Professional Documents
Culture Documents
and classification
Bo Friis Nielsen1
1 Applied
Bo Friis Nielsen
Next week
I
I
I
I
Random walks
First step analysis revisited
Branching processes
Generating functions
Classification of states
Classification of chains
Discrete time Markov chains - invariant probability
distribution
Bo Friis Nielsen
Bo Friis Nielsen
Sample space
Bo Friis Nielsen
Sample space
Bo Friis Nielsen
Sample space
Outcome
Bo Friis Nielsen
Sample space
Outcome
Bo Friis Nielsen
Sample space
Outcome
Event
Bo Friis Nielsen
Sample space
Outcome
Event
A, B
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
A, B
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
A, B
Ac =
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
A, B
Ac = \A
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
A, B
Ac = \A
Union
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
Union
A, B
Ac = \A
AB
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
Union
A, B
Ac = \A
AB
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
Union
A, B
Ac = \A
AB
Intersection
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
A, B
Ac = \A
Union
AB
Intersection
AB
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
A, B
Ac = \A
Union
AB
Intersection
AB
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
A, B
Ac = \A
Union
AB
Intersection
AB
Bo Friis Nielsen
Sample space
Outcome
Event
Complementary event
A, B
Ac = \A
Union
AB
Intersection
AB
Bo Friis Nielsen
0 P(A) 1,
Bo Friis Nielsen
P() = 1
0 P(A) 1,
P() = 1
Bo Friis Nielsen
for A B =
0 P(A) 1,
P() = 1
for A B =
Leading to
Bo Friis Nielsen
0 P(A) 1,
P() = 1
for A B =
Leading to
P() = 0,
P(Ac ) = 1 P(A)
Bo Friis Nielsen
0 P(A) 1,
P() = 1
for A B =
Leading to
P() = 0,
P(Ac ) = 1 P(A)
Bo Friis Nielsen
P(A|B) =
P(A B)
P(B)
Bo Friis Nielsen
P(A|B) =
P(A B)
P(A B) = P(A|B)P(B)
P(B)
Bo Friis Nielsen
P(A|B) =
P(A B)
P(A B) = P(A|B)P(B)
P(B)
(multiplication rule)
i Bi =
Bo Friis Nielsen
P(A|B) =
P(A B)
P(A B) = P(A|B)P(B)
P(B)
(multiplication rule)
i Bi =
Bi Bj =
Bo Friis Nielsen
i 6= j
P(A|B) =
P(A B)
P(A B) = P(A|B)P(B)
P(B)
(multiplication rule)
i Bi =
P(A) =
Bi Bj =
P(A|Bi )P(Bi )
i 6= j
Independence:
P(A|B) = P(A|B c ) = P(A)
Bo Friis Nielsen
P(A|B) =
P(A B)
P(A B) = P(A|B)P(B)
P(B)
(multiplication rule)
i Bi =
P(A) =
Bi Bj =
P(A|Bi )P(Bi )
i 6= j
Independence:
P(A|B) = P(A|B c ) = P(A) P(A B) = P(A)P(B)
Bo Friis Nielsen
f (t)
tx
Expectation
X
X
X
xP(X = x), E(g(X )) =
g(x)P(X = x) =
g(x)f (x)
E(X ) =
x
Bo Friis Nielsen
Joint distribution
f (x1 , x2 ) = P(X1 = x1 , X2 = x2 ),
F (x1 , x2 ) = P(X1 x1 , X2 x2 )
X
X
fX1 (x1 ) = P(X1 = x1 ) =
P(X1 = x1 , X2 = x2 ) =
f (x1 , x2 )
x2
FX1 (x1 ) =
x2
P(X1 = t1 , X2 = x2 ) = F (x1 , )
tx1 ,x2
Bo Friis Nielsen
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
= P (Xn = xn |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn1 = xn1 )
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
= P (Xn = xn |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn1 = xn1 )
= P (Xn = xn |Xn1 = xn1 )
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
= P (Xn = xn |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn1 = xn1 )
