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600: Lecture 32
Markov Chains
Scott Sheffield
MIT
Outline
Markov chains
Examples
Markov chains
Examples
An
p0 p1 . . . pM
Transitions via matrices
I Suppose that pi is the probability that system is in state i at
time zero.
I What does the following product represent?
P00 P01 . . . P0M
P10 P11 . . . P1M
p0 p1 . . . pM
PM0 PM1 . . . PMM
An
p0 p1 . . . pM
(n)
I We write Pij for the probability to go from state i to state j
over n steps.
Powers of transition matrix
(n)
I We write Pij for the probability to go from state i to state j
over n steps.
I From the matrix point of view
(n) (n) (n)
n
P00 P01 . . . P0M P00 P01 . . . P0M
(n) (n) (n)
P10 P11 . . . P1M 10 P11 . . . P1M
P
=
(n) (n) (n) PM0 PM1 . . . PMM
PM0 P M1 ... P MM
Powers of transition matrix
(n)
I We write Pij for the probability to go from state i to state j
over n steps.
I From the matrix point of view
(n) (n) (n)
n
P00 P01 . . . P0M P00 P01 . . . P0M
(n) (n) (n)
P10 P11 . . . P1M 10 P11 . . . P1M
P
=
(n) (n) (n) PM0 PM1 . . . PMM
PM0 P M1 ... P MM
Markov chains
Examples
Markov chains
Examples
I Note that
2 .64 .35
A =
.26 .74
Simple example
I Note that
2 .64 .35
A =
.26 .74
.285719 .714281
I Can compute A10 =
.285713 .714287
Does relationship status have the Markov property?
In a relationship
Married Engaged
Does relationship status have the Markov property?
In a relationship
Married Engaged
In a relationship
Married Engaged
In a relationship
Married Engaged
Markov chains
Examples
Markov chains
Examples
I Recall
that
10 .285719 .714281 2/7 5/7
A = =
.285713 .714287 2/7 5/7