Sampling the eigenvalues of random orthogonal and unitary matrices

  title={Sampling the eigenvalues of random orthogonal and unitary matrices},
  author={Massimiliano Fasi and Leonardo Robol},
We develop an efficient algorithm for sampling the eigenvalues of random matrices distributed according to the Haar measure over the orthogonal or unitary group. Our technique samples directly a factorization of the Hessenberg form of such matrices, and then computes their eigenvalues with a tailored core-chasing algorithm. This approach requires a number of floating-point operations that is quadratic in the order of the matrix being sampled, and can be adapted to other matrix groups. In… Expand

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