Monotonicity of the logarithmic energy for random matrices

Djalil Chafaï, Benjamin Dadoun, Pierre Youssef

Research output: Contribution to journalArticlepeer-review

Abstract

It is well known that the semi-circle law, which is the limiting distribution in the Wigner theorem, is the minimizer of the logarithmic energy penalized by the second moment. A very similar fact holds for the Girko and Marchenko-Pastur theorems. In this work, we shed the light on an intriguing phenomenon suggesting that this functional is monotonic along the mean empirical spectral distribution in terms of the matrix dimension. This is reminiscent of the monotonicity of the Boltzmann entropy along the Boltzmann equation, the monotonicity of the free energy along ergodic Markov processes, and the Shannon monotonicity of entropy or free entropy along the classical or free central limit theorem. While we only verify this monotonicity phenomenon for the Gaussian unitary ensemble, the complex Ginibre ensemble, and the square Laguerre unitary ensemble, numerical simulations suggest that it is actually more universal. We obtain along the way explicit formulas of the logarithmic energy of the models which can be of independent interest.

Original languageEnglish (US)
Article number2450008
JournalRandom Matrices: Theory and Application
Volume13
Issue number2
DOIs
StatePublished - Apr 1 2024

Keywords

  • Random matrices
  • entropy
  • logarithmic energy
  • variational analysis

ASJC Scopus subject areas

  • Algebra and Number Theory
  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Discrete Mathematics and Combinatorics

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