Workshop on Random Matrices
Monday, July 4 – Wednesday, July 6, 2005
Universidad de Cantabria, Santander, Spain
Part of the 2005 Conference on Foundations of Computational Mathematics (FoCM)
Organized by: Ioana Dumitriu, Alan Edelman and N. Raj Rao
FoCM 2005 brings together mathematicians, numerical analysts, computer scientists and engineers all interested in a deeper understanding of mathematics and the computational process. This workshop focuses on the theory and applications of random matrices. It is unique in the sense that for perhaps the first time, the "users" and "producers" of random matrix theory from the entire breadth of science and engineering are being brought together.
Some of the applications focused on in this workshop include:
Financial Portfolio Optimization
Bioinformatics
Multiuser Coding
Learning Theory
Multivariate Statistics
Some connections with other branches of science and mathematics explored in this workshop include:
Operator Algebras (Free Probability)
Orthogonal Polynomials and Special Functions
Combinatorial aspects of Probability Theory
Symbolic Computation
Statistical Physics (Replica Method)
Objective:
An immediate objective of this workshop is to build community among those actively involved in the field.
Our longer term objective is inspired by the fortuitious meeting of Montgomery and Dyson over tea at Princeton that led to the remarkable connection between the RiemannZeta hypothesis and random matrix theory. If the past is any indicator of the future, then it seems as though every time a new scientific or engineering community has “rediscovered” random matrices, then a whole new set of applications and possibilities seems to open up.
With the blessings of the Board of Directors of the FoCM Society, our hope is that placing this workshop within the FoCM conference can help forge another such connection.
We are delighted to have nonspecialists attend the workshop and have hence requested the speakers to make the material accessible to a broader audience. Please feel free to drop an email to the workshop organizers and stop by for a chat; we are more than happy to share our enthusiasm for random matrices.
Schedule:
Monday, July 4, 2005:
[1:502.25] 
Marc Potters (SEMIPLENARY) 
Financial applications of random matrix theory: Risk control and portfolio optimization 
[2.303.25] 
Philippe Biane 

[3.254.00] 
TEA BREAK 

[4.004.45] 
Lior Wolf 

[4.505.35] 
Toshiyuki Tanaka 
Statisticalmechanical analysis on the eigenvalue distribution of random matrices 
[5.406.00] 
Oleksiy Khorunzhiy 

[6.056.25] 
Alan Edelman 
Tuesday, July 5, 2005:
[1:502.25] 
David Hoyle 
Learning eigenvectors and eigenvalues from limited highdimensional data 
[2.303.25] 
Iain Johnstone (SEMIPLENARY) 
Large covariance matrices: sparsity and estimation of principal eigenvectors 
[3.254.00] 
TEA BREAK 

[4.004.45] 
Florent BenaychGeorges 
The asymptotics of rectangular random matrices: A general approach 
[4.505.35] 
Jack Silverstein 
Topics on the eigenvalues of large dimensional sample covariance matrices 
[5.406.00] 
Plamen Koev 

[6.056.25] 
N. Raj Rao 
The polynomial method: From theory to the 'random matrix calculator' 
Wednesday, July 6, 2005:
[1:502.25] 
Ralf Mueller 
Design of iterative multiuser decoders by means of random matrix theory 
[2.303.25] 
Boris Khoruzhenko 

[3.254.00] 
TEA BREAK 

[4.004.45] 
Arno Kuijlaars (SEMIPLENARY) 

[4.505.35] 
Mireille Capitaine 

[5.406.00] 
Jamal Najim 
Deterministic equivalents for certain functionals of large random matrices 
[6.056.25] 
Ioana Dumitriu 
A beta future for the classical ensembles of random matrices 
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