On the numerical evaluation of distributions in random matrix theory: a review. (English) Zbl 1222.60013
Summary: We review and compare the numerical evaluation of those probability distributions in random matrix theory that are analytically represented in terms of Painlevé transcendents or Fredholm determinants. Concrete examples for the Gaussian and Laguerre (Wishart) \(\beta\)-ensembles and their various scaling limits are discussed. We argue that the numerical approximation of Fredholm determinants is the conceptually more simple and efficient one of the two approaches, easily generalized to the computation of joint probabilities and correlations. Having the means for extensive numerical explorations at hand, we discover new and surprising determinantal formulae for the \(k\)-th largest (or smallest) level in the edge scaling limits of the orthogonal and symplectic ensembles; formulae that in turn lead to improved numerical evaluations. The paper comes with a toolbox of Matlab functions that facilitates further mathematical experiments by the reader.
MSC:
60B20 | Random matrices (probabilistic aspects) |
15B52 | Random matrices (algebraic aspects) |
65R20 | Numerical methods for integral equations |
33E17 | Painlevé-type functions |
47G10 | Integral operators |