How to generate random matrices from the classical compact groups

@misc{citeulike:854319, abstract = {We discuss how to generate random unitary matrices from the classical compact groups U(N), O(N) and USp(N) with probability distributions given by the respective invariant measures. The algorithm is straightforward to implement using standard linear algebra packages. This approach extends to the Dyson circular ensembles too. This article is based on a lecture given by the author at the summer school on Number Theory and Random Matrix Theory held at the University of Rochester in June 2006. The exposition is addressed to a general mathematical audience.}, author = {Mezzadri, Francesco }, citeulike-article-id = {854319}, eprint = {math-ph/0609050}, keywords = {decomposition, matrix, qr, random}, month = {Sep}, posted-at = {2008-02-22 20:34:18}, priority = {5}, title = {How to generate random matrices from the classical compact groups}, url = {http://arxiv.org/abs/math-ph/0609050}, year = {2006} }

TY - ELEC ID - citeulike:854319 L3 - citeulike-article-id:854319 TI - How to generate random matrices from the classical compact groups N2 - We discuss how to generate random unitary matrices from the classical compact groups U(N), O(N) and USp(N) with probability distributions given by the respective invariant measures. The algorithm is straightforward to implement using standard linear algebra packages. This approach extends to the Dyson circular ensembles too. This article is based on a lecture given by the author at the summer school on Number Theory and Random Matrix Theory held at the University of Rochester in June 2006. The exposition is addressed to a general mathematical audience. KW - decomposition KW - matrix KW - qr KW - random AU - Mezzadri, Francesco PY - 2006/Sep/18/ UR - http://arxiv.org/abs/math-ph/0609050 ER -