Documentation

isreducible

Check Markov chain for reducibility

Syntax

tf = isreducible(mc)

Description

example

tf= isreducible(mc)returnstrueif the discrete-time Markov chainmcisreducibleandfalseotherwise.

Examples

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Consider this three-state transition matrix.

Create the Markov chain that is characterized by the transition matrixP.

P = [0.5 0.5 0; 0.5 0.5 0; 0 0 1]; mc = dtmc(P);

Determine whether the Markov chain is reducible.

isreducible(mc)
ans = logical 1

1indicates thatmcis reducible.

Visually confirm the reducibility of the Markov chain by plotting its digraph.

figure; graphplot(mc);

Two independent chains appear in the figure. This result indicates that you can analyze the two chains separately.

Input Arguments

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Discrete-time Markov chain withNumStatesstates and transition matrixP, specified as adtmcobject.

Output Arguments

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Reducibility flag, returned astrueifmcis a reducible Markov chain andfalseotherwise.

More About

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Reducible Chain

A Markov chain isreducibleif it consists of more than one communicating class. Asymptotic analysis isreducedto individual subclasses. Seeclassifyandasymptotics.

Algorithms

  • The Markov chainmcis irreducible if every state is reachable from every other state in at mostn- 1 steps, wherenis the number of states (mc.NumStates). This result is equivalent to (I+Z)n- 1containing all positive elements.Iis then-by-nidentity matrix andZij=I(Pij> 0), for alli,j, which is the zero-pattern matrix of the transition matrixP(mc.P)[2]. To determine reducibility,isreduciblecomputes this matrix power.

  • By the Perron-Frobenius Theorem[2], irreducible Markov chains have unique stationary distributions. Unichains, which consist of a single recurrent class plus transient classes, also have unique stationary distributions (with zero probability mass in the transient classes). Reducible chains with multiple recurrent classes have stationary distributions that depend on the initial distribution.

References

[1]Gallager, R.G.Stochastic Processes: Theory for Applications.Cambridge, UK: Cambridge University Press, 2013.

[2]Horn, R. and C. R. Johnson.Matrix Analysis.Cambridge, UK: Cambridge University Press, 1985.

Introduced in R2017b

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