more about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/maida.pdf ·...
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More about extreme eigenvalues ofperturbed random matrices
F. Benaych-Georges – A. Guionnet – M. Maıda
LPMA, Univ Paris 6 – UMPA, ENS Lyon – LM Orsay, Univ Paris-Sud
Conference on Random Matrices – ANR GranMaChevaleret - June 2010
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Outline of the talk
I Presentation of the models
I Recall on almost sure convergence
I Fluctuations far from the bulk
I Fluctuations near the bulk
I Large deviation principle
![Page 3: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/3.jpg)
2
Outline of the talk
I Presentation of the models
I Recall on almost sure convergence
I Fluctuations far from the bulk
I Fluctuations near the bulk
I Large deviation principle
![Page 4: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/4.jpg)
2
Outline of the talk
I Presentation of the models
I Recall on almost sure convergence
I Fluctuations far from the bulk
I Fluctuations near the bulk
I Large deviation principle
![Page 5: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/5.jpg)
2
Outline of the talk
I Presentation of the models
I Recall on almost sure convergence
I Fluctuations far from the bulk
I Fluctuations near the bulk
I Large deviation principle
![Page 6: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/6.jpg)
2
Outline of the talk
I Presentation of the models
I Recall on almost sure convergence
I Fluctuations far from the bulk
I Fluctuations near the bulk
I Large deviation principle
![Page 7: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/7.jpg)
2
Outline of the talk
I Presentation of the models
I Recall on almost sure convergence
I Fluctuations far from the bulk
I Fluctuations near the bulk
I Large deviation principle
![Page 8: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/8.jpg)
3
Presentation of the models
Xn deterministic self-adjoint with eigenvalues λ1 > . . . > λn
(H1)1
n
n∑i=1
δλi −→ µX ,
λn1 −→ a, λn
n −→ b
with µX compactly supported, with edges of support a and b.
Rn finite rank perturbation
Xn = Xn + Rn = Xn +r∑
j=1
θiUni (Un
i )∗,
with√
nG ni vectors with iid entries with law ν satisfying log-Sobolev
(or Uni orthonormalized version of the vectors G n
i ) and
θ1 > · · · > θr0 > 0 > θr0+1 > · · · > θr .
![Page 9: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/9.jpg)
3
Presentation of the models
Xn deterministic self-adjoint with eigenvalues λ1 > . . . > λn
(H1)1
n
n∑i=1
δλi −→ µX ,
λn1 −→ a, λn
n −→ b
with µX compactly supported, with edges of support a and b.
Rn finite rank perturbation
Xn = Xn + Rn = Xn +r∑
j=1
θiUni (Un
i )∗,
with√
nG ni vectors with iid entries with law ν satisfying log-Sobolev
(or Uni orthonormalized version of the vectors G n
i ) and
θ1 > · · · > θr0 > 0 > θr0+1 > · · · > θr .
![Page 10: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/10.jpg)
3
Presentation of the models
Xn deterministic self-adjoint with eigenvalues λ1 > . . . > λn
(H1)1
n
n∑i=1
δλi −→ µX ,
λn1 −→ a, λn
n −→ b
with µX compactly supported,
with edges of support a and b.
Rn finite rank perturbation
Xn = Xn + Rn = Xn +r∑
j=1
θiUni (Un
i )∗,
with√
nG ni vectors with iid entries with law ν satisfying log-Sobolev
(or Uni orthonormalized version of the vectors G n
i ) and
θ1 > · · · > θr0 > 0 > θr0+1 > · · · > θr .
![Page 11: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/11.jpg)
3
Presentation of the models
Xn deterministic self-adjoint with eigenvalues λ1 > . . . > λn
(H1)1
n
n∑i=1
δλi −→ µX , λn1 −→ a, λn
n −→ b
with µX compactly supported, with edges of support a and b.
Rn finite rank perturbation
Xn = Xn + Rn = Xn +r∑
j=1
θiUni (Un
i )∗,
with√
nG ni vectors with iid entries with law ν satisfying log-Sobolev
(or Uni orthonormalized version of the vectors G n
i ) and
θ1 > · · · > θr0 > 0 > θr0+1 > · · · > θr .
![Page 12: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/12.jpg)
3
Presentation of the models
Xn deterministic self-adjoint with eigenvalues λ1 > . . . > λn
(H1)1
n
n∑i=1
δλi −→ µX , λn1 −→ a, λn
n −→ b
with µX compactly supported, with edges of support a and b.
Rn finite rank perturbation
Xn = Xn + Rn = Xn +r∑
j=1
θiUni (Un
i )∗,
with√
nG ni vectors with iid entries with law ν satisfying log-Sobolev
(or Uni orthonormalized version of the vectors G n
i ) and
θ1 > · · · > θr0 > 0 > θr0+1 > · · · > θr .
![Page 13: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/13.jpg)
3
Presentation of the models
Xn deterministic self-adjoint with eigenvalues λ1 > . . . > λn
(H1)1
n
n∑i=1
δλi −→ µX , λn1 −→ a, λn
n −→ b
with µX compactly supported, with edges of support a and b.
Rn finite rank perturbation
Xn = Xn + Rn = Xn +r∑
j=1
θiGni (G n
i )∗,
with√
nG ni vectors with iid entries with law ν satisfying log-Sobolev
(or Uni orthonormalized version of the vectors G n
i ) and
θ1 > · · · > θr0 > 0 > θr0+1 > · · · > θr .
![Page 14: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/14.jpg)
3
Presentation of the models
Xn deterministic self-adjoint with eigenvalues λ1 > . . . > λn
(H1)1
n
n∑i=1
δλi −→ µX , λn1 −→ a, λn
n −→ b
with µX compactly supported, with edges of support a and b.
Rn finite rank perturbation
Xn = Xn + Rn = Xn +r∑
j=1
θiUni (Un
i )∗,
with√
nG ni vectors with iid entries with law ν satisfying log-Sobolev
(or Uni orthonormalized version of the vectors G n
i )
and
θ1 > · · · > θr0 > 0 > θr0+1 > · · · > θr .
![Page 15: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/15.jpg)
3
Presentation of the models
Xn deterministic self-adjoint with eigenvalues λ1 > . . . > λn
(H1)1
n
n∑i=1
δλi −→ µX , λn1 −→ a, λn
n −→ b
with µX compactly supported, with edges of support a and b.
Rn finite rank perturbation
Xn = Xn + Rn = Xn +r∑
j=1
θiUni (Un
i )∗,
with√
nG ni vectors with iid entries with law ν satisfying log-Sobolev
(or Uni orthonormalized version of the vectors G n
i ) and
θ1 > · · · > θr0 > 0 > θr0+1 > · · · > θr .
