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Øyvind Ryan
December 2007
as n → ∞.
Divisibility: For a given a, find i.i.d. b1 , ..., bn such that
fa = fb1 +···+bn .
Free probability
0.8
0.6
0.4
0.2
−0.2
−0.4
−0.6
−0.8
−1
−1 −0.5 0 0.5 1
35
30
25
20
15
10
0
−3 −2 −1 0 1 2 3
A = (1/sqrt(2000)) * (randn(1000,1000) +
j*randn(1000,1000));
A = (sqrt(2)/2)*(A+A’);
hist(eig(A),40)
Øyvind Ryan Applications of free probability and random matrix theory
CMA 2007 Applications of free probability and random matrix theory
1.6
c=0.5
c=0.2
1.4 c=0.1
c=0.05
1.2
1
Density
0.8
0.6
0.4
0.2
0
0.5 1 1.5 2 2.5 3
E |x|2p = p!.
Definition of freeness
Definition
A family of unital ∗-subalgebras (Ai )i ∈I is called a free family if
aj ∈ Aij
i1 6= i2 , i2 6= i3 , · · · , in−1 6= in ⇒ φ(a1 · · · an ) = 0. (2)
φ(a1 ) = φ(a2 ) = · · · = φ(an ) = 0
Theorem
If
a1 , ..., an are free and self-adjoint,
φ(ai ) = 0,
φ(ai2 = 1,
supi |φ(aik )| < ∞ for all k,
√
then the sequence (a1 + · · · + an )/ n converges in distribution to
the semicircle law.
In free probability, the semicircle law thus
√ has the role of the
1
Gaussian law. it’s density is density 2π 4 − x 2
where
n is the number of receiving and transmitting antennas,
Ĥi is the n × n measured MIMO matrix,
H is the n × n MIMO channel and
Xi is the n × n noise matrix with i.i.d zero mean unit variance
Gaussian entries.
Observation model
Using free probability, one can with high accuracy estimate the
eigenvalues of n1 HHH from the eigenvalues of Ĥ1...LĤH
1...L .
3.5
True capacity, rank 3
Cf, rank 3
Capacity
1.5
0 10 20 30 40 50 60 70 80 90 100
Number of observations
Application areas
digital communications,
nuclear physics,
mathematical finance
Situations in these fields, can often be modelled with random
matrices. When the matrices get large, free probability theory is an
invaluable tool for describing the asymptotic behaviour of many
systems.
Other types of matrices which are of interest are random unitary
matrices and random Vandermonde matrices.
List of papers
Free Deconvolution for Signal Processing Applications.
Submitted to IEEE Trans. Inform. Theory.
arxiv.org/cs.IT/0701025.
Multiplicative free Convolution and Information-Plus-Noise
Type Matrices. Submitted to Ann. Appl. Probab.
arxiv.org/math.PR/0702342.
Channel Capacity Estimation using Free Probability Theory.
Submitted to IEEE. Trans. Signal Process.
arxiv.org/abs/0707.3095.
Random Vandermonde Matrices-Part I: Fundamental results.
Work in progress.
Random Vandermonde Matrices-Part II: Applications to
wireless applications. Work in progress.
Applications of free probability in finance. Estimation of the
covariance matrix itself (not only it’s eigenvalue distribution).
2008.
Øyvind Ryan Applications of free probability and random matrix theory
CMA 2007 Applications of free probability and random matrix theory
References