The markov-chains tag has no usage guidance.

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### Hierarchical (Recursive) Random Walk Model

Consider the following hierarchical (recursive) random walk model.
For the first level $\ell=1$, let $\{X_t^{(\ell)}\}_{t=1}^{T}$ be a (discrete) random walk.
For the next level $\ell=2$, we ...

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620 views

### Coin Toss Probabilities like Penney's Game

Generate a binary number, using coin toss. Until you receive a predefined terminating sequence. What is the probability that the number is a multiple of some $k$.
For example, the terminating ...

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vote

**1**answer

69 views

### Is there an easy way to convert a non-deterministic optimal policy to a deterministic optimal policy for a given MDP?

For a MDP (Markov Decision Process) is there an easy way to convert a non-deterministic optimal policy into a deterministic optimal policy?
The trivial way will take $O(|\mathcal{A}|^{|\mathcal{S}|}$...

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votes

**1**answer

33 views

### Convergence of an inhomogeneous markov chain

A markov chain is defined as $X_t=F(X_{t-1})X_{t-1}$, where $X_t$ and $X_{t-1}$ are both vector. So the transition matrix depends on the current states. I want to show that for any given initial ...

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283 views

### How to sample a uniform random polyomino?

A polyomino is formed by joining finitely many unit squares edge to edge. It may be regarded as a finite subset of the regular square tiling with a connected interior. In particular, for us, ...

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22 views

### markov chains basic property proof [closed]

why P(Xn+1=j,Xn=i) is equal to P (Xn=i) in the proof?
proof img

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**2**answers

315 views

### Deterministic finite-state automaton driven by a Markov chain

I've stumbled on some problem, and I have the feeling that this is closed to something well-studied in dynamical systems. The problem is the following. Consider a finite-state automaton with state ...

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**1**answer

109 views

### Basic Definition and Notations in RWRE

From the definition of Zeitouni's lecture notes on RWRE: $(V, E)$ is a special graph, and $N_v:= \{k \in V: (v,k) \in E\}$ is the neighborhood of $v \in V$. $\Omega = \prod_{v \in V} M_1(N_v)$ ...

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votes

**1**answer

243 views

### minimal polynomial for a graph

I wonder if there is any result relating the degree $d$ of the minimal polynomial of a directed finite graph to any of its topological features - such as its diameter, or any other similar 'natural' ...

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votes

**1**answer

259 views

### Does random walk have more concentration surrounding the origin?

Consider a simple random walk $S_n$ on one dimension, starting at $0$. In this case, $S_n$ fluctuates between $-\infty$ and $\infty$, but intuition says that it might stay more often in an interval ...

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171 views

### Frequency of visiting states in Markov chains

Given a finite, ergodic Markov $\{X_i\}$, and two natural numbers $a>b$. Let
$$p=P\left[\forall n, \sum_{k=n}^{n+a-1} \mathbf{1}_m(X_k)\leq b\right]$$
where $\mathbf{1}_m(X_k) =1$ if $X_k=m$ and 0 ...

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22 views

### showing that a matrix has repetitive values?

Here my primary aim is to calculate the stationary distribution of a DTMC using left-eigen values i.e, $ \pi = \pi*P$.
But for some matrices, I observe that some states a same stationary probability. ...

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vote

**2**answers

69 views

### How can I efficiently approximate the stationary distribution of an infinite CTMC with a sparse rate matrix?

I am looking for methods to approximate the stationary distribution of an infinite CTMC with a sparse rate matrix. Each row and column of the rate matrix has a finite number of non-zero elements. ...

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**1**answer

262 views

### Ising model - phase transition vs rapid mixing

Consider a graph $G=(V,E)$ and Ising model on that graph, i.e. configuration space is $\Omega=${$-1,+1$}$^V$ and energy of a configuration $s \in \Omega$ is given by:
$H(s) = -\beta \sum_{u \sim v}s(u)...

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1k views

### Random walk to stay in an interval forever

Consider a random walk on the real time, starting from $0$. But this time assume that we can decide, for each step $i$, a step size $t_i>0$ to the left or the right with equal probabilities.
To ...

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**1**answer

90 views

### Exact formula for computing n-step transition probability of random walks with self-transitions

Consider a semi-infinite random walks $X_n$, $n=0,1,2,\ldots$, whose state space is a set of consecutive integers and whose one-step transition probabilities are $P_{ij}=\mathrm{Pr}\{X_{n+1}=j|X_n=i\}$...

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**1**answer

422 views

### Supremum in a Markov chain model

A Markov chain $X$ with finite state space $\{1,2,\cdots,N\}$ is defined on a probability space $(\Omega, P, \mathcal{F})$ equiped with filtration $\{\mathcal{F}_t\}$. And we assume that we can reach ...