I
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
= P (Xn = xn |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn1 = xn1 )
I
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
= P (Xn = xn |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn1 = xn1 )
I
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
= P (Xn = xn |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn1 = xn1 )
I
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
= P (Xn = xn |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn1 = xn1 )
I
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
= P (Xn = xn |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn1 = xn1 )
I
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
= P (Xn = xn |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn1 = xn1 )
I
Bo Friis Nielsen
Markov property
P (Xn = xn |H)
= P (Xn = xn |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn1 = xn1 )
I
Bo Friis Nielsen
Bo Friis Nielsen
Storage/inventory models
Bo Friis Nielsen
Storage/inventory models
Telecommunications systems
Bo Friis Nielsen
Storage/inventory models
Telecommunications systems
Biological models
Bo Friis Nielsen
Storage/inventory models
Telecommunications systems
Biological models
Bo Friis Nielsen
Storage/inventory models
Telecommunications systems
Biological models
Bo Friis Nielsen
Storage/inventory models
Telecommunications systems
Biological models
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I
Bo Friis Nielsen
Storage/inventory models
Telecommunications systems
Biological models
I
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I
Bo Friis Nielsen
Storage/inventory models
Telecommunications systems
Biological models
I
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I
Bo Friis Nielsen
Bo Friis Nielsen
P=
Bo Friis Nielsen
1 p
P =
Bo Friis Nielsen
1 p
P =
Bo Friis Nielsen
1 p
P =
Bo Friis Nielsen
...
1 p
q
P =
Bo Friis Nielsen
...
1 p
p
q
1
p
q
P =
Bo Friis Nielsen
...
1 p
p
q
1
p
q
P =
0
p
Bo Friis Nielsen
...
1 p
p
q
1
p
q
P =
0
p
Bo Friis Nielsen
...
...
0
0
0
0
0
0
1 p
p
0
q
1
q
p
0
q
1pq
P = .
..
..
.
.
.
.
Bo Friis Nielsen
...
...
...
..
.
0
0
0
..
.
0
0
0
..
.
0
0
0
..
.
1 p
p
0
q
1
q
p
0
q
1pq
P = .
..
..
.
.
.
.
0
0
0
Bo Friis Nielsen
...
...
...
..
.
0
0
0
..
.
0
0
0
..
.
0
0
0
..
.
...
1 p
p
0
q
1
q
p
0
q
1pq
P = .
..
..
.
.
.
.
0
0
0
Bo Friis Nielsen
...
...
...
..
.
0
0
0
..
.
0
0
0
..
.
...
q 1pq
0
0
0
..
.
p
1 p
p
0
q
1
q
p
0
q
1pq
P = .
..
..
.
.
.
.
0
0
0
0
0
0
Bo Friis Nielsen
...
...
...
..
.
0
0
0
..
.
0
0
0
..
.
...
...
q 1pq
0
0
0
0
..
.
p
1 p
p
0
q
1
q
p
0
q
1pq
P = .
..
..
.
.
.
.
0
0
0
0
0
0
Bo Friis Nielsen
...
...
...
..
.
0
0
0
..
.
0
0
0
..
.
...
...
q 1pq
0
q
0
0
0
..
.
p
1 p
p
0
q
1
q
p
0
q
1pq
P = .
..
..
.
.
.
.
0
0
0
0
0
0
Bo Friis Nielsen
...
...
...
..
.
...
...
q 1pq
p
0
q
1 q
0
0
0
..
.
0
0
0
..
.
0
0
0
..
.
Bo Friis Nielsen
P=
Bo Friis Nielsen
1 p
P =
Bo Friis Nielsen
0 ...
1 p
p
q
1
p
q
P =
Bo Friis Nielsen
0
p
0
0
0 ...
0 ...
1 p
p
0
0
q
1
q
p
0
0
q
1pq
p
P =
0
0
q
1
p
q
Bo Friis Nielsen
0
0
0
p
...
...
...
...
1 p
p
0
0
q
1
q
p
0
0
q
1pq
p
P =
0
0
q
1
p
q
.
.
.
.
..
..
..
..
Bo Friis Nielsen
0
0
0
p
..
