RANDOM_MATRIX_EIGENVALUES
NAS Parallel Benchmark Pseudorandom Number Generator

RANDOM_MATRIX_EIGENVALUES, a Python library which demonstrates how, for certain probability density functions (PDF's), a symmetric matrix with entries sampled from that PDF will have eigenvalues distributed according to Wigner's semicircle distribution.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

RANDOM_MATRIX_EIGENVALUES is available in a Python version.

Related Data and Programs:

Reference:

1. John D Cook, Heavy-tailed random matrices, https://www.johndcook.com/blog/

Source Code:

• random_matrix_eigenvalues.py, the source code.
• random_matrix_eigenvalues.sh, runs all the tests.
• random_matrix_eigenvalues.txt, the output file.

You can go up one level to the Python source codes.