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The exact distribution of the condition number of complex random matrices
Lin Shi1, Taibin Gan2, Hong Zhu1
1School of Automation Engineering, University of Electronic Science and Technology of China, Chengdu, Sichuan 611731, China.
Abstract:
Let G(m×n) (m ≥ n) be a complex random matrix and W = G(m×n)(H)G(m×n) which is the complex Wishart matrix. Let λ1 > λ2 > …>λn > 0 and σ1 > σ2 > …>σn > 0 denote the eigenvalues of the W and singular values of G(m×n), respectively. The 2-norm condition number of G(m×n) is k2(G(m×n)) = √(λ1/λn) =σ1/σn. In this paper, the exact distribution of the condition number of the complex Wishart matrices is derived. The distribution is expressed in terms of complex zonal polynomials.
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