![Page 16: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/16.jpg)
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Almost sure convergence of extremeeigenvalues
Main tool :
fn(z) = det([
G ni,j(z)
]ri,j=1− diag
(θ−1
1 , . . . , θ−1r
)),
withG n
i,j(z) = 〈Uni , (z − Xn)−1Un
j 〉.
Key point :
G ni,j(z) −→ 1i=jGµX
(z) := 1i=j
∫1
z − xdµX (x)
fn(z) −→r∏
i=1
(GµX
(z)− 1
θi
)
![Page 17: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/17.jpg)
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Almost sure convergence of extremeeigenvalues
Main tool :
fn(z) = det([
G ni,j(z)
]ri,j=1− diag
(θ−1
1 , . . . , θ−1r
)),
withG n
i,j(z) = 〈Uni , (z − Xn)−1Un
j 〉.
Key point :
G ni,j(z) −→ 1i=jGµX
(z) := 1i=j
∫1
z − xdµX (x)
fn(z) −→r∏
i=1
(GµX
(z)− 1
θi
)
![Page 18: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/18.jpg)
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Almost sure convergence of extremeeigenvalues
Main tool :
fn(z) = det([
G ni,j(z)
]ri,j=1− diag
(θ−1
1 , . . . , θ−1r
)),
withG n
i,j(z) = 〈Uni , (z − Xn)−1Un
j 〉.
Key point :
G ni,j(z) −→ 1i=jGµX
(z) := 1i=j
∫1
z − xdµX (x)
fn(z) −→r∏
i=1
(GµX
(z)− 1
θi
)
![Page 19: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/19.jpg)
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Almost sure convergence of extremeeigenvalues
Main tool :
fn(z) = det([
G ni,j(z)
]ri,j=1− diag
(θ−1
1 , . . . , θ−1r
)),
withG n
i,j(z) = 〈Uni , (z − Xn)−1Un
j 〉.
Key point :
G ni,j(z) −→ 1i=jGµX
(z) := 1i=j
∫1
z − xdµX (x)
fn(z) −→r∏
i=1
(GµX
(z)− 1
θi
)
![Page 20: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/20.jpg)
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Almost sure convergence of extremeeigenvalues
We define
ρθ :=
G−1µX
(1/θ) if θ ∈ (−∞, θ) ∪ (θ,+∞),
a if θ ∈ [θ, 0)
b if θ ∈ (0, θ]
and almost sure convergence of the extreme eigenvalues is governed by
TheoremFor all i ∈ 1, . . . , r0 we have
λni
a.s.−→ ρθi
and for all i > r0,λn
ia.s.−→ b.
![Page 21: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/21.jpg)
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Almost sure convergence of extremeeigenvalues
We define
ρθ :=
G−1µX
(1/θ) if θ ∈ (−∞, θ) ∪ (θ,+∞),
a if θ ∈ [θ, 0)
b if θ ∈ (0, θ]
and almost sure convergence of the extreme eigenvalues is governed by
TheoremFor all i ∈ 1, . . . , r0 we have
λni
a.s.−→ ρθi
and for all i > r0,λn
ia.s.−→ b.
![Page 22: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/22.jpg)
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Almost sure convergence of extremeeigenvalues
We define
ρθ :=
G−1µX
(1/θ) if θ ∈ (−∞, θ) ∪ (θ,+∞),
a if θ ∈ [θ, 0)
b if θ ∈ (0, θ]
and almost sure convergence of the extreme eigenvalues is governed by
TheoremFor all i ∈ 1, . . . , r0 we have
λni
a.s.−→ ρθi
and for all i > r0,λn
ia.s.−→ b.
![Page 23: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/23.jpg)
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Gaussian fluctuations outside the bulk
Let α1 > · · · > αq > 0 be the different values of the θi ’s such thatρθi > b.For each j , let Ij be the set of indices i so that θi = αj . Set kj = |Ij |.
TheoremThe random vector (
γi :=√
n(λni − ρθi ), i ∈ Ij
)16j6q
converges in law to the eigenvalues of (cjMj)16j6q with independentmatrices Mj ∈GOE(kj) (or Mj + Dj depending on κ4(ν)).
![Page 24: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/24.jpg)
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Gaussian fluctuations outside the bulk
Let α1 > · · · > αq > 0 be the different values of the θi ’s such thatρθi > b.
For each j , let Ij be the set of indices i so that θi = αj . Set kj = |Ij |.
TheoremThe random vector (
γi :=√
n(λni − ρθi ), i ∈ Ij
)16j6q
converges in law to the eigenvalues of (cjMj)16j6q with independentmatrices Mj ∈GOE(kj) (or Mj + Dj depending on κ4(ν)).
![Page 25: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/25.jpg)
6
Gaussian fluctuations outside the bulk
Let α1 > · · · > αq > 0 be the different values of the θi ’s such thatρθi > b.For each j , let Ij be the set of indices i so that θi = αj . Set kj = |Ij |.
TheoremThe random vector (
γi :=√
n(λni − ρθi ), i ∈ Ij
)16j6q
converges in law to the eigenvalues of (cjMj)16j6q with independentmatrices Mj ∈GOE(kj) (or Mj + Dj depending on κ4(ν)).
![Page 26: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/26.jpg)
6
Gaussian fluctuations outside the bulk
Let α1 > · · · > αq > 0 be the different values of the θi ’s such thatρθi > b.For each j , let Ij be the set of indices i so that θi = αj . Set kj = |Ij |.
TheoremThe random vector (
γi :=√
n(λni − ρθi ), i ∈ Ij
)16j6q
converges in law to the eigenvalues of (cjMj)16j6q with independentmatrices Mj ∈GOE(kj) (or Mj + Dj depending on κ4(ν)).
![Page 27: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/27.jpg)
6
Gaussian fluctuations outside the bulk
Let α1 > · · · > αq > 0 be the different values of the θi ’s such thatρθi > b.For each j , let Ij be the set of indices i so that θi = αj . Set kj = |Ij |.
TheoremThe random vector (
γi :=√
n(λni − ρθi ), i ∈ Ij
)16j6q
converges in law to the eigenvalues of (cjMj)16j6q with independentmatrices Mj ∈GOE(kj)
(or Mj + Dj depending on κ4(ν)).
![Page 28: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/28.jpg)
6
Gaussian fluctuations outside the bulk
Let α1 > · · · > αq > 0 be the different values of the θi ’s such thatρθi > b.For each j , let Ij be the set of indices i so that θi = αj . Set kj = |Ij |.
TheoremThe random vector (
γi :=√
n(λni − ρθi ), i ∈ Ij
)16j6q
converges in law to the eigenvalues of (cjMj)16j6q with independentmatrices Mj ∈GOE(kj) (or Mj + Dj depending on κ4(ν)).
