Convex Optimization methods for computing the Lyapunov Exponent of matrices

Details Convex Optimization methods for computing the Lyapunov Exponent of matrices Convex Optimization methods for computing the Lyapunov Exponent of matrices

2012-01-16

arxiv.org/abs/1201.3218v1

Mathematics

Optimization and Control

Scientific paper

We introduce a new approach to evaluate the largest Lyapunov exponent of a family of nonnegative matrices. The method is based on using special positive homogeneous functionals on $R^{d}_+,$ which gives iterative lower and upper bounds for the Lyapunov exponent. They improve previously known bounds and converge to the real value. The rate of convergence is estimated and the efficiency of the algorithm is demonstrated on several problems from applications (in functional analysis, combinatorics, and lan- guage theory) and on numerical examples with randomly generated matrices. The method computes the Lyapunov exponent with a prescribed accuracy in relatively high dimensions (up to 60). We generalize this approach to all matrices, not necessar- ily nonnegative, derive a new universal upper bound for the Lyapunov exponent, and show that such a lower bound, in general, does not exist.

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