Acta Numerica



Random matrix theory


Alan Edelman a1 and N. Raj Rao a2
a1 Department of Mathematics, Massachusetts Institute of Technology, Cambridge, MA 02139, USA, E-mail: edelman@math.mit.edu
a2 Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology, Cambridge, MA 02139, USA, E-mail: raj@mit.edu

Article author query
edelman a   [Google Scholar] 
rao nr   [Google Scholar] 
 

Abstract

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.