Random Matrices

A random matrix is a matrix whose entries are random variables. The moments of an n n random matrix A are the expected values of the random variables tr(Ak ) . This project asks you to rst investigate the moments of families of random matrices, especially limiting behavior as n . Here is an interesting family of square random matrices. Take an n n random matrix M whose entries are normally distributed random variables with mean 0 and constant variance a, and form A = (M + M T )/2. Preliminary question: what are the means and variances of the entries in A? Its worthwhile thinking through what the mean and variance of the random variables tr(Ak ) are for small n, but the fun begins when n grows large. The constant a will have to be allowed to vary with n in order to obtain limiting values of E[tr(Ak )] which are neither zero nor innite. Write an for the value you use for the n n case. Investigate the resulting limiting values. Can you account for whatever patterns you observe? There is a close relationship between traces and eigenvalues. Investigate the limiting distribution of eigenvalues of these random matrices A as n grows large. There are many other directions in which this kind of exploration can be pursued. For example, what happens if you use dierent random variables for the entries in Aperhaps not even normally distributed? The o diagonal entries are independent and identically distributed; what happens if we alter those assumptions? And there are many families of matrices other than symmetric ones, as well. Resources: We recommend the use of MATLAB for this project. We can also recommend the 18.440 textbook A First Course in Probability by Sheldon Ross.