Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
Textbook :
C. Cassandras and S. Lafortune, Introduction to Discrete
Event Systems, Springer, 2007
1
Plan
Basic definitions
of discrete time Markov chains
Discrete
events
Discrete
time
Memoryless
Continuous
time
A DTMC is a discrete
time and memoriless
discrete event
stochastic process.
5
exit
start
1/2
start
1/2
1/4
1
1/4
1/4
exit
1/2
1/4
Let {Xn}n=0, 1, 2, ... the position of the mouse after n rooms visited
Assume that the mouse does not have any memory of rooms
visited previously and that she chooses any corridor equiprobably.
Homogenuous DTMC
1/2
start
1/2
1/4
1
1/4
1/4
exit
1/2
1/4
Let {Xn}n=0, 1, 2, ... the position of the mouse after n rooms visited
Assume that the mouse does not have any memory of rooms
visited previously and that she chooses any corridor equiprobably.
Stochastic Matrix
Assumptions
12
13
Classification of states
Let fjj be the probability of returning to state j after leaving j.
A state j is said transient if fjj < 1
A state j is said recurrent if fjj = 1
A state j is said absorbing if pjj = 1.
Let Tjj be the average reccurn time, i.e. time of returning to j
A recurrent state j is positive recurrent if E[Tjj] is finite.
A recurrent state j is null recurrent if E[Tjj] = .
14
1/2
start
1/2
1/4
1
1/4
1/4
exit
1/2
1/4
15
16
17
19
absorbing
sub-chain
20
Formal definitions
A state j is said reachable from a state i if there is a path from
i to j in the state transition diagram.
A subset S of states is said closed if there is no transition
leaving S.
A closed set S is said irreducible if all states in S are mutually
reachable.
A Markov chain is said irreducible if its state space is
irreducible.
22
Theorems
Th1. If a Markov chain has a finite state space, then at least one state
is recurrent.
Th2. If i is a recurrent state and j is reachable from i, then state j is
recurrent.
Th3. If S is a finite closed irreducible set of states, then every state in
S is recurrent.
Th4. If i is a positive recurrent state and j is reachable from i, then
state j is positive recurrent.
Th5. If S is a closed irreducible set of states, then every state in S is
positive recurrent or every state in S is null recurrent or every
state in S is transient.
Th6. If S is a finite closed irreducible set of states, then every state in
S is positive recurrent.
23
Analysis of DTMC
24
25
p
p P X m
n 1
1 p
26
k E
ik
kj
27
Example
1/2
1/2
start
1/2
1/4
1
1/4
1/4
exit
1/2
1/4
fij f ij n
n 1
30
Property:
Let P be the transition matrix of a markov chain and (0) the
initial distribution, then over the state space at time n
(n+1) = (n)P
(n)= (0)Pn
31
Steady-state distribution
Key questions :
Is the distribution (n) converges when n goes to infinity?
If the distribution converges, does its limit = (1, 2, ...)
depend on the initial distribution (0)?
If a state is recurrent, what is the percentage of time spent in
this state and what is the number of transitions between two
successive visits to the state?
If a state is absorbing, what is the probability of ending at this
state? What is the average time to this state?
32
iE
j i pij , j E
iE
iE
Normalization equation
balance equation
equilibrium equation
A manufaturing system
Determine the conditions for the state of the machine {X n} at the begining
of each day to be a Markov chain.
Draw the Markov chain model.
Find the transient distribution by starting from state UP and DOWN.
Check whether the Markov chain is recurrent and aperiodic.
Determine the steady state distribution.
Determine the availability of the machine.
35
At most one telephone call can occur in a single time slot, and there is a
probability that a call occurs in any slot
If the phone is busy, the call is lost; otherwise, the call is processed.
If both a call arrival and a call completion occur in the same time slot, the
new call will be processed.
Issues to solve:
Markov chain model
Loss probability
36