non-Hermitian Random Matrices Research Articles

Duality in non-Hermitian random matrix theory

We consider 9 Gaussian matrix ensembles characterized by single symmetry among the 38-fold symmetry classification classes of non-Hermitian random matrices, and establish exact duality formulae of certain observables between them. Particularly, averaged products of K characteristic polynomials in an N×N matrix ensemble can be expressed in terms of another K×K matrix ensemble. Our method is to combine matrix-valued heat equations and differential identities for determinants and Pfaffians and has more possible applications.

Optimal lower bound on eigenvector overlaps for non-Hermitian random matrices

We consider large non-Hermitian N×N matrices with an additive independent, identically distributed (i.i.d.) noise for each matrix elements. We show that already a small noise of variance 1/N completely thermalises the bulk singular vectors, in particular they satisfy the strong form of Quantum Unique Ergodicity (QUE) with an optimal speed of convergence. In physics terms, we thus extend the Eigenstate Thermalisation Hypothesis, formulated originally by Deutsch [34] and proven for Wigner matrices in [23], to arbitrary non-Hermitian matrices with an i.i.d. noise. As a consequence we obtain an optimal lower bound on the diagonal overlaps of the corresponding non-Hermitian eigenvectors. This quantity, also known as the (square of the) eigenvalue condition number measuring the sensitivity of the eigenvalue to small perturbations, has notoriously escaped rigorous treatment beyond the explicitly computable Ginibre ensemble apart from the very recent upper bounds given in [7] and [45]. As a key tool, we develop a new systematic decomposition of general observables in random matrix theory that governs the size of products of resolvents with deterministic matrices in between.

Singular-Value Statistics of Non-Hermitian Random Matrices and Open Quantum Systems

Singular-Value Statistics of Non-Hermitian Random Matrices and Open Quantum Systems

Spacing ratio statistics of multiplex directed networks

Eigenvalues statistics of various many-body systems have been widely studied using the nearest neighbor spacing distribution under the random matrix theory framework. Here, we numerically analyze eigenvalue ratio statistics of multiplex networks consisting of directed Erdős-Rényi random networks layers represented as, first, weighted non-Hermitian random matrices and then weighted Hermitian random matrices. We report that the multiplexing strength rules the behavior of average spacing ratio statistics for multiplexing networks represented by the non-Hermitian and Hermitian matrices, respectively. Additionally, for both these representations of the directed multiplex networks, the multiplexing strength appears as a guiding parameter for the eigenvector delocalization of the entire system. These results could be important for driving dynamical processes in several real-world multilayer systems, particularly, understanding the significance of multiplexing in comprehending network properties.

The elliptic Ginibre ensemble: A unifying approach to local and global statistics for higher dimensions

The elliptic Ginibre ensemble of complex non-Hermitian random matrices allows us to interpolate between the rotationally invariant Ginibre ensemble and the Gaussian unitary ensemble of Hermitian random matrices. It corresponds to a two-dimensional one-component Coulomb gas in a quadrupolar field at inverse temperature β = 2. Furthermore, it represents a determinantal point process in the complex plane with the corresponding kernel of planar Hermite polynomials. Our main tool is a saddle point analysis of a single contour integral representation of this kernel. We provide a unifying approach to rigorously derive several known and new results of local and global spectral statistics, including in higher dimensions. First, we prove the global statistics in the elliptic Ginibre ensemble first derived by Forrester and Jancovici [Int. J. Mod. Phys. A 11, 941 (1996)]. The limiting kernel receives its main contribution from the boundary of the limiting elliptic droplet of support. In the Hermitian limit, there is a known correspondence between non-interacting fermions in a trap in d real dimensions Rd and the d-dimensional harmonic oscillator. We present a rigorous proof for the local d-dimensional bulk (sine) and edge (Airy) kernel first defined by Dean et al. [Europhys. Lett. 112, 60001 (2015)], complementing the recent results by Deleporte and Lambert [arXiv:2109.02121 (2021)]. Using the same relation to the d-dimensional harmonic oscillator in d complex dimensions Cd, we provide new local bulk and edge statistics at weak and strong non-Hermiticity, where the former interpolates between correlations in d real and d complex dimensions. For Cd with d = 1, this corresponds to non-interacting fermions in a rotating trap.

