The Characteristic Polynomial of a Random Permutation Matrix

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1 The Characteristic Polynomial of a Random Permutation Matrix B.M. Hambly,, Peter Keevash 3, Neil O'Connell, Dudley Stark Basic Research Institute in the Mathematical Sciences HP Laboratories Bristol HPL-BRIMS-- 7 th January, * random matrix theory, characteristic polynomial permutations, central limit theorem We establish a central limit theorem for the logarithm of the characteristic polynomial of a random permutation matrix. With this result we can obtain a central limit theorem for the counting function for the eigenvalues lying in some interval on the unit circle. BRIMS, Hewlett-Packard Labs, Bristol, BS34 8QZ, UK Department of Mathematics, University of Bristol, University Walk, Bristol, BS8 TW, UK 3 Department of Pure Mathematics and Mathematical Statistics University of Cambridge, CB SB, UK Internal Accession Date Only Copyright Hewlett-Packard Company

2 The characteristic polynomial of a random permutation matrix B. M. Hambly, Peter Keevash 3, Neil O'Connell and Dudley Stark BRIMS, Hewlett-Packard Labs Bristol, BS34 8QZ, UK Department of Mathematics, University of Bristol University Walk, Bristol, BS8 TW, UK 3 Department of Pure Mathematics and Mathematical Statistics University of Cambridge, 6 Mill Lane, Cambridge, CB SB, UK Abstract We establish a central limit theorem for the logarithm of the characteristic polynomial of a random permutation matrix. With this result we can obtain a central limit theorem for the counting function for the eigenvalues lying in some interval on the unit circle. Introduction and summary The spectral properties of random matrices have received a lot of attention in recent years, and this is largely due to the striking (statistical) similarity between eigenvalue distributions of certain random matrices and the distribution of the zeros of the Riemann zeta function along the critical line. This similarity was rst observed by Montgomery [6] (through conversations with Freeman Dyson in the early 97's) and has since been supported by various numerical and analytic results (see, for example, [7, 8, 3]). Most of this work has focused on random matrices with continuous distributions, such as Haar measure on the unitary group (the CUE ensemble) or random hermitian matrices with complex iid Gaussian entries (the GUE ensemble). The discrete analogue of the unitary group is the symmetric group. The spectrum of a permutation matrix is completely determined by the cycle structure of the corresponding permutation, and the cycle structure of random permutations is very well understood. In both cases all of the eigenvalues lie on the unit circle. One might expect the spectrum of a random permutation matrix to look very dierent from that of a random unitary matrix, and indeed it does,

3 but in many respects it is surprisingly similar. This was rst observed in the PhD thesis of Wieand [] (see also []) where it is shown that the order of the uctuations for the number of eigenvalues in a (nice) subset of the circle is the same as in the unitary case. The main result of this paper is that a similar statement is true for values of the characteristic polynomial. The characteristic polynomial of a random unitary matrix was rst studied by Keating and Snaith [4]. They propose a renormalized version of this random polynomial as a model for the Riemann zeta function along the critical line. They also prove acentral theorem for the value distribution of the polynomial which is consistent with Selberg's central limit theorem for the value distribution of the Riemann zeta function along the critical line [9]. In order to state the theorem of Keating and Snaith, and the results of this paper, we need to introduce some notation. For an n by n matrix U let U (s) =det(u ; si) denote the characteristic polynomial and set U (s) = det I ; s U = ; s n U (s): We denote the restriction of U to the unit circle by Z U () =(e i ) ( <): Note that U and U have the same zeros, and U (s)! ass!. This allows us to choose a canonical branch of log U (s) as follows. A branch of the log function can only be dened in a simply connected domain that does not include, so for each of the n zeros of Z (eigenvalues) we cutthe complex plane from to this value. We thenchoose the branch oflog U (s) of the rest of the plane which converges to zero as s!. We use this to dene a function on the unit circle: ( log ZU () where dened, L U () = otherwise: Keating and Snaith [4] prove the following central limit theorem. It is also shown in [] that the oint distributions for the numbers of eigenvalues in collections of intervals has essentially the same covariance structure as in the unitary case.