![Page 29: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/29.jpg)
7
Fluctuations outside the bulk : sketch of proof
We have to study, for ρn := ρα + x√n,
Mni,j(α, x) :=
√n
(G n
i,j(ρn)− 1
α1i=j
)
=: Mn,1i,j (x) + Mn,2
i,j (x) + Mn,3i,j (x)
where
Mn,1i,j (x) :=
√n
(〈G n
i , (ρn − Xn)−1G nj 〉 − 1i=j
1
ntr((ρn − Xn)−1)
),
Mn,2i,j (x) := 1i=j
√n
(1
ntr((ρn − Xn)−1)− 1
ntr((ρα − Xn)−1)
),
Mn,3i,j (x) := 1i=j
√n
(1
ntr((ρα − Xn)−1))− GµX
(ρα)
).
![Page 30: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/30.jpg)
7
Fluctuations outside the bulk : sketch of proof
We have to study, for ρn := ρα + x√n,
Mni,j(α, x) :=
√n
(G n
i,j(ρn)− 1
α1i=j
)
=: Mn,1i,j (x) + Mn,2
i,j (x) + Mn,3i,j (x)
where
Mn,1i,j (x) :=
√n
(〈G n
i , (ρn − Xn)−1G nj 〉 − 1i=j
1
ntr((ρn − Xn)−1)
),
Mn,2i,j (x) := 1i=j
√n
(1
ntr((ρn − Xn)−1)− 1
ntr((ρα − Xn)−1)
),
Mn,3i,j (x) := 1i=j
√n
(1
ntr((ρα − Xn)−1))− GµX
(ρα)
).
![Page 31: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/31.jpg)
7
Fluctuations outside the bulk : sketch of proof
We have to study, for ρn := ρα + x√n,
Mni,j(α, x) :=
√n
(G n
i,j(ρn)− 1
α1i=j
)
=: Mn,1i,j (x) + Mn,2
i,j (x) + Mn,3i,j (x)
where
Mn,1i,j (x) :=
√n
(〈G n
i , (ρn − Xn)−1G nj 〉 − 1i=j
1
ntr((ρn − Xn)−1)
),
Mn,2i,j (x) := 1i=j
√n
(1
ntr((ρn − Xn)−1)− 1
ntr((ρα − Xn)−1)
),
Mn,3i,j (x) := 1i=j
√n
(1
ntr((ρα − Xn)−1))− GµX
(ρα)
).
![Page 32: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/32.jpg)
7
Fluctuations outside the bulk : sketch of proof
We have to study, for ρn := ρα + x√n,
Mni,j(α, x) :=
√n
(G n
i,j(ρn)− 1
α1i=j
)=: Mn,1
i,j (x)
+ Mn,2i,j (x) + Mn,3
i,j (x)
where
Mn,1i,j (x) :=
√n
(〈G n
i , (ρn − Xn)−1G nj 〉 − 1i=j
1
ntr((ρn − Xn)−1)
),
Mn,2i,j (x) := 1i=j
√n
(1
ntr((ρn − Xn)−1)− 1
ntr((ρα − Xn)−1)
),
Mn,3i,j (x) := 1i=j
√n
(1
ntr((ρα − Xn)−1))− GµX
(ρα)
).
![Page 33: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/33.jpg)
7
Fluctuations outside the bulk : sketch of proof
We have to study, for ρn := ρα + x√n,
Mni,j(α, x) :=
√n
(G n
i,j(ρn)− 1
α1i=j
)=: Mn,1
i,j (x) + Mn,2i,j (x)
+ Mn,3i,j (x)
where
Mn,1i,j (x) :=
√n
(〈G n
i , (ρn − Xn)−1G nj 〉 − 1i=j
1
ntr((ρn − Xn)−1)
),
Mn,2i,j (x) := 1i=j
√n
(1
ntr((ρn − Xn)−1)− 1
ntr((ρα − Xn)−1)
),
Mn,3i,j (x) := 1i=j
√n
(1
ntr((ρα − Xn)−1))− GµX
(ρα)
).
![Page 34: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/34.jpg)
7
Fluctuations outside the bulk : sketch of proof
We have to study, for ρn := ρα + x√n,
Mni,j(α, x) :=
√n
(G n
i,j(ρn)− 1
α1i=j
)=: Mn,1
i,j (x) + Mn,2i,j (x) + Mn,3
i,j (x)
where
Mn,1i,j (x) :=
√n
(〈G n
i , (ρn − Xn)−1G nj 〉 − 1i=j
1
ntr((ρn − Xn)−1)
),
Mn,2i,j (x) := 1i=j
√n
(1
ntr((ρn − Xn)−1)− 1
ntr((ρα − Xn)−1)
),
Mn,3i,j (x) := 1i=j
√n
(1
ntr((ρα − Xn)−1))− GµX
(ρα)
).
![Page 35: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/35.jpg)
8
Non universality of the fluctuations near thebulk
TheoremUnder additional hypotheses, if none of the θi ’s is critical, withoverwhelming probability, the eigenvalues of Xn converging to a or b areat distance at most n−1+ε of the extreme eigenvalues of Xn, for anyε > 0.
Rough explanation : for fixed values of the θi ’s, we have a repulsionphenomenon from the eigenvalues of Xn at the edge.
I If the repulsion is very strong, the extreme ev of Xn converge awayfrom the bulk.
I If the repulsion is milder, the extreme ev of Xn stick to the edge ofthe bulk.
I If the repulsion is even milder, the extreme ev of Xn stick to theextreme ev of Xn even at the level of fluctuations.
![Page 36: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/36.jpg)
8
Non universality of the fluctuations near thebulk
TheoremUnder additional hypotheses, if none of the θi ’s is critical,
withoverwhelming probability, the eigenvalues of Xn converging to a or b areat distance at most n−1+ε of the extreme eigenvalues of Xn, for anyε > 0.
Rough explanation : for fixed values of the θi ’s, we have a repulsionphenomenon from the eigenvalues of Xn at the edge.
I If the repulsion is very strong, the extreme ev of Xn converge awayfrom the bulk.
I If the repulsion is milder, the extreme ev of Xn stick to the edge ofthe bulk.
I If the repulsion is even milder, the extreme ev of Xn stick to theextreme ev of Xn even at the level of fluctuations.
![Page 37: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/37.jpg)
8
Non universality of the fluctuations near thebulk
TheoremUnder additional hypotheses, if none of the θi ’s is critical, withoverwhelming probability, the eigenvalues of Xn converging to a or b areat distance at most n−1+ε of the extreme eigenvalues of Xn, for anyε > 0.
Rough explanation : for fixed values of the θi ’s, we have a repulsionphenomenon from the eigenvalues of Xn at the edge.
I If the repulsion is very strong, the extreme ev of Xn converge awayfrom the bulk.
I If the repulsion is milder, the extreme ev of Xn stick to the edge ofthe bulk.
I If the repulsion is even milder, the extreme ev of Xn stick to theextreme ev of Xn even at the level of fluctuations.
