Randomized Algorithms (Spring 2010)/Markov chains and random walks

Markov Chains

The Markov property and transition matrices

A stochastic processes [math]\displaystyle{ \{X_t\mid t\in T\} }[/math] is a collection of random variables. The index [math]\displaystyle{ t }[/math] is often called time, as the process represents the value of a random variable changing over time. Let [math]\displaystyle{ \mathcal{S} }[/math] be the set of values assumed by the random variables [math]\displaystyle{ X_t }[/math]. We call each element of [math]\displaystyle{ \mathcal{S} }[/math] a state, as [math]\displaystyle{ X_t }[/math] represents the state of the process at time [math]\displaystyle{ t }[/math].

The model of stochastic processes can be very general. In this class, we only consider the stochastic processes with the following properties:

discrete time

The index set [math]\displaystyle{ T }[/math] is countable. Specifically, we assume the process is [math]\displaystyle{ X_0,X_1,X_2,\ldots }[/math]

discrete space

The state space [math]\displaystyle{ \mathcal{S} }[/math] is countable. We are especially interested in the case that [math]\displaystyle{ \mathcal{S} }[/math] is finite, in which case the process is called a finite process.

The next property is about the dependency structure among random variables. The simplest dependency structure for [math]\displaystyle{ X_0,X_1,\ldots }[/math] is no dependency at all, that is, independence. We consider the next simplest dependency structure called the Markov property.

Definition (the Markov property) A process [math]\displaystyle{ X_0,X_1,\ldots }[/math] satisfies the Markov property if [math]\displaystyle{ \Pr[X_{n+1}=x_{n+1}\mid X_{0}=x_{0}, X_{1}=x_{1},\ldots,X_{n}=x_{n}]=\Pr[X_{n+1}=x_{n+1}\mid X_{n}=x_{n}] }[/math] for all [math]\displaystyle{ n }[/math] and all [math]\displaystyle{ x_0,\ldots,x_{n+1}\in \mathcal{S} }[/math].

Informally, the Markov property means: "conditioning on the present, the future does not depend on the past." Hence, the Markov property is also called the memoryless property.

A stochastic process [math]\displaystyle{ X_0,X_1,\ldots }[/math] of discrete time and discrete space is a Markov chain if it has the Markov property.

Irreducibility and aperiodicity

Definition (irreducibility) State [math]\displaystyle{ j }[/math] is accessible from state [math]\displaystyle{ i }[/math] if it is possible for the chain to visit state [math]\displaystyle{ j }[/math] if the chain starts in state [math]\displaystyle{ i }[/math], or, in other words, [math]\displaystyle{ \begin{align}P^n(i,j)\gt 0\end{align} }[/math] for some integer [math]\displaystyle{ n\ge 0 }[/math]. State [math]\displaystyle{ i }[/math] communicates with state [math]\displaystyle{ j }[/math] if [math]\displaystyle{ j }[/math] is accessible from [math]\displaystyle{ i }[/math] and [math]\displaystyle{ i }[/math] is accessible from [math]\displaystyle{ j }[/math]. We say that the Markov chain is irreducible if all pairs of states communicate.

Definition (aperiodicity) The period of a state [math]\displaystyle{ i }[/math] is the greatest common divisor (gcd) [math]\displaystyle{ \begin{align}d_i=\gcd\{n\mid (P^n)_{i,i}\gt 0\}\end{align} }[/math]. A state is aperiodic if its period is 1. A Markov chain is aperiodic if all its states are aperiodic.

Stationary distributions

Definition (stationary distribution) A stationary distribution of a Markov chain is a probability distribution [math]\displaystyle{ \pi }[/math] such that [math]\displaystyle{ \begin{align}\pi P=\pi\end{align} }[/math].

Theorem (Basic limit theorem) Let [math]\displaystyle{ X_0,X_1,\ldots, }[/math] be an irreducible, aperiodic Markov chain having a stationary distribution [math]\displaystyle{ \pi }[/math]. Let [math]\displaystyle{ X_0 }[/math] have the distribution [math]\displaystyle{ \pi_0 }[/math], an arbitrary initial distribution. Then [math]\displaystyle{ \lim_{n\rightarrow\infty}\pi_n(i)=\pi(i) }[/math] for all states [math]\displaystyle{ i }[/math].

Recurrence and Ergodicity*

Definition (recurrence) A state [math]\displaystyle{ i }[/math] is recurrent if [math]\displaystyle{ \Pr[T_i\lt \infty\mid X_0=i]=1 }[/math]. If [math]\displaystyle{ i }[/math] is not recurrent, it is called transient. A recurrent state [math]\displaystyle{ i }[/math] is null recurrent if [math]\displaystyle{ h_{i,i}=\infty }[/math]. Otherwise, it is positive recurrent.

Definition (ergodicity) An aperiodic, positive recurrent state is an ergodic state. A Markov chain is ergodic if all its states are ergodic.