4 Theorem.. Fix <. Let U n bearandom n by n unitary matrix, chosen according to Haar measure on the unitary group. Then both the real and imaginary parts of L Un () q log n converge in distribution to a standard normal random variable. In fact, although it is not proved, it is clear from the arguments in [4] that the oint distribution of the real and imaginary parts converges to a standard bivariate normal. The main result of this paper is the following. Theorem.. (i) Suppose < and = is an irrational of nite type. Let P n be a n by n permutation matrix, chosen uniformly at random. Then both the real and imaginary parts of L Pn () q log n converge in distribution to a standard normal random variable. (ii) Moreover, for any irrational =, Im L Pn() ; EL Pn () q log n converges in distribution to a standard normal random variable. The notion of type will be explained in Section. Here we will simply remark that the set of numbers which are not of nite type has Hausdor dimension zero. We can relate this result to a central limit theorem of Wieand, by considering the imaginary part of L Pn. This is described in Section 4. Let Xn l denote the number of eigenvalues of P n which lie in the half open subinterval of the unit circle ( e il ]. A particular case of the main result in [], which we now state, follows from a straightforward modication of the proof of Theorem.. 3

5 Theorem.3 (Wieand). If l is irrational, X l n ; EXl n ; 3 log n = converges in distribution to a standard normal random variable. If irrational of nite type, then EX l n = nl ; log n + O(): The outline of the paper is as follows. In Section we present some preliminary material on permutations and ergodic theory. In Section 3 prove the main result and, in Section 4, we relate this to the counting function X l n. Acknowledgments. The authors wish to thank Richard Arratia, Persi Diaconis, Chris Hughes and Jon Keating for invaluable assistance and encouragement while carrying out this research. Thanks also to Kelly Wieand for providing us with the preprint [] which enabled us to improve the presentation of this paper. l is Preliminaries. Permutations and the Feller coupling Given a permutation in the symmetric group S n the corresponding permutation matrix is, where i =((i) =). The permutation matrices form a subgroup of the unitary group. A random n by n permutation matrix is the matrix of a permutation chosen uniformly at random from S n. Let be an n-cycle and its permutation matrix. The characteristic polynomial of is (t) =t n ;. Suppose S n has cycle structure c c :::. Then (t) = Q n (t ; ) c. Let C (n) denote the numberofcyclesoflength in a random permutation of length n. The Feller coupling, see for example [], allows one to construct independent random variables Z on the same probability space as the C (n) in such away that Z is Poisson with mean =, and E for any complex sequence a. a (Z ; C (n)) n + 4 a

6 . Uniformly distributed sequences and discrepancy We need a number of results concerning uniformly distributed sequences which we collect together here. For a real number x we will write fxg for the fractional part of x A real sequence (x n ) n= is uniformly distributed if for all a<bwehave fn N : a<fx n g <bg lim = b ; a: N! N Lemma.. (x n ) is uniformly distributed if and only if for every properly f(t) dt Riemann integrable f dened on [,] we have N P N n= f(fx ng)! R Weyl's theorem states that if is irrational the sequence x n = fng is uniformly distributed. Let x =(x n ) n= be a real sequence. For I [ ] write A N(I) =fn N : fx n gig. The discrepancy (at the N th stage) is D N (x) = sup a<b A N([a b)) ; (b ; a) As one would expect, D N (x)! asn!precisely when x is uniformly distributed. For a proof of this (and other statements in this section) see Kuipers and Niederreiter [5]. We will nd it useful to consider a slightly restricted notion of discrepancy: D N(x) = sup <a N A N ([ a)) N ; a: This is equivalent (in the sense that D N D N D N ) but has the advantage of having a more convenient expression: if we order (fx n gg N as n= y ::: y N then DN(x) = max max nn yn ; n : y n ; n ; N N The discrepancy controls the rate of convergence R in Lemma.. The variation of a function f is dened to be V (f) = df(t), where df denotes the R Lebesgue-Stieltes measure of f on [,]. We have V (f) = f (t) dt when f is dierentiable. : 5

