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Random matrix theory

Published online by Cambridge University Press:  19 April 2005

Alan Edelman  and
N. Raj Rao
Alan Edelman
Affiliation:
Department of Mathematics, Massachusetts Institute of Technology, Cambridge, MA 02139, USA, E-mail: edelman@math.mit.edu
N. Raj Rao
Affiliation:
Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology, Cambridge, MA 02139, USA, E-mail: raj@mit.edu
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Abstract

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Random matrix theory is now a big subject with applications in many disciplines of science, engineering and finance. This article is a survey specifically oriented towards the needs and interests of a numerical analyst. This survey includes some original material not found anywhere else. We include the important mathematics which is a very modern development, as well as the computational software that is transforming the theory into useful practice.

Information

Type
Research Article
Information
Acta Numerica , Volume 14 , May 2005 , pp. 233 - 297
Copyright
© 2005 Cambridge University Press