![Page 38: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/38.jpg)
8
Non universality of the fluctuations near thebulk
TheoremUnder additional hypotheses, if none of the θi ’s is critical, withoverwhelming probability, the eigenvalues of Xn converging to a or b areat distance at most n−1+ε of the extreme eigenvalues of Xn, for anyε > 0.
Rough explanation : for fixed values of the θi ’s,
we have a repulsionphenomenon from the eigenvalues of Xn at the edge.
I If the repulsion is very strong, the extreme ev of Xn converge awayfrom the bulk.
I If the repulsion is milder, the extreme ev of Xn stick to the edge ofthe bulk.
I If the repulsion is even milder, the extreme ev of Xn stick to theextreme ev of Xn even at the level of fluctuations.
![Page 39: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/39.jpg)
8
Non universality of the fluctuations near thebulk
TheoremUnder additional hypotheses, if none of the θi ’s is critical, withoverwhelming probability, the eigenvalues of Xn converging to a or b areat distance at most n−1+ε of the extreme eigenvalues of Xn, for anyε > 0.
Rough explanation : for fixed values of the θi ’s, we have a repulsionphenomenon from the eigenvalues of Xn at the edge.
I If the repulsion is very strong, the extreme ev of Xn converge awayfrom the bulk.
I If the repulsion is milder, the extreme ev of Xn stick to the edge ofthe bulk.
I If the repulsion is even milder, the extreme ev of Xn stick to theextreme ev of Xn even at the level of fluctuations.
![Page 40: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/40.jpg)
8
Non universality of the fluctuations near thebulk
TheoremUnder additional hypotheses, if none of the θi ’s is critical, withoverwhelming probability, the eigenvalues of Xn converging to a or b areat distance at most n−1+ε of the extreme eigenvalues of Xn, for anyε > 0.
Rough explanation : for fixed values of the θi ’s, we have a repulsionphenomenon from the eigenvalues of Xn at the edge.
I If the repulsion is very strong, the extreme ev of Xn converge awayfrom the bulk.
I If the repulsion is milder, the extreme ev of Xn stick to the edge ofthe bulk.
I If the repulsion is even milder, the extreme ev of Xn stick to theextreme ev of Xn even at the level of fluctuations.
![Page 41: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/41.jpg)
8
Non universality of the fluctuations near thebulk
TheoremUnder additional hypotheses, if none of the θi ’s is critical, withoverwhelming probability, the eigenvalues of Xn converging to a or b areat distance at most n−1+ε of the extreme eigenvalues of Xn, for anyε > 0.
Rough explanation : for fixed values of the θi ’s, we have a repulsionphenomenon from the eigenvalues of Xn at the edge.
I If the repulsion is very strong, the extreme ev of Xn converge awayfrom the bulk.
I If the repulsion is milder, the extreme ev of Xn stick to the edge ofthe bulk.
I If the repulsion is even milder, the extreme ev of Xn stick to theextreme ev of Xn even at the level of fluctuations.
![Page 42: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/42.jpg)
8
Non universality of the fluctuations near thebulk
TheoremUnder additional hypotheses, if none of the θi ’s is critical, withoverwhelming probability, the eigenvalues of Xn converging to a or b areat distance at most n−1+ε of the extreme eigenvalues of Xn, for anyε > 0.
Rough explanation : for fixed values of the θi ’s, we have a repulsionphenomenon from the eigenvalues of Xn at the edge.
I If the repulsion is very strong, the extreme ev of Xn converge awayfrom the bulk.
I If the repulsion is milder, the extreme ev of Xn stick to the edge ofthe bulk.
I If the repulsion is even milder, the extreme ev of Xn stick to theextreme ev of Xn even at the level of fluctuations.
![Page 43: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/43.jpg)
9
Fluctuations near the bulk : precise statement
If none of the θi ’s is critical, if there exists mn = O(nα) with α ∈ (0, 1),η, η′ > 0 such that for any δ > 0,
n∑i=mn+1
1
(λr − λi )26 n2−η,
n∑i=mn+1
1
(λr − λi )46 n4−η′
andn∑
i=mn+1
1
λr − λi6
1
θ+ δ
then if Ib is the set of indices for which ρθi = b, for any α′ > α, withoverwhelming probability,
maxi∈Ib
mink|λi − λk | 6 n−1+α′ .
![Page 44: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/44.jpg)
9
Fluctuations near the bulk : precise statement
If none of the θi ’s is critical,
if there exists mn = O(nα) with α ∈ (0, 1),η, η′ > 0 such that for any δ > 0,
n∑i=mn+1
1
(λr − λi )26 n2−η,
n∑i=mn+1
1
(λr − λi )46 n4−η′
andn∑
i=mn+1
1
λr − λi6
1
θ+ δ
then if Ib is the set of indices for which ρθi = b, for any α′ > α, withoverwhelming probability,
maxi∈Ib
mink|λi − λk | 6 n−1+α′ .
![Page 45: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/45.jpg)
9
Fluctuations near the bulk : precise statement
If none of the θi ’s is critical, if there exists mn = O(nα) with α ∈ (0, 1),η, η′ > 0 such that for any δ > 0,
n∑i=mn+1
1
(λr − λi )26 n2−η,
n∑i=mn+1
1
(λr − λi )46 n4−η′
andn∑
i=mn+1
1
λr − λi6
1
θ+ δ
then if Ib is the set of indices for which ρθi = b, for any α′ > α, withoverwhelming probability,
maxi∈Ib
mink|λi − λk | 6 n−1+α′ .
![Page 46: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/46.jpg)
9
Fluctuations near the bulk : precise statement
If none of the θi ’s is critical, if there exists mn = O(nα) with α ∈ (0, 1),η, η′ > 0 such that for any δ > 0,
n∑i=mn+1
1
(λr − λi )26 n2−η,
n∑i=mn+1
1
(λr − λi )46 n4−η′
andn∑
i=mn+1
1
λr − λi6
1
θ+ δ
then if Ib is the set of indices for which ρθi = b, for any α′ > α, withoverwhelming probability,
maxi∈Ib
mink|λi − λk | 6 n−1+α′ .
![Page 47: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/47.jpg)
10
Fluctuations near the bulk : sketch of proof
On the set Ωn := z/mink |z − λk | > n−1+α′, for i 6= j , there is k > 0,so that
supz∈Ωn
|G ni,j | 6 n−κ
with overwhelming probability.Therefore
fn(z) =r∏
i=1
(G n
i,i −1
θi
)+ O(n−κ)
but with overwhelming probability,
supz∈Ωn
max16i6r
G ni,i 6
1
θ+ δ
so that
G ni,i −
1
θi6
1
θ− 1
θi+ δ < 0.
