Questions tagged [markov-chains]
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540
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Gromov's list of 7 constructions in differential topology
At the 2010 Clay Research Conference, Gromov explained that we know of only 7 different methods for constructing smooth manifolds. Working from memory, and hence not necessarily respecting the order ...
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"Surprising" examples of Markov chains
I am looking for examples of Markov Chains which are surprising in the following sense: a stochastic process $X_1,X_2,...$ which is "natural" but for which the Markov property is not obvious at first ...
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How can I generate random permutations of [n] with k cycles, where k is much larger than log n?
I've been thinking a lot lately about random permutations. It's well-known that the mean and variance of the number of cycles of a permutation chosen uniformly at random from Sn are both ...
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Time-inhomogeneous Markov chains
I'm trying to find out what is known about time-inhomogeneous ergodic Markov Chains where the transition matrix can vary over time. All textbooks and lecture notes I could find initially introduce ...
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Markov chain on groups
Let $G$ be a permutation group on the finite set $\Omega$. Consider the Markov chain where you start with an element $\alpha \in \Omega$ chosen from some arbitrary starting probability distribution. ...
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Convexity of spectral radius of Markov operators, Random walks on non-amenable groups
Let $P_1,P_2$ denote stochastic transition matrices on a countable set $I$.
Consider $P_1,P_2$ as operators on $\ell^2(I)$ given by multiplication.
Question
Under which conditions can we show that ...
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Where to publish a paper on the Mafia game?
I wrote a research paper "A mathematical model of the Mafia game" (arXiv:1009.1031 [math.PR]). However, I do not know where to publish it. As an undergraduate studying majorly physics, I have little ...
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Random walk is to diffusion as self-avoiding random walk is to ...?
One can view a random walk as a discrete process whose continuous
analog is diffusion.
For example, discretizing the heat diffusion equation
(in both time and space) leads to random walks.
Is there a ...
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0
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representation theoretic interpretation of Jack polynomials
Monomial symmetric polynomials on $n$ variables $x_1, \ldots x_n$ form a natural basis of the space $\mathcal{S}_n$ of symmetric polynomials on $n$ variables and are defined by additive symmetrization ...
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Eigenvectors of a particular transition matrix
I am considering a Markov chain with $n$ states with a particularly nice structure. The transition matrix is as follows:
\begin{equation}\mathbf{P}=\begin{pmatrix}
0 & 0& \dots&0 & 0 &...
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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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Does Lackenby's polynomial bound on knot moves imply polynomial mixing in "Quantum Money From Knots?"
In the 2010 paper Quantum Money from Knots Farhi, Gosset, Hassidim, Lutomirski, and Shor give a doubly stochastic Markov chain acting on grid diagrams. Transitions in the Markov chain are permutations ...
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Markov chains: invariant measures and explosion
The following seems like such an elementary question, but I didn't get anywhere with it.
Suppose you are considering a Markov chain in continuous time which is transient and has an invariant measure (...
14
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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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Diagonalizing some matrices arising from Fourier transform on $S_n$.
Consider the function $f$ on $S_n$ which equals $1/n$ on all adjacent transpositions $(i,i+1)$, where we let $n+1 = 1$, and $0$ otherwise, and its Fourier transform $\hat{f}(\rho)$ evaluated at the ...
- 4,354
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Reference Request: Theoretical Mixing Times Research in Machine Learning / Artificial Intelligence (AI)
I'm doing a PhD in probability theory, focusing mostly on mixing times. It's a pure maths PhD, considering precise models and showing rigorous mixing results. I'm also interested in stuff like machine ...
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Different uses of the word "ergodic"
There appear to be two definitions of the word ergodic.
The dynamical systems definition says that a measure space $(X,\mathit B, \mu)$ and measure preserving transformation $T: X \mapsto X$ is ...
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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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How to explain "Feller process" to an undergraduate student?
I had to explain in informal terms what a Feller process was, to undergraduate students who understand Markov property, Poisson processes and such. It was easy to define Levy process as generalisation ...
