Slide 1 The “New” matrix statistics of Random Matrix Theory and the Julia Programming Language Alan Edelman Mathematics Computer Science & AI Labs IMS/ASA.

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Presentation transcript:

Slide 1 The “New” matrix statistics of Random Matrix Theory and the Julia Programming Language Alan Edelman Mathematics Computer Science & AI Labs IMS/ASA 2012 June 15, 2012 Harvard

Slide 2 Two Hot Technologies Worth Knowing About

Slide 3 An Applied Mathematician’s Perspective on Random Matrix Theory Textbook statistics is traditionally scalar and vector statistics (univariate/multivariate) “Random Matrix Theory” is matrix statistics: – Really a combination of new and relatively new ideas that are anything but generalizations of the old ways – Finding new applications in entirely new fields every day (Hint: your field too! You might be the first)

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Slide 11 Early View of RMT Heavy atoms too hard. Let’s throw up our hands and pretend energy levels come from a random matrix Our view Randomness is a structure! A NICE STRUCTURE!!!! Think sampling elections, central limit theorems, self-organizing systems, randomized algorithms,…

Slide 12 The Marcenko-Pastur Law The density of the singular values of a normalized rectangular random matrix with aspect ratio r and iid elements (in the infinite limit, etc.)

Slide 13 Covariance Matrix Estimation: Source:

Slide 14 Hot off the presses HED: New technique allows simulation of non- crystalline materials DEK: Multidisciplinary team develops mathematical approach that could help in simulating materials for solar cells and LEDs. BYLINE: David L. Chandler, MIT News Office

Slide 15 Part 2: Julia Stereotypes: – MATLAB® is for engineers – R is for statisticians – Python is for young people – Mathematica® is for physicists – Maple® is for mathematicians – French was designed for French people – Spanish was designed for Spanish people

Slide 16 “Disconnected” Technical Computing World Desktop ProductivitySupercomputer Power Cloud Potential

Slide 17 “Disconnected” Technical Computing World Desktop ProductivitySupercomputer Power Cloud Potential Easy on Humans Non-Expert Users Interface to vast libraries  Desktop Performance  Deep Chasm to cross The Village The Market The Availability The Raw Power  Hard on Humans  Software

Slide 18 Julia Announced this year: – Jeff Bezanson, Stefan Karpinski, Viral Shah, AE “Convenience is winning”: Jeff Bezanson Solves the “Two Language” Technical Computing Problem: – Scripting in one language – Other Languages needed for Blockbuster subroutines Performance/Deployment Vibrant Development Community Flexible Parallelism Poised for Big Data Science and national agencies increasingly demand Open Source  Trend will likely continue

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Slide 20 Two New Technologies Random Matrix Theory Julia