isreducible
Check Markov chain for reducibility
Syntax
tf = isreducible(mc)
Description
Examples
Input Arguments
Output Arguments
More About
Algorithms
The Markov chain
mc
is 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,isreducible
computes 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.