Markov Chains

Camille Crumpton, Sisi Xiong, Tyler McDaniel

Questions
• What is the matrix A given the following graph when calculating
PageRank according to the simple definition of PageRank?
1 3

0 2

• What is the first name of the man credited for Markov Chains?

• What is one application that you have used personally of Markov

Chains?
Tyler McDaniel
• From Asheville, NC
• CS PhD student;
work on high-perf
dense linear algebra
libraries at ICL
• Prior work with
graph algorithms in
the financial sector
• Also worked in
microcontrollers/IoT
 Sisi Xiong
• Changde, Hunan, China
• PhD student majoring in Electrical Engineering.
• Research interests: processing large datasets using probabilistic
approaches: Bloom filters
Camille Crumpton
• Hometown: Knoxville/Maryville, TN
Camille Crumpton
• Computer Science graduate student
• Harpist
• Endurance athlete
Outline
• Overview of Markov Chains
• History of Markov Chains
• PageRank – Most Famous Use of Markov Chains
• Algorithm
• Implementation
• Experiments
• Text Algorithm
• Algorithm
• Implementation
• Applications – “Fun” uses!
• Experiments
• More applications
• Population processes
• Adaptive cruise control
• Open Problem
• Discussion
Overview of Markov Chains
• What is a Markov Chain?
• A discrete-time stochastic process that satisfies the Markov
property

• Then what is the Markov property?

• If one can make predictions about the future of the process
with only having the knowledge of the present state (no
knowledge of past states)
• Sometimes called “memoryless” property
Overview of Markov Chains
• Often represented as a graph with probabilities as
weights

• In the example to the right, each edge weight

represents the probability of the Markov process
changing from one state to another

• Can think of a Markov Chain as a stochastic

(probability-driven) finite state machine
Overview of Markov Chains
Overview of Markov Chains
• Can also be represented as a transition matrix
1 2 3 4

1 0.6 0.2 0 0.2

2 0.6 0.4 0 0

3 0 0.3 0.4 0.3

4 0.3 0 0 0.7
Overview of Markov Chains: Simple Example
• Let’s use a Markov Chain to make a simple prediction of the weather:

• Raining today 40% rain tomorrow

60% sunny tomorrow

• Sunny today 20% rain tomorrow

80% sunny tomorrow
Overview of Markov Chains: Simple Example
• http://setosa.io/ev/markov-chains/
Overview of Markov Chains: More Complexity
History behind Markov Chains
Andrey Andreyevich Markov
• Born: June 1856
• Death: July 1922 (66 years old)
• Russian mathematician
• Alma mater: St. Petersburg University
• Asked to stay at St. Petersburg University as a
researcher upon graduation
• Studied stochastic processes
Markov Chain Beginnings: Probability + Poetry
• Andrey Markov spent hours perusing through
Alexander Pushkin’s novel in verse Eugene Onegin

• Discovered patterns in certain letters following

other letters

• Created an analysis of vowel and consonant patterns

– the precursor to Markov Chains

http://www.americanscientist.org/issues/pub/first-links-in-the-markov-chain
Markov Chain Beginnings: Probability + Poetry
• ”If the current letter I’m reading is a vowel, what is
the probability that the next letter I’m reading is a
vowel?
• A consonant?
• What about three letters later?
• Ten letters later?

http://www.americanscientist.org/issues/pub/first-links-in-the-markov-chain
Markov Chain Beginnings: Probability + Poetry
"My uncle's shown his good intentions
By falling desperately ill;
His worth is proved; of all inventions
Where will you find one better still?
He's an example, I'm averring;
But, God, what boredom -- there, unstirring,
By day, by night, thus to be bid
To sit beside an invalid!
Low cunning must assist devotion
To one who is but half-alive:
You puff his pillow and contrive
Amusement while you mix his potion;
You sign, and think with furrowed brow --
'Why can't the devil take you now?' "
http://www.americanscientist.org/issues/pub/first-links-in-the-markov-chain
Markov Chain Beginnings: Probability + Poetry
• Andrey Markov created a new branch of probability
with his findings, now known as Markov chains