.
...
...
...
...
...
P=
Bo Friis Nielsen
1
P =
Bo Friis Nielsen
1
P =
Bo Friis Nielsen
0 ...
1
0
q 1 p q
P =
0
p
Bo Friis Nielsen
0
0
0 ...
0 ...
0
0
0
0
0
0
P =
0
0
0
1
q 1pq
p
0
0
q
1pq
p
0
0
q
1pq
..
..
..
..
.
.
.
.
Bo Friis Nielsen
0
0
0
p
..
.
...
...
...
...
..
.
0
0
0
0
..
.
0
0
0
0
..
.
0
0
0
0
..
.
P =
0
0
0
1
q 1pq
p
0
0
q
1pq
p
0
0
q
1pq
..
..
..
..
.
.
.
.
0
0
0
p
..
.
0 ...
Bo Friis Nielsen
...
...
...
...
..
.
0
0
0
0
..
.
0
0
0
0
..
.
0
0
0
0
..
.
q 1pq p
P =
0
0
0
1
q 1pq
p
0
0
q
1pq
p
0
0
q
1pq
..
..
..
..
.
.
.
.
0
0
0
p
..
.
0
0
0 ...
0 ...
0
0
0
0
Bo Friis Nielsen
0
0
...
...
...
...
..
.
q 1 p q p
0
0
1
0
0
0
0
..
.
0
0
0
0
..
.
0
0
0
0
..
.
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
or infinite
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
p1,n . . .
p2,n . . .
p3,n . . .
..
..
.
.
pn,n . . .
..
..
.
.
p1,n . . .
p2,n . . .
p3,n . . .
..
..
.
.
pn,n . . .
..
..
.
.
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
I
I
Bo Friis Nielsen
I
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Bo Friis Nielsen
I
I
Bo Friis Nielsen
I
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Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
X0 could be certain
Bo Friis Nielsen
X0 could be certain X0 = a
Bo Friis Nielsen
X0 could be certain X0 = a
or random
Bo Friis Nielsen
X0 could be certain X0 = a
or random P (X0 = i) = pi
Bo Friis Nielsen
X0 could be certain X0 = a
or random P (X0 = i) = pi
Once again we collect the possibly infinite many
parameters in a vector p
Bo Friis Nielsen
Bo Friis Nielsen
P (Xn = j|X0 = i)
Bo Friis Nielsen
(n)
Bo Friis Nielsen
(n)
Bo Friis Nielsen
(n)
Bo Friis Nielsen
(n)
(n)
Bo Friis Nielsen
(n)
(n)
Bo Friis Nielsen
(n)
(n)
Bo Friis Nielsen
(n)
(n)
Bo Friis Nielsen
Small example
1 p
q
P =
0
0
p
0
q
0
0
0
p
0
0
p
q 1q
Bo Friis Nielsen
Small example
1 p
q
P =
0
0
p
0
q
0
0
0
p
0
0
p
q 1q
P (2) =
Bo Friis Nielsen
Small example
1 p
q
P =
0
0
P (2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2
=
Bo Friis Nielsen
Small example
1 p
q
P =
0
0
P (2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2 + pq
=
Bo Friis Nielsen
Small example
1 p
q
P =
0
0
P (2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2 + pq (1 p)p
=
Bo Friis Nielsen
Small example
1 p
q
P =
0
0
P (2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2 + pq (1 p)p
=
Bo Friis Nielsen
p2
Small example
1 p
q
P =
0
0
