NDLI: Controlled Lyapunov-exponents with applications

Content Provider	IEEE Xplore Digital Library
Author	Gerencser, L. Rasonyi, M. Vago, Z.
Copyright Year	2004
Description	Author affiliation: MTA SZTAKI, Budapest, Hungary (Gerencser, L.)
Abstract	Let X = (X/sub n/) be a stationary process of k /spl times/ k real-valued matrices, depending on some vector-valued parameter /spl theta//spl epsiv//spl Ropf//sup p/, satisfying E log/sup +/ /spl par/X0(/spl theta/)/spl par/ < /spl infin/ for all /spl theta/. The top-Lyapunov exponent of X is defined as /spl lambda/(/spl theta/) = /sub n//sup lim/ 1/n E log /spl par/X/sub n//spl middot/X/sub n-1/.../spl middot/X/sub 0//spl par/. Top-Lyapunov exponents play a prominent role in randomization procedures for optimization, such as SPSA, and in finance, giving the growth-rate of a self-financing currency-portfolio with a fixed strategy. We develop an iterative procedure for the optimization of /spl lambda/(/spl theta/). In the case when X is a Markov-process, the proposed procedure is formally within the class defined in (Beneviste, 1990). However the analysis of the general case requires different techniques: an ODE method defined in terms of asymptotically stationary random fields. The verification of some standard technical conditions, such as a uniform law of large numbers for the error process is hard. For this we need some auxiliary results which are interesting in their own right. These are given in the Appendix. Simulation results are also presented.
Starting Page	2550
Ending Page	2554
File Size	163116
Page Count	5
File Format	PDF
ISBN	0780386825
ISSN	01912216
DOI	10.1109/CDC.2004.1428831
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2004-12-14
Publisher Place	Bahamas
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Recursive estimation Finance Space stations
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Recursive linear estimation in Krein spaces. II. Applications

Recursive linear estimation in Krein spaces. I. Theory

A stochastic approximation method for noise-free optimization

Corrigendum Lyapunov exponents for systems with unbounded coefficients

Spurious Lyapunov Exponents Computed from Data

Original article estimation of lyapunov exponents.

space, and Lyapunov exponents.

Lyapunov Exponents Estimation of the Impact Oscillation Using Observed Time Series

Estimation of frequencies of vibration using lattices

Controlled Lyapunov-exponents with applications

Similar Documents

Recursive linear estimation in Krein spaces. II. Applications

Recursive linear estimation in Krein spaces. I. Theory

A stochastic approximation method for noise-free optimization

Corrigendum Lyapunov exponents for systems with unbounded coefficients

Spurious Lyapunov Exponents Computed from Data

Original article estimation of lyapunov exponents.

space, and Lyapunov exponents.

Lyapunov Exponents Estimation of the Impact Oscillation Using Observed Time Series

Estimation of frequencies of vibration using lattices

Controlled Lyapunov-exponents with applications