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76 views

### Looking for an exposition of a certain theorem of Talagrand

The following is a theorem by Talagrand (as stated here, http://arxiv.org/pdf/1511.08609v1.pdf),
Let $(X, \mu)$ be a probability space. Let $F : X \rightarrow \{0,1\}$
be a family of functions ...

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vote

**1**answer

62 views

### Uniqueness of invariant measure for equivalent transition probabilities

Suppose $P(x,dy)$ and $Q(x,dy)$ are two Markov transition kernels on a topological space $E$ equipped with Borel $\sigma$-algebra $\mathcal B(E)$. Suppose for every $x \in E$, $P(x,\cdot)$ and $Q(x, \...

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168 views

### The necessary sufficient condition for recurrence of a Markovian random walk

Suppose $\sigma_{1},\sigma_{2},...$are i.i.d random variables.$S_{0}=0$. Define $S_{n}=S_{0}+\sum_{i=1}^{n}\sigma_{i}$, then ${S_{n}}$ is a Markovian random walk.
I want to figure out the necessary ...

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26 views

### Dependency of the error term on the states, in the definition of the transition rates of a continuous time Markov chain

I think this is certainly not a research or graduate level question. But I didn't get any answer from math.stackexchange.com.
I'm studying G.F.Lawler's stochastic process book. There he defines the ...

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**1**answer

194 views

### Local Markov implies global Markov

Let $G=(V,E)$ be a finite simple graph, and let $\{X_i\}_{i \in V}$ be a collection of random variables associated with the vertices of $G$. The joint distributions of these r.v.s is a Markov Random ...

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### Solving a Rubik's cube via a series of randomly selected (quarter-turn) Singmaster moves

In July of 2010, Tomas Rokicki, Herbert Kociemba, Morley Davidson, and John Dethridge demonstrated (computationally) that a $3\times3\times3$ Rubik's cube, starting in an arbitrary configuration, can ...

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373 views

### Why does the overhand shuffle converge to the uniform distribution on $S_n$?

Pemantle 1989 proves, among other things, that the Markov chain on $S_n$ induced by repeatedly and independently performing an overhand shuffle on a deck of $n$ cards is ergodic and has limiting ...

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132 views

### markov processes and ergodic theory

For an ergodic Markov Chain
$$
\frac{1}{N}\sum_{i=1}^n f(X_i) \rightarrow E_\pi[f]
$$
where $\pi$ is the invariant distribution. I am also dealing with a Markovian process (a state space model to ...

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**1**answer

39 views

### Discrete time hidden markov process [closed]

I am dealing with a hidden Markov model for variable $X_{t+1}$ where
$X_{t+1}$ = $\alpha_{t}$$X_{t}$ + $(1-\alpha_{t})$$Z_{t}$
$X_{t}$ is an indicator variable indicating wether an individual is ...

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637 views

### Can ergodic theory help to prove ergodicity of general Markov chain?

I am a beginner in ergodic theory. I have read some lecture notes(such as this and this) about it in hope that I could find something which helps to prove the ergodicity of some Markov chain taking ...

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323 views

### Does every (generalized?) Markov chain admit transition probabilities?

To pose the question let us start by recalling the following notions:
Transition Probabilities. A transition probability matrix between two measurable spaces $(S,\mathcal{S})$ and $(V,\mathcal{V})$...

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130 views

### Neat definition of Harris Ergodicity

I can't find any reference where the definition of Harris Ergodicity for Continuous time Markov processes is defined.
a) What would be exactly the definition?
b) What reference could be helpful?
...

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60 views

### Choose uniformly from fixed-length paths in $[0,n]\cap\mathbb{Z}$ with fixed start and end

Let $X_k$ be a symmetric (discrete time) random walk on $\mathbb{Z}$ and let $m,n\in\mathbb{N}$. I want to chose uniformly from the paths of $X_k$, which
start at $0$
stay in $[0,n]\cap\mathbb{Z}$ ...

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### Must rows of a transition matrix be distinct?

Is it true that for all continuous time Markov processes on a countable state space $S$, we have
all rows of the transition matrix $\mathbf{P}_t$ are distinct for all time $t\in[0,\infty)$ ?
This ...

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34 views

### Strong Markov vector-valued process from component strong Markov process and independence

I want to prove that if $X$ and $Y$ are (continuous time) independent strong markov $\mathbb{R}$-valued processes w.r.t. their natural filtrations $\mathcal{F}^X_t$ and $\mathcal{F}^Y_t$, that the ...

