典型习题：齐次Markov链的遍历性及平稳分布

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于 2022-03-28 18:22:12 发布

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分类专栏：随机过程文章标签： Markov链遍历性平稳分布

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【此解法中求各n阶概率转移矩阵的R代码】

library(MASS)
data<-c(0,0,0.5,0.5,1,0,0,0,0,1,0,0,0,0,1,0)
p<-matrix(data,nrow=4,ncol=4,byrow=T)
p2=p%*%p
p3=p2%*%p
p4=p3%*%p
p5=p4%*%p
p6=p5%*%p
p7=p6%*%p
p8=p7%*%p
p9=p8%*%p
p10=p9%*%p
fractions(p10)

p
p2
p3
p4
p5
p6
p7
p8
p9
p10

【运行结果】

> library(MASS)
> data<-c(0,0,0.5,0.5,1,0,0,0,0,1,0,0,0,0,1,0)
> p<-matrix(data,nrow=4,ncol=4,byrow=T)
> p2=p%*%p
> p3=p2%*%p
> p4=p3%*%p
> p5=p4%*%p
> p6=p5%*%p
> p7=p6%*%p
> p8=p7%*%p
> p9=p8%*%p
> p10=p9%*%p
> fractions(p10)
     [,1] [,2] [,3] [,4]
[1,]  3/8  3/8 3/16 1/16
[2,]  1/8  3/8  3/8  1/8
[3,]  1/4  1/8  3/8  1/4
[4,]  1/2  1/4  1/8  1/8
> 
> p
     [,1] [,2] [,3] [,4]
[1,]    0    0  0.5  0.5
[2,]    1    0  0.0  0.0
[3,]    0    1  0.0  0.0
[4,]    0    0  1.0  0.0
> p2
     [,1] [,2] [,3] [,4]
[1,]    0  0.5  0.5  0.0
[2,]    0  0.0  0.5  0.5
[3,]    1  0.0  0.0  0.0
[4,]    0  1.0  0.0  0.0
> p3
     [,1] [,2] [,3] [,4]
[1,]  0.5  0.5  0.0  0.0
[2,]  0.0  0.5  0.5  0.0
[3,]  0.0  0.0  0.5  0.5
[4,]  1.0  0.0  0.0  0.0
> p4
     [,1] [,2] [,3] [,4]
[1,]  0.5  0.0 0.25 0.25
[2,]  0.5  0.5 0.00 0.00
[3,]  0.0  0.5 0.50 0.00
[4,]  0.0  0.0 0.50 0.50
> p5
     [,1] [,2] [,3] [,4]
[1,]  0.0 0.25 0.50 0.25
[2,]  0.5 0.00 0.25 0.25
[3,]  0.5 0.50 0.00 0.00
[4,]  0.0 0.50 0.50 0.00
> p6
     [,1] [,2] [,3] [,4]
[1,] 0.25 0.50 0.25 0.00
[2,] 0.00 0.25 0.50 0.25
[3,] 0.50 0.00 0.25 0.25
[4,] 0.50 0.50 0.00 0.00
> p7
     [,1] [,2]  [,3]  [,4]
[1,] 0.50 0.25 0.125 0.125
[2,] 0.25 0.50 0.250 0.000
[3,] 0.00 0.25 0.500 0.250
[4,] 0.50 0.00 0.250 0.250
> p8
     [,1]  [,2]  [,3]  [,4]
[1,] 0.25 0.125 0.375 0.250
[2,] 0.50 0.250 0.125 0.125
[3,] 0.25 0.500 0.250 0.000
[4,] 0.00 0.250 0.500 0.250
> p9
      [,1]  [,2]  [,3]  [,4]
[1,] 0.125 0.375 0.375 0.125
[2,] 0.250 0.125 0.375 0.250
[3,] 0.500 0.250 0.125 0.125
[4,] 0.250 0.500 0.250 0.000
> p10
      [,1]  [,2]   [,3]   [,4]
[1,] 0.375 0.375 0.1875 0.0625
[2,] 0.125 0.375 0.3750 0.1250
[3,] 0.250 0.125 0.3750 0.2500
[4,] 0.500 0.250 0.1250 0.1250

【此解法中求解线性方程组的R代码】

library(MASS)
data<-c(1,-1,0,0,0,1,-1,0,0.5,0,-1,1,1,1,1,1)
P<-matrix(data,nrow=4,ncol=4,byrow=T)
b<-matrix(c(0,0,0,1),nrow=4,ncol=1,byrow=T)
x<-solve(P,b)
fractions(x)

【运行结果】

> library(MASS)
> data<-c(1,-1,0,0,0,1,-1,0,0.5,0,-1,1,1,1,1,1)
> P<-matrix(data,nrow=4,ncol=4,byrow=T)
> b<-matrix(c(0,0,0,1),nrow=4,ncol=1,byrow=T)
> x<-solve(P,b)
> fractions(x)
     [,1]
[1,] 2/7 
[2,] 2/7 
[3,] 2/7 
[4,] 1/7