• Extended probability beyond coin flipping & dice

rolling (independent events) – to chains of linked
events (what happens next depends on current
state of the system)

http://www.americanscientist.org/issues/pub/first-links-in-the-markov-chain
Markov Chain Beginnings: Probability + Poetry
Markov Chains: Two Algorithms/Applications
• PageRank
• Application – we use it everyday!
• Algorithm
• Implementation
• Experiments

• Markov Chain Text Algorithm (a.k.a. Markov Chain Algorithm)

• Algorithm
• Implementation
• Applications
• Experiment
PageRank: Introduction
• Inputs
• A bunch of webpages (vertices), each of which has links to other
webpages(edges).
A D
…
C
C
…
…
D
B E
E
…
…
C

• Directed graph!
PageRank: Introduction
• Purpose
• Rank all webpages in terms of “importance”.
• How to define “importance”
• Analogy: citation, papers with more citations
are more important.
• Option: count how many backlinks a webpage has.
• Caveat: if a page has a backlink from an “important” page, it also should be
somewhat important.
• Weighted directed graph!
PageRank: Introduction
• Original Paper
• Page, L., Brin, S., Motwani, R., & Winograd, T. (1999). The PageRank citation
ranking: Bringing order to the web. Stanford Info Lab.

• PageRank works by counting the number and quality of links to a

page to determine a rough estimate of how important the website is.
The underlying assumption is that more important websites are likely
to receive more links from other websites.*

*https://web.archive.org/web/20111104131332/https://www.google.com/competition/howgooglesearchworks.html
PageRank: Definition
• Intuitively
• A webpage has high rank if the sum of the ranks of its backlinks is large.
• Simple definition
• u: a webpage
• R(u): rank of u
• F(u): the set of webpages that u points to.
• B(u): the set of webpages that point to u.
• N(u): the number of links from u (forward links).
• c: a factor for normalization, i.e., a constant.

𝑅(𝑣)
𝑅 𝑢 =𝑐
𝑁𝑣
𝑣∈𝐵𝑢
PageRank: Definition
𝑅(𝑣)
𝑅 𝑢 =𝑐
𝑁𝑣
𝑣∈𝐵𝑢

• Construct a n by n matrix A:
1/𝑁𝑣 , if there is an edge from v to u
• 𝐴𝑢,𝑣 =
0 , otherwise

• R = [R(1), R(2), …, R(n)]

• R = cAR
• R is an eigenvalue of A with eigenvalue c.
PageRank: Example
1/𝑁𝑣 , if there is an edge from v to u
𝐴𝑢,𝑣 =
0 , otherwise
1 3
1
𝑅0 = 1 × 𝑅3 𝑅1 = × 𝑅0
2
1 1 1
𝑅2 = × 𝑅0 + × 𝑅1 𝑅3 = × 𝑅1 + 1 × 𝑅2
2 2 2 0 2

𝑅0 0 0 0 1 𝑅0
𝑅1 1/2 0 0 0 𝑅1
= ×
𝑅2 1/2 1/2 0 0 𝑅2
𝑅3 0 1/2 1 0 𝑅3
PageRank: Rank sink issue
• Loop (u, v) accumulates rank, but never distributes rank (no forward
links).
u v

• Modified PageRank
• E(u) is some vector that is considered as a source of rank

𝑅′ (𝑣)
𝑅′ 𝑢 = 𝑐 + 𝑐𝐸(𝑢)
𝑁𝑉
𝑣∈𝐵𝑢
PageRank: Random Surfer Model
• A “random surfer” keeps clicking on successive links randomly.
• If entering a rank sink, the surfer “gets bored” and jumps to a random
page.