Wronskian structures of planar symplectic ensembles

We consider the eigenvalues of non-Hermitian random matrices in the symmetry class of the symplectic Ginibre ensemble, which are known to form a Pfaffian point process in the plane. It was recently discovered that the limiting correlation kernel of the symplectic Ginibre ensemble in the vicinity of the real line can be expressed in a unified form of a Wronskian. We derive scaling limits for variations of the symplectic Ginibre ensemble and obtain such Wronskian structures for the associated universality classes. These include almost-Hermitian bulk/edge scaling limits of the elliptic symplectic Ginibre ensemble and edge scaling limits of the symplectic Ginibre ensemble with boundary confinement. Our proofs follow from the generalised Christoffel–Darboux formula for the former and from the Laplace method for the latter. Based on such a unified integrable structure of Wronskian form, we also provide an intimate relation between the function in the argument of the Wronskian in the symplectic symmetry class and the kernel in the complex symmetry class which form determinantal point processes in the plane.

Universality of the Number Variance in Rotational Invariant Two-Dimensional Coulomb Gases

An exact map was established by Lacroix-A-Chez-Toine et al. in (Phys Rev A 99(2):021602, 2019) between the N complex eigenvalues of complex non-Hermitian random matrices from the Ginibre ensemble, and the positions of N non-interacting Fermions in a rotating trap in the ground state. An important quantity is the statistics of the number of Fermions mathcal {N}_a in a disc of radius a. Extending the work (Lacroix-A-Chez-Toine et al., in Phys Rev A 99(2):021602, 2019) covering Gaussian and rotationally invariant potentials Q, we present a rigorous analysis in planar complex and symplectic ensembles, which both represent 2D Coulomb gases. We show that the variance of mathcal {N}_a is universal in the large-N limit, when measured in units of the mean density proportional to Delta Q, which itself is non-universal. This holds in the large-N limit in the bulk and at the edge, when a finite fraction or almost all Fermions are inside the disc. In contrast, at the origin, when few eigenvalues are contained, it is the singularity of the potential that determines the universality class. We present three explicit examples from the Mittag-Leffler ensemble, products of Ginibre matrices, and truncated unitary random matrices. Our proofs exploit the integrable structure of the underlying determinantal respectively Pfaffian point processes and a simple representation of the variance in terms of truncated moments at finite-N.

Spacing distribution in the two-dimensional Coulomb gas: Surmise and symmetry classes of non-Hermitian random matrices at noninteger β.

A random matrix representation is proposed for the two-dimensional (2D) Coulomb gas at inverse temperature β. For 2×2 matrices with Gaussian distribution we analytically compute the nearest-neighbor spacing distribution of complex eigenvalues in radial distance. Because it does not provide such a good approximation as the Wigner surmise in 1D, we introduce an effective β_{eff}(β) in our analytic formula that describes the spacing obtained numerically from the 2D Coulomb gas well for small values of β. It reproduces the 2D Poisson distribution at β=0 exactly, that is valid for a large particle number. The surmise is used to fit data in two examples, from open quantum spin chains and ecology. The spacing distributions of complex symmetric and complex quaternion self-dual ensembles of non-Hermitian random matrices, that are only known numerically, are very well fitted by noninteger values β=1.4 and β=2.6 from a 2D Coulomb gas, respectively. These two ensembles have been suggested as the only two symmetry classes, where the 2D bulk statistics is different from the Ginibre ensemble.

