Optimal Control Problem for the Lyapunov Exponents of Random Matrix Products

被引：0
|
作者：
N. H. Du
机构：
[1] Vietnam National University,Faculty of Mathematics, Mechanics, and Informatics
[2] Thanh Xuan,undefined
来源：
Journal of Optimization Theory and Applications | 2000年 / 105卷
关键词：
random matrix products; Lyapunov exponents; Markov processes; decision models; optimal policy; optimal control; system spectrum;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：347 / 369
页数：22
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