𝑅′ (𝑣) 1 − 𝑐
𝑅′ 𝑢 = 𝑐 + , c = 0.85
𝑁𝑉 𝑁
𝑣∈𝐵𝑢

u v x

w
PageRank: Markov chain
𝑅0 0 0 0 1 𝑅0
𝑅1 1/2 0 0 0 𝑅1
= ×
𝑅2 1/2 1/2 0 0 𝑅2
𝑅3 0 1/2 1 0 𝑅3

• The sum of values in each column in A is 1.

• A is a Markov matrix!
• All probability is non-negative, it’s guaranteed there is a steady-state
vector.
• PageRank always has a steady state.
PageRank: Convergence properties
• Experiments on a database based on 322 million links
• 52 iterations.
• Scale very well.
PageRank: Implementation
• R(0) = [1/N, 1/N, …, 1/N]
• e = 0.0001
• delta = 0
• while true
0.15
• 𝑅𝑖+1 = 0.85𝐴𝑅𝑖 +
𝑁
• delta = 𝑅𝑖+1 − 𝑅𝑖 1
• if delta < e
• break
• 𝑅𝑖 = 𝑅𝑖+1
• return 𝑅𝑖
PageRank: Experiment configuration
• Datasets
• Test graphs from homework 2.
• Several graphs from http://snap.stanford.edu/.
• Metrics
• Convergence speed, in terms of iterations.
• PageRank results: sparse vs dense graphs.
• PageRank results based on real graphs.
PageRank: Experiment results
E
V

Observation:
1. Results of all graphs converge in less
than 20 iterations.
2. No obvious pattern between
convergence speed and graph size

Iterations to convergence of all test graphs from hw2

PageRank: Experiment results

PageRank results comparison between dense and sparse graphs

Observation: PageRank of results of dense graphs are more spread out.
PageRank: Experiment results
• Why there is a jump there?
• Suppose if a webpage (vertex) has no backlinks (no webpage has links
to it), the only rank source comes from “random jumps”, which is a
relatively small probability.
• Hypothesis: If a vertex has no backlinks, its page rank is the smallest.
• Experiment results: matching!
Graph Random.500.01.txt Random.1000.01.txt
Number of webpages which 101 104
have smallest PageRank
Number of webpages which 101 104
have no backlinks
PageRank: Experiment results

Number of vertices which have

no backlinks = 4590
Number of vertices which have
no backlinks = 4734

Wikipedia administer vote graph Citation graph from the e-print arXiv
V = 7,115, E = 103,689 V = 27,770, E = 352,807
iterations = 17 iterations = 17
http://snap.stanford.edu/data/wiki-Vote.html http://snap.stanford.edu/data/cit-HepTh.html
Next Algorithm/Application! Markov Chain Text
Markov Chain Text (Intro)
• Process input text, analyzing letter/word (token) probabilities
• Create graph (transition matrix) to represent those probabilities
• Generate “similar” text using graph
• Order: how many prior tokens to use when generating next token

1 .33
• Example:
• Input: Foo bar foo bar bar Foo Bar \n

.33

.33
Markov Chain Text (Algorithm)
• Simple (bare bones!) pseudocode for order 1:
• PROCESS:
Create dictionary
For line in input:
For token_1, token_2 in line:
Add to dictionary -> {token_1, token_2}

• GENERATE:
Choose first word from dictionary -> token_1
For each desired word in output:
Lookup token_2 in dictionary using token_1
token_2 -> token_1
Markov Chain Text (Implementation)
• Store probabilities for each word based on order; use transition
matrix rather than dictionary.

• Gather metadata and use parsing rules to format output correctly

(punctuation, titles before names, etc.)