(2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2 + pq (1 p)p
=
Bo Friis Nielsen
p2
Small example
1 p
q
P =
0
0
(2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2 + pq (1 p)p
q(1 p)
=
Bo Friis Nielsen
p2
Small example
1 p
q
P =
0
0
(2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2 + pq (1 p)p
q(1 p)
2qp
=
Bo Friis Nielsen
p2
Small example
1 p
q
P =
0
0
(2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2 + pq (1 p)p
q(1 p)
2qp
=
Bo Friis Nielsen
p2
0
Small example
1 p
q
P =
0
0
(2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2 + pq (1 p)p
q(1 p)
2qp
=
Bo Friis Nielsen
p2
0
0
p2
Small example
1 p
q
P =
0
0
(2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2 + pq (1 p)p
q(1 p)
2qp
=
2
q
0
Bo Friis Nielsen
p2
0
2qp
0
p2
p(1 q)
Small example
1 p
q
P =
0
0
P (2)
p
0
q
0
0
0
p
0
0
p
q 1q
(1 p)2 + pq (1 p)p
p2
0
2
q(1
p)
2qp
0
p
=
2
q
0
2qp
p(1 q)
2
0
q
(1 q)q (1 q)2 + qp
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
We applyP
the law of total probability
P (B) = k P (B|Ak )
Bo Friis Nielsen
We applyP
the law of total probability
P (B) = k P (B|Ak ) P (Ak )
P (Xn+m = j|X0 = i)
Bo Friis Nielsen
We applyP
the law of total probability
P (B) = k P (B|Ak ) P (Ak )
P (Xn+m = j|X0 = i)
=
P (Xn+m = j|X0 = i, Xn = k )
Bo Friis Nielsen
We applyP
the law of total probability
P (B) = k P (B|Ak ) P (Ak )
P (Xn+m = j|X0 = i)
=
Bo Friis Nielsen
P (Xn+m = j|X0 = i, Xn = k )
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
(m)
(n)
Pkj Pik =
Bo Friis Nielsen
(m)
(n)
Pkj Pik =
Bo Friis Nielsen
(n)
(m)
Pik Pkj
(m)
(n)
Pkj Pik =
(n)
(m)
Pik Pkj
Bo Friis Nielsen
(m)
(n)
Pkj Pik =
(n)
(m)
Pik Pkj
Bo Friis Nielsen
(m)
(n)
Pkj Pik =
(n)
(m)
Pik Pkj
Bo Friis Nielsen
The probability of Xn
Bo Friis Nielsen
The probability of Xn
Bo Friis Nielsen
The probability of Xn
(n)
Bo Friis Nielsen
The probability of Xn
Define P (Xn = j)
(n)
Bo Friis Nielsen
The probability of Xn
Define P (Xn = j) = pj
(n)
(n)
Bo Friis Nielsen
The probability of Xn
Define P (Xn = j) = pj
(n)
(n)
(n)
Bo Friis Nielsen
The probability of Xn
Define P (Xn = j) = pj
(n)
(n)
(n)
p (n)
Bo Friis Nielsen
The probability of Xn
Define P (Xn = j) = pj
(n)
(n)
(n)
p (n) = p
Bo Friis Nielsen
The probability of Xn
Define P (Xn = j) = pj
(n)
(n)
(n)
p (n) = pP (n) = pP n
Bo Friis Nielsen
1 p
q
P =
0
0
p
0
q
0
Bo Friis Nielsen
0
0
p
0
0
p
q 1q
1 p
q
P =
0
0
with p = 13 , 0, 0, 23
p
0
q
0
Bo Friis Nielsen
0
0
p
0
0
p
q 1q
1 p p
