Random matrix theory. (English) Zbl 1162.15014
Summary: Random matrix theory is now a big subject with applications in many disciplines of science, engineering and finance. This article is a survey specifically oriented towards the needs and interests of a numerical analyst. This survey includes some original material not found anywhere else. We include the important mathematics which is a very modern development, as well as the computational software that is transforming the theory into useful practice.
MSC:
15B52 | Random matrices (algebraic aspects) |
15-02 | Research exposition (monographs, survey articles) pertaining to linear algebra |
65F30 | Other matrix algorithms (MSC2010) |
65Y15 | Packaged methods for numerical algorithms |