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It is a random process characterized as memoryless: The next state depends only on the current state and not on the sequence of events that preceded it. named after Andrey Markov. A Markov chain. This specific kind of "memorylessness" is called the Markov Property. . Markov chains have many applications as statistical models of real-world processes. between a finite or countable number of possible states. is a mathematical system that undergoes transitions from one state to another.

. In many applications. the statistical properties of the system's future can be predicted. The state of the system at time t+1 depends only on the state of the system at time t. X1 X2 X3 X4 X5 Since the system changes randomly. However. it is these statistical properties that are important. it is generally impossible to predict with certainty the state of a Markov chain at a given point in the future.

A transition diagram is a directed graph over the possible states where the arcs between states specify all allowed transitions (those occuring with non-zero probability). The changes of state of the system are called transitions. There are two ways of describing Markov chains: through state transition diagrams or as simple graphical models. and the probabilities associated with various statechanges are called transition probabilities. One can also represent it in transition matrix. .

8 0. Weather : raining today 40% rain tomorrow 60% no rain tomorrow not raining today 20% rain tomorrow 80% no rain tomorrow 0.2 0.4 ¨ 0.8 ¹ º ª rain no rain 0.2 A simple two state markov chain represented by transition diagram .6 0.6 ¸ ¹ P!© © 0.4 0.

on the other hand. X(t) X(t+1) X(t-1) . one focus on explicating variables and their dependencies. This is a random variable. It·s value is only affected by the random variable X(t .1) specifying the state of the random walk at the previous time point. we can therefore write a sequence of random variables where arcs specify how the values of the variables are influenced by others (dependent on others). At each time point the random walk is in a particular state X(t). Graphically. In graphical models.

In this dice games. a player can gain an advantage by remembering which cards have already been shown (and hence which cards are no longer in the deck). the only thing that matters is the current state of the board. and the next roll of the dice. It doesn't depend on how things got to their current state. A game of snakes and ladders or any other game whose moves are determined entirely by dice is a Markov chain. . so the next state (or hand) of the game is not independent of the past states. But in a game such as blackjack. The next state of the board depends on the current state.

at each step. a random walk on the number line where. the transition probabilities from 5 to 4 and 5 to 6 are both 0. the position may change by +1 or î1 with equal probability. These probabilities are independent of whether the system was previously in 4 or 6. A famous Markov chain is the so-called "drunkard's walk". and all other transition probabilities from 5 are 0. . For example.5.

Eg. Snakes and Ladder.It is one in which changes to the system can happen at any time along a continuous interval. Continuous-time Markov chain :.It is one in which the system evolves through discrete time steps. An example is the number of cars that have visited a drive-through at a local fast-food restaurant during the day. So changes to the system can only happen at one of those discrete time values. . A car can arrive at any time t rather than at discrete time intervals. Discrete markov chain :.

Equivalently. . cannot be left. An absorbing state is a state that. once entered. Absorbing Markov chain :. Ergodic (or irreducible) Markov chain:. one can go from any state in S to any other state in S in a Finite number of steps.A Markov chain with the property that the complete set of states S is itself irreducible.It is a Markov chain in which every state can reach an absorbing state.

. whenever probabilities are used to represent unknown or unmodelled details of the system. Markov chain methods have also become very important for generating sequences of random numbers to accurately reflect very complicated desired probability distributions. Markov chains are applied in a number of ways to many different fields. via a process called Markov chain Monte Carlo (MCMC). Markovian systems appear extensively in thermodynamics and statistical mechanics. Often they are used as a mathematical model from some random physical process.

where messages must often compete for limited resources (such as bandwidth). Markov chains are used in Finance and Economics to model a variety of different phenomena. particularly in software programs such as CSound. including asset prices and market crashes. Max or SuperCollider. Markov chains are the basis for the analytical treatment of queues (queueing theory). Markov chains are employed in algorithmic music composition. This makes them critical for optimizing the performance of telecommunications networks. .

Markov models have also been used to analyze web navigation behavior of users. Ranking of webpages generated by Google is defined via a ¶random surfer· algorithm(markov process). . A user's web link transition on a particular website can be modeled using Markov models and can be used to make predictions regarding future navigation and to personalize the web page for an individual user. Markov chains can be used to project population in smaller geopolitical areas. Use for forecasting elections result from current condition.

stackexchange . Michael K.wikipedia ocw.colgate math. Markov chains: models.ucf math. Ng en. algorithms and applications By Wai Ki Ching.mit math.

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