q
0
P =
q
0
0
0
with p = 13 , 0, 0, 23 we get
0
0
p
0
0
p
q 1q
p (1)
Bo Friis Nielsen
1 p p
q
0
P =
q
0
0
0
with p = 13 , 0, 0, 23 we get
(1)
=
1
2
, 0, 0,
3
3
0
0
p
0
0
p
q 1q
Bo Friis Nielsen
1 p p
q
0
P =
q
0
0
0
with p = 13 , 0, 0, 23 we get
p (1) =
1 p
1
2 q
, 0, 0,
3
3 0
0
p
0
q
0
0
0
p
0
0
p
q 1q
0
0
p
0
0
p
q 1q
Bo Friis Nielsen
1 p p
q
0
P =
q
0
0
0
with p = 13 , 0, 0, 23 we get
p (1) =
1 p
1
2 q
, 0, 0,
3
3 0
0
p
0
q
0
0
0
p
0
0
p
q 1q
0
0
p
0
0
p
q 1q
Bo Friis Nielsen
= 1 p ,
3
1 p p
q
0
P =
q
0
0
0
with p = 13 , 0, 0, 23 we get
p (1) =
1 p
1
2 q
, 0, 0,
3
3 0
0
p
0
q
0
0
0
p
0
0
p
q 1q
0
0
p
0
0
p
q 1q
Bo Friis Nielsen
= 1 p , p ,
3
3
1 p p
q
0
P =
q
0
0
0
with p = 13 , 0, 0, 23 we get
p (1) =
1 p
1
2 q
, 0, 0,
3
3 0
0
p
0
q
0
0
0
p
0
0
p
q 1q
0
0
p
0
0
p
q 1q
Bo Friis Nielsen
= 1 p , p , 2q ,
3
3 3
1 p p
q
0
P =
q
0
0
0
with p = 13 , 0, 0, 23 we get
p (1) =
1 p
1
2 q
, 0, 0,
3
3 0
0
p
0
q
0
0
0
p
0
0
p
q 1q
0
0
p
0
0
p
q 1q
Bo Friis Nielsen
= 1 p , p , 2q , 2(1 q)
3
3 3
3
p=
2
1
, 0, 0,
3
3
,
(1 p)2 + pq (1 p)p
p2
0
2
q(1
p)
2qp
0
p
P 2 =
q2
0
2qp
p(1 q)
0
q2
(1 q)q (1 q)2 + qp
Bo Friis Nielsen
p (2)
Bo Friis Nielsen
(2)
=
Bo Friis Nielsen
1
2
, 0, 0,
3
3
(2)
=
1
2
, 0, 0,
3
3
(1 p)2 + pq (1 p)p
p2
0
q(1 p)
2qp
0
p2
2
q
0
2qp
p(1 q)
2
0
q
(1 q)q (1 q)2 + qp
Bo Friis Nielsen
(2)
=
1
2
, 0, 0,
3
3
(1 p)2 + pq (1 p)p
p2
0
q(1 p)
2qp
0
p2
2
q
0
2qp
p(1 q)
2
0
q
(1 q)q (1 q)2 + qp
=
(1 p)2 + pq
,
3
Bo Friis Nielsen
(2)
=
1
2
, 0, 0,
3
3
(1 p)2 + pq (1 p)p
p2
0
q(1 p)
2qp
0
p2
2
q
0
2qp
p(1 q)
2
0
q
(1 q)q (1 q)2 + qp
=
(1 p)2 + pq (1 p)p
,
,
3
3
Bo Friis Nielsen
(2)
=
1
2
, 0, 0,
3
3
(1 p)2 + pq (1 p)p
p2
0
q(1 p)
2qp
0
p2
2
q
0
2qp
p(1 q)
2
0
q
(1 q)q (1 q)2 + qp
=
Bo Friis Nielsen
(2)
=
1
2
, 0, 0,
3
3
(1 p)2 + pq (1 p)p
p2
0
q(1 p)
2qp
0
p2
2
q
0
2qp
p(1 q)
2
0
q
(1 q)q (1 q)2 + qp
=
Bo Friis Nielsen
Bo Friis Nielsen
v = E(T |X0 = 1)
u = P(XT = 0|X0 = 1)
=
2
X
k =0
2
X
k =0
P1,0
=
1 P1,1
+
Bo Friis Nielsen
= E(T |X0 = 1)
=
2
X
k =0
= 1+
2
X
k =0
1
1
=
1 P1,1
1
Bo Friis Nielsen
1
0
0
0
P1,0 P1,1 P1,2 P1,3
P =
P2,0 P2,1 P2,2 P2,3
0
0
0
1
Bo Friis Nielsen
Leading to
Bo Friis Nielsen
Q R
P =
0 I
Bo Friis Nielsen
T = min {n 0, Xn r }
In state j we accumulate reward g(j), wi is expected total
reward conditioned on start in state i
!
T
1
X
wi = E
g(Xn )|X0 = i
n=0
leading to
wi = g(i) +
Pi,j wj
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen
Bo Friis Nielsen