MarkovProcessProperties

MarkovProcessProperties[mproc]
gives a summary of properties for the finite state Markov process mproc.

MarkovProcessProperties[mproc,"property"]
gives the specified for the process mproc.

DetailsDetails

  • MarkovProcessProperties can be used for finite state Markov processes such as DiscreteMarkovProcess and ContinuousMarkovProcess.
  • MarkovProcessProperties[mproc,"Properties"] gives a list of available properties.
  • MarkovProcessProperties[mproc,"property","Description"] gives a description of the property as a string.
  • Basic properties include:
  • "InitialProbabilities"initial state probability vector
    "TransitionMatrix"conditional transition probabilities m
    "TransitionRateMatrix"conditional transition rates q
    "TransitionRateVector"state transition rates μ
    "HoldingTimeMean"mean holding time for a state
    "HoldingTimeVariance"variance of holding time for a state
    "SummaryTable"summary of properties
  • For a continuous-time Markov process gives the transition matrix of the embedded discrete-time Markov process.
  • The holding time is the time spent in each state before transitioning to a different state. This takes into account self-loops which may cause the process to transition to the same state several times.
  • Structural properties include:
  • "CommunicatingClasses"sets of states accessible from each other
    "RecurrentClasses"communicating classes that cannot be left
    "TransientClasses"communicating classes that can be left
    "AbsorbingClasses"recurrent classes with a single element
    "PeriodicClasses"communicating classes with finite period greater than 1
    "Periods"period for each of the periodic classes
    "Irreducible"whether the process has a single recurrent class
    "Aperiodic"whether all classes are aperiodic
    "Primitive"whether the process is irreducible and aperiodic
  • The states of a finite Markov process can be grouped into communicating classes where from each state in a class there is a path to every other state in the class.
  • A communicating class can be transient when there is a path from the class to another class or recurrent when there is not. A special type of recurrent class, called absorbing, consist of a single element.
  • A state is periodic is if there is a non-zero probability that you return to the state after two or more steps. All the states in a class have the same period.
  • Transient properties before the process enters a recurrent class:
  • "TransientVisitMean"mean number of visits to each transient state
    "TransientVisitVariance"variance of number of visits to each transient state
    "TransientTotalVisitMean"mean total number of transient states visited
  • A Markov process will eventually enter a recurrent class. The transient properties characterize how many times each transient state is visited or how many different transient states are visited.
  • Limiting properties include:
  • "ReachabilityProbability"probability of ever reaching a state
    "LimitTransitionMatrix"Cesaro limit of the transition matrix
    "Reversible"whether the process is reversible
  • If a property is not available, this is indicated by Missing["reason"].
Introduced in 2012
(9.0)