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Random matrix theory. (English) Zbl 1162.15014

Summary: Random matrix theory is now a big subject with applications in many disciplines of science, engineering and finance. This article is a survey specifically oriented towards the needs and interests of a numerical analyst. This survey includes some original material not found anywhere else. We include the important mathematics which is a very modern development, as well as the computational software that is transforming the theory into useful practice.

MSC:

15B52 Random matrices (algebraic aspects)
15-02 Research exposition (monographs, survey articles) pertaining to linear algebra
65F30 Other matrix algorithms (MSC2010)
65Y15 Packaged methods for numerical algorithms
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