infinitesimal generator matrix-CSDN博客

本文详细介绍了概率论中连续时间马尔科夫链的转移率矩阵，也称为强度矩阵或无穷小生成矩阵。文章解释了矩阵元素如何描述状态间瞬时转换的速率，并给出了矩阵定义条件及一个M/M/1排队系统的具体例子。

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Transition rate matrix (Redirected from Infinitesimal generator matrix)

In probability theory, a transition rate matrix (also known as an intensity matrix or infinitesimal generator matrix) is an array of numbers describing the instantaneous rate at which a continuous time Markov chain transitions between states.

In a transition rate matrix Q (sometimes written A) element $q_{ij}$ (for i ≠ j) denotes the rate departing from i and arriving in state j. Diagonal elements $q_{ii}$ are defined such that

$q_{ii}=-\sum _{j\neq i}q_{ij}.}q_{ii} = -\sum_{j\neq i} q_{ij$ .
and therefore the rows of the matrix sum to zero (see condition 3 in the definition section).

Definition
A Q matrix (qij) satisfies the following conditions[5]
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This definition can be interpreted as the Laplacian of a directed, weighted graph whose vertices correspond to the Markov chain’s states.

Example
An M/M/1 queue, a model which counts the number of jobs in a queueing system with arrivals at rate λ and services at rate μ, has transition rate matrix

$Q={\begin{pmatrix}-\lambda &\lambda \\\mu &-(\mu +\lambda )&\lambda \\&\mu &-(\mu +\lambda )&\lambda \\&&\mu &-(\mu +\lambda )&\lambda &\\&&&&\ddots \end{pmatrix}}.$