Eigenvalues of Random Matrices with Generalized Correlations: A Path Integral Approach

Random matrix theory allows one to deduce the eigenvalue spectrum of a large matrix given only statistical information about its elements. Such results provide insight into what factors contribute to the stability of complex dynamical systems. In this Letter, we study the eigenvalue spectrum of an ensemble of random matrices with correlations between any pair of elements. To this end, we introduce an analytical method that maps the resolvent of the random matrix onto the response functions of a linear dynamical system. The response functions are then evaluated using a path integral formalism, enabling us to make deductions about the eigenvalue spectrum. Our central result is a simple, closed-form expression for the leading eigenvalue of a large random matrix with generalized correlations. This formula demonstrates that correlations between matrix elements that are not diagonally opposite, which are often neglected, can have a significant impact on stability.

Automated summary

This article introduces the application of random matrix theory in deducing the eigenvalue spectrum of large matrices. By introducing an analytical method, the authors successfully studied the eigenvalue spectrum of random matrices with correlations and obtained a simple expression for the leading eigenvalue. The research results demonstrate that correlations between non-diagonal matrix elements have a significant impact on stability.