Optimal control problem for the Lyapunov exponents of random matrix products (Q1584024): Difference between revisions

The author studies an optimal problem in which the objective function is the essential supremum of the Lyapunov exponents for a dynamical system described by random matrix products when these matrices depend on a controlled Markov process \((\xi_n)\) with values in a finite or countable set \(I\). \((\xi_n)\) has transition probability \(P(a)= (P_{ij}(a):i, j\in I)\), with a control parameter \(a\). For any admissible control \((u_t)\) the \(\mathbb{R}^d\)-valued random variables \((X_n:n= 0,1,\dots)\) are given by the difference equation: \[ X_{n+1}= M(\xi_{n+1}, Y_{n+1}) X_n,\quad X_0= x\in\mathbb{R}^d,\tag{1} \] where \((Y_n)\) are i.i.d. random variables and \(M(i,y)\) are invertible \(d\times d\) matrices. \(X^u_n(x)\) is the solution of (1) associated with the control \((u_t)\). The process \((u_t)\) affects the solutions through \(P(a)\). Some variants of the Lyapunov exponent are used. A decision \(\pi_t\) at a time \(t\) is a stochastic kernel, and a sequence of decisions is called a policy. The Markov stationary policy is defined. The main result: If there exists a Markov policy such that some condition is satisfied, then there exists a stationary policy which minimizes the Lyapunov exponent of solutions of (1). In this case the spectrum of the system (1) consists of only one element.