In probability theory and mathematical physics, a random matrix is a matrix-valued random variableâ€”that is, a matrix in which some or all elements are random variables. Many important properties of physical systems can be represented mathematically as matrix problems. For example, the thermal conductivity of a lattice can be computed from the dynamical matrix of the particle-particle interactions within the lattice.
In nuclear physics, random matrices were introduced by Eugene Wigner to model th...