On the Cartan decomposition for classical random matrix ensembles

Abstract

We complete Dyson’s dream by cementing the links between symmetric spaces and classical random matrix ensembles. Previous work has focused on a one-to-one correspondence between symmetric spaces and many but not all of the classical random matrix ensembles. This work shows that we can completely capture all of the classical random matrix ensembles from Cartan’s symmetric spaces through the use of alternative coordinate systems. In the end, we have to let go of the notion of a one-to-one correspondence. We emphasize that the KAK decomposition traditionally favored by mathematicians is merely one coordinate system on the symmetric space, albeit a beautiful one. However, other matrix factorizations, especially the generalized singular value decomposition from numerical linear algebra, reveal themselves to be perfectly valid coordinate systems that one symmetric space can lead to many classical random matrix theories. We establish the connection between this numerical linear algebra viewpoint and the theory of generalized Cartan decompositions. This, in turn, allows us to produce yet more random matrix theories from a single symmetric space. Yet, again, these random matrix theories arise from matrix factorizations, though ones that we are not aware have appeared in the literature.