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What is the cover time of a random walk on a cube?
I can't quite figure this problem yet. There is an ant at one vertex of a cube. The ant goes from one vertex to another by choosing one of the neighboring vertices uniformly at random. What is the ...
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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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Random walk origin return monotinicity
Consider a Markov chain on $\mathbb{Z}^d$ with transition kernel $P$ for adjacent vertices (non-diagonal). Essentially this is a $d$ dimensional random walk with the probability of a transition ...
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Does Chu and Hough's solution to the mixing time of the 15-puzzle carry over to the Rubik's cube?
In his 1988 book Group Representations in Probability and Statistics , Diaconis considers mixing times of the 15-puzzle. He states:
Here is a simplified version: Consider the blank as a $16$th block,...
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Bounds on $\|P^{k+1} - P^k\|$ for $n$ by $n$ stochastic matrix $P$ with trace $n-1$ and integer $k\gg n$
The problem:
We have a $n$-state Markov chain with arbitrary initial distribution and transition matrix $P$ that is arbitrary except that we know that $P$ has trace $n-1$. Of course $P$ is also a ...
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2
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For which number of pairs is it an advantage to start in memory
Players A and B play memory starting with $n$ pairs of cards. We assume that they can remember all cards which have been turned. At his turn a player will first recall if two cards already turned ...
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Trace inequality for non-reversible Markov chain
Let $P \in \mathbb{R}^{d \times d}$ be the transition kernel for a Markov chain with stationary measure $\pi$ and define $P^\ast$ to be the time-reversed transition kernel defined by $P^\ast_{ij} := ...
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Direct proof of unique invariant distribution for ergodic, positive-recurrent Markov chain
I posted the following question on MSE, feeling that it perhaps isn't research level mathematics, but didn't get any bites. So, I am crossposting here.
The following ergodic theorem is well known.
...
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Is this a situation where triple mutual information is always non-negative?
Suppose I have three identically-distributed homogeneous continuous-time discrete state space Markov chains $X_1(t), X_2(t), X_3(t)$, $t\geq 0$. They evolve independently but share a common random ...
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Is there a zero knowledge protocol for knottedness, similar to the GMW protocol for graph non-isomorphism?
In the very easy-to-read [1], Kuperberg shows that, conditioned on the Generalized Riemann Hypothesis, knottedness is in $\mathsf{NP}$. As I understand the proof, given a knot-diagram of a knot $K$, ...
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Is the P.M.F. of the first return time of a random walk monotone?
Suppose $X_1,X_2,\ldots$ are i.i.d. $\mathbb Z$-valued random variables such that the random walk
$$S_n=\sum_{i=1}^nX_i$$
is recurrent with some period $k\geq1$ (i.e., $\Pr[S_n=0]>0$ if and only if ...
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One observation of special type of square matrix exponentiation
I was studying the following type of matrices,
$$
A = \begin{pmatrix}
1 & x_{12} & \cdots &x_{1n}\\
0 & x_{22} & \cdots &x_{2n}\\
\vdots\\
0&\cdots&0&x_{nn}
\end{...
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All two-point correlations equal to $0$, three-point correlation not $0$?
Let $a_1,a_2,a_3,\dotsc \in \{-1,1\}$ be a sequence. Suppose that, for all $j>0$ and all
$\epsilon, \epsilon'\in \{-1,1\}$, the proportion of $n\geq 1$ such that $(a_n,a_{n+j}) = (\epsilon,\epsilon'...
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Lower bound on the entries of the Perron vector
Let $A$ be a matrix that satisfies all the conditions of Perron- Frobenius theorem. From the theorem it is known that the entries of the eigenvector corresponding to the largest eigenvalue will be ...
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A family of skew-symmetric matrices corresponding to cycles in graphs
When investigating loops in Markov chains I ran into the following observation.
A cycle in a graph $G$ with $n$ vertices may be represented by a matrix $\Gamma \in \mathbb R^{n \times n}$ having the ...
