隨機矩陣

提示：此條目頁的主題不是轉移矩陣。

在概率論和數學物理中，隨機矩陣（英語：Random matrix）是一個矩陣值的隨機變量，也就是說，一個矩陣中的所有元素都是隨機變量。^[1]

應用

物理

• 原子核物理學^[2][3]，量子場論
• 量子混沌（quantum chaos）Bohigas–Giannoni–Schmit（BGS）猜想^[4]
• 量子光學^[5][6]
• 楊-米爾斯理論（量子色動力學）^[7]
• 兩維的量子引力，AdS/CFT對偶，^[8]
• 介觀物理學,^[9]
• 自旋轉移矩,^[10]
• 小數量子霍爾效果,^[11]
• 安德森的本地化（Anderson localization）^[12]
• 量子點,^[13]
• 超導現象^[14]

其他（AI、數學、統計）

• 數論，黎曼ζ函數和其他L函數的零分布，希爾伯特–波利亞猜想，黎曼猜想^[15]
• 多元變量統計^[16][17]
• 數值分析^[18][19]
• 最優控制^[20][21][22]
• 神經科學理論，混沌理論^{[22][23][24][25][26]}
• 人工智能，機器學習，深度學習，深度神經網絡^[27][28][29]

隨機矩陣模型

設${\displaystyle H}$是${\displaystyle N\times N}$的矩陣，有下面的概率測度：

${\displaystyle P(H)={\frac {1}{Z}}e^{-Ntr(V(H))}}$

例子，高斯模型：${\displaystyle V(H)=H^{2}/2}$。

• GUE (Gaussian Unitary Ensemble)：H是埃爾米特矩陣。通過1/N展開，維格納半圓分布描述H的大N特徵值的機率密度函數${\displaystyle \rho (E)}$。^[1]
• GOE (Orthogonal)：H是對稱矩陣
• GSE (Symplectic)：H是四元數的矩陣（Quaternion matrix）

參見

• 維格納半圓分布
• 弗里曼·戴森氣體模型（Dyson gas model）
• 1/N展開
• 普遍性 (物理學)（Universality）
• Spectral Theory
• 非古典機率（Free probability）

閱讀

• 陶哲軒的Topics in random matrix theory (https://terrytao.files.wordpress.com/2011/02/matrix-book.pdf （頁面存檔備份，存於網際網路檔案館）)
• 其他書：^[30][31][32]
• 文章：^{[33][34][35][36]}
• 原始文章：^[37][38][39]
• Voiculescu, Free Probability Theory and Operator Algebras
• Speicher, Free Probability Theory (https://arxiv.org/pdf/0911.0087.pdf （頁面存檔備份，存於網際網路檔案館）)
• 徐一鴻的https://en.wikipedia.org/wiki/Quantum_Field_Theory_in_a_Nutshell （頁面存檔備份，存於網際網路檔案館） (Large N expansion)