![Page 48: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/48.jpg)
10
Fluctuations near the bulk : sketch of proof
On the set Ωn := z/mink |z − λk | > n−1+α′,
for i 6= j , there is k > 0,so that
supz∈Ωn
|G ni,j | 6 n−κ
with overwhelming probability.Therefore
fn(z) =r∏
i=1
(G n
i,i −1
θi
)+ O(n−κ)
but with overwhelming probability,
supz∈Ωn
max16i6r
G ni,i 6
1
θ+ δ
so that
G ni,i −
1
θi6
1
θ− 1
θi+ δ < 0.
![Page 49: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/49.jpg)
10
Fluctuations near the bulk : sketch of proof
On the set Ωn := z/mink |z − λk | > n−1+α′, for i 6= j , there is k > 0,so that
supz∈Ωn
|G ni,j | 6 n−κ
with overwhelming probability.
Therefore
fn(z) =r∏
i=1
(G n
i,i −1
θi
)+ O(n−κ)
but with overwhelming probability,
supz∈Ωn
max16i6r
G ni,i 6
1
θ+ δ
so that
G ni,i −
1
θi6
1
θ− 1
θi+ δ < 0.
![Page 50: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/50.jpg)
10
Fluctuations near the bulk : sketch of proof
On the set Ωn := z/mink |z − λk | > n−1+α′, for i 6= j , there is k > 0,so that
supz∈Ωn
|G ni,j | 6 n−κ
with overwhelming probability.Therefore
fn(z) =r∏
i=1
(G n
i,i −1
θi
)+ O(n−κ)
but with overwhelming probability,
supz∈Ωn
max16i6r
G ni,i 6
1
θ+ δ
so that
G ni,i −
1
θi6
1
θ− 1
θi+ δ < 0.
![Page 51: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/51.jpg)
10
Fluctuations near the bulk : sketch of proof
On the set Ωn := z/mink |z − λk | > n−1+α′, for i 6= j , there is k > 0,so that
supz∈Ωn
|G ni,j | 6 n−κ
with overwhelming probability.Therefore
fn(z) =r∏
i=1
(G n
i,i −1
θi
)+ O(n−κ)
but with overwhelming probability,
supz∈Ωn
max16i6r
G ni,i 6
1
θ+ δ
so that
G ni,i −
1
θi6
1
θ− 1
θi+ δ < 0.
![Page 52: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/52.jpg)
10
Fluctuations near the bulk : sketch of proof
On the set Ωn := z/mink |z − λk | > n−1+α′, for i 6= j , there is k > 0,so that
supz∈Ωn
|G ni,j | 6 n−κ
with overwhelming probability.Therefore
fn(z) =r∏
i=1
(G n
i,i −1
θi
)+ O(n−κ)
but with overwhelming probability,
supz∈Ωn
max16i6r
G ni,i 6
1
θ+ δ
so that
G ni,i −
1
θi6
1
θ− 1
θi+ δ < 0.
![Page 53: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/53.jpg)
11
Possible generalisations
If the hypotheses hold in probability and Xn is independent of theperturbation, the theorems still hold.
Consequences :
I Wigner, Wishart matrices with entries having a fourth moment(some band Hermitian matrices, non-white Wishart) : Gaussianfluctuations away from the bulkCf Peche, Feral-Peche, Capitaine-Donati-Feral
I GUE, GOE, LUE, LOE : inheritance of Tracy-Widom laws.
Our perturbation has delocalized eigenvectors.
Open question : fluctuations for critical θi ’s.
![Page 54: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/54.jpg)
11
Possible generalisations
If the hypotheses hold in probability and Xn is independent of theperturbation, the theorems still hold.
Consequences :
I Wigner, Wishart matrices with entries having a fourth moment(some band Hermitian matrices, non-white Wishart) : Gaussianfluctuations away from the bulkCf Peche, Feral-Peche, Capitaine-Donati-Feral
I GUE, GOE, LUE, LOE : inheritance of Tracy-Widom laws.
Our perturbation has delocalized eigenvectors.
Open question : fluctuations for critical θi ’s.
![Page 55: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/55.jpg)
11
Possible generalisations
If the hypotheses hold in probability and Xn is independent of theperturbation, the theorems still hold.
Consequences :
I Wigner, Wishart matrices with entries having a fourth moment(some band Hermitian matrices, non-white Wishart) : Gaussianfluctuations away from the bulk
Cf Peche, Feral-Peche, Capitaine-Donati-Feral
I GUE, GOE, LUE, LOE : inheritance of Tracy-Widom laws.
Our perturbation has delocalized eigenvectors.
Open question : fluctuations for critical θi ’s.
![Page 56: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/56.jpg)
11
Possible generalisations
If the hypotheses hold in probability and Xn is independent of theperturbation, the theorems still hold.
Consequences :
I Wigner, Wishart matrices with entries having a fourth moment(some band Hermitian matrices, non-white Wishart) : Gaussianfluctuations away from the bulk
Cf Peche, Feral-Peche, Capitaine-Donati-Feral
I GUE, GOE, LUE, LOE : inheritance of Tracy-Widom laws.
Our perturbation has delocalized eigenvectors.
Open question : fluctuations for critical θi ’s.
![Page 57: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/57.jpg)
11
Possible generalisations
If the hypotheses hold in probability and Xn is independent of theperturbation, the theorems still hold.
Consequences :
I Wigner, Wishart matrices with entries having a fourth moment(some band Hermitian matrices, non-white Wishart) : Gaussianfluctuations away from the bulkCf Peche, Feral-Peche, Capitaine-Donati-Feral
I GUE, GOE, LUE, LOE : inheritance of Tracy-Widom laws.
Our perturbation has delocalized eigenvectors.
Open question : fluctuations for critical θi ’s.
![Page 58: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/58.jpg)
11
Possible generalisations
If the hypotheses hold in probability and Xn is independent of theperturbation, the theorems still hold.
Consequences :
I Wigner, Wishart matrices with entries having a fourth moment(some band Hermitian matrices, non-white Wishart) : Gaussianfluctuations away from the bulkCf Peche, Feral-Peche, Capitaine-Donati-Feral
I GUE, GOE, LUE, LOE : inheritance of Tracy-Widom laws.
Our perturbation has delocalized eigenvectors.
Open question : fluctuations for critical θi ’s.
![Page 59: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/59.jpg)
11
Possible generalisations
If the hypotheses hold in probability and Xn is independent of theperturbation, the theorems still hold.
Consequences :
I Wigner, Wishart matrices with entries having a fourth moment(some band Hermitian matrices, non-white Wishart) : Gaussianfluctuations away from the bulkCf Peche, Feral-Peche, Capitaine-Donati-Feral
I GUE, GOE, LUE, LOE : inheritance of Tracy-Widom laws.
Our perturbation has delocalized eigenvectors.
Open question : fluctuations for critical θi ’s.
![Page 60: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/60.jpg)
11
Possible generalisations
If the hypotheses hold in probability and Xn is independent of theperturbation, the theorems still hold.
