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:

Some connections with other branches of science and mathematics explored in this workshop include:

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 Riemann-Zeta 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 “re-discovered” 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 non-specialists 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.

Group Photo of Participants

Schedule:

Monday, July 4, 2005:

[1:50-2.25]

Marc Potters (SEMI-PLENARY)

Financial applications of random matrix theory: Risk control and portfolio optimization

[2.30-3.25]

Philippe Biane

Free Probability and Random Matrices

[3.25-4.00]

TEA BREAK


[4.00-4.45]

Lior Wolf

Feature selection via random matrix theory

[4.50-5.35]

Toshiyuki Tanaka

Statistical-mechanical analysis on the eigenvalue distribution of random matrices

[5.40-6.00]

Oleksiy Khorunzhiy

Asymptotic estimates for the moments of random matrices

[6.05-6.25]

Alan Edelman

Advances in Stochastic Eigen-Analysis



Tuesday, July 5, 2005:

[1:50-2.25]

David Hoyle

Learning eigenvectors and eigenvalues from limited high-dimensional data

[2.30-3.25]

Iain Johnstone (SEMI-PLENARY)

Large covariance matrices: sparsity and estimation of principal eigenvectors

[3.25-4.00]

TEA BREAK


[4.00-4.45]

Florent Benaych-Georges

The asymptotics of rectangular random matrices: A general approach

[4.50-5.35]

Jack Silverstein

Topics on the eigenvalues of large dimensional sample covariance matrices

[5.40-6.00]

Plamen Koev

The efficient computation of multivariate statistics through the hypergeometric function of a matrix argument

[6.05-6.25]

N. Raj Rao

The polynomial method: From theory to the 'random matrix calculator'



Wednesday, July 6, 2005:

[1:50-2.25]

Ralf Mueller

Design of iterative multiuser decoders by means of random matrix theory

[2.30-3.25]

Boris Khoruzhenko

Moments of spectral determinants of complex random matrices

[3.25-4.00]

TEA BREAK


[4.00-4.45]

Arno Kuijlaars (SEMI-PLENARY)

Universality for eigenvalue spacings of random matrices

[4.50-5.35]

Mireille Capitaine

Strong asymptotic freeness for Wigner and Wishart matrices

[5.40-6.00]

Jamal Najim

Deterministic equivalents for certain functionals of large random matrices

[6.05-6.25]

Ioana Dumitriu

A beta future for the classical ensembles of random matrices







Last modified 07/13/05