Discrete-time stochastic processes

# Property 3 let x be any eigenvector of property 2

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Unformatted text preview: + m + 1 from state 1 to k. It follows that if m &lt; d, then k ∈ Sm+1 and if m = d, then k ∈ S1 , completing the proof. We have seen that each class of states (for a ﬁnite-state chain) can be classiﬁed both in terms of its period and in terms of whether or not it is recurrent. The most important case is that in which a class is both recurrent and aperiodic. Deﬁnition 4.8. For a ﬁnite-state Markov chain, an ergodic class of states is a class that 4.2. CLASSIFICATION OF STATES 145 ❣ ❣ P P ❍ P ❑ ❆ S2 ❆ ❣ ✻ ❍❍ PP ❍❍ PP PP ❆ PP PP ❍❍ ❣ ▼ q P ③ ❇ S1 ❆ ❇ PP PP ❍❍ ❆❇ PP ❍ ❆❇ PP❍❍ S3 ❆❇ PP❍ P❣ ❥ ❍ q P ❇✏ ❆❣ ✏ ✮ ✛ Figure 4.3: Structure of a Periodic Markov Chain with d = 3. Note that transitions only go from one subset Sm to the next subset Sm+1 (or from Sd to S1 ). is both recurrent and aperiodic4 . A Markov chain consisting entirely of one ergodic class is cal led an ergodic chain. n We shall see later that these chains have the desirable property that Pij becomes independent of the starting state i as n → 1. The next theorem establishes the ﬁrst part of this n by showing that Pij &gt; 0 for all i and j when n is suﬃciently large. The Markov chain in Figure 4.4 illustrates the theorem by illustrating how large n must be in the worst case. ✓✏ ✒✑ ✒ ° ° ✓✏ ° 5 ✒✑ ■ ❅ ❅ ✓✏ ❅ 3✛ ✒✑ 4 ✓✏ ✲6 ✒✑ ❅ ❅ ✓✏ ❘ ❅ ✒✑ ° ✓✏ ❄° ✠ ° 1 ✒✑ 2 m Figure 4.4: An ergodic chain with M = 6 states in which Pij &gt; 0 for all m &gt; (M − 1)2 (M−1)2 and all i, j but P11 = 0 The ﬁgure also illustrates that an M state Markov chain must have a cycle with M − 1 or fewer nodes. To see this, note that an ergodic chain must have cycles, since each node must have a walk to itself, and any subcycle of repeated nodes can be omitted from that walk, converting it into a cycle. Such a cycle might have M nodes, but a chain with only a M node cycle would be periodic. Thus some nodes must be on smaller cycles, such as the cycle of length 5 in the ﬁgure. m Theorem 4.4. For an ergodic M state Markov chain, Pij &gt; 0 for al l i, j , and al l m ≥ 2 + 1. (M − 1) 4 For Markov chains with a countably inﬁnite state space, ergodic means that the states are positiverecurrent and aperiodic (see Chapter 5, Section 5.1). 146 CHAPTER 4. FINITE-STATE MARKOV CHAINS Proof*:5 As shown in Figure 4.4, the chain must contain a cycle with fewer than M nodes. Let τ ≤ M − 1 be the number of nodes on a smallest cycle in the chain and let i be any given state on such a cycle. Deﬁne T (m), m ≥ 1, as the set of states accessible from the ﬁxed state i in m steps. Thus T (1) = {j : Pij &gt; 0}, and for arbitrary m ≥ 1, m T (m) = {j : Pij &gt; 0}. (4.7) τ Since i is on a cycle of length τ , Pii &gt; 0. For any m ≥ 1 and any j ∈ T (m), we can then construct an m + τ step walk from i to j by going from i to i in τ steps and then to j in another m steps. This is true for all j ⊆ T (m), so T (m) ⊆ T (m + τ ). (4.8) By deﬁning T (0) to be the singleton set {i}, (4.8) also holds for m = 0, since i ∈ T (τ ). By starting with m = 0 and iterating on (4.8), T (0) ⊆ T (τ ) ⊆ T (2τ ) ⊆ · · · ⊆ T (nτ ) ⊆ · · · . (4.9) We now show that if one of the inclusion relations in (4.9) is satisﬁed with equality, then all the subsequent relations are satisﬁed with equality. More generally, assume that T (m) = T (m + s) for some m ≥ 0 and s ≥ 1. Note that T (m + 1) is the set of states that can be reached in one step from states in T (m), and similarly T (m + s + 1) is the set reachable in one step from T (m + s) = T (m). Thus T (m + 1) = T (m + 1 + s). Iterating this result, T (m) = T (m + s) implies T (n) = T (n + s) for all n ≥ m. (4.10) Thus, (4.9) starts with strict inclusions and then continues with strict equalities. Since the entire set has M members, there can be at most M − 1 strict inclusions in (4.9). Thus T ((M − 1)τ ) = T (nτ ) for all integers n ≥ M − 1. (4.11) Deﬁne k as (M − 1)τ . We can then rewrite (4.11) as T (k) = T (k + j τ ) for all j ≥ 1. (4.12) We next show that T (k) consists of all M nodes in the chain. The central part of this is to t show that T (k) = T (k + 1). Let t be any positive integer other than τ such that Pii &gt; 0. Letting m = k in (4.8) and using t in place of τ , T (k) ⊆ T (k + t) ⊆ T (k + +2t) ⊆ · · · ⊆ T (k + τ t). (4.13) Since T (k + τ t) = T (k), this shows that T (k) = T (k + t). (4.14) Now let s be the smallest positive integer such that T (k) = T (k + s). 5 Proofs marked with an asterisk can be omitted without loss of continuity. (4.15) 4.3. THE MATRIX REPRESENTATION 147 From (4.11), we see that (4.15) holds when s takes the value τ . Thus, the minimizing s must lie in the range 1 ≤ s ≤ τ . We will show that s = 1 by assuming s &gt; 1 and establishing a contradiction. Since the chain is aperiodic, there is some t not divisible by s for which t Pii &gt; 0. This t can be repre...
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