Consequences :
I Wigner, Wishart matrices with entries having a fourth moment(some band Hermitian matrices, non-white Wishart) : Gaussianfluctuations away from the bulkCf Peche, Feral-Peche, Capitaine-Donati-Feral
I GUE, GOE, LUE, LOE : inheritance of Tracy-Widom laws.
Our perturbation has delocalized eigenvectors.
Open question : fluctuations for critical θi ’s.
![Page 61: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/61.jpg)
12
Large deviation principle
Consider the following model :Xn diagonal, deterministic, satisfying (H1).
G = (g1, . . . , gr ) a random vector satisfying that E(eαP|g2
i |) <∞ forsome α > 0 (and not charging an hyperplane)G n
i random vector whose entries are 1/√
n times independent copies of gi
and Uni obtained by orthonormalization.
We can find Hn having the same zeroes as fn and depending polynomiallyon the entries of K n(z) and C n
(K n(z))ij :=1
n
n∑k=1
gi (k)gj(k)
z − λkand (C n)ij :=
1
n
n∑k=1
gi (k)gj(k).
TheoremThe law of the r0 largest eigenvalues of Xn satisfies a LDP in the scale nwith a good rate function. It has a unique minimizer towards which wehave almost sure convergence.
Remark : minimizers depend on G only through its covariance matrix.
![Page 62: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/62.jpg)
12
Large deviation principle
Consider the following model :Xn diagonal, deterministic, satisfying (H1).
G = (g1, . . . , gr ) a random vector satisfying that E(eαP|g2
i |) <∞ forsome α > 0 (and not charging an hyperplane)G n
i random vector whose entries are 1/√
n times independent copies of gi
and Uni obtained by orthonormalization.
We can find Hn having the same zeroes as fn and depending polynomiallyon the entries of K n(z) and C n
(K n(z))ij :=1
n
n∑k=1
gi (k)gj(k)
z − λkand (C n)ij :=
1
n
n∑k=1
gi (k)gj(k).
TheoremThe law of the r0 largest eigenvalues of Xn satisfies a LDP in the scale nwith a good rate function. It has a unique minimizer towards which wehave almost sure convergence.
Remark : minimizers depend on G only through its covariance matrix.
![Page 63: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/63.jpg)
12
Large deviation principle
Consider the following model :Xn diagonal, deterministic, satisfying (H1).
G = (g1, . . . , gr ) a random vector satisfying that E(eαP|g2
i |) <∞ forsome α > 0 (and not charging an hyperplane)
G ni random vector whose entries are 1/
√n times independent copies of gi
and Uni obtained by orthonormalization.
We can find Hn having the same zeroes as fn and depending polynomiallyon the entries of K n(z) and C n
(K n(z))ij :=1
n
n∑k=1
gi (k)gj(k)
z − λkand (C n)ij :=
1
n
n∑k=1
gi (k)gj(k).
TheoremThe law of the r0 largest eigenvalues of Xn satisfies a LDP in the scale nwith a good rate function. It has a unique minimizer towards which wehave almost sure convergence.
Remark : minimizers depend on G only through its covariance matrix.
![Page 64: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/64.jpg)
12
Large deviation principle
Consider the following model :Xn diagonal, deterministic, satisfying (H1).
G = (g1, . . . , gr ) a random vector satisfying that E(eαP|g2
i |) <∞ forsome α > 0 (and not charging an hyperplane)G n
i random vector whose entries are 1/√
n times independent copies of gi
and Uni obtained by orthonormalization.
We can find Hn having the same zeroes as fn and depending polynomiallyon the entries of K n(z) and C n
(K n(z))ij :=1
n
n∑k=1
gi (k)gj(k)
z − λkand (C n)ij :=
1
n
n∑k=1
gi (k)gj(k).
TheoremThe law of the r0 largest eigenvalues of Xn satisfies a LDP in the scale nwith a good rate function. It has a unique minimizer towards which wehave almost sure convergence.
Remark : minimizers depend on G only through its covariance matrix.
![Page 65: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/65.jpg)
12
Large deviation principle
Consider the following model :Xn diagonal, deterministic, satisfying (H1).
G = (g1, . . . , gr ) a random vector satisfying that E(eαP|g2
i |) <∞ forsome α > 0 (and not charging an hyperplane)G n
i random vector whose entries are 1/√
n times independent copies of gi
and Uni obtained by orthonormalization.
We can find Hn having the same zeroes as fn and depending polynomiallyon the entries of K n(z) and C n
(K n(z))ij :=1
n
n∑k=1
gi (k)gj(k)
z − λkand (C n)ij :=
1
n
n∑k=1
gi (k)gj(k).
TheoremThe law of the r0 largest eigenvalues of Xn satisfies a LDP in the scale nwith a good rate function. It has a unique minimizer towards which wehave almost sure convergence.
Remark : minimizers depend on G only through its covariance matrix.
![Page 66: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/66.jpg)
12
Large deviation principle
Consider the following model :Xn diagonal, deterministic, satisfying (H1).
G = (g1, . . . , gr ) a random vector satisfying that E(eαP|g2
i |) <∞ forsome α > 0 (and not charging an hyperplane)G n
i random vector whose entries are 1/√
n times independent copies of gi
and Uni obtained by orthonormalization.
In the iid case, fn depends polynomially on the entries of K n(z) with
(K n(z))ij :=1
n
n∑k=1
gi (k)gj(k)
z − λk
TheoremThe law of the r0 largest eigenvalues of Xn satisfies a LDP in the scale nwith a good rate function. It has a unique minimizer towards which wehave almost sure convergence.
Remark : minimizers depend on G only through its covariance matrix.
![Page 67: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/67.jpg)
12
Large deviation principle
Consider the following model :Xn diagonal, deterministic, satisfying (H1).
G = (g1, . . . , gr ) a random vector satisfying that E(eαP|g2
i |) <∞ forsome α > 0 (and not charging an hyperplane)G n
i random vector whose entries are 1/√
n times independent copies of gi
and Uni obtained by orthonormalization.
We can find Hn having the same zeroes as fn and depending polynomiallyon the entries of K n(z) and C n
(K n(z))ij :=1
n
n∑k=1
gi (k)gj(k)
z − λkand (C n)ij :=
1
n
n∑k=1
gi (k)gj(k).
TheoremThe law of the r0 largest eigenvalues of Xn satisfies a LDP in the scale nwith a good rate function. It has a unique minimizer towards which wehave almost sure convergence.
Remark : minimizers depend on G only through its covariance matrix.
![Page 68: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/68.jpg)
12
Large deviation principle
Consider the following model :Xn diagonal, deterministic, satisfying (H1).
G = (g1, . . . , gr ) a random vector satisfying that E(eαP|g2
i |) <∞ forsome α > 0 (and not charging an hyperplane)G n
i random vector whose entries are 1/√
n times independent copies of gi
and Uni obtained by orthonormalization.
