Eigenvalues of Random Matrices with Generalized Correlations: A Path Integral Approach

Random matrix theory allows one to deduce the eigenvalue spectrum of a large matrix given only statistical information about its elements. Such results provide insight into what factors contribute to the stability of complex dynamical systems. In this Letter, we study the eigenvalue spectrum of an ensemble of random matrices with correlations between any pair of elements. To this end, we introduce an analytical method that maps the resolvent of the random matrix onto the response functions of a linear dynamical system. The response functions are then evaluated using a path integral formalism, enabling us to make deductions about the eigenvalue spectrum. Our central result is a simple, closed-form expression for the leading eigenvalue of a large random matrix with generalized correlations. This formula demonstrates that correlations between matrix elements that are not diagonally opposite, which are often neglected, can have a significant impact on stability.We acknowledge partial financial support from the Agencia Estatal de Investigación (AEI, MCI, Spain) and Fondo Europeo de Desarrollo Regional (FEDER, UE), under Project PACSS (RTI2018-093732-B-C21) and the Maria de Maeztu Program for Units of Excellence, Grant No. MDM-2017-0711 funded by MCIN/AEI/10.13039/501100011033.Peer reviewe