Optimal Control Problem for the Lyapunov Exponents of Random Matrix Products |
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Authors: | N H Du |
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Institution: | (1) Faculty of Mathematics, Mechanics, and Informatics, Vietnam National University, Thanh Xuan, Hanoi, Vietnam |
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Abstract: | This paper deals with the optimal control problem for the Lyapunov exponents of stochastic matrix products when these matrices depend on a controlled Markov process with values in a finite or countable set. Under some hypotheses, the reduced process satisfies the Doeblin condition and the existence of an optimal control is proved. Furthermore, with this optimal control, the spectrum of the system consists of only one element. |
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Keywords: | random matrix products Lyapunov exponents Markov processes decision models optimal policy optimal control system spectrum |
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