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Ising model on a cycle
The Ising model on $\mathbb{Z} / 2d\mathbb{Z}$ gives to the configuration $x=(x_0, \ldots, x_{2d-1}) \in \{-1,+1\}^{2d}$ a probability proportional to $\exp\\big(\beta \sum_i x_ix_{i+1} \\big)$. The ...
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Equalizing Geometric means of Graph Cycles
Consider a strongly connected directed graph $G$. I have been stuck on the following question: can you assign real numbers in $[0,1]$ to each edge of $G$ so that the geometric mean of all cycles are ...
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4
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Invariant measure of Euler-Maruyama Discretisation of an Ito diffusion
Let $(X_t)_{t \geq 0}$ be a diffusion process with dynamics governed by the stochastic differential equation
\begin{equation}
dX_t = b(X_t)dt + \sigma(X_t)dW_t, ~~ X_0 = x_0,
\end{equation}
where $b,\...
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Potts model simulation
I was wondering what were the state-of-the-art methods to simulate low temperature configurations of Potts-like models that exhibit a discontinuous phase transition. For models with a continuous phase ...
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1
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Probabilistic proof for derivative of invariant distribution of a Markov chain
Let $P$ be an irreducible Markov matrix, and $\pi$ its stationary distribution. Let $D$ be a perturbation matrix which is zero except for two entries in row $r$:
$$D_{rg}=+1 \qquad D_{r\ell}=-1.$$
Let ...
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Functions between Markov chains that preserve local harmonicity
Given two Markov chains with respective state-spaces $S$ and $T$, say that a function $\phi$ from $S$ to $T$ is holomorphic iff for all states $t \in T$, every real-valued function $f$ on $T$ that is ...
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what is the number of paths returning to 0 on the hexagonal lattice
I am looking for an estimation of the number of paths of length $n$ going from 0 to 0 on the hexagonal (or honeycomb) lattice.
I can find plenty on references on self avoiding paths, but I am looking ...
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An interesting Markov chain with uniform marginals
Consider the Markov chain $(\theta_n, \phi_n)$ on $S^1 \times S^1$ constructed in the following way. For $\xi_n$ a sequence of i.i.d. normal random variables and $\kappa > 0$ a fixed number, we set
...
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Is there MDPs (Markov Decision Process) which have a non deterministic optimal policy?
I'm working on Markov Decision Process and I have not found yet an example of MDP that has a stochastic (non deterministic) optimal policy. Is there MDPs that have a stochastic optimal policy or is it ...
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Slowest initial state for convergence of finite birth-and-death Markov chains
Consider the continuous-time birth-and-death Markov chain on $\{1,\cdots,n\}$ with all rates equal to $1$. Is it true that the convergence to equilibrium, in total variation distance, is slowest when ...
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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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Existence of Limiting Distribution for Moving Regions in Stat. Phys. Models
As the title (hopefully) suggests, I've been trying to prove (or disprove) the existence of a limiting distribution for a certain projection in a statistical physics model. I'll give the details of ...
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Convergence rate of the convolution of almost uniform measures on $\mathbb{Z}_p$
Statement Given a finite abelian group $G$ and two independent random variables $X,Y$ taking values in $G$ and satisfying $d_{TV}(X,U_G)\leqslant \delta$ and $d_{TV}(Y,U_G)\leqslant \delta$ (where $...
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Theory of random walks / spectral analysis of non-symmetric Markov chains
I'm reading about markov chains and how to analyze and bound their hitting / mixing times. However many of the useful results seem to require that the analyzed markov chain be symmetric. For reference,...
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First Collision Time for k Random Walkers on a Torus
I consider $k$ random walkers on $\mathbb{Z}^{d}/n \mathbb{Z}^{d}$, the $d$-dimensional torus of side length $n$. More precisely, I will define a Markov chain $Z_{t} = (X_{t}[1], \ldots, X_{t}[k])$ ...
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Examples of Slowly Mixing Chains in Statistics
This should probably be community wiki, but I don't know how to set that myself.
I'm looking for examples or Markov chains that are used in statistics or statistical physics, and which are known to ...
- 71