Lower and upper bounds for the largest Lyapunov exponent of matrices

DOI10.1016/J.LAA.2013.01.027zbMATH Open1281.65154arXiv1201.3218OpenAlexW2078126880MaRDI QIDQ389726FDOQ389726

Authors: Raphaël M. Jungers, Vladimir Yu. Protasov 

Publication date: 21 January 2014

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Abstract: We introduce a new approach to evaluate the largest Lyapunov exponent of a family of nonnegative matrices. The method is based on using special positive homogeneous functionals on $R_{+}^d,$ which gives iterative lower and upper bounds for the Lyapunov exponent. They improve previously known bounds and converge to the real value. The rate of convergence is estimated and the efficiency of the algorithm is demonstrated on several problems from applications (in functional analysis, combinatorics, and lan- guage theory) and on numerical examples with randomly generated matrices. The method computes the Lyapunov exponent with a prescribed accuracy in relatively high dimensions (up to 60). We generalize this approach to all matrices, not necessar- ily nonnegative, derive a new universal upper bound for the Lyapunov exponent, and show that such a lower bound, in general, does not exist.

Full work available at URL: https://arxiv.org/abs/1201.3218

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zbMATH Keywords

rate of convergenceconvex optimizationalgorithmlower boundLyapunov exponentnumerical examplenonnegative matrixupper bound

Mathematics Subject Classification ID

Nonuniformly hyperbolic systems (Lyapunov exponents, Pesin theory, etc.) (37D25) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Numerical problems in dynamical systems (65P99)

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Cited In (26)

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• Lyapunov Exponent of Rank-One Matrices: Ergodic Formula and Inapproximability of the Optimal Distribution
• Estimates for principal Lyapunov exponents: a survey
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