Abstract
We consider the ensemble of real Ginibre matrices conditioned to have positive fraction \(\alpha >0\) of real eigenvalues. We demonstrate a large deviations principle for the joint eigenvalue density of such matrices and introduce a two phase log-gas whose stationary distribution coincides with the spectral measure of the ensemble. Using these tools we provide an asymptotic expansion for the probability \(p^n_{\alpha n}\) that an \(n\times n\) Ginibre matrix has \(k=\alpha n\) real eigenvalues and we characterize the spectral measures of these matrices.
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Notes
For the sake of completeness, we recall that the distance between two probability measures \((\mu ,\nu )\) on \(\mathbbm {C}\) is defined as:
$$\begin{aligned} d_L(\mu ,\nu )=\inf \left\{ \delta >0\,;\,\mu (A)\le \nu (A^\delta ) \text{ and } \nu (A)\le \mu (A^\delta )\quad \forall A\in \mathcal {B}(\mathbb {C})\right\} \end{aligned}$$where \(\mathcal {B}(\mathbb {C}\) is the Borel algebra of \(\mathbbm {C}\) and for \(A\in \mathcal {B}(\mathbbm {C})\), \(A^\delta =\{x;d(x,A)\le \delta \}\).
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Acknowledgments
We thank an anonymous referee for his suggestions on the proof of Theorem 1.
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Appendices
Appendix
Monte Carlo Algorithm for the Eigenvalues
An efficient method to approximate numerically the minimizer \(\mu _{\alpha }\) and the probability distribution of the proportion of real eigenvalues is to use the Metropolis–Hastings Monte Carlo algorithm. This method consists in constructing an ergodic Markov chain whose stationary distribution is given by (1). Here, we evolve a n-particles system \(z_t\), but in contrast to the log-gas, the dynamics is now discrete, and the transition probability is based on the pdf (1): a new configuration \(z^*\) is drawn by modifying one of the eigenvalues at random and the Markov chain has a transition towards \(z^*\) if \(Q^n(z^*)>Q^n(z_t)\), and otherwise according to a Bernoulli variable of parameter \(\frac{Q^n(z^*)}{Q^n(z_t)}\).
When conditioning on very rare events, (here for instance, a fixed number of real eigenvalues), cases satisfying the constraints have an extremely low probability of being explored, and more refined methods need to be developed in order to access these probabilities. In the present case, the problem is considerably simplified since we dispose of an explicit form of the distribution of the eigenvalues under our constraint. Indeed, the joint probability distribution of Ginibre matrices of size n constrained on having k real eigenvalues \((\lambda _i\;;\; i=1\ldots k)\) (and therefore \(l=(n-k)/2\) pairs of complex eigenvalues \((z_i, i=1\ldots n-k)\)) is given by:
where the coefficient \(C_n\) can be found in [14].
Classical Metropolis–Hastings algorithm with Gaussian transitions preserving the nature of the system therefore allow to access directly the distribution of eigenvalues and the probability p(n, k) of the event considered.
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del Molino, L.C.G., Pakdaman, K., Touboul, J. et al. The Real Ginibre Ensemble with \(k=O(n)\) Real Eigenvalues. J Stat Phys 163, 303–323 (2016). https://doi.org/10.1007/s10955-016-1485-0
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DOI: https://doi.org/10.1007/s10955-016-1485-0