Fluctuations in the spectrum of non-Hermitian i.i.d. matrices

We consider large non-Hermitian random matrices X with independent identically distributed real or complex entries. In this paper, we review recent results about the eigenvalues of X: (i) universality of local eigenvalue statistics close to the edge of the spectrum of X [Cipolloni et al., “Edge universality for non-Hermitian random matrices,” Probab. Theory Relat. Fields 179, 1–28 (2021)], which is the non-Hermitian analog of the celebrated Tracy–Widom universality; (ii) central limit theorem for linear eigenvalue statistics of macroscopic test functions having 2 + ϵ derivatives [Cipolloni et al., “Central limit theorem for linear eigenvalue statistics of non-Hermitian random matrices,” Commun. Pure Appl. Math. (published online) (2021) and Cipolloni et al., “Fluctuation around the circular law for random matrices with real entries,” Electron. J. Probab. 26, 1–61 (2021)]. The main novel ingredients in the proof of these results are local laws for products of two resolvents of the Hermitization of X at two different spectral parameters, coupling of weakly dependent Dyson Brownian motions, and the lower tail estimate for the smallest singular value of X − z in the transitional regime |z| ≈ 1 [Cipolloni et al., “Optimal lower bound on the least singular value of the shifted Ginibre ensemble,” Probab. Math. Phys. 1, 101–146 (2020)].

CLT for Non-Hermitian Random Band Matrices with Variance Profiles

We study the linear eigenvalue statistics of a non-Hermitian random band matrix with a continuous variance profile \(w_{\nu }(x)\) and increasing bandwidth \(b_{n}\). We show that the fluctuations of the linear eigenvalue statistics converges to \(N(0,\sigma _{f}^{2}(\nu ))\), where \(\nu =\lim _{n\rightarrow \infty }(2b_{n}/n)\in [0,1]\) and f is an analytic test function. We obtain explicit formulae of \(\sigma _{f}^{2}(\nu )\) in two different cases, namely when \(\nu \in (0,1]\) and when \(\nu = 0\). In addition, we show that \(\sigma _{f}^{2}(\nu )\rightarrow \sigma _{f}^{2}(0)\) as \(\nu \downarrow 0\). In particular by setting \(\nu =1\), we obtain the result for full non-Hermitian matrices with a constant variance profile, which was previously found by Rider and Silverstein (Ann Probab 34:2118–2143, 2006).

The main probability G-density of the theory of non-Hermitian random matrices, VICTORIA transform, RESPECT and REFORM methods

Abstract The main probability G-density of the global law for random matrices whose entries are independent is founded.

Scaling Limits of Planar Symplectic Ensembles

We consider various asymptotic scaling limits $N\to\infty$ for the $2N$ complex eigenvalues of non-Hermitian random matrices in the symmetry class of the symplectic Ginibre ensemble. These are known to be integrable, forming Pfaffian point processes, and we obtain limiting expressions for the corresponding kernel for different potentials. The first part is devoted to the symplectic Ginibre ensemble with the Gaussian potential. We obtain the asymptotic at the edge of the spectrum in the vicinity of the real line. The unifying form of the kernel allows us to make contact with the bulk scaling along the real line and with the edge scaling away from the real line, where we recover the known determinantal process of the complex Ginibre ensemble. Part two covers ensembles of Mittag-Leffler type with a singularity at the origin. For potentials $Q(\zeta)=|\zeta|^{2\lambda}-(2c/N)\log|\zeta|$, with $\lambda>0$ and $c>-1$, the limiting kernel obeys a linear differential equation of fractional order $1/\lambda$ at the origin. For integer $m=1/\lambda$ it can be solved in terms of Mittag-Leffler functions. In the last part, we derive Ward's equation for planar symplectic ensembles for a general class of potentials. It serves as a tool to investigate the Gaussian and singular Mittag-Leffler universality class. This allows us to determine the functional form of all possible limiting kernels (if they exist) that are translation invariant, up to their integration domain.

Spectrum of heavy-tailed elliptic random matrices

An elliptic random matrix X is a square matrix whose (i,j)-entry Xij is a random variable independent of every other entry except possibly Xji. Elliptic random matrices generalize Wigner matrices and non-Hermitian random matrices with independent entries. When the entries of an elliptic random matrix have mean zero and unit variance, the empirical spectral distribution is known to converge to the uniform distribution on the interior of an ellipse determined by the covariance of the mirrored entries. We consider elliptic random matrices whose entries fail to have two finite moments. Our main result shows that when the entries of an elliptic random matrix are in the domain of attraction of an α-stable random variable, for 0<α<2, the empirical spectral measure converges, in probability, to a deterministic limit. This generalizes a result of Bordenave, Caputo, and Chafaï for heavy-tailed matrices with independent and identically distributed entries. The key elements of the proof are (i) a general bound on the least singular value of elliptic random matrices under no moment assumptions; and (ii) the convergence, in an appropriate sense, of the matrices to a random operator on the Poisson Weighted Infinite Tree.

