Large-deviation theory for diluted Wishart random matrices

Physical Review. E
Isaac Pérez Castillo, Fernando Lucas Metz

Abstract

Wishart random matrices with a sparse or diluted structure are ubiquitous in the processing of large datasets, with applications in physics, biology, and economy. In this work, we develop a theory for the eigenvalue fluctuations of diluted Wishart random matrices based on the replica approach of disordered systems. We derive an analytical expression for the cumulant generating function of the number of eigenvalues I_{N}(x) smaller than x∈R^{+}, from which all cumulants of I_{N}(x) and the rate function Ψ_{x}(k) controlling its large-deviation probability Prob[I_{N}(x)=kN]≍e^{-NΨ_{x}(k)} follow. Explicit results for the mean value and the variance of I_{N}(x), its rate function, and its third cumulant are discussed and thoroughly compared to numerical diagonalization, showing very good agreement. The present work establishes the theoretical framework put forward in a recent letter [Phys. Rev. Lett. 117, 104101 (2016)PRLTAO0031-900710.1103/PhysRevLett.117.104101] as an exact and compelling approach to deal with eigenvalue fluctuations of sparse random matrices.

References

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Oct 15, 2008·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Tim RogersKoujin Takeda
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Sep 17, 2016·Physical Review Letters·Fernando L Metz, Isaac Pérez Castillo
Dec 8, 2016·Physical Review Letters·Izaak Neri, Fernando Lucas Metz

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Citations

Sep 27, 2018·Physical Review. E·Isaac Pérez Castillo, Fernando L Metz
Feb 20, 2020·Physical Review. E·Edgar Guzmán-GonzálezFernando L Metz
Sep 11, 2019·Physical Review. E·Fernando L Metz, Isaac Pérez Castillo
Sep 27, 2018·Physical Review. E·Rafael Díaz Hernández RojasIsaac Pérez Castillo
Jul 18, 2021·Physical Review. E·Isaac Pérez CastilloFernando L Metz

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