Fifty years of KdV: An Integrable System III
Speaker:
Percy Deift, Courant Institute, NYU
Date and Time:
Thursday, August 10, 2017 - 4:00pm to 5:00pm
Location:
Fields Institute, Room 230
Abstract:
Eigenvalue algorithms such as QR are completely integrable systems. Random matrix theory is integrable in the sense that key statistics are described by Painleve functions, which are themselves solutions of integrable Hamiltonian systems. What happens if we combine these two integrabilities and consider the computation of the eigenvalues of a random matrix? More generally, what about other standard numerical algorithms applied to random data?