• May be complemented by other methods…n-gram methods for

partial words, “fat-finger” grace techniques
Markov Chain Text (Applications)
• One method used in autocomplete software

• Also used in some bots

https://filiph.github.io/markov/
Applications – Autocomplete on Phones

Alternative caption: ”Although the Markov-chain text model is still rudimentary, it recently gave
me “Massachusetts Institute of America”. Although I have to admit it sounds prestigious.
Applications – Autocomplete on Phones
• Most text messaging applications use a Markov Chain model to
predict what word you wish to type next, based on the last word.
Applications – Subreddit generation
• https://www.reddit.com/r/
SubredditSimulator/comme
nts/3g9ioz/what_is_rsubre
dditsimulator/
• Fully-automated subreddit
that generates random
submissions and comments
using Markov chains
Applications – Subreddit generation
• Explanation of the Markov Chain on Reddit:
• “Basically, you feed in a bunch of sentences, and even though it has no
understanding of the meaning of the text, it picks up on patterns like "word A
is often followed by word B". “
• “Then when you want to generate a new sentence, it "walks" its way through
from the start of a sentence to the end of one, picking sequences of words
that it knows are valid based on that initial analysis. “
• “So generally short sequences of words in the generated sentences will make
sense, but often not the whole thing.”
Markov Chain Text (Experiment)
• Writing a sonnet using Markov chain generated using Billy Shakespeare’s extant sonnets:

• C++ (Processed: .05 seconds, generated 100 lines: .91 seconds)

My days are
In thy wrong,
that beauty tempting her pretty wrongs that thereby beauty's form in this.
Black lines of that I better state out of thine
in their wills count the lesson true,
the other mine,
thou live twice in lease
find true that wild music sadly?
sweets dost deceive.
Markov Chain Text (Experiment)
• Writing a sonnet using Markov chain generated using Billy Shakespeare’s extant sonnets:

• Python (Processed: .51 seconds, generated 100 lines: .71 seconds)

Hence, thou wouldst thou thy might
To bear greater wrong, than my invention quite
Dulling my friend
O for thy soul's imaginary sight
Presents thy dial's shady stealth mayst in their virtue answer Muse,
Make answer, this fair were born
And dost beguile the conquest of heaven it hath masked not false to ruminate
That on the world, unbless some other write to thy monument
When that thou age black ink my transgression bow
 Markov Chain Text (Experimental Results)
Generation time (seconds) function of word count, Processing time (seconds) function of word count,
C++ and Python C++ and Python
6 1.2

5 1

4 0.8

3 0.6

2 0.4

1 0.2

0 0
0 10000 20000 30000 40000 50000 0 10000 20000 30000 40000 50000
C++ Python C++ Python

Results from Haswell i7, OS X El Capitan

Markov Chain Text (Some Conclusions)
• Implementations were simple, sequential programs modified from
existing public github repos.

• C++ version processed text much more quickly, as expected.

• Python version outperformed in generating text; why?

• Implementation detail; script stores processed text into local SQL dictionary.
• C++ version operates on vectors of strings
Markov Chains: More Applications
• Since the next state in a Markov chain is simply a function of the last
state and a random variable, we can easily see applications for
Markov chains…
• Queue lengths in call centers
• Stresses on materials
• Waiting time in production facilities
• Inventories in supply chains
• Water levels in dams
• Stock prices
• … and more
Population Process: Introduction
• Markov process
• State: number of individuals in a population
• Changes: addition or removal of individuals

• Applications
• Ecology
• Telecommunications
• Queueing theory
• Chemical kinetics

• An example: Birth-death process

Population process: Birth-death process
• A special case of continuous-time Markov process
• Two types of changes
• Birth
• Death
𝜆0 𝜆1 𝜆2 𝜆3 𝜆4

0 1 2 3 4 5 …

𝜇1 𝜇2 𝜇3 𝜇4 𝜇5

Birth rate: 𝜆𝑖 Death rate: 𝜇𝑖

Population process: Birth-death process
• Pure birth process
𝜆0 𝜆1 𝜆2 𝜆3 𝜆4

0 1 2 3 4 5 …

• Poisson process
𝜆 𝜆 𝜆 𝜆 𝜆

0 1 2 3 4 5 …
 Population dynamics: Birth-death process
𝑃𝑛 𝑡 + ℎ = 𝑃𝑛 𝑡 1 − 𝜆𝑛 ℎ − 𝜇𝑛 ℎ + 𝑃𝑛−1 𝑡 𝜆𝑛−1 ℎ + 𝑃𝑛+1 𝑡 𝜇𝑛+1 ℎ + 𝑜(ℎ)

