Homework 3Continuous Markov ChainsMATH 56A: STOCHASTIC PROCESSESANSWERS TO HOMEWORKHomework 3Continuous Markov ChainsThree problems due 6pm Monday, March 10. Answers will be posted Tuesday evening.Quiz 2 on Friday, March 14.3.4 A is the infinitesimal generator for an irreducible continuous time Markov chain withfinite state space.a) Let a be a positive number greater (in absolute value) than all the entries of A. LetP = (1/a)A + IShow that P is the transition matrix for a discrete time, irreducible aperiodic Markov chain.Since the rows of A add up to 0, the rows of P add up to 1:Xjp(i, j) =Xj(1/a)α(i, j) + δ(i, j) = (1/a)Xjα(i, j) +Xjδ(i, j) = (1/a)(0) + 1.The entries of P are nonnegative:p(i, j) = (1/a)α(i, j) ≥ 1 if i 6= jp(i, i) = (1/a)α(i, i) + 1 ≥ 1 − (1/a)|α(i, i)| > 1 − 1 = 0 since a > |α(i, i)|.Since the diagonal entries of P are positive, the chain is aperiodic.Since p(i, j) > 0 whenever α(i, j) > 0, the communication classes for P are the same as forA. So, the discrete Markov chain is irreducible given that the continuous one is irreducible.b) Show that A has a unique left eigenvector with eigenvalue 0 that is a probability vectorand all the other eigenvalues of A have real part strictly less than 0.This follows from the Perron-Frobenius Theorem (p.17):First of all the eigenvalues of P, A are related as follows: If λ is an eigenvalue of P withleft eigenvector x (and right eigenvector y) thenxP = λxSo,xA = x[aP − aI] = axP − ax = aλx − ax = (aλ − a)xwhich makes a(λ − 1) an eigenvalue of A. [You can also use the right eigenvector y to getthe same conclusion.]When λ = 1, the corresponding eigenvector for A is a(λ − 1) = 0.“1 is a simple eigenvalue of P ” means there is a unique left eigenvector with eigenvalue 1:πP = π1This is the invariant probability distribution. The calculation above implies that π is also theunique left eigenvector of A with eigenvalue 0. The eigenvector π is a “probability vector”since its entries are nonnegative and add up to 1.The other eigenvalues of A are a(λ − 1) where |λ| < 1. But this implies that the real partof λ has absolute value less than 1. Since a is positive real this implies that<(a(λ − 1)) = a(<λ − 1) < 0.3.9The infinitesmal generator isA =−2 1 1 00 −1 1 01 1 −3 10 0 1 −1(a) Find the invariant distribution π.This is the solution of πA = 0 normalized so that the sum of the coordinates is 1:π =18(1, 3, 2, 2)(b) If X0= 1 what is the expected amount of time until the first jump?The change rate is 2 times per unit time. So, the expected wait is 1/2 of a unit of time.(c) If X0= 1 what is the expected time until you reach state 4?You take˜A = A with the 4th row and 4th column deleted˜A =−2 1 10 −1 11 1 −3Then b(x) = (expected time to get from x to 4) is given by the formula (Example 3 on page74):b = [−˜A]−1111=1 2 11/2 5/2 11/2 3/2 1111=443So the answer isb(1) = 4.(Using the corrected version of the explosion probability calculation we did in class) Let b(x)be the expected time that it takes to get from state x to state 4. Then,b(x) =1|a(x, x)|+Xy6=x,4p(x, y)b(y)The first number is the time it takes to escape from state x. If you jump to a state ywhich is not 4 then you need more time and the amount of extra time you need is b(y) withprobability p(x, y). For the matrix A we get:b(1) =12+12(b(2) + b(3))b(2) = 1 + b(3)b(3) =13+13(b(1) + b(2))The solution of this system of equations isb = (4, 4, 3)as before.(M/M/1 queue).Suppose that there is a queue with one server. People get into the line at a rate of λ andthey get served at the rate of µ.(1) This is a continous Markov chain Xtwith states 0, 1, 2, 3, · · · . What is the infinitesi-mal generator A = (α(x, y))?This is given bya(n, n + 1) = λ for n ≥ 0a(n, n − 1) = µ for n > 0and don’t forget:a(n, n) = −λ − µ for n ≥ 0The other entries of A are all zero.(2) Convert this to a countable Markov chain Zn. What is the (infinite) probabilitytransition matrix P = (p(x, y))?p(n, n + 1) =λλ + µfor n > 0p(n, n − 1) =µλ + µfor n > 0p(0, 1) = 1and the other entries of P are zero. These are the probabilities for the jumps betweenstates.p(x, y) = P(the state jumps to y from x)(3) Using your answers to Homework Problem #2.1 determine(a) Under what conditions is this queue transient, positive recurrent, null recurrent?This is a little tricky. The conversion isp =λ1 + λ= 1 −11 + λq =µ1 + µ= 1 −11 + µSince the function f(x) = 1 − 1/(1 + x) has positive derivative:f0(x) =1(1 + x)2> 0So, f(x) is monotonically increasing. I.e., p > q ⇐⇒ λ > µ and p < q ⇐⇒λ < µ. So this countable Markov chain is(i) transient iff p > q iff λ > µ(ii) null recurrent iff p = q iff λ = µ(iii) positive recurrent iff p < q iff λ < µTo prove this you have to also convert 2.1 into jump probabilities.p(x, x + 1) = P(the state jumps to x + 1 from x) =p(1 − q)p(1 − q) + q(1 − p)=λλ + µp(x, x − 1) = P(the state jumps to x − 1 from x) =q(1 − p)p(1 − q) + q(1 − p)=µλ + µ(b) When it is positive recurrent, what is the expected return time to 0? (For Xtnot Zn).The invariant distribution (for Zn, not for Xn) is given by normalizing the se-quence:λλ + µ,λµ,λ2µ2, · · ·The sum of these numbers isλλ + µ+λ/µ1 − λ/µ=2λµµ2− λ2So,π(0) =µ2− λ22λµλλ + µ=µ − λ2µSo, the expected return time to 0 for Znis1π(0)=2µµ − λ= 1 +λ + µµ − λ(Note that this number is≥ 2 since it takes at least 2 steps to go from 0 backto 0.) For the continuous chain Xt, the first step takes 1/λ amount of time andevery subsequent step takes 1/(λ + µ) amount of time. So the correct answer is:E(T ) =1λ+λ + µµ − λ1µ + λ=1λ+1µ − λ(I wonder if anyone got this.)(4) Determine when the chain Xtis explosive.This chain is never explosive for the simple reason that each jump takes an averageof1λ + µamount of time. So, you can’t have an infinite number of jumps in a finite amountof time. In particular, you can’t go to infinity. Another method is to show that theamount of time it takes to get from state n to state n + 1 is bounded below by1λ+µ.So, the infinite sum diverges and you have no
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