NMAK21007U Random Matrices

Volume 2021/2022

MSc Mathematics

MSc Mathematics with a minor subject


The theory of random matrices has its origin in applications in mathematical statistics and nuclear physics in the first half of the 20th century. It has become a paradigm for the study of high dimensional non-commutative disordered systems that connects numerous subfields of mathematics and physics, such as probability theory, high dimensional analysis, combinatorics, quantum and statistical physics with diverse applications e.g. to communication theory, condensed matter and high energy physics, number theory and neural networks.

We will provide an introduction to random matrices and learn basic concepts and techniques that are used to analyze them. In particular, we will introduce prominent models such as the Gaussian Unitary Ensemble, Invariant Ensembles and Wigner matrices. We will show that despite having random entries their spectral densities become approximately deterministic with increasing dimension and we will study fine details of their eigenvalue distributions. We will interpret the eigenvalues as an interacting particle system (Dyson Brownian motion) and show that its fast approach to local equilibrium implies universal spectral statistics across a wide range of random matrix models, one of the hallmarks of the theory. Finally we will discuss applications.

Learning Outcome


  • Concepts and techniques of high dimensional analysis

  • Classical random matrix models

  • Limit theorems for eigenvalues



  • Ability to identify relevant observables of matrix spectra.

  • Use of advanced mathematical tools (resolvent techniques, moment method, Dyson Brownian motion) to access such observables.

  • To rigorously prove limit theorems in high dimensional interacting systems.



  • To understand and analyze spectral properties (eigenvalues and eigenvectors) of high dimensional random matrices.
Standard knowledge in Analysis and Linear Algebra. Basic knowledge of Probability Theory is recommended.
5 hours of lectures and 3 hours of exercises per week for 7 weeks.
- accessible also to students of physics
  • Category
  • Hours
  • Lectures
  • 35
  • Preparation
  • 149
  • Exercises
  • 21
  • Exam
  • 1
  • Total
  • 206
7,5 ECTS
Type of assessment
Oral examination, 30 min under invigilation
An oral examination without preparation time.
Exam registration requirements

To participate in the exam 5-7 compulsory assignments given during the course must be approved and valid.

Without aids
Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners

The same as the ordinary exam. 

If the compulsory assignments were not approved during the course, they must be handed in and approved no later than three weeks before the beginning of the reexamination week.

Criteria for exam assesment

See learning outcome.