infinitesimal generator matrix

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

$$q_{ii}=-\sum _{j\ne i}{q}_{ij}.q_{ii}=-\sum _{j\ne i}{q}_{ij}$$.
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]

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

$$Q=\left(\begin{array}{cccccc}-\lambda & \lambda & & & & \\ \mu & -(\mu +\lambda )& \lambda & & & \\ & \mu & -(\mu +\lambda )& \lambda & & \\ & & \mu & -(\mu +\lambda )& \lambda & \\ & & & & \ddots & \end{array}\right).$$