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A coupling approach to estimating the Lyapunov exponent of stochastic max-plus linear systems

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  • Goverde, Rob M.P.
  • Heidergott, Bernd
  • Merlet, Glenn

Abstract

This paper addresses the problem of approximately computing the Lyapunov exponent of stochastic max-plus linear systems. Our approach allows for an efficient simulation of bounds for the Lyapunov exponent. We provide sufficient conditions for the convergence of the bounds. In particular, a perfect sampling scheme for the Lyapunov exponent is established. We illustrate the effectiveness of our bounds with an application to (real-life) railway systems.

Suggested Citation

  • Goverde, Rob M.P. & Heidergott, Bernd & Merlet, Glenn, 2011. "A coupling approach to estimating the Lyapunov exponent of stochastic max-plus linear systems," European Journal of Operational Research, Elsevier, vol. 210(2), pages 249-257, April.
    • Handle: RePEc:eee:ejores:v:210:y:2011:i:2:p:249-257
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    References listed on IDEAS

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    1. Goverde, Rob M.P., 2007. "Railway timetable stability analysis using max-plus system theory," Transportation Research Part B: Methodological, Elsevier, vol. 41(2), pages 179-201, February.
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