We can find Hn having the same zeroes as fn and depending polynomiallyon the entries of K n(z) and C n
(K n(z))ij :=1
n
n∑k=1
gi (k)gj(k)
z − λkand (C n)ij :=
1
n
n∑k=1
gi (k)gj(k).
TheoremThe law of the r0 largest eigenvalues of Xn satisfies a LDP in the scale nwith a good rate function.
It has a unique minimizer towards which wehave almost sure convergence.
Remark : minimizers depend on G only through its covariance matrix.
![Page 69: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/69.jpg)
12
Large deviation principle
Consider the following model :Xn diagonal, deterministic, satisfying (H1).
G = (g1, . . . , gr ) a random vector satisfying that E(eαP|g2
i |) <∞ forsome α > 0 (and not charging an hyperplane)G n
i random vector whose entries are 1/√
n times independent copies of gi
and Uni obtained by orthonormalization.
We can find Hn having the same zeroes as fn and depending polynomiallyon the entries of K n(z) and C n
(K n(z))ij :=1
n
n∑k=1
gi (k)gj(k)
z − λkand (C n)ij :=
1
n
n∑k=1
gi (k)gj(k).
TheoremThe law of the r0 largest eigenvalues of Xn satisfies a LDP in the scale nwith a good rate function. It has a unique minimizer towards which wehave almost sure convergence.
Remark : minimizers depend on G only through its covariance matrix.
![Page 70: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/70.jpg)
12
Large deviation principle
Consider the following model :Xn diagonal, deterministic, satisfying (H1).
G = (g1, . . . , gr ) a random vector satisfying that E(eαP|g2
i |) <∞ forsome α > 0 (and not charging an hyperplane)G n
i random vector whose entries are 1/√
n times independent copies of gi
and Uni obtained by orthonormalization.
We can find Hn having the same zeroes as fn and depending polynomiallyon the entries of K n(z) and C n
(K n(z))ij :=1
n
n∑k=1
gi (k)gj(k)
z − λkand (C n)ij :=
1
n
n∑k=1
gi (k)gj(k).
TheoremThe law of the r0 largest eigenvalues of Xn satisfies a LDP in the scale nwith a good rate function. It has a unique minimizer towards which wehave almost sure convergence.
Remark : minimizers depend on G only through its covariance matrix.
![Page 71: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/71.jpg)
13
Large deviation principle : sketch of proof I
Starting point :Hn(z) = PΘ(K n(z),C n)
First step : fix K a compact interval contained in (b,∞), the law of(K n(z),C n) on C(K,Hr )× Hr equipped with the uniform topologysatisfies an LDP with good rate function
I(K (.),C ) = supP,X ,Y
Tr
(∫K ′(z)P(z)dz + K (z∗)X + CY
)− Γ(P,Y ,X )
where Γ(P,Y ,X ) is given by the formula
Γ(P,Y ,X ) =
∫Λ
(−∫
1
(z − x)2P(z)dz +
1
z∗ − xX + Y
)dµX (x)
and the supremum is taken over piecewise constant functions P with
values in Hr and X ,Y in Hr .
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13
Large deviation principle : sketch of proof I
Starting point :Hn(z) = PΘ(K n(z),C n)
First step : fix K a compact interval contained in (b,∞), the law of(K n(z),C n) on C(K,Hr )× Hr equipped with the uniform topologysatisfies an LDP with good rate function
I(K (.),C ) = supP,X ,Y
Tr
(∫K ′(z)P(z)dz + K (z∗)X + CY
)− Γ(P,Y ,X )
where Γ(P,Y ,X ) is given by the formula
Γ(P,Y ,X ) =
∫Λ
(−∫
1
(z − x)2P(z)dz +
1
z∗ − xX + Y
)dµX (x)
and the supremum is taken over piecewise constant functions P with
values in Hr and X ,Y in Hr .
![Page 73: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/73.jpg)
13
Large deviation principle : sketch of proof I
Starting point :Hn(z) = PΘ(K n(z),C n)
First step : fix K a compact interval contained in (b,∞), the law of(K n(z),C n) on C(K,Hr )× Hr equipped with the uniform topologysatisfies an LDP
with good rate function
I(K (.),C ) = supP,X ,Y
Tr
(∫K ′(z)P(z)dz + K (z∗)X + CY
)− Γ(P,Y ,X )
where Γ(P,Y ,X ) is given by the formula
Γ(P,Y ,X ) =
∫Λ
(−∫
1
(z − x)2P(z)dz +
1
z∗ − xX + Y
)dµX (x)
and the supremum is taken over piecewise constant functions P with
values in Hr and X ,Y in Hr .
![Page 74: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/74.jpg)
13
Large deviation principle : sketch of proof I
Starting point :Hn(z) = PΘ(K n(z),C n)
First step : fix K a compact interval contained in (b,∞), the law of(K n(z),C n) on C(K,Hr )× Hr equipped with the uniform topologysatisfies an LDP with good rate function
I(K (.),C ) = supP,X ,Y
Tr
(∫K ′(z)P(z)dz + K (z∗)X + CY
)− Γ(P,Y ,X )
where Γ(P,Y ,X ) is given by the formula
Γ(P,Y ,X ) =
∫Λ
(−∫
1
(z − x)2P(z)dz +
1
z∗ − xX + Y
)dµX (x)
and the supremum is taken over piecewise constant functions P with
values in Hr and X ,Y in Hr .
![Page 75: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/75.jpg)
14
Large deviation principle : sketch of proof II
By contraction, the law of Hn satisfies an LDP with good rate function,for a continuousf ,
JK(f ) = infI(F ) : F ∈ C(K,Hr )× Hr ,PΘ(F (z)) = f (z), ∀z ∈ K.
TheoremThe law of λ
(n)1 , . . . , λ
(n)m of Xn satisfies a LDP with good rate function L,
defined for α = (α1, . . . , αm) ∈ Rm, by
L(α) =
limε↓0 inf∪γ>0Sε(α1,...,αm−k ),γ
JKε if α ∈ Rm↓ (b), αm−k+1 = b and
αm−k > b,+∞ otherwise.
with
Sεα,γ :=
f ∈ C(Kε) : f (z) = s.g(z)
m−k∏i=1
(z − αi ) with g > γ
,
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14
Large deviation principle : sketch of proof II
By contraction, the law of Hn satisfies an LDP with good rate function,for a continuousf ,
JK(f ) = infI(F ) : F ∈ C(K,Hr )× Hr ,PΘ(F (z)) = f (z), ∀z ∈ K.