7 Theorem.. Koksma's inequality bounded variation V (f) and x =(x n ) n= N NX n= f(fx n g) ; Z Let f be a function on [ ] of be a real sequence. Then f(t) dt V (f)dn(x): We will be interested in the discrepancy of the sequence x n = fng, where = is an irrational in [,]. This will depend upon the extent to which can be approximated by rationals. For real let kk denote the distance from to the nearest integer. The type of is the value of which isthesupremum of those for which lim inf n knk =asn runs through the natural numbers. This implies that if m is less than the type of and C > is a constant there are an innite number of approximations by rationals satisfying ; p q C q m+ : A simple application of the pigeonhole principle shows that any irrational has typeatleast. It is possible that the type of equals innity if this is not the case is of nite type. Roughly speaking, small type implies small discrepancy. The set of Liouville numbers is dened by L = fx RnQ : 8n N 9q N : kqxk <q ;n g: It is easy to see that if a number is not of nite type, then it is in L. It is a classical result that L is a small set which has Hausdor dimension, []. For numbers of nite type we have a strong control on their discrepancy. Theorem.3. Let have nite type and let x n = fng. Then for every > we have D N (x) =O N ; +..3 Elementary analytic results We conclude with two elementary results. Lemma.4. Let (x k ) k= be a real sequence. Suppose n P n k= x k! L. Then log n P n k= x k k! L. 6

8 Finally we record a summation by parts formula. Lemma.5. Let (x k ) n P k= continuous derivative. Dene X(t) = kt x k. Then k= be a real sequence and y(t) a function with a x k y(k) =X(n)y(n) ; 3 Proof of the main result Z n X(t)y (t)dt: (.) In order to prove Theorem. we will consider the real and imaginary parts separately. First we observe that from the structure of random permutations, L Pn () = C (n)log(; e ;i ) and hence ReL Pn () = ImL Pn () = C (n)log ; e ;i (3.) C (n)arg(; e ;i ): (3.) We now use the Feller coupling to determine a set of conditions required for the weighted sums of cycle length random variables to have a central limit theorem. Lemma 3.. Let (a ) be real constants satisfying () n P n a! () P p n a log n!, (3) n P n ak! B k, for all k>, for some constants B k. Let A n = P n a C (n), where, as before, C (n) is the number of -cycles of a random permutation from S n. Then A n p B log n 7

9 converges in distribution to a standard normal random variable. If conditions () and (3) are satised, then A n ; EA n p B log n converges in distribution to a standard normal random variable. Proof: We will use the Feller coupling described in Section. Consider the sum An ~ P n = a Z where the Z are independent Poisson random variables with mean =. By hypothesis and the fact that k:k k:k, A n Ep B log n ; ~ An p B log n p B log n = a A! : The sequences A n and ~ An are thus asymptotically equivalent and we will work with ~ An for the rest of the proof. We consider the characteristic function n (t) =Ee it p ~An log n : As Ee itz e it ; =exp and the Z are independent, n (t) = exp We also have Taylor expansions cos n a plog e it n ; A : (3.3) a p t ; =; a t log n logn + a 3 t3 6log sin 3= n sin a p log n t = a t p log n ; a3 t3 6 log + a 3= n 4 t4 4 log n sin! 8

10 (for some <! <twhen t>). Substituting these into (3.3) we obtain a plog e it n ; p log n a A it log n a A t + I n with I n < C (t) log 3= n a 3 + C (t) log n a 4 where C (t) C (t) are constants depending on t only. Using condition (3) the error I n dened above tends to, as by Lemma., C (t) log n a 4 = C (t) log n and by Cauchy-Schwarz and Lemma., C (t) log 3= n a 3 C (t) log 3= n X We deduce from conditions () and () that a 6 lim n! n(t) =e ; B t a 4! = X n A =! : as required. The second part follows from the above: under conditions () and (3) we have! E exp it A n ; EA p n ~A n ; E An ~ E exp it p! e ; B t log n log n as n!. Proof of Main Theorem:. The imaginary part. We will use Lemma 3. with, by (3.), the values of the a given by r = arg( ; e ;i ): 9

11 Dene r(t) =arg(; e ;it )=( ; t): Then Z r k (t) dt = ( k k (k+) k even, k odd. This is a proper Riemann integral, so we can apply Lemma.. Together with Lemma.4 we have ( k k k even, (k+) lim n! log n r k = lim n! n r k = k odd. Thus we have established conditions () and (3) of Lemma 3.. This completes the proof of Theorem. (ii). To complete the proof of part (i) (in the imaginary case) we need only establish condition (), namely that p log n r! : As the function r(t) is bounded we can use Koksma's inequality and our estimate on the discrepancy in Theorem.3 to obtain a rate of convergence for the coecients of the imaginary part. Lemma 3.. For of nite type n P n r decays polynomially as n!. To complete the proof of the rst part of our main result we apply the summation by parts P formula (.) with x k = r k, y(t) =, to see that, for t n r of nite type, remains bounded as n!. Thus, in particular,! giving condition () of Lemma 3. as required. p log n P n r. The real part. We follow the same approach as for the imaginary part. values of a for the real part are From (3.) the q =log ; e ;i : Dene q(t) = log ; e ;it :

