The least singular value of a random square matrix is O(n−1/2)

Authors:
  • MRMark Rudelson
    Mark Rudelson
  • RVRoman Vershynin
    Roman Vershynin

Abstract
Let A be a matrix whose entries are real i.i.d. centered random variables with unit variance and suitable moment assumptions. Then the smallest singular value sn(A) is of order n−1/2 with high probability. The lower estimate of this type was proved recently by the authors; in this Note we establish the matching upper estimate.

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