1 Markov Chains 1
Found 3 free book(s)
Expected Value and Markov Chains - aquatutoring.org
www.aquatutoring.org1 1! + 1 2! + 1 3! + = e: 2 Markov Chains A Markov Chain is a random process that moves from one state to another such that the next state of the process depends only on where the process is at present. Each transition is called a step. In a Markov chain, the next step of the process depends only on the present state and it does not matter how
15 Markov Chains: Limiting Probabilities
www.math.ucdavis.edu15 MARKOV CHAINS: LIMITING PROBABILITIES 170 This is an irreducible chain, with invariant distribution π0 = π1 = π2 = 1 3 (as it is very easy to check). Moreover P2 = 0 0 1 1 0 0 0 1 0 , P3 = I, P4 = P, etc. Although the chain does spend 1/3 of the time at each state, the transition
Lecture 17 Perron-Frobenius Theory - Stanford University
stanford.eduwhere λi are the eigenvalues of P, and λ1 = λpf = 1 (µ is sometimes called the SLEM of the Markov chain) the mixing time of the Markov chain is given by T = 1 log(1/µ) (roughly, number of steps over which deviation from equilibrium distribution decreases by …