Free convolution

Let ${\displaystyle \mu }$ and ${\displaystyle \nu }$ be two probability measures on the real line, and assume that ${\displaystyle X}$ is a random variable in a non commutative probability space with law ${\displaystyle \mu }$ and ${\displaystyle Y}$ is a random variable in the same non commutative probability space with law ${\displaystyle \nu }$. Assume finally that ${\displaystyle X}$ and ${\displaystyle Y}$ are freely independent. Then the free additive convolution ${\displaystyle \mu \boxplus \nu }$ is the law of ${\displaystyle X+Y}$. Random matrices interpretation: if ${\displaystyle A}$ and ${\displaystyle B}$ are some independent ${\displaystyle n}$ by ${\displaystyle n}$ Hermitian (resp. real symmetric) random matrices such that at least one of them is invariant, in law, under conjugation by any unitary (resp. orthogonal) matrix and such that the empirical spectral measures of ${\displaystyle A}$ and ${\displaystyle B}$ tend respectively to ${\displaystyle \mu }$ and ${\displaystyle \nu }$ as ${\displaystyle n}$ tends to infinity, then the empirical spectral measure of ${\displaystyle A+B}$ tends to ${\displaystyle \mu \boxplus \nu }$.[4]

In many cases, it is possible to compute the probability measure ${\displaystyle \mu \boxplus \nu }$ explicitly by using complex-analytic techniques and the R-transform of the measures ${\displaystyle \mu }$ and ${\displaystyle \nu }$.

The rectangular free additive convolution (with ratio ${\displaystyle c}$) ${\displaystyle \boxplus _{c}}$ has also been defined in the non commutative probability framework by Benaych-Georges[5] and admits the following random matrices interpretation. For ${\displaystyle c\in [0,1]}$, for ${\displaystyle A}$ and ${\displaystyle B}$ are some independent ${\displaystyle n}$ by ${\displaystyle p}$ complex (resp. real) random matrices such that at least one of them is invariant, in law, under multiplication on the left and on the right by any unitary (resp. orthogonal) matrix and such that the empirical singular values distribution of ${\displaystyle A}$ and ${\displaystyle B}$ tend respectively to ${\displaystyle \mu }$ and ${\displaystyle \nu }$ as ${\displaystyle n}$ and ${\displaystyle p}$ tend to infinity in such a way that ${\displaystyle n/p}$ tends to ${\displaystyle c}$, then the empirical singular values distribution of ${\displaystyle A+B}$ tends to ${\displaystyle \mu \boxplus _{c}\nu }$.[6]

In many cases, it is possible to compute the probability measure ${\displaystyle \mu \boxplus _{c}\nu }$ explicitly by using complex-analytic techniques and the rectangular R-transform with ratio ${\displaystyle c}$ of the measures ${\displaystyle \mu }$ and ${\displaystyle \nu }$.

Let ${\displaystyle \mu }$ and ${\displaystyle \nu }$ be two probability measures on the interval ${\displaystyle [0,+\infty )}$, and assume that ${\displaystyle X}$ is a random variable in a non commutative probability space with law ${\displaystyle \mu }$ and ${\displaystyle Y}$ is a random variable in the same non commutative probability space with law ${\displaystyle \nu }$. Assume finally that ${\displaystyle X}$ and ${\displaystyle Y}$ are freely independent. Then the free multiplicative convolution ${\displaystyle \mu \boxtimes \nu }$ is the law of ${\displaystyle X^{1/2}YX^{1/2}}$ (or, equivalently, the law of ${\displaystyle Y^{1/2}XY^{1/2}}$. Random matrices interpretation: if ${\displaystyle A}$ and ${\displaystyle B}$ are some independent ${\displaystyle n}$ by ${\displaystyle n}$ non negative Hermitian (resp. real symmetric) random matrices such that at least one of them is invariant, in law, under conjugation by any unitary (resp. orthogonal) matrix and such that the empirical spectral measures of ${\displaystyle A}$ and ${\displaystyle B}$ tend respectively to ${\displaystyle \mu }$ and ${\displaystyle \nu }$ as ${\displaystyle n}$ tends to infinity, then the empirical spectral measure of ${\displaystyle AB}$ tends to ${\displaystyle \mu \boxtimes \nu }$.[7]

A similar definition can be made in the case of laws ${\displaystyle \mu ,\nu }$ supported on the unit circle ${\displaystyle \{z:|z|=1\}}$, with an orthogonal or unitary random matrices interpretation.

Explicit computations of multiplicative free convolution can be carried out using complex-analytic techniques and the S-transform.

• Free convolution can be used to give a proof of the free central limit theorem.
• Free convolution can be used to compute the laws and spectra of sums or products of random variables which are free. Such examples include: random walk operators on free groups (Kesten measures); and asymptotic distribution of eigenvalues of sums or products of independent random matrices.

Through its applications to random matrices, free convolution has some strong connections with other works on G-estimation of Girko.

The applications in wireless communications, finance and biology have provided a useful framework when the number of observations is of the same order as the dimensions of the system.

• Convolution
• Free probability
• Random matrix

• "Free Deconvolution for Signal Processing Applications", O. Ryan and M. Debbah, ISIT 2007, pp. 1846–1850
• James A. Mingo, Roland Speicher: Free Probability and Random Matrices. Fields Institute Monographs, Vol. 35, Springer, New York, 2017.
• D.-V. Voiculescu, N. Stammeier, M. Weber (eds.): Free Probability and Operator Algebras, Münster Lectures in Mathematics, EMS, 2016

• Alcatel Lucent Chair on Flexible Radio
• http://www.cmapx.polytechnique.fr/~benaych
• http://folk.uio.no/oyvindry
• survey articles of Roland Speicher on free probability.