Random matrix theory is usually taught as a sequence of several graduate courses; we have 16 lectures, so we will give a very brief introduction. Some relevant books for the course: • G. Anderson, A. Guionnet, O. Zeitouni. An introduction to random matrices. [1] • A. Guionnet. Large random matrices: lectures on macroscopic asymptotics. • M. L. Mehta. Random matrices. The study of random matrice...

Random matrix theory is now a big subject with applications in many disciplines of science, engineering and finance. This article is a survey specifically oriented towards the needs and interests of a numerical analyst. This survey includes some original material not found anywhere else. We include the important mathematics which is a very modern development, as well as the computational softwa...