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### Most visited vertex in a random walk with place dependent drift

Consider the following Markov chain on $\mathbb{Z}$:
$$
P(x,x+1)=1-P(x,x-1)=\frac{1}{2}+e^{-|x|}\cdot \mathbf{1}_{\{x\neq 0\}}
$$
Do there exist constants $c,C>0$ such that
$$
c\cdot P^t(z,z) \...

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97 views

### How much larger than the relaxation time can the mixing time be?

The notation is mostly taken from the book "Markov chains and mixing times" by Levin, Peres, and Wilmer.
Consider an irreducible, aperiodic, time-reversible, discrete-time Markov chain on a finite ...

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30 views

### Sufficient moment conditions to make $E[\sup_n |X_n|]< \infty$ for Markov process $X_n$

Is there any Markov process $X_n$ for which we can impose sufficient moment condition which will imply $E[\sup_n |X_n|]< \infty$

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### Expected number of forward jumps to reach a given quantile of a rv [closed]

I'm a noob in randomized algorithm and ran into a problem(definitely not home work. I'm doing a self study out of my interest with help of my friends. I'm pursuing research career in a machine ...

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**1**answer

30 views

### Does an infinite chain of a.s. eventual transitions between states necessarily implies a.s transitions along the whole chain?

Given a Markov process among a (possibly infinite) set of states $S$, with possibly infinite depth (that is, the transition probabilities from $s_i \to s_j$ at time $t$ are permitted to depend not ...

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**1**answer

111 views

### Random Walk 2D with dependent weights [closed]

I have spent a lot of time trying to solve this problem but have had no luck so far! Any help would be highly appreciated!
Suppose I have a 3x3 grid as shown below.
(3,1) (3,2) (3,3)
(2,1) (2,2) (...

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### Deep Learning / Deep neural nets for mathematician

I am interested in finding out the math ideas behind the technologies that are under the umbrella of "Deep Learning" or "Deep neural nets".
Most of the papers/books that are often quoted in papers/...

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### Maximal inequality for Markov process

For a Markov process $\{X_n\}$ is there any inequality available for
$$ E[\sup_{0 \leq n \leq k} X_{n}]$$
in terms of moments of $E[X_n], 0 \leq n \leq k$

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### how to resolve the infinite nesting of interactive POMDP

I am reading papers about I-POMDP. I cant understand the finitely nested I-POMDPs given in these papers.
The belief update of the algorithm has a problem that agents' belief updates mutually depend ...

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### Can MDPs over functions be solved?

I understand that dynamic programs are difficult to be solved in general. However I have an MDP, for which intuitively I have a solution, I am curious to know if there is a formal approach to get a ...

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### Markov Chains and Simple Machine Learning [closed]

Suppose I have a large training set consisting of many strings of symbols.
$TS = \{Str_0, Str_1, ..., Str_n\}$
$Str_i = \{Sym_0 ... Sym_{len}\}$
These strings of symbols are each generated by the ...

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**1**answer

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### Eigenvectors of a perturbed reducible stochastic matrix

Let $Q$ be a $n\times n$ reducible stochastic matrix. Let $J$ be such that $[J]_{ij}={1 \over n}$. Now for a small positive constant $\alpha\in [0,1]$, consider the matrix $$\tilde{Q}\,=\,(1-\alpha)Q+\...

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### Properties of a map regarding the space of invariant probability measures for controlled Markov process

Let us consider a controlled Markov process with the transition kernel $p(dy|x,\theta)$ ($\theta$ being the control parameter. Now, consider the map
$\theta \to I(\theta)$ where $I(\theta)$ is the ...

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### Markov Modulated Markov Chain

Consider a discrete time Markov chain $X_t$ on some finite state space $\mathcal{S}$ with transition matrix $P$. Now consider a process $Y_t$ also on $\mathcal{S}$, which conditioned on $X_{t}=s$ ...

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### Circular process ergodic?

Let us define a continuous-time Markov process on a circle consisting of $m-$ equally spaced points, i.e. every point has two neighbours.
Now, we define a space of functions $S:= \{-1,1\}^{\{1,...,m\}...

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### Mixing time of lazy random walk on the directed cycle $C_n$

Briefly: A hint (if this is easy), reference or derivation would be of great help.
The question
Let $C_n$ be the directed cycle with loops in each of its $n$ vertices, and consider the random walk ...

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### Bounding Hidden Markov model Bayesian filter error with inexact models

In context of a hidden Markov model, I am interested in bounding the error of a Bayesian filter when using inexact state transition and observation models.
Consider a hidden Markov model (HMM) with ...

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### Regularity of the entrance measure of SRW

Let $S(n)$ be the discrete sphere of radius $n$ (i.e., the internal boundary of the Euclidean discrete ball $B(n)$) centered in the origin, and consider a simple random walk starting at some $x\in\...