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A random matrix is a matrix whose entries consist of random variables from some specified distribution. Random matrices have many modern applications in physics, finance, statistics and numerical analysis.
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Spectral norm of a sparse Gaussian matrix
Suppose $G$ is an $m \times n$ matrix such that each entry of $G$ is a standard normal variable. We know that the spectral norm of $G$ scales as $\sqrt m + \sqrt n$. Now, given a set of indices $S$ su …