arXiv subjects

Benoît Collins

Publications and source records attributed to Benoît Collins.

43 records · Page 3Linked to original sources

arXiv2013

Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation

In this paper, we obtain a property of the expectation of the inverse of compound Wishart matrices which results from their orthogonal invariance. Using this property as well as results from random matrix theory (RMT), we derive the asymptotic effect of the noise induced by estimating the covariance matrix on computing the risk of the optimal portfolio. This in turn enables us to get an asymptotically unbiased estimator of the risk of the optimal portfolio not only for the case of independent observations but also in the case of correlated observations. This improvement provides a new approach to estimate the risk of a portfolio based on covariance matrices estimated from exponentially weighted moving averages of stock returns.

q-fin.RM↗

arXiv2012

Gaussianization and eigenvalue statistics for random quantum channels (III)

In this paper, we present applications of the calculus developed in Collins and Nechita [Comm. Math. Phys. 297 (2010) 345-370] and obtain an exact formula for the moments of random quantum channels whose input is a pure state thanks to Gaussianization methods. Our main application is an in-depth study of the random matrix model introduced by Hayden and Winter [Comm. Math. Phys. 284 (2008) 263-280] and used recently by Brandao and Horodecki [Open Syst. Inf. Dyn. 17 (2010) 31-52] and Fukuda and King [J. Math. Phys. 51 (2010) 042201] to refine the Hastings counterexample to the additivity conjecture in quantum information theory. This model is exotic from the point of view of random matrix theory as its eigenvalues obey two different scalings simultaneously. We study its asymptotic behavior and obtain an asymptotic expansion for its von Neumann entropy.

quant-ph↗

arXiv2012

Dimensions of components of tensor products of the linear groups representations with applications to Beurling-Fourier algebras

We give universal upper bounds on the relative dimensions of isotypic components of a tensor product of the linear group GL(n) representations and universal upper bounds on the relative dimensions of irreducible components of a tensor product of the special linear group SL(n) representations. This problem is motivated by harmonic analysis problems, and we give some applications of this result in the theory of Beurling-Fourier algebras.

math.RT↗

arXiv2009

Random quantum channels II: Entanglement of random subspaces, Renyi entropy estimates and additivity problems

In this paper we obtain new bounds for the minimum output entropies of random quantum channels. These bounds rely on random matrix techniques arising from free probability theory. We then revisit the counterexamples developed by Hayden and Winter to get violations of the additivity equalities for minimum output Rényi entropies. We show that random channels obtained by randomly coupling the input to a qubit violate the additivity of the $p$-Rényi entropy. For some sequences of random quantum channels, we compute almost surely the limit of their Schatten $S_1 \to S_p$ norms.

math.PR↗

arXiv2009

Random quantum channels I: graphical calculus and the Bell state phenomenon

This paper is the first of a series where we study quantum channels from the random matrix point of view. We develop a graphical tool that allows us to compute the expected moments of the output of a random quantum channel. As an application, we study variations of random matrix models introduced by Hayden \cite{hayden}, and show that their eigenvalues converge almost surely. In particular we obtain for some models sharp improvements on the value of the largest eigenvalue, and this is shown in a further work to have new applications to minimal output entropy inequalities.

quant-ph↗

arXiv2009

On some properties of orthogonal Weingarten functions

We give a Fourier-type formula for computing the orthogonal Weingarten formula. The Weingarten calculus was introduced as a systematic method to compute integrals of polynomials with respect to Haar measure over classical groups. Although a Fourier-type formula was known in the unitary case, the orthogonal counterpart was not known. It relies on the Jack polynomial generalization of both Schur and zonal polynomials. This formula substantially reduces the complexity involved in the computation of Weingarten formulas. We also describe a few more new properties of the Weingarten formula, state a conjecture and give a table of values.

math-ph↗

arXiv2008

Borel theorems for random matrices from the classical compact symmetric spaces

We study random vectors of the form $(\operatorname {Tr}(A^{(1)}V),...,\operatorname {Tr}(A^{(r)}V))$, where $V$ is a uniformly distributed element of a matrix version of a classical compact symmetric space, and the $A^{(ν)}$ are deterministic parameter matrices. We show that for increasing matrix sizes these random vectors converge to a joint Gaussian limit, and compute its covariances. This generalizes previous work of Diaconis et al. for Haar distributed matrices from the classical compact groups. The proof uses integration formulas, due to Collins and Śniady, for polynomial functions on the classical compact groups.

math.PR↗