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Journal of the American Mathematical Society
Journal of the American Mathematical Society
ISSN 1088-6834(e) ISSN 0894-0347(p)

     

How many eigenvalues of a random matrix are real?

Author(s): Alan Edelman; Eric Kostlan; Michael Shub
Journal: J. Amer. Math. Soc. 7 (1994), 247-267.
MSC: Primary 60F99; Secondary 15A18, 62H99
MathSciNet review: 1231689
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Abstract | References | Similar articles | Additional information

Abstract: Let $ A$ be an $ n                 \times n$ matrix whose elements are independent random variables with standard normal distributions. As $ n                 \to \infty $, the expected number of real eigenvalues is asymptotic to $ \sqrt {2n/\pi } $. We obtain a closed form expression for the expected number of real eigenvalues for finite $ n$, and a formula for the density of a real eigenvalue for finite $ n$. Asymptotically, a real normalized eigenvalue $ \lambda /\sqrt n                 $ of such a random matrix is uniformly distributed on the interval [-1, 1]. Analogous, but strikingly different, results are presented for the real generalized eigenvalues. We report on numerical experiments confirming these results and suggesting that the assumption of normality is not important for the asymptotic results.


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Additional Information:

DOI: 10.1090/S0894-0347-1994-1231689-0
PII: S0894-0347-1994-1231689-0
Copyright of article: Copyright 1994, American Mathematical Society




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