Matrix optimization under random external fields

We consider the quadratic optimization problem $F_n^{W,h}:= \sup_{x \in S^{n-1}} ( x^T W x/2 + h^T x )\,,$ with $W$ a (random) matrix and $h$ a random external field. We study the probabilities of large deviation of $F_n^{W,h}$ for $h$ a centered Gaussian vector with i.i.d. entries, both conditioned on $W$ (a general Wigner matrix), and unconditioned when $W$ is a GOE matrix. Our results validate (in a certain region) and correct (in another region), the prediction obtained by the mathematically non-rigorous replica method in Y. V. Fyodorov, P. Le Doussal, J. Stat. phys. 154 (2014).

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