Title :
A fast approximation algorithm for the Lyapunov exponent of stochastic max-plus systems
Author :
Goverde, Rob M P ; Heidergott, Bernd ; Merlet, Glenn
Author_Institution :
Dept. Transp.&Planning, Delft Univ. of Technol., Delft
Abstract :
This paper addresses the problem of approximately computing the Lyapunov exponent of stochastic maxplus linear systems. Our approach allows for an efficient simulation of bounds for the Lyapunov exponent. Depending on the simulation budget the bounds can be made arbitrarily close. We illustrate the effectiveness of our bounds with application to (real-life) railway systems.
Keywords :
Lyapunov methods; approximation theory; linear systems; stochastic systems; Lyapunov exponent; approximation algorithm; railway systems; stochastic max-plus systems; Algebra; Approximation algorithms; Computational modeling; Discrete event systems; Equations; Linear systems; Rail transportation; Stochastic systems; Taylor series; Vectors;
Conference_Titel :
Discrete Event Systems, 2008. WODES 2008. 9th International Workshop on
Conference_Location :
Goteborg
Print_ISBN :
978-1-4244-2592-1
Electronic_ISBN :
978-1-4244-2593-8
DOI :
10.1109/WODES.2008.4605921