12 This is unbounded as t tends to or and thus Lemma. cannot be applied directly. We will show how to adapt the method, but rst we need to evaluate the q k integrals. Term by termintegration of the Fourier series gives Z q k (t)dt = Z = (;) k Z ; Re log ; ; e ;it k dt Re X m= = (;) k X m X m k e ;itm m! k dt Z cos m t:::cos m k tdt: m :::m k The interchange of integral and summation is a consequence of the dominated convergence theorem with dominating function (cos(t)) k. The cases k = give: Z q (t) dt = X m= Z Z m q(t) dt = cos mt dt = 6 = : In order to establish the conditions of Lemma 3. we require the following. Lemma 3.3. For of nite type n P n q decays polynomially to as n!. Proof: Let x n = fng for n N. As has nite type there are constants C m > such that knk > C n m 8n N. Fix N and let = C N m. Order (fx n g) N as n= y ::: y N and dene y =, y N + = ; (so y < y i <y N + for each i N.) Recall that q(t) = log ; e R ;it satises q(t) dt =. It is also (innitely) dierentiable in the open interval (,) and satises q( ; t) = q(t). (The second assertion is clear geometrically.) Consider the identity NX n= Z yn+ y n t ; n N q (t) dt = Z ; tq (t) dt ; N NX n= n q(y n+ ) ; q(y n ) : (3.4)

13 Integration by parts gives Z ; Using this in 3.4, we have NX n= Z yn+ y n t ; n N tq (t)dt = ( ; )q( ; ) ; q() ; = ( ; )q()+ q (t) dt = Z Z q(t) dt: Z ; q(t) dt ; q() q(t)dt + N NX n= q(y n ): (3.5) As in Koksma's inequality we can bound the modulus of the left hand side of (3.5) above by to deduce that N NX n= q(fx n g) D N D N Z ; Z ; q (t) dt q (t) dt + Z q(t) dt ; q() : As q(t) log t as t!, it is not hard to see that this expression can be bounded by C n for some C >. Using the same method it can be shown that n P n qk ; R qk (t) dt also decays polynomially to, for any k >. Thus we have conditions () and (3). The rate of decay is only important in the case k =, where it may be used to establish condition (). We may then complete the proof of the main theorem for the real case in the same way thatwe did for r(t). Remark: A closer inspection of the proof of Theorem. (i) will reveal that the nite type condition is actually stronger than necessary. For the imaginary part we required N (x) =o p log N. For the real part we require that there exists a function (N) such that D N (x)log(n) and (N) are both o p log N.

14 4 The counting function Let U be a unitary matrix and I a subinterval of the unit circle. The counting function X U (I) is the number of eigenvalues of U contained in I. The study of this function for various matrix groups is the subect of [] and []. There is a close relationship between the counting function and the imaginary part of L U and this allows us to relate the results we have obtained to the counting function, and to the results in [] and []. The connection between the characteristic polynomial and the counting function can be summarised by the following lemma. This is well-known. We include a proof in the appendix for completeness. Lemma 4.. Let U be a unitary matrix and I a subinterval of the unit circle whose endpoints e it e it X U (I) = n(t ; t ) are not eigenvalues of U. Then + Im L U (t ) ; L U (t ) Set X l n = X Pn (( e il ]). By Lemma 4., X l n = nl + F l n, where Fn l = Im L U (l) ; lim L U (t) = t# C (n) r ; : (4.) where, as before, the C (n) are the number of cycles of length, and the r =arg(; e ;il ) are the imaginary coecients for L U (l). We will apply a slightly modied version of Theorem 3. and take a = r ; =. Note that n n r ;!; (r ; )! + 4 = 3 and the averages of the higher powers of the a also converge to constants. This implies that X l n ; EX l n ; 3 log n = 3

