2010/03/31 by Mark Rudelson, Roman Vershynin · 1 citation
Mathematics · #math.FA #math.PR #msc:46B09 #msc:60B20
published as Proceedings of the International Congress of Mathematicians. Volume III, 1576--1602, Hindustan Book Agency, New Delhi, 2010 · Submission for ICM 2010. Some typographic corrections made
arxiv created 2010/04/07 · arxiv updated 2014/03/05
The classical random matrix theory is mostly focused on asymptotic spectral properties of random matrices as their dimensions grow to infinity. At the same time many recent applications from convex geometry to functional analysis to information theory operate with random matrices in fixed dimensions. This survey addresses the non-asymptotic theory of extreme singular values of random matrices with independent entries. We focus on recently developed geometric methods for estimating the hard edge of random matrices (the smallest singular value).