𝑃𝑛 𝑡 + ℎ − 𝑃𝑛 𝑡
= − 𝜆𝑛 + 𝜇𝑛 𝑃𝑛 𝑡 + 𝜆𝑛−1 𝑃𝑛−1 𝑡 + 𝜇𝑛+1 𝑃𝑛+1 𝑡
ℎ

Population
Transition rate matrix:
−𝜆0 𝜆0
𝜇1 −(𝜆1 + 𝜇1 ) 𝜆1 n+1
𝜇2 −(𝜆2 + 𝜇2 ) 𝜆3 ⋯ n
𝜇3 −(𝜆3 + 𝜇3 ) 𝜆4 n-1
𝜇4 −(𝜆4 + 𝜇5 )

time
t t+h
Population dynamics: Birth-death process
• Applications
• Predict extinction time
• Chemistry:
• radioactive transformations: birth process
• New atom decay: death process
• Queueing theory
• M/M/1 model
• M/M/k model
Applications: Adaptive Cruise Control
• Some cruise-control on vehicles use Markov chains to calculate speed
• Operating environment is stochastic
• Road grade on route can also be seen as stochastic
Applications: Adaptive Cruise Control
• Vehicle speed and following distance can be optimized for best-on-
average fuel economy and optimized for travel time
• More in Optimization and Optimal Control in Automotive Systems
Open Problem
Open Problem: Cutoffs
• Stationary distribution: vector that represents the proportion of time
a given Markov chain occupies each state, given enough time.

• Total variation distance: distance between two probability

distributions is equal to the max distance assigned to any event by
the distributions

• Mixing time: number of steps required for a chain for the distance
from stationary to be small
Open Problem: Cutoffs
• Build a Markov chain via a random walk over the symmetric group on
n symbols

• The resulting chain’s stationary distribution will be uniform; this can

be interpreted as a “fully mixed” deck.

• Define “cutoff” as the existence of a sequence c(n) such that as n

approaches infinity, the distance to uniformity approaches zero.

• If we use a random-to-random shuffle, does such a cutoff exist?

Open Problem: Cutoffs

http://pages.uoregon.edu/dlevin/MARKOV/markovmixing.pdf
References
Page, L., Brin, S., Motwani, R., & Winograd, T. (1999). The PageRank citation ranking: Bringing order to the web. Stanford Info
Lab.
snap.stanford.edu
https://en.wikipedia.org/wiki/PageRank
https://math.dartmouth.edu/~pw/math100w13/li.pdf
https://en.wikipedia.org/wiki/Population_process
https://en.wikipedia.org/wiki/Birth%E2%80%93death_process
https://en.wikipedia.org/wiki/Queueing_theory
https://en.wikipedia.org/wiki/Andrey_Markov
http://setosa.io/ev/markov-chains/
http://www.suaybarslan.com/birthdeathprocess4datamodelling.pdf
Hayes, B. (2013). First Links in the Markov Chain. American Scientist, 101(2), 92.
Harald Waschl, Ilya Kolmanovsky, Maarten Steinbuch, Luigi del Re. Optimization and Optimal Control in Automative Systems.
https://books.google.com/books?id=ebS5BQAAQBAJ&lpg=PA148&dq=how%20does%20cruise%20control%20work%20mark
ov%20chains&pg=PA142#v=onepage&q=how%20does%20cruise%20control%20work%20markov%20chains&f=false
Discussion
Questions Revisited
• What is the matrix A given the following graph when calculating
PageRank according to the simple definition of PageRank?
1 3

0 2

• What is the first name of the man credited for Markov Chains?

• What is one application that you have used personally of Markov

Chains?