Horn's problem – to find the support of the spectrum of eigenvalues of the sum of two by Hermitian matrices whose eigenvalues are known – has been solved by Klyachko and by Knutson and Tao. Here the probability distribution function (PDF) of the eigenvalues of is explicitly computed for low values of , for and uniformly and independently distributed on their orbit, and confronted to numerical experiments. Similar considerations apply to skew-symmetric and symmetric real matrices under the action of the orthogonal group. In the latter case, where no analytic formula is known in general and we rely on numerical experiments, curious patterns of enhancement appear.
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Jean-Bernard Zuber, Horn's problem and Harish-Chandra's integrals. Probability density functions. Ann. Inst. Henri Poincaré Comb. Phys. Interact. 5 (2018), no. 3, pp. 309–338DOI 10.4171/AIHPD/56