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Consider the transition matrix

$ P = \begin{bmatrix} 1-p&p\\ q&1-q \end{bmatrix} $

for general $2$-state Markov Chain $(0 \le p, q\le 1)$.

  • Find the limiting distribution (if it exists) if $p + q \ne 1$.

Using mathematical induction, it is solved