The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 10, Number 3 (2000), 779-827.
Analytic expansions of max-plus Lyapunov exponents
We give an explicit analytic series expansion of the (max, plus)-Lyapunov exponent $\gamma(p)$ of a sequence of independent and identically distributed randommatrices, generated via a Bernoulli scheme depending on a small parameter $p$. A key assumption is that one of the matrices has a unique normalized eigenvector. This allows us to obtain a representation of this exponent as the mean value of a certain random variable.We then use a discrete analogue of the so-called light-traffic perturbation formulas to derive the expansion.We show that it is analytic under a simple condition on $p$. This also provides a closed formexpression for all derivatives of $\gamma(p)$ at $p = 0$ and approximations of $\gamma(p)$ of any order, together with an error estimate for finite order Taylor approximations. Several extensions of this are discussed, including expansions of multinomial schemes depending on small parameters $(p_1,\dots, p_m)$ and expansions for exponents associated with iterates of a class of random operators which includes the class of nonexpansive and homogeneous operators. Several examples pertaining to computer and communication sciences are investigated: timed event graphs, resource sharing models and heap models.
Ann. Appl. Probab. Volume 10, Number 3 (2000), 779-827.
First available in Project Euclid: 22 April 2002
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Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 41A58: Series expansions (e.g. Taylor, Lidstone series, but not Fourier series) 34D08: Characteristic and Lyapunov exponents 15A52 15A18: Eigenvalues, singular values, and eigenvectors
Secondary: 60K05: Renewal theory 60C05: Combinatorial probability 32D05: Domains of holomorphy 16A78 41A63: Multidimensional problems (should also be assigned at least one other classification number in this section)
Taylor series Lyapunov exponents (max, plus) semiring strong coupling renovating events stationary state variables analyticity vectorial recurrence relation network modeling stochastic Petri nets.
Baccelli, François; Hong, Dohy. Analytic expansions of max-plus Lyapunov exponents. Ann. Appl. Probab. 10 (2000), no. 3, 779--827. doi:10.1214/aoap/1019487510. https://projecteuclid.org/euclid.aoap/1019487510