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math.PR2026
Efficient computation of the asymptotics of extensive-rank HCIZ integrals
Antoine Maillard, Jean-Christophe Mourrat
We study the high-dimensional asymptotics of Harish-Chandra-Itzykson-Zuber (HCIZ) integrals in the extensive-rank regime. The limit of these integrals is governed by a one-dimensio…
math.PR2023★ 1 cited
Fitting an ellipsoid to a quadratic number of random points
Afonso S. Bandeira, Antoine Maillard, Shahar Mendelson +1
We consider the problem of fitting standard Gaussian random vectors in to the boundary of a centered ellipsoid, as . This problem…