Klara Courteaut: Pre-colloquium — An introduction to Random Matrix Theory
Time: Wed 2022-04-20 14.15 - 15.00
Location: Albanova, FB53
Lecturer: Klara Courteaut (KTH)
A random matrix is just a matrix picked at random from a space of matrices equipped with a probability measure. They appear in many different contexts in physics, statistics, and more recently machine learning. There are also connections to other areas of mathematics e.g. free probability, combinatorics, representation theory and number theory. In this talk we will focus on the CUE, the space of unitary matrices under Haar measure, which in a sense generalizes the uniform measure. We will look at the induced measure on the eigenvalues and see that after appropriate rescaling, it converges to a point process which appears in many other matrix models — an example of universality.
This is a pre-colloquium targeted towards master and PhD students as a preparation for Jon Keating's colloquium talk at 15:15.