TY - GEN
T1 - Solutions of max-plus linear equations and large deviations
AU - Akian, Marianne
AU - Gaubert, Stéphane
AU - Kolokoltsov, Vassili
PY - 2005/12/1
Y1 - 2005/12/1
N2 - We generalise the Gärtner-Ellis theorem of large deviations theory. Our results allow us to derive large deviation type results in stochastic optimal control from the convergence of generalised logarithmic moment generating functions. They rely on the characterisation of the uniqueness of the solutions of max-plus linear equations. We give an illustration for a simple investment model, in which logarithmic moment generating functions represent risk-sensitive values.
AB - We generalise the Gärtner-Ellis theorem of large deviations theory. Our results allow us to derive large deviation type results in stochastic optimal control from the convergence of generalised logarithmic moment generating functions. They rely on the characterisation of the uniqueness of the solutions of max-plus linear equations. We give an illustration for a simple investment model, in which logarithmic moment generating functions represent risk-sensitive values.
U2 - 10.1109/CDC.2005.1583420
DO - 10.1109/CDC.2005.1583420
M3 - Conference contribution
AN - SCOPUS:33847200828
SN - 0780395689
SN - 9780780395688
T3 - Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
SP - 7787
EP - 7792
BT - Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
T2 - 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Y2 - 12 December 2005 through 15 December 2005
ER -