TY - JOUR

T1 - Algorithm and software for defining the distribution of eigenvalues of random symmetric matrices via simulation

AU - Shmerling, E.

PY - 2009/10

Y1 - 2009/10

N2 - A simulation algorithm for defining the distribution of eigenvalues of a random symmetric matrix with arbitrary continuous joint probability density function of its entries is presented. The algorithm requires only a uniform random number generator. As a numerical example, the probability that eigenvalues of a certain random symmetric matrix satisfy a given condition is calculated using software implementing the algorithm.

AB - A simulation algorithm for defining the distribution of eigenvalues of a random symmetric matrix with arbitrary continuous joint probability density function of its entries is presented. The algorithm requires only a uniform random number generator. As a numerical example, the probability that eigenvalues of a certain random symmetric matrix satisfy a given condition is calculated using software implementing the algorithm.

KW - Eigenvalues distribution

KW - Matlab

KW - Monte Carlo simulation

KW - Numerical algorithm

KW - Random symmetric matrices

UR - http://www.scopus.com/inward/record.url?scp=76249087671&partnerID=8YFLogxK

U2 - 10.1080/00207160903193962

DO - 10.1080/00207160903193962

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AN - SCOPUS:76249087671

SN - 0020-7160

VL - 86

SP - 1979

EP - 1988

JO - International Journal of Computer Mathematics

JF - International Journal of Computer Mathematics

IS - 10-11

ER -