Gumbel central limit theorem for max-min and min-max

Iddo Eliazar, Ralf Metzler, Shlomi Reuveni

Research output: Contribution to journalArticlepeer-review

Abstract

The max-min and min-max of matrices arise prevalently in science and engineering. However, in many real-world situations the computation of the max-min and min-max is challenging as matrices are large and full information about their entries is lacking. Here we take a statistical-physics approach and establish limit laws - akin to the central limit theorem - for the max-min and min-max of large random matrices. The limit laws intertwine random-matrix theory and extreme-value theory, couple the matrix dimensions geometrically, and assert that Gumbel statistics emerge irrespective of the matrix entries' distribution. Due to their generality and universality, as well as their practicality, these results are expected to have a host of applications in the physical sciences and beyond.

Original languageEnglish
Article number020104
JournalPhysical Review E
Volume100
Issue number2
DOIs
StatePublished - 21 Aug 2019

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