Title: Invertibility and condition number of sparse random matrices
Speaker: Anirban Basak (Weizmann Institute of Science, Israel)
Date: 05 October 2017
Time: 4 pm
Venue: LH-1, Mathematics Department

I will describe our work that establishes (akin to) von Neumann’s conjecture on condition number, the ratio of the largest and the smallest singular values, for sparse random matrices. Non-asymptotic bounds on the extreme singular values of large matrices have numerous uses in the geometric functional analysis, compressed sensing, and numerical linear algebra. The condition number often serves as a measure of stability for matrix algorithms. Based on simulations von Neumann and his collaborators conjectured that the condition number of a random square matrix of dimension $n$ is $O(n)$. During the last decade, this conjecture was proved for dense random matrices.

Sparse matrices are abundant in statistics, neural networks, financial modeling, electrical engineering, and wireless communications. Results for sparse random matrices have been unknown and requires completely new ideas due to the presence of a large number of zeros. We consider a sparse random matrix with entries of the form $\xi_{i,j} \delta_{i,j}, \, i,j=1,\ldots,n$, such that $\xi_{i,j}$ are i.i.d. with zero mean and unit variance and $\delta_{i,j}$ are i.i.d. Ber$(p_n)$, where $p_n \downarrow 0$ as $n \to \infty$. For $p_n < \frac{\log n}{n}$, this matrix becomes non-invertible, and hence its condition number equals infinity, with probability tending to one. In this talk, I will describe our work showing that the condition number of such sparse matrices (under certain assumptions on the moments of $\{\xi_{i,j}\}$) is $O(n^{1+o(1)})$ for all $p_n > \frac{\log n}{n}$, with probability tending to one, thereby establishing the optimal analogous version of the von Neumann’s conjecture on condition number for sparse random matrices.

This talk is based on a sequence of joint works with Mark Rudelson.

Contact: +91 (80) 2293 2711, +91 (80) 2293 2625
E-mail: chairman.math[at]iisc[dot]ac[dot]in