Non-Hermitian Random Matrices with a Variance Profile (II): Properties and Examples

For each n, let \(A_n=(\sigma _{ij})\) be an \(n\times n\) deterministic matrix and let \(X_n=(X_{ij})\) be an \(n\times n\) random matrix with i.i.d. centered entries of unit variance. In the companion article (Cook et al. in Electron J Probab 23:Paper No. 110, 61, 2018), we considered the empirical spectral distribution \(\mu _n^Y\) of the rescaled entry-wise product $$\begin{aligned} Y_n = \frac{1}{\sqrt{n}} A_n\odot X_n = \left( \frac{1}{\sqrt{n}} \sigma _{ij}X_{ij}\right) \end{aligned}$$and provided a deterministic sequence of probability measures \(\mu _n\) such that the difference \(\mu ^Y_n - \mu _n\) converges weakly in probability to the zero measure. A key feature in Cook et al. (2018) was to allow some of the entries \(\sigma _{ij}\) to vanish, provided that the standard deviation profiles \(A_n\) satisfy a certain quantitative irreducibility property. In the present article, we provide more information on the sequence \((\mu _n)\), described by a family of Master Equations. We consider these equations in important special cases such as sampled variance profiles \(\sigma ^2_{ij} = \sigma ^2\left( \frac{i}{n}, \frac{j}{n} \right) \) where \((x,y)\mapsto \sigma ^2(x,y)\) is a given function on \([0,1]^2\). Associated examples are provided where \(\mu _n^Y\) converges to a genuine limit. We study \(\mu _n\)’s behavior at zero. As a consequence, we identify the profiles that yield the circular law. Finally, building upon recent results from Alt et al. (Ann Appl Probab 28(1):148–203, 2018; Ann Inst Henri Poincaré Probab Stat 55(2):661–696, 2019), we prove that, except possibly at the origin, \(\mu _n\) admits a positive density on the centered disc of radius \(\sqrt{\rho (V_n)}\), where \(V_n=(\frac{1}{n} \sigma _{ij}^2)\) and \(\rho (V_n)\) is its spectral radius.

Skew-Orthogonal Polynomials in the Complex Plane and Their Bergman-Like Kernels

Non-Hermitian random matrices with symplectic symmetry provide examples for Pfaffian point processes in the complex plane. These point processes are characterised by a matrix valued kernel of skew-orthogonal polynomials. We develop their theory in providing an explicit construction of skew-orthogonal polynomials in terms of orthogonal polynomials that satisfy a three-term recurrence relation, for general weight functions in the complex plane. New examples for symplectic ensembles are provided, based on recent developments in orthogonal polynomials on planar domains or curves in the complex plane. Furthermore, Bergman-like kernels of skew-orthogonal Hermite and Laguerre polynomials are derived, from which the conjectured universality of the elliptic symplectic Ginibre ensemble and its chiral partner follow in the limit of strong non-Hermiticity at the origin. A Christoffel perturbation of skew-orthogonal polynomials as it appears in applications to quantum field theory is provided.

Stochastic geometry and dynamics of infinitely many particle systems—random matrices and interacting Brownian motions in infinite dimensions

