Optimal control problem for the Lyapunov exponents of random matrix products

DOI10.1023/A:1004661918667zbMATH Open0969.93045MaRDI QIDQ1584024FDOQ1584024

Authors: Nguyen Huu Du 

Publication date: 9 May 2001

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

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zbMATH Keywords

Lyapunov exponentsrandom dynamical systemrandom matrix productsdecision modelscontrolled Markov processstationary policyoptimal problem

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20) Characteristic and Lyapunov exponents of ordinary differential equations (34D08)

Cites Work

• Stochastic stability and control
• Random matrix products and measures on projective spaces
• The Existence of a Minimum Pair of State and Policy for Markov Decision Processes under the Hypothesis of Doeblin
• relations between the sample and moment lyapunov exponents

Cited In (1)

• Optimization approach to the estimation and control of Lyapunov exponents

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