15 converges to a standard normal variable. Finally, using our previous results about the behaviour of the r in the case where l= is of nite type, we have p log n r ; = X n log n r ; log n A! and hence EXn l = nl ; log n + O(): A Appendix Proof of Lemma 4. ; Recall that U (s) = det I ; U. If U is n by n unitary with eigenangles s ::: n then ny (;s) n (s) = e ;i k ; s = det U k= s Let satisfy = (;)n det U equation is and dene U(s) =s n= (s). Then the functional U ( s )= U(s): (A.) Remarks:. When n is odd wehave tomakeachoice of s n= in the domain we use (which will never encircle zero.). There is an intentional analogy with the Riemann zeta function, which we mention for the sake ofinterest. If one denes (s) = s(s ; );s= ; s (s) then we have the functional equation ( ; s) = (s). This expresses the symmetry of under reection in the half line the matrix equation expresses conugate symmetry of U under inversion in the unit circle. We use the following result of complex analysis: Lemma A.. Let D be a domain, f : D! C contour in D on which f is non-zero. Then i zeros of f inside C. 4 R C analytic and C a closed f (z) f (z) dz is the number of

16 Let U be a unitary matrix and I a subinterval of the unit circle whose endpoints e it e it are not eigenvalues of U. We apply this lemma to U, which has the same zeros as U on the unit circle. Our contour C is the boundary of the region fre it : r eit Ig. C falls naturally into two pieces that which is within the unit circle (C in ) and that which is without (C out.) Inversion in the circle takes C in to C out with the opposite orientation, so applying the functional equation, X U (I) = i Z C Z (s) U U (s) ds = Im C out (s) U U (s) ds: Our previous denition of L U (s) as a branch of log U (s) is on a domain containing C out. Within this we choose a neigbourhood of C out, a branch of log s in this neighbourhood and so construct log U (s) = log + n log s + L U (s). This is an indenite integral of the integrand considered above, and hence X U (I) = n(t ; t ) + Im L U (t ) ; L U (t ) : (A.) We can think of the second term on the right hand side as the deviation of the number of eigenvalues in I from the number you would expect if each eigenvalue was uniformly distributed on the circle. Remark: Suppose we xt and let t tend to an eigenangle t. Depending on the direction of approach theinterval I will either increase to an interval that is open at e it or decrease to an interval closed at e it. We thus have a dierence of the multiplicity of the eigenangle in the counting function this corresponds to the dierence of between the clockwise and anticlockwise limits of the imaginary part of L U approaching t. References [] Arratia, R., Barbour, A. D., and Tavare, S. (99) Poisson process approximation for the Ewens Sampling Formula. Ann. Appl. Probab., [] Besicovitch, A.S., Sets of fractional dimensions (IV): on rational approximation to real numbers, J. London Math. Soc., 9, 6{3, 934. [3] Bogomolny, E.B. and Keating, J.P., Random matrix theory and the Riemann zeros II: n-point correlations, Nonlinearity, 9, 9-935,

17 [4] Keating, J.P. and Snaith, N., Random matrix theory and (=+it). Preprint. [5] Kuipers, L. and Niederreiter, H., Uniform distribution of sequences, John Wiley and Sons, New York, 974. [6] Montgomery, H.L., The pair correlation of zeros of the zeta function, Proc. Symp. Pure Math. (AMS) 4, 8{93, 973. [7] Odlyzko, A., On the distribution of spacing between zeros of the zeta function, Math. Comp. 48, 73{38, 987. [8] Rudnick, Z. and Sarnak, P., The n-level correlations of zeros of the zeta function, C. R. Acad. Sci. Paris, Ser I, 39, 7{3, 994. [9] Selberg, A., Collected Papers,, 99 [] Wieand, K. L., Eigenvalue distributions of random matrices in the permutation group and compact Lie groups, Ph. D. Thesis, Harvard University, 998. [] Wieand, K. L., Eigenvalue distributions of random permutation matrices. Preprint. 6

The characteristic polynomial of a random permutation matrix

The characteristic polynomial of a random permutation matrix B. M. Hambly,2, Peter Keevash 3, Neil O Connell and Dudley Stark BRIMS, Hewlett-Packard Labs Bristol, BS34 8QZ, UK 2 Department of Mathematics,