Alan Edelman a1andN. Raj Rao a2 a1 Department of Mathematics, Massachusetts Institute of Technology, Cambridge, MA 02139, USA, E-mail: email@example.com a2 Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology, Cambridge, MA 02139, USA, E-mail: firstname.lastname@example.org
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.