Markov Chain Problem Sheet 3
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Manas AmbatiMarkov Chain Problem Sheet 3
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Manas AmbatiCommon questions
Powered by AIRepeated mode-switching stabilizes due to iterative probability redistribution, leading to convergence at steady-state probabilities. Initial conditions provide a temporary bias, altering transient states before reaching equilibrium; however, they don't affect long-term distributions for regular Markov chains .
A deterministic transition Markov chain won't settle into a steady-state distribution; instead, it cycles among states without fixed probabilities converging over time. In the case described, this means no single steady-state probability distribution can be established because the chain lacks ergodicity .
Set up the steady-state equations πP = π, where π is the steady-state vector and P is the transition probability matrix: [[0.8, 0.2], [0.1, 0.9]]. Solving yields π_busy = 0.333 for busy mode and π_idle = 0.667 for idle mode, showing the device spends more time idle .
Zn = (Xn, Xn-1) is a Markov process because the future state depends only on the current state (pair of consecutive variables), meeting the Markov property condition. Yn = Xn + Xn-1, however, depends on two preceding states, making it dependent on past states beyond just the immediate prior one, thereby violating the Markov property .
A process is memoryless if future states depend only on the present state, not past states. For Yn = rYn-1 + Xn, where Xn is iid, it depends linearly on its immediate past value, not prior history beyond this, thus retaining the Markov property .
To compute the 2-step transition probability matrix for the given computer system, we multiply the matrix by itself: [[0.4, 0.6], [0.6, 0.4]] squared results in [[0.52, 0.48], [0.48, 0.52]]. This calculation involves matrix multiplication, where each entry is the sum of the products of corresponding elements in the rows and columns of the matrices being multiplied .
Transition pdfs of autoregressive processes contribute by summarizing state dependencies in a compact form. For a process like Yn = rYn-1 + Xn, the transition probability is entirely dependent on Yn-1 and the iid nature of Xn, confirming its status as a Markov process when r is appropriately controlled .
Starting with a transition matrix reflecting the given probabilities, compute the overall transition probability from state 0 to 0 after 3 steps. P^3[0][0] = 0.375, a result of applying the power rule for matrices: (P^3) = [[0.375, 0.50, 0.125], ...]. Thus, the probability of having 0 students at 10 am is 0.375 .
For a Markov chain to be considered regular, some power of the transition matrix must have all positive entries. For the computer lab scenario with the transition matrix P = [[0.5, 0.5, 0], [0.5, 0.5, 0], [0, 0.5, 0.5]], repeated squaring shows that no power of this matrix results in all positive entries. Thus, this Markov chain is not regular .
The process displays memoryless behavior because the future number of black balls relies solely on the current count, unaffected by previous draws. It's a Markov process as determined by the probability of drawing a black ball, removing it, or its non-replacement depending on it being white .