Ni san s 54 Nghin cu - Trao i

PHN TCH MARKOV V NG DNG VO KINH T

Phm Tch - Cao Tn Bnh
Nhiu m hnh
ngu nhin trong
Kinh t, K thut,
L thuyt nhn
dng, Vn tr hc,
Dn s hc, Di
truyn hc,... c
tip cn nghin cu
c th da trn c
s l qu trnh Markov
1
.
Trong bi vit ny, chng ti gii
thiu ti bn c nhng khi nim
nhp mn v xch Markov vi thi
gian ri rc thun nht v ng dng ca
l thuyt ny trong mt vi bi ton
thuc lnh vc kinh t.
1. Cc khi nim c bn v xch
Markov
1.1. Cc nh ngha
Xt mt h thng dch v (hay mt
h thng sinh thi, h thng vt l,)
tin trin theo thi gian. Gi X(t) l v
tr (trng thi) ca h ti thi im t.
Nh vy, ng vi mi thi im t, X(t)
chnh l mt bin ngu nhin m t v
tr ca h thng. Qu trnh { }
t 0
X(t)


c gi l mt qu trnh ngu nhin.
Tp hp cc v tr c th c ca h gi
l khng gian trng thi.
Gi s trc thi im s, h
trng thi no ; cn ti thi im s,
h trng thi i. Chng ta mun nh
gi xc sut ti thi im t (t >s), h
s trng thi j. Nu xc sut ny ch
ph thuc vo b bn (s, i, t, j), tc l
P[X(t) = j/X(s) = i] = p(s, i, t, j) l ng
i, j, s, t th iu ny c ngha
l s tin trin ca h trong tng lai
1
Nh ton hc ngi Nga
ch ph thuc vo hin ti v hon ton
c lp vi qu kh (tnh khng nh).
chnh l tnh Markov. Lc ny qu
trnh ngu nhin X(t) c gi l qu
trnh Markov.
Nu khng gian trng thi S gm
mt s hu hn hoc v hn m c
cc trng thi th qu trnh Markov X(t)
c gi l xch Markov. Hn na, nu
tp cc gi tr t khng qu m c
(chng hn t = 0, 1, 2,... ) th ta c xch
Markov vi thi gian ri rc, hay xch
Markov ri rc.
Xt mt xch Markov. Nu xc sut
chuyn trng thi p(s, i, t, j) = p(s+h, i,
t+h, j), i, j, s, t v h > 0 th ta
ni rng xch Markov thun nht theo
thi gian.
1.2. Ma trn xc sut chuyn trng
thi v phn phi dng
Trong mc ny, chng ta a ra khi
nim v ma trn xc sut chuyn trng
thi ca mt xch Markov ri rc v
thun nht theo thi gian vi khng
gian trng thi gm N phn t. Trong
trng hp xch Markov ri rc v
thun nht c khng gian trng thi vi
s phn t v hn m c, khi nim
v ma trn xc sut chuyn trng thi
s c xy dng mt cch tng t.
Gi s ti thi imt n , X(n)
cng c th nhn mt trong N gi tr
1,2,...,N vi cc xc sut tng ng l
(n) (n) (n)
1 2 N
, ,..., (vi
(n) (n) (n)
1 2 N
... 1 + + + ) th ma trn
dng
(n) (n) (n) (n)
1 2 N
... 1
]
gi l
ma trn phn phi ti thi imt n .
57
Ni san s 54 Nghin cu - Trao i
Vi t 0 , ta c ma trn phn phi ban
u
(0) (0) (0) (0)
1 2 N
... 1
]
.
Ma trn
ij
N N
P p

1
]
, trong
[ ]
ij
p p(t,i, t 1, j) P X(t 1) j/ X(t) i , t + +

l xc sut chuyn trng thi t v tr i
sang v tr j sau mt bc i, j 1, N
gi l ma trn xc sut chuyn trng
thi (ma trn chuyn) sau mt bc.
Xt xch Markov ri rc v thun
nht vi ma trn chuyn
ij
N N
P p

