Non-asymptotic theory of random matrices: extreme singular values

Details Non-asymptotic theory of random matrices: extreme singular values Non-asymptotic theory of random matrices: extreme singular values

2010-03-15

arxiv.org/abs/1003.2990v2

Mathematics

Functional Analysis

Submission for ICM 2010. Some typographic corrections made

Scientific paper

The classical random matrix theory is mostly focused on asymptotic spectral properties of random matrices as their dimensions grow to infinity. At the same time many recent applications from convex geometry to functional analysis to information theory operate with random matrices in fixed dimensions. This survey addresses the non-asymptotic theory of extreme singular values of random matrices with independent entries. We focus on recently developed geometric methods for estimating the hard edge of random matrices (the smallest singular value).

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