Factored up Ginibre random matrix ensembles

Author: jiahao

LICENSE.md

@@ -0,0 +1,22 @@
+The RandomMatrices Julia module is licensed under the MIT License:
+
+> Copyright (c) 2013: Jiahao Chen, Alan Edelman and Jameson Nash
+>
+> Permission is hereby granted, free of charge, to any person obtaining
+> a copy of this software and associated documentation files (the
+> "Software"), to deal in the Software without restriction, including
+> without limitation the rights to use, copy, modify, merge, publish,
+> distribute, sublicense, and/or sell copies of the Software, and to
+> permit persons to whom the Software is furnished to do so, subject to
+> the following conditions:
+>
+> The above copyright notice and this permission notice shall be
+> included in all copies or substantial portions of the Software.
+>
+> THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+> EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
+> MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+> NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
+> LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
+> OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
+> WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

REQUIRE

@@ -1,3 +1,4 @@
+julia 0.2-
 Catalan
 Distributions
 GSL

VERSION

@@ -0,0 +1 @@
+0.2

src/Ginibre.jl

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+export rand, Ginibre
+import Base.rand
+
+#Samples a matrix from the Ginibre ensemble
+#This ensemble lives in GL(N, F), the set of all invertible N x N matrices
+#over the field F
+#For beta=1,2,4, F=R, C, H respectively
+immutable Ginibre <: ContinuousMatrixDistribution
+   beta::Float64
+   N::Integer
+end
+
+function rand(W::Ginibre)
+    if beta==1
+        randn(n,n)
+    elseif beta==2
+        randn(n,n)+im*randn(n,n)
+    elseif beta==4
+        Q0=randn(n,n)
+        Q1=randn(n,n)
+        Q2=randn(n,n)
+        Q3=randn(n,n)
+        [Q0+im*Q1 Q2+im*Q3;-Q2+im*Q3 Q0-im*Q1]
+    else 
+        error(string("beta = ", beta, " not implemented"))
+    end
+end
+
+function jpdf{z<:Complex}(Z::AbstractMatrix{z})
+    pi^(size(Z,1)^2)*exp(-trace(Z'*Z))
+end
+
+#Dyson Circular orthogonal, unitary and symplectic ensembles
+immutable CircularOrthogonal
+    N :: Int64
+end
+
+function rand(M::CircularOrthogonal)
+    U = rand(Ginibre(2, M.N))
+    U * U'
+end
+
+immutable CircularUnitary
+    N :: Int64
+end
+
+rand(M::CircularUnitary) = rand(Ginibre(2, M.N))
+
+immutable CircularSymplectic
+    N :: Int64
+end
+
+rand(M::CircularSymplectic) = error("Not implemented")
+

src/HaarMeasure.jl

@@ -1,5 +1,4 @@
-export rand, Ginibre, NeedPiecewiseCorrection, jpdfGinibre,
-    CircularOrthogonal, CircularUnitary, CircularSymplectic
+export rand, NeedPiecewiseCorrection
 import Base.rand
 
 # Computes samplex of real or complex Haar matrices of size nxn
@@ -66,57 +65,6 @@ function NeedPiecewiseCorrection()
 end
 
 
-#Samples a matrix from the Ginibre ensemble
-#This ensemble lives in GL(N, F), the set of all invertible N x N matrices
-#over the field F
-#For beta=1,2,4, F=R, C, H respectively
-immutable Ginibre <: ContinuousMatrixDistribution
-   beta::Float64
-   N::Integer
-end
-
-function rand(W::Ginibre)
-    if beta==1
-        randn(n,n)
-    elseif beta==2
-        randn(n,n)+im*randn(n,n)
-    elseif beta==4
-        Q0=randn(n,n)
-        Q1=randn(n,n)
-        Q2=randn(n,n)
-        Q3=randn(n,n)
-        [Q0+im*Q1 Q2+im*Q3;-Q2+im*Q3 Q0-im*Q1]
-    else 
-        error(string("beta = ", beta, " not implemented"))
-    end
-end
-
-function jpdfGinibre{z<:Complex}(Z::AbstractMatrix{z})
-    pi^(size(Z,1)^2)*exp(-trace(Z'*Z))
-end
-
-#Dyson Circular orthogonal, unitary and symplectic ensembles
-immutable CircularOrthogonal
-    N :: Int64
-end
-
-function rand(M::CircularOrthogonal)
-    U = rand(Ginibre(2, M.N))
-    U * U'
-end
-
-immutable CircularUnitary
-    N :: Int64
-end
-
-rand(M::CircularUnitary) = rand(Ginibre(2, M.N))
-
-immutable CircularSymplectic
-    N :: Int64
-end
-
-rand(M::CircularSymplectic) = error("Not implemented")
-
 #TODO maybe, someday
 #Haar measure on U(N) in terms of local coordinates
 #Zyczkowski and Kus, Random unitary matrices, J. Phys. A: Math. Gen. 27,