Solutions of max-plus linear equations and large deviations
Probability
2016-11-18 v1 Optimization and Control
Abstract
We generalise the Gartner-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.
Keywords
Cite
@article{arxiv.math/0509279,
title = {Solutions of max-plus linear equations and large deviations},
author = {Marianne Akian and Stephane Gaubert and Vassili Kolokoltsov},
journal= {arXiv preprint arXiv:math/0509279},
year = {2016}
}
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6 pages