-------- Messaggio Inoltrato --------

Oggetto:	Seminar announcement
Data:	Fri, 18 Feb 2022 20:14:33 +0100
Mittente:	Fabio Durastante <fabio.durastante@unipi.it>
A:	numpi@lists.dm.unipi.it

Speaker: Leonardo Robol
Affiliation: Università di Pisa
Venue: Aula Magna, Dipartimento di Matematica
Time: Thursday, 24/02/2022, 11:00

Title: Sampling the eigenvalues of random matrices

Random matrices (that is, matrices with random variables as entries)
appear in several areas of mathematics and physics. Often, one is
interested in sampling their eigenvalues (which are again random
variables); we briefly recap the main tools that can be used to sample
the joint eigenvalue distribution for Hermitian matrices from the
Gaussian unitary Ensemble (GUE) with O(n^2) flops, and discuss how
similar ideas can be used to efficiently perform the analogous
operation for Haar-distributed orthogonal or unitary matrices.

The latter operation requires to find a suitable compact canonical form
for upper Hessenberg unitary matrices obtained by reducing random
orthogonal/unitary matrices, and then efficiently operate on this
compact representation to compute the eigenvalues.

Meeting link: https://hausdorff.dm.unipi.it/b/leo-xik-xu4