A coupling approach to estimating the Lyapunov exponent of stochastic max-plus linear systems

R. Goverde, B.F. Heidergott, G. Merlet

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

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. © 2010 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)249-257
Number of pages8
JournalEuropean Journal of Operational Research
Volume210
Issue number2
DOIs
Publication statusPublished - 2011

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