Ioana Dumitriu, Massachusetts Institute of Technology
Numerical linear algebra methods in random matrix theory
The three types of matrix models found predominantly in
"classical" Random Matrix Theory are the Hermite (or Gaussian), Laguerre
(or Wishart), and Jacobi (or MANOVA) ensembles. In this talk I will
describe these ensembles and present some recent results in the study of
eigenvalue distributions of the Hermite and Laguerre types, which were
obtained using methods developed in Numerical Linear Algebra.
I will conclude by describing some possible applications.