SLQ) method essentially matches the above bound for any choice of parameter ℓ, even though SLQ itself is parameter-free and performs no explicit deflation. Our bound helps to explain the strong practical performance and observed ‘spectrum adaptive’ nature of SLQ, and motivates a simple variant of the method that achieves an even tighter error bound. Technically, our results require a careful analysis of how eigenvalues and eigenvectors are approximated by (block) Krylov subspace methods, which may be of independent interest. Our error bound for SLQ leverages an analysis of the method that views it as an implicit polynomial moment matching method, along with recent results on low-rank approximation with single-vector Krylov methods. We use these results to show that the method can perform ‘implicit deflation’ as part of moment matching. 
    more » « less
  5. Given a random n × n symmetric matrix 𝑾 drawn from the Gaussian orthogonal ensemble (GOE), we consider the problem of certifying an upper bound on the maximum value of the quadratic form 𝒙^⊤ 𝑾 𝒙 over all vectors 𝒙 in a constraint set 𝒮 ⊂ ℝⁿ. For a certain class of normalized constraint sets we show that, conditional on a certain complexity-theoretic conjecture, no polynomial-time algorithm can certify a better upper bound than the largest eigenvalue of 𝑾. A notable special case included in our results is the hypercube 𝒮 = {±1/√n}ⁿ, which corresponds to the problem of certifying bounds on the Hamiltonian of the Sherrington-Kirkpatrick spin glass model from statistical physics. Our results suggest a striking gap between optimization and certification for this problem. Our proof proceeds in two steps. First, we give a reduction from the detection problem in the negatively-spiked Wishart model to the above certification problem. We then give evidence that this Wishart detection problem is computationally hard below the classical spectral threshold, by showing that no low-degree polynomial can (in expectation) distinguish the spiked and unspiked models. This method for predicting computational thresholds was proposed in a sequence of recent works on the sum-of-squares hierarchy, and is conjectured to be correct for a large class of problems. Our proof can be seen as constructing a distribution over symmetric matrices that appears computationally indistinguishable from the GOE, yet is supported on matrices whose maximum quadratic form over 𝒙 ∈ 𝒮 is much larger than that of a GOE matrix. 
    more » « less