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Condition numbers of random triangular matrices

机译:随机三角矩阵的条件数

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摘要

Let Ln be a lower triangular matrix of dimension n each of whose nonzero entries is an independent N(0, 1) variable, i.e., a random normal variable of mean 0 and variance 1. It is shown that kappa(n), the 2-norm condition number of L-n, satisfies n root kappa(n) --> 2 almost surely as n --> infinity. This exponential growth of kappa(n) with n is in striking contrast to the linear growth of the condition numbers of random dense matrices with n that is already known. This phenomenon is not due to small entries on the diagonal (i.e., small eigenvalues) of Ln. Indeed, it is shown that a lower triangular matrix of dimension n whose diagonal entries are fixed at 1 with the subdiagonal entries taken as independent N(0, 1) variables is also exponentially ill conditioned with the 2-norm condition number kappa(n) of such a matrix satisfying n root kappa(n) --> 1.305683410... almost surely as n --> infinity. A similar pair of results about complex random triangular matrices is established. The results for real triangular matrices are generalized to triangular matrices with entries from any symmetric, strictly stable distribution. [References: 22]
机译:令Ln是维度为n的下三角矩阵,每个矩阵的非零项都是一个独立的N(0,1)变量,即均值为0和方差为1的随机正态变量。表明kappa(n)为2 -n的标准条件数,几乎肯定满足n根kappa(n)-> 2->无穷大。 k随n的指数增长与已知n的随机密集矩阵的条件数的线性增长形成鲜明对比。这种现象不是由于Ln的对角线上的条目较小(即特征值较小)引起的。实际上,已经表明,维度为n的下三角矩阵(其对角线入口固定为1,而对角线入口被视为独立的N(0,1)变量)也以2-范数条件数kappa(n)呈指数条件。这样的矩阵满足n根kappa(n)-> 1.305683410 ...几乎可以肯定地是n->无穷大。建立了关于复数随机三角矩阵的相似结果。实际三角矩阵的结果将推广到具有任何对称,严格稳定分布的项的三角矩阵。 [参考:22]

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