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Optimal Control Problem for the Lyapunov Exponents of Random Matrix Products

Author

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  • N. H. Du

    (Vietnam National University, Thanh Xuan)

Abstract

This paper deals with the optimal control problem for the Lyapunov exponents of stochastic matrix products when these matrices depend on a controlled Markov process with values in a finite or countable set. Under some hypotheses, the reduced process satisfies the Doeblin condition and the existence of an optimal control is proved. Furthermore, with this optimal control, the spectrum of the system consists of only one element.

Suggested Citation

  • N. H. Du, 2000. "Optimal Control Problem for the Lyapunov Exponents of Random Matrix Products," Journal of Optimization Theory and Applications, Springer, vol. 105(2), pages 347-369, May.
    • Handle: RePEc:spr:joptap:v:105:y:2000:i:2:d:10.1023_a:1004661918667
    DOI: 10.1023/A:1004661918667
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    Cited by:

    1. P. M. Pardalos & V. A. Yatsenko, 2006. "Optimization Approach to the Estimation and Control of Lyapunov Exponents," Journal of Optimization Theory and Applications, Springer, vol. 128(1), pages 29-48, January.

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