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Course Description

The focus of this semester will be on the mathematics of finite random matrices.

We will learn about the tools such as the matrix calculus, matrix jacobians, matrix integrals, Wishart matrices, multivariate and univariate orthogonal polynomials used to characterize finite random matrices.

We will also showcase state-of-the-art software toolboxes that, for the first time, have made applying random matrix theory to practical problems much easier.

We will also discuss applications of these techniques to problems in wireless communications, array signal processing, financial portfolio optimization, and statistical physics.

Additional topics will be decided based on the interests of the students. No particular prerequisites are needed though a proficiency in linear algebra and basic probability will be assumed. A familiarity with MATLAB will also be useful.

Meeting schedule and location

Course Calendar and Reading list

Handouts and MATLAB code used in class

Comments to Teaching Staff

Interesting Papers

Interested in Participating?