A fast approximation algorithm for the Lyapunov exponent of stochastic max-plus systems

Abstract

This paper addresses the problem of approximately computing the Lyapunov exponent of stochastic maxplus linear systems. Our approach allows for an efficient simulation of bounds for the Lyapunov exponent. Depending on the simulation budget the bounds can be made arbitrarily close. We illustrate the effectiveness of our bounds with application to (real-life) railway systems.