We explain the general theories involved in solving an infinite-dimensional stochastic differential equation (ISDE) for interacting Brownian motions in infinite dimensions related to random matrices. Typical examples are the stochastic dynamics of infinite particle systems with logarithmic interaction potentials such as the sine, Airy, Bessel, and also for the Ginibre interacting Brownian motions. The first three are infinite-dimensional stochastic dynamics in one-dimensional space related to random matrices called Gaussian ensembles. They are the stationary distributions of interacting Brownian motions and given by the limit point processes of the distributions of eigenvalues of these random matrices. The sine, Airy, and Bessel point processes and interacting Brownian motions are thought to be geometrically and dynamically universal as the limits of bulk, soft edge, and hard edge scaling. The Ginibre point process is a rotation- and translation-invariant point process on R 2 \mathbb {R}^2 , and an equilibrium state of the Ginibre interacting Brownian motions. It is the bulk limit of the distributions of eigenvalues of non-Hermitian Gaussian random matrices. When the interacting Brownian motions constitute a one-dimensional system interacting with each other through the logarithmic potential with inverse temperature β = 2 \beta = 2 , an algebraic construction is known in which the stochastic dynamics are defined by the space-time correlation function. The approach based on the stochastic analysis (called the analytic approach) can be applied to an extremely wide class. If we apply the analytic approach to this system, we see that these two constructions give the same stochastic dynamics. From the algebraic construction, despite being an infinite interacting particle system, it is possible to represent and calculate various quantities such as moments by the correlation functions. We can thus obtain quantitative information. From the analytic construction, it is possible to represent the dynamics as a solution of an ISDE. We can obtain qualitative information such as semi-martingale properties, continuity, and non-collision properties of each particle, and the strong Markov property of the infinite particle system as a whole. Ginibre interacting Brownian motions constitute a two-dimensional infinite particle system related to non-Hermitian Gaussian random matrices. It has a logarithmic interaction potential with β = 2 \beta = 2 , but no algebraic configurations are known.The present result is the only construction.

Circular law for random block band matrices with genuinely sublinear bandwidth

We prove the circular law for a class of non-Hermitian random block band matrices with genuinely sublinear bandwidth. Namely, we show that there exists τ ∈ (0, 1) so that if the bandwidth of the matrix X is at least n1−τ and the nonzero entries are iid random variables with mean zero and slightly more than four finite moments, then the limiting empirical eigenvalue distribution of X, when properly normalized, converges in probability to the uniform distribution on the unit disk in the complex plane. The key technical result is a least singular value bound for shifted random band block matrices with genuinely sublinear bandwidth, which improves on a result of Cook [Ann. Probab. 46, 3442 (2018)] in the band matrix setting.

Analytic approach for the number statistics of non-Hermitian random matrices.

We introduce a powerful analytic method to study the statistics of the number N_{A}(γ) of eigenvalues inside any smooth Jordan curve γ∈C for infinitely large non-Hermitian random matrices A. Our generic approach can be applied to different random matrix ensembles of a mean-field type, even when the analytic expression for the joint distribution of eigenvalues is not known. We illustrate the method on the adjacency matrices of weighted random graphs with asymmetric couplings, for which standard random-matrix tools are inapplicable, and obtain explicit results for the diluted real Ginibre ensemble. The main outcome is an effective theory that determines the cumulant generating function of N_{A} via a path integral along γ, with the path probability distribution following from the numerical solution of a nonlinear self-consistent equation. We derive expressions for the mean and the variance of N_{A} as well as for the rate function governing rare fluctuations of N_{A}(γ). All theoretical results are compared with direct diagonalization of finite random matrices, exhibiting an excellent agreement.

Inhomogeneous circular law for correlated matrices

We consider non-Hermitian random matrices X∈Cn×n with general decaying correlations between their entries. For large n, the empirical spectral distribution is well approximated by a deterministic density, expressed in terms of the solution to a system of two coupled non-linear n×n matrix equations. This density is interpreted as the Brown measure of a linear combination of free circular elements with matrix coefficients on a non-commutative probability space. It is radially symmetric, real analytic in the radial variable and strictly positive on a disk around the origin in the complex plane with a discontinuous drop to zero at the edge. The radius of the disk is given explicitly in terms of the covariances of the entries of X. We show convergence down to local spectral scales just slightly above the typical eigenvalue spacing with an optimal rate of convergence.

Eigenvectors and controllability of non-Hermitian random matrices and directed graphs

We study the eigenvectors and eigenvalues of random matrices with iid entries. Let N be a random matrix with iid entries which have symmetric distribution. For each unit eigenvector v of N our main results provide a small ball probability bound for linear combinations of the coordinates of v. Our results generalize the works of Meehan and Nguyen [59] as well as Touri and the second author [67, 68, 69] for random symmetric matrices. Along the way, we provide an optimal estimate of the probability that an iid matrix has simple spectrum, improving a recent result of Ge [37]. Our techniques also allow us to establish analogous results for the adjacency matrix of a random directed graph, and as an application we establish controllability properties of network control systems on directed graphs.