參考文獻

1. Terence Tao 陶哲軒. Topics in random matrix theory (PDF). （原始內容 (PDF)存檔於2021-05-06） （英語）.
2. Wigner, E. Characteristic vectors of bordered matrices with infinite dimensions. Annals of Mathematics. 1955, 62 (3): 548–564. JSTOR 1970079. doi:10.2307/1970079.
3. Mehta, M.L. Random Matrices. Amsterdam: Elsevier/Academic Press. 2004. ISBN 0-12-088409-7.
4. Bohigas, O.; Giannoni, M.J.; Schmit, Schmit. Characterization of Chaotic Quantum Spectra and Universality of Level Fluctuation Laws. Phys. Rev. Lett. 1984, 52 (1): 1–4. Bibcode:1984PhRvL..52....1B. doi:10.1103/PhysRevLett.52.1.
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6. Russell, Nicholas; Chakhmakhchyan, Levon; O'Brien, Jeremy; Laing, Anthony. Direct dialling of Haar random unitary matrices. New J. Phys. 2017, 19 (3): 033007. Bibcode:2017NJPh...19c3007R. arXiv:1506.06220 . doi:10.1088/1367-2630/aa60ed.
7. Random Matrix Theory and Chiral Symmetry in QCD. Annu. Rev. Nucl. Part. Sci. 2000, 50: 343–410. Bibcode:2000ARNPS..50..343V. arXiv:hep-ph/0003017 . doi:10.1146/annurev.nucl.50.1.343.
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15. Keating, Jon. The Riemann zeta-function and quantum chaology. Proc. Internat. School of Phys. Enrico Fermi. 1993, CXIX: 145–185. ISBN 9780444815880. doi:10.1016/b978-0-444-81588-0.50008-0.
16. Wishart, J. Generalized product moment distribution in samples. Biometrika. 1928, 20A (1–2): 32–52. doi:10.1093/biomet/20a.1-2.32.
17. Tropp, J. User-Friendly Tail Bounds for Sums of Random Matrices. Foundations of Computational Mathematics. 2011, 12 (4): 389–434. arXiv:1004.4389 . doi:10.1007/s10208-011-9099-z.
18. von Neumann, J.; Goldstine, H.H. Numerical inverting of matrices of high order. Bull. Amer. Math. Soc. 1947, 53 (11): 1021–1099. doi:10.1090/S0002-9904-1947-08909-6.
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24. Rajan, Kanaka; Abbott, L. Eigenvalue Spectra of Random Matrices for Neural Networks. Physical Review Letters. November 2006, 97 (18): 188104. Bibcode:2006PhRvL..97r8104R. PMID 17155583. doi:10.1103/PhysRevLett.97.188104.
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27. Cosme Louart, Zhenyu Liao, and Romain Couillet. A RANDOM MATRIX APPROACH TO NEURAL NETWORKS (PDF). （原始內容 (PDF)存檔於2020-01-13）.
28. Zhenyu Liao, Romain Couillet. The Dynamics of Learning: A Random Matrix Approach (PDF). （原始內容 (PDF)存檔於2020-11-12）.
29. Jeffrey Pennington, Pratik Worah. Nonlinear random matrix theory for deep learning (PDF). （原始內容 (PDF)存檔於2020-11-03）.
30. Mehta, M.L. Random Matrices. Amsterdam: Elsevier/Academic Press. 2004. ISBN 0-12-088409-7.
31. Anderson, G.W.; Guionnet, A.; Zeitouni, O. An introduction to random matrices.. Cambridge: Cambridge University Press. 2010. ISBN 978-0-521-19452-5.
32. Akemann, G.; Baik, J.; Di Francesco, P. The Oxford Handbook of Random Matrix Theory.. Oxford: Oxford University Press. 2011. ISBN 978-0-19-957400-1.
33. Edelman, A.; Rao, N.R. Random matrix theory. Acta Numerica. 2005, 14: 233–297. Bibcode:2005AcNum..14..233E. doi:10.1017/S0962492904000236.
34. Pastur, L.A. Spectra of random self-adjoint operators. Russ. Math. Surv. 1973, 28 (1): 1–67. Bibcode:1973RuMaS..28....1P. doi:10.1070/RM1973v028n01ABEH001396.
35. Diaconis, Persi. Patterns in eigenvalues: the 70th Josiah Willard Gibbs lecture. American Mathematical Society. Bulletin. New Series. 2003, 40 (2): 155–178. MR 1962294. doi:10.1090/S0273-0979-03-00975-3.
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37. Wigner, E. Characteristic vectors of bordered matrices with infinite dimensions. Annals of Mathematics. 1955, 62 (3): 548–564. JSTOR 1970079. doi:10.2307/1970079.
38. Wishart, J. Generalized product moment distribution in samples. Biometrika. 1928, 20A (1–2): 32–52. doi:10.1093/biomet/20a.1-2.32.
39. von Neumann, J.; Goldstine, H.H. Numerical inverting of matrices of high order. Bull. Amer. Math. Soc. 1947, 53 (11): 1021–1099. doi:10.1090/S0002-9904-1947-08909-6.