ex-9 - Spring 2011 OR3510/5510 Problem Set 9 When this is...

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Spring 2011 OR3510/5510 Problem Set 9 When this is due: The second prelim is April 14, 7:30, Olin 155. This problem set is required but should not be submitted. Reading: We are concentrating on continuous time Markov chains in Chapter 6 and will soon be finishing stationary and limiting probabilities. (1) Harry and the comely young lady. Harry had his eye on a comely young lady whom he originally spotted at a high cholesterol cooking course. Eventually Harry worked up the courage to ask her for a date. Once the ice was broken, Harry and the young lady see each other regularly. Their relationship, although very close, is somewhat stormy and fluctuates between periods of amorous bliss (state 1), abrasive criticism of each other (state 2) caused by spending too much time together, confusion about where the relationship is heading (state 3) and emotional exhaustion (state 4) caused in part by Harry’s relentless devotion to improving his business. The fluctuations follow a discretely indexed Markov chain with matrix 1 2 3 4 0 . 7 . 3 0 . 3 0 . 6 . 1 . 2 . 3 0 . 5 . 7 0 . 3 0
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ex-9 - Spring 2011 OR3510/5510 Problem Set 9 When this is...

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