Transcript Markov Chains

Markov Chains
(covered in Sections 1.1,
1.6, 6.3, and 9.4)
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Markov Chains
Mathematical models for processes that evolve over
time in a probabilistic manner are called
stochastic processes.
A special kind of stochastic process is Markov
Chain. It is characterized by the special property
that probabilities involving how the process will
evolve in the future depends only on the present
state of the process, and so are independent of
the events in the past.
Markov chains are used to analyze trends and
predict the future (weather, stock market,
genetics, product success, etc.)
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Markov Chains
A finite Markov chain is
- a set of objects,
- a set of consecutive time periods,
- a finite set of different states
such that
(i) during any given time period, each object is in
only one state (although different objects can be
in different states);
(ii) the probability that an object will move from one
state to another state (or remain in same state)
over a time period depends only on the
beginning and ending states.
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Markov Chains
• A Markov chain can be represented by a matrix P=[pij]
where pij represents the probability of an object
moving from state i to state j in one time period. Such
a matrix is called a transition matrix.
- The transition matrix is square (by the nature of Markov
process);
- The sum of the probabilities of each row must add to
one.
• A Markov chain can also be represented by a graph.
• Example in the next slide
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Markov Chains: Coke vs. Pepsi Example
• Given
that a person’s last cola purchase was Coke,
there is a 90% chance that his next cola purchase will
also be Coke.
• If a person’s last cola purchase was Pepsi, there is an
80% chance that his next cola purchase will also be
Pepsi.
transition matrix:
0.9 0.1
P

0.2 0.8
0.1
0.9
coke
0.8
pepsi
0.2
Powers of transition matrices
Coke vs. Pepsi Example (cont.)
Given that a person is currently a Pepsi purchaser, what is
the probability that he will purchase Coke two purchases
from now?
Pr[ Pepsi?Coke ] =
Pr[ PepsiCokeCoke ] + Pr[ Pepsi Pepsi Coke ] =
0.2 *
0.9
+
0.8
*
0.2
= 0.34
0.9 0.1 0.9 0.1 0.83 0.17
P 





0.2 0.8 0.2 0.8 0.34 0.66
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P2 is the transition matrix after two time period.
Powers of transition matrices
Coke vs. Pepsi Example (cont.)
Given that a person is currently a Coke purchaser, what
is the probability that he will purchase Pepsi three
purchases from now?
0.9 0.1 0.83 0.17  0.781 0.219
P 





0.2 0.8 0.34 0.66 0.438 0.562
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Distribution Row Vector
A distribution row vector d for an N-state Markov
chain is an N-dimensional row vector having as its
components, one for each state, the probabilities
that an object in the system is in each of the
respective states.
Example (cont.): Suppose 60% of all people now
drink Coke, and 40% drink Pepsi. Then the
distribution vector is (0.6, 0.4).
Let d(k) denote the distribution vector for a Markov
chain after k time periods. Thus, d(0) represents
the initial distribution. Then
d(k) = d(0)Pk
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Distribution Row Vector
Example (cont.):
• Suppose 60% of all people now drink Coke, and
40% drink Pepsi
• What fraction of people will be drinking Coke
three weeks from now?
• d(0) = (0.6, 0.4)
0.9 0.1
P  

0.2 0.8 
 0.781 0.219
P 

0
.
438
0
.
562


3
• d(3) = d(0)P3
• Pr[X3=Coke]
 = 0.6 * 0.781 + 0.4 * 0.438 = 0.6438
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Regular Markov Chains
A Markov chain is regular if some power of the
transition matrix contains only positive elements.
If the matrix itself contains only positive elements
then the power is one, and the matrix is
automatically regular.
Transition matrices that are regular always have an
eigenvalue of unity.
They also have limiting distribution vectors x(∞),
where the ith component of x(∞) represents the
probability of an object in state i after a large
number of time periods have elapsed.
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Limiting distribution
Coke vs. Pepsi Example (cont)
2/3
3
Pr[Xi = Coke]
2
1
0.9 0.1 2
3 
  3
0
.
2
0
.
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

1
stationary distribution
0.1
0.9
coke
0.8
pepsi
0.2
week - i
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3

Regular Markov Chains
Definition: A nonzero vector x is a left eigenvector
for a matrix A if there exists a scalar λ such that
xA = λx.
(Left and right eigenvectors are usually different;
they are the same only for special type of
matrices.)
The limiting distribution x(∞) is a left eigenvector of
the transition matrix corresponding to the
eigenvalue of unity, and having the sum of its
components equal to one.
Examples on the board.
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