TheoremThe law of λ
(n)1 , . . . , λ
(n)m of Xn satisfies a LDP with good rate function L,
defined for α = (α1, . . . , αm) ∈ Rm, by
L(α) =
limε↓0 inf∪γ>0Sε(α1,...,αm−k ),γ
JKε if α ∈ Rm↓ (b), αm−k+1 = b and
αm−k > b,+∞ otherwise.
with
Sεα,γ :=
f ∈ C(Kε) : f (z) = s.g(z)
m−k∏i=1
(z − αi ) with g > γ
,
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14
Large deviation principle : sketch of proof II
By contraction, the law of Hn satisfies an LDP with good rate function,for a continuousf ,
JK(f ) = infI(F ) : F ∈ C(K,Hr )× Hr ,PΘ(F (z)) = f (z), ∀z ∈ K.
TheoremThe law of λ
(n)1 , . . . , λ
(n)m of Xn satisfies a LDP with good rate function L,
defined for α = (α1, . . . , αm) ∈ Rm, by
L(α) =
limε↓0 inf∪γ>0Sε(α1,...,αm−k ),γ
JKε if α ∈ Rm↓ (b), αm−k+1 = b and
αm−k > b,+∞ otherwise.
with
Sεα,γ :=
f ∈ C(Kε) : f (z) = s.g(z)
m−k∏i=1
(z − αi ) with g > γ
,
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14
Large deviation principle : sketch of proof II
By contraction, the law of Hn satisfies an LDP with good rate function,for a continuousf ,
JK(f ) = infI(F ) : F ∈ C(K,Hr )× Hr ,PΘ(F (z)) = f (z), ∀z ∈ K.
TheoremThe law of λ
(n)1 , . . . , λ
(n)m of Xn satisfies a LDP with good rate function L,
defined for α = (α1, . . . , αm) ∈ Rm, by
L(α) =
limε↓0 inf∪γ>0Sε(α1,...,αm−k ),γ
JKε if α ∈ Rm↓ (b), αm−k+1 = b and
αm−k > b,+∞ otherwise.
with
Sεα,γ :=
f ∈ C(Kε) : f (z) = s.g(z)
m−k∏i=1
(z − αi ) with g > γ
,
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15
Study of the minimizers
L good rate function, vanishes at minimizers (λ∗1 , . . . , λ∗m). Let k be such
that λ∗m−k > b and λ∗m−k+1 = b. By compacity, one can find f vanishingat (λ∗1 , . . . , λ
∗m−k) such that JKε(f ) = 0 for any ε > 0. It also means that
f (z) = PΘ(K ,C ), with (K ,C ) minimizing I.
∣∣∣∣E(eεTr“−R
1(z−x)2 P(z)z+ 1
z∗−xX+Y
”Z)
−E(
1 + εTr
((−∫
1
(z − x)2P(z)dz +
1
z∗ − xX + Y
)Z
))∣∣∣∣ 6 ε2L,
so that
Γ(εP, εX , εY ) = εTr
(∫(K∗)′(z)P(z)dz + K∗(z∗)X + C∗Y
)+ O(ε2)
with
(K∗(z))ij =
∫(C∗)ij
z − λdµX (λ) and (C∗)ij = E[gigj ].
![Page 80: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/80.jpg)
15
Study of the minimizers
L good rate function, vanishes at minimizers (λ∗1 , . . . , λ∗m). Let k be such
that λ∗m−k > b and λ∗m−k+1 = b. By compacity, one can find f vanishingat (λ∗1 , . . . , λ
∗m−k) such that JKε(f ) = 0 for any ε > 0. It also means that
f (z) = PΘ(K ,C ), with (K ,C ) minimizing I.
∣∣∣∣E(eεTr“−R
1(z−x)2 P(z)z+ 1
z∗−xX+Y
”Z)
−E(
1 + εTr
((−∫
1
(z − x)2P(z)dz +
1
z∗ − xX + Y
)Z
))∣∣∣∣ 6 ε2L,
so that
Γ(εP, εX , εY ) = εTr
(∫(K∗)′(z)P(z)dz + K∗(z∗)X + C∗Y
)+ O(ε2)
with
(K∗(z))ij =
∫(C∗)ij
z − λdµX (λ) and (C∗)ij = E[gigj ].
![Page 81: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/81.jpg)
15
Study of the minimizers
L good rate function, vanishes at minimizers (λ∗1 , . . . , λ∗m). Let k be such
that λ∗m−k > b and λ∗m−k+1 = b. By compacity, one can find f vanishingat (λ∗1 , . . . , λ
∗m−k) such that JKε(f ) = 0 for any ε > 0. It also means that
f (z) = PΘ(K ,C ), with (K ,C ) minimizing I.
∣∣∣∣E(eεTr“−R
1(z−x)2 P(z)z+ 1
z∗−xX+Y
”Z)
−E(
1 + εTr
((−∫
1
(z − x)2P(z)dz +
1
z∗ − xX + Y
)Z
))∣∣∣∣ 6 ε2L,
so that
Γ(εP, εX , εY ) = εTr
(∫(K∗)′(z)P(z)dz + K∗(z∗)X + C∗Y
)+ O(ε2)
with
(K∗(z))ij =
∫(C∗)ij
z − λdµX (λ) and (C∗)ij = E[gigj ].
![Page 82: More about extreme eigenvalues of perturbed random matricesbenaych/slides_conf_2010/Maida.pdf · More about extreme eigenvalues of perturbed random matrices ... 1](https://reader033.vdocument.in/reader033/viewer/2022060915/60a8f96ef5da46010a65787b/html5/thumbnails/82.jpg)
15
Study of the minimizers
L good rate function, vanishes at minimizers (λ∗1 , . . . , λ∗m). Let k be such
that λ∗m−k > b and λ∗m−k+1 = b. By compacity, one can find f vanishingat (λ∗1 , . . . , λ
∗m−k) such that JKε(f ) = 0 for any ε > 0. It also means that
f (z) = PΘ(K ,C ), with (K ,C ) minimizing I.
∣∣∣∣E(eεTr“−R
1(z−x)2 P(z)z+ 1
z∗−xX+Y
”Z)
−E(
1 + εTr
((−∫
1
(z − x)2P(z)dz +
1
z∗ − xX + Y
)Z
))∣∣∣∣ 6 ε2L,
so that
Γ(εP, εX , εY ) = εTr
(∫(K∗)′(z)P(z)dz + K∗(z∗)X + C∗Y
)+ O(ε2)
with
(K∗(z))ij =
∫(C∗)ij
z − λdµX (λ) and (C∗)ij = E[gigj ].
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16
Study of the minimizers : last remark
In the case when (g1, . . . , gr ) are independent centered variables withvariance one, one can check that C∗ = Ir , K∗(z) =
∫1
z−x µX (x).Ir and
H(z) =r∏
i=1
(1
θi−∫
1
z − xµX (x)
)
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16
Study of the minimizers : last remark
In the case when (g1, . . . , gr ) are independent centered variables withvariance one, one can check that C∗ = Ir , K∗(z) =
∫1
z−x µX (x).Ir and
H(z) =r∏
i=1
(1
θi−∫
1
z − xµX (x)
)