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A coupling approach to estimating the Lyapunov exponent of stochastic max-plus linear systems |
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| Authors: | Rob M.P. Goverde Bernd Heidergott Glenn Merlet |
| Affiliation: | 1. Department of Transport & Planning, Delft University of Technology, Stevinweg 1, 2628 CN Delft, The Netherlands;2. Department of Econometrics and Operations Research, Vrije Universiteit, De Boelelaan 1105, 1081 HV Amsterdam, The Netherlands;3. Universite de la Mediterranee, IML 163 avenue de Luminy - Case 907, 13288 Marseille Cedex 9, France |
| 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. |
| Keywords: | Max-plus algebra Stochastic DES Lyapunov exponent Simulation Railway systems |
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