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 -