Analytic expansions of max-plus Lyapunov exponents
Baccelli, François ; Hong, Dohy
Ann. Appl. Probab., Tome 10 (2000) no. 2, p. 779-827 / Harvested from Project Euclid
We give an explicit analytic series expansion of the (max, plus)-Lyapunov exponent $\gamma(p)$ of a sequence of independent and identically distributed randommatrices, generated via a Bernoulli scheme depending on a small parameter $p$. A key assumption is that one of the matrices has a unique normalized eigenvector. This allows us to obtain a representation of this exponent as the mean value of a certain random variable.We then use a discrete analogue of the so-called light-traffic perturbation formulas to derive the expansion.We show that it is analytic under a simple condition on $p$. This also provides a closed formexpression for all derivatives of $\gamma(p)$ at $p = 0$ and approximations of $\gamma(p)$ of any order, together with an error estimate for finite order Taylor approximations. Several extensions of this are discussed, including expansions of multinomial schemes depending on small parameters $(p_1,\dots, p_m)$ and expansions for exponents associated with iterates of a class of random operators which includes the class of nonexpansive and homogeneous operators. Several examples pertaining to computer and communication sciences are investigated: timed event graphs, resource sharing models and heap models.
Publié le : 2000-08-14
Classification:  Taylor series,  Lyapunov exponents,  (max, plus) semiring,  strong coupling,  renovating events,  stationary state variables,  analyticity,  vectorial recurrence relation,  network modeling,  stochastic Petri nets.,  41A58,  34D08,  15A52,  15A18,  60K05,  60C05,  32D05,  16A78,  41A63
@article{1019487510,
     author = {Baccelli, Fran\c cois and Hong, Dohy},
     title = {Analytic expansions of max-plus Lyapunov exponents},
     journal = {Ann. Appl. Probab.},
     volume = {10},
     number = {2},
     year = {2000},
     pages = { 779-827},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1019487510}
}
Baccelli, François; Hong, Dohy. Analytic expansions of max-plus Lyapunov exponents. Ann. Appl. Probab., Tome 10 (2000) no. 2, pp.  779-827. http://gdmltest.u-ga.fr/item/1019487510/