A coupling approach to estimating the Lyapunov exponent of stochastic max-plus linear systems
This paper addresses the problem of approximately computing the Lyapunov exponent of stochastic max-plus linear systems. Our approach allows for an efficient simulation of bounds for the Lyapunov exponent. We provide sufficient conditions for the convergence of the bounds. In particular, a perfect sampling scheme for the Lyapunov exponent is established. We illustrate the effectiveness of our bounds with an application to (real-life) railway systems.
Year of publication: |
2011
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Authors: | Goverde, Rob M.P. ; Heidergott, Bernd ; Merlet, Glenn |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 210.2011, 2, p. 249-257
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Publisher: |
Elsevier |
Keywords: | Max-plus algebra Stochastic DES Lyapunov exponent Simulation Railway systems |
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