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Universality in numerical computations with random data
Percy A Deift1, Govind Menon2, Sheehan Olver3
1Courant Institute, New York University, New York, NY 10012; deift@cims.nyu.edu.
Abstract:
The authors present evidence for universality in numerical computations with random data. Given a (possibly stochastic) numerical algorithm with random input data, the time (or number of iterations) to convergence (within a given tolerance) is a random variable, called the halting time. Two-component universality is observed for the fluctuations of the halting time--i.e., the histogram for the halting times, centered by the sample average and scaled by the sample variance, collapses to a universal curve, independent of the input data distribution, as the dimension increases. Thus, up to two components--the sample average and the sample variance--the statistics for the halting time are universally prescribed. The case studies include six standard numerical algorithms as well as a model of neural computation and decision-making. A link to relevant software is provided for readers who would like to do computations of their own.
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