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Mathematics
On random weighted sum of positive semi-definite matrices
T. V. Galstyan, А. G. Minasyan Yerevan State University
Abstract:
Let A1,…,AnA1,…,An be fixed positive semi-definite matrices, i.e. Ai∈S+p(R)∀i∈{1,…,n} and u1,…,un are i.i.d. with ui∼N(1,1). Then, the object of our interest is the following probability
P(n∑i=1uiAi∈S+p(R)).
In this paper we examine this quantity for pairwise commutative matrices. Under some generic assumption about the matrices we prove that the weighted sum is also positive semi-definite with an overwhelming probability. This probability tends to 1 exponentially fast by the growth of number of matrices n and is a linear function with respect to the matrix dimension p.
Received: 27.02.2020 Revised: 20.05.2020 Accepted: 17.08.2020
Citation:
T. V. Galstyan, А. G. Minasyan, “On random weighted sum of positive semi-definite matrices”, Proceedings of the YSU, Physical and Mathematical Sciences, 54:2 (2020), 96–100
Linking options:
https://www.mathnet.ru/eng/uzeru710 https://www.mathnet.ru/eng/uzeru/v54/i2/p96
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Abstract page: | 107 | Full-text PDF : | 49 | References: | 23 |
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