1
]
.
Khi ma trn phn phi xc sut
1 2 N
... 1
]
tha mn iu
kin
(I P) 0
c gi l phn
phi dng ca xch Markov cho. p
dng m hnh xch Markov phn
tch mt vn no trong Kinh t,
K thut,... c coi l vic ng dng
phn tch Markov.
1.3. Cc tnh cht
Xt xch Markov ri rc v thun
nht vi ma trn chuyn
ij
N N
P p

1
]
.
Khi , ta c cc tnh cht sau y:
(i)
N
(n m) (n) (m)
ij ik kj
k 1
p p p
+

(ii)
(n) n
P P
v
(n m) (n) (m)
P P P
+

(iii)
(n m) (n) (m)
P
+

Cc tnh cht trn cho ta nh
gi xc sut v trng thi ca h vo
thi imt n no . Php chng
minh cc tnh cht ny tng i kh,
bn c c th tham kho trong cc ti
liu ([2]), ([3]).
2. Mt s bi ton ng dng vo kinh
t ca phn tch Markov.
S dng l thuyt xch Markov,
ngi ta gii quyt trn vn nhiu bi
ton kh phc tp trong kinh t. Chng
hn nh: bi ton d bo tht thu cho
cc hp ng thc hin trc, bi ton
v qu trnh sinh-t ca h thng hng
ch,... Bi vit ny bc u a ra
mt vi bi ton v kinh t c p dng
l thuyt xch Markov.
Bi ton 1: Trong mt khu ph c 3
siu th A, B v C. Gi s xc sut
mt ngi khch vo mua hng
siu th A thng trc vo li A trong
thng sau lun l 0,8; chuyn sang mua
hng B lun l 0,1 v chuyn sang C
lun l 0,1. Xc sut mt ngi
khch vo mua hng siu th B
thng trc chuyn sang A lun l
0,07; vo li B lun l 0,9 v chuyn
sang C lun l 0,03. Cn xc sut
mt ngi khch vo siu th C
thng trc chuyn sang A lun l
0,083; chuyn sang B lun l 0,067 v
vo li C lun l 0,85. Xc nh t l
phn trm s khch hng vo cc siu
th A, B, C khi thi gian di. Ta c
ma trn xc sut chuyn trng thi
0,8 0,1 0,1
P 0, 07 0,9 0, 03
0, 083 0, 067 0,85
1
1

1
1
]
Nhn thy rng vic xc nh t l
phn trm s khch hng vo cc siu
th A, B, C khi thi gian di ng
ngha vi vic tm phn phi dng
1 2 3
1
]
tha mn iu kin
(I P) 0
(*).
T (*) ta c h phng trnh:
1 2 3 1
1 2 3 2
3 1 2 3
0, 2 0, 07 0, 083 0 0, 273
0,1 0,1 0, 067 0 0, 454
0, 273 1



+
' '

+ +

58
Ni san s 54 Nghin cu - Trao i
Vy t l phn trm s khch hng vo
cc siu th A, B, C sau mt thi gian
di l 27,3%, 45,4% v 27,3%.
Ngoi ra, cc cng thc trong 1.3
cho bit t l phn trm s khch hng
vo cc siu th A, B, C trong mt
thng no . Chng hn, ta tnh c
t l phn trm s khch hng vo cc
siu th A, B, C trong thng th 5 ln
lt l 25,77373%, 46,861381% v
27,364893%.
Bi ton 2: Trong mt h thng k
thut in, cc thit b cng mt loi
c phn ra cc tnh trng sau y:
va mi thay, cn tt, vn dng c
v b hng. Gi s theo s liu
thng k c, ma trn xc sut chuyn
trng thi nh sau:
0 0,8 0, 2 0
0 0, 6 0, 4 0
P
0 0 0,5 0,5
0,1 0 0 0
1
1
1

1
1
]
Trong , dng u tin ca ma trn P
th hin sau mi tun c 0%, 80%,
20% v 0% s cc thit b mi thay
chuyn sang tnh trng mi thay, cn
tt, vn dng c v b hng. Cc
dng cn li ca ma trn P c gii
thch tng t cc thit b cn tt, vn
dng c v b hng.
D dng tm c phn phi dng
[ ]
1/ 6 1/ 3 1/ 3 1/ 6
. Gi s
chi ph thay mi mt thit b l 24
nghn (ng) v tht thu khi mi mt
thit b b hng l 18 nghn (ng) th
mi tun phi chi trung bnh cho mi
thit b vi s tin l 1/6

24 + 1/6

18=7 nghn (ng).

Nu ta thay th mi thit b mt khi
kim tra v pht hin thit b tnh
trng vn dng c th iu ny dn
n vic gim thiu tht thu do thit b
hng gy nn. Tht vy, khi ma trn
xc sut chuyn trng thi l:
0 0,8 0, 2
P 0 0, 6 0, 4
1, 0 0 0
1
1

1
1
]
v phn phi dng tng ng l
[ ]
1/ 4 1/ 2 1/ 4
Nh vy, vi chnh sch thay th vt t
ny, mi tun ta ch chi trung bnh cho
mi thit b vi s tin l 1/4

24 + 0

18 = 6 nghn (ng). Nu h thng c

1000 thit b th nh chnh sch thay
th vt t mi, mi tun h thng s
tit kim c mt triu (ng).
Bai ton 3: Mt hng hng khng
mi tch ra t hng hng khng quc
gia v bt u i vo hot ng trong
th trng t do cnh tranh. N
a ra nhiu chin lc khch l nhm
thu ht hnh khch t hng hng
khng c. Hng thng, ngi ta c
tnh c khong 1/6 s hnh khch vn
cn trung thnh vi hng hng khng
c v c khong 2/3 s hnh khch
trong hng hng khng mi chuyn
qua t hng hng khng c vn cn
trung thnh. Mc ch ca chng ta l
tm s hnh khch n vi hai hng
hng khng trong thng th nht,
thng th hai v sau mt thi gian
di.
Ta c ma trn chuyn xc sut
1/ 6 5/ 6
P
1/ 3 2/ 3
1

1
]
, trong dng th
nht ca ma trn xc sut cho bit sau
mi thng xc sut mt hnh khch
59
Ni san s 54 Nghin cu - Trao i
trung thnh vi hng hng khng quc
gia chuyn sang hng mi v dng th
hai ca ma trn xc sut th hin xc
sut mt hnh khch t hng hng
khng mi chuyn sang hng hng
khng quc gia.
Gi s lc u hng hng khng
quc gia c 600 hnh khch v hng
hng khng mi cha c hnh khch
no. D thy rng trong thng th
nht, s hnh khch ca hng hng
khng quc gia l 600

1/6 + 0

1/3 =
100 v s khch hng ca hng hng
khng mi l 600

5/6 + 0

2/3 =
500. Tng t, s hnh khch n vi
hai hng hng khng ny trong thng
th hai l 100

1/6 + 500

1/3

183
v 100

5/6 + 500

1/3

417. Ma trn
phn phi xc sut ti cc thi im
t=0 (thi im ban u), t=1(thng
th nht),... ln lt l [ ]
(0)
1 0 ,
[ ] [ ]
(1)
1/ 6 5/ 6
1 0 1/ 6 5/ 6
1/ 3 2/ 3
1

1
]
,... iu ny cho ta bit c t l
phn trm s hnh khch vo mi
hng hng khng trong thng th n
no . Gii h phng trnh ma trn
(I P) 0
, ta s tm c phn
phi dng v khi bit c t
l phn trm s hnh khch ca hai
hng hng khng trong thi gian di.
PT - CTB (Khoa HTTTKT).
Ti liu tham kho:
(1). Nguyn Hi Thanh, Ton ng dng , NXB i hc S Phm 2005.
(2). Yury Suhov and Mark Kelbert, Probability and Statistics by Example II - Markov Chain:
A Primer in Radom Processes and their Aplications, Cambridge University 2008.
(3). G. George Yin and Qing Zhang, Discrete-Time Markov Chains, Two-Time-Scale
Methods and Applications, Mathematics Subject Classification 2000.
60
Di anh mat tri khong co nghe nao cao
quy hn nghe day hoc.
(Comenxki)
Ai lam chu giao duc co the thay oi the
gii.
(Leibniz)
Ngi thay trung bnh ch biet noi,
Ngi thay gioi biet giai thch,
Ngi thay xuat chung biet minh hoa,
Ngi thay v ai biet cach truyen cam
hng.
(William A. Warrd)