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math-ph2014★ 2 cited
Sampling unitary invariant ensembles
Sheehan Olver, Raj Rao Nadakuditi, Thomas Trogdon
We develop an algorithm for sampling from the unitary invariant random matrix ensembles. The algorithm is based on the representation of their eigenvalues as a determinantal point…
math-ph2012
Numerical solution of Riemann--Hilbert problems: random matrix theory and orthogonal polynomials
Sheehan Olver, Thomas Trogdon
In recent developments, a general approach for solving Riemann--Hilbert problems numerically has been developed. We review this numerical framework, and apply it to the calculation…
math-ph2011
Numerical study of higher order analogues of the Tracy-Widom distribution
Tom Claeys, Sheehan Olver
We study a family of distributions that arise in critical unitary random matrix ensembles. They are expressed as Fredholm determinants and describe the limiting distribution of the…