hmwk7_11 - Version: October 12, 2011 ISyE 3232 H. Ayhan...

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Version: October 12, 2011 ISyE 3232 H. Ayhan Due: October 19th Homework 7 1. Let X 0 ,X 1 ,... be a Markov chain with state space { 0 , 1 , 2 } , initial distri- bution α =(1 / 5 , ? , 2 / 5), and transition matrix P = 1 / 54 / 5? 2 / 51 / 2? 01 / 10 ? Fill in the entries for P and α , and compute the following: (a) Compute Pr { X 1 =0 | X 0 =1 } . (b) The row vector α describes the distribution of X 0 . What is the row vector describing the distribution of X 1 ? (c) What is the row vector describing the distribution of X 15 ? (d) Is the Markov chain irreducible? Explain. (e) Is the Markov chain periodic or aperiodic? Explain and if it is peri- odic, also give the period. (f) Is the Markov chain positive recurrent? If so, why? If not, why not? 2. A six-sided die is rolled repeatedly. After each roll n , 2 ,let X n be the largest number rolled in the ±rst n rolls. Is { X n ,n 1 } ad iscre te - time Markov chain? If it’s not, show that it is not. If it is, answer the following questions: (a) What is the state space and the transition probabilities of the Markov chain?
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This note was uploaded on 03/08/2012 for the course ISYE 3232 taught by Professor Billings during the Fall '07 term at Georgia Tech.

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hmwk7_11 - Version: October 12, 2011 ISyE 3232 H. Ayhan...

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