RMTool - A Random Matrix Calculator in MATLAB

Description

RMTool is a simple MATLAB Symbolic Toolbox based code for computing the spectral measure of random matrices using free probability. A description of the mathematical principles underlying this program is provided in our preprint submitted to the Foundations of Computational Mathematics Journal, see documentation below.

Our aim with this code is simplicity, so that everyone can understand the code and modify it according to their needs. The code is not entirely robust (that is, one can construct pathologically difficult cases where the computations are highly inefficient).

To use the code, simply download it from below and run it from MATLAB. For a quick demonstration, consult the users guide for a short demo.

Update: Version 1.0 has been posted as of January 31.

Download

• RMTool ver 1.0 Additional updates are forthcoming
  


• RMTool addons: Commutator Coming February, 2006 (eigenvectors, singular values)

Documentation

• N. Raj Rao, Alan Edelman, The polynomial method for random matrices.
  Submitted to the Foundations of Computation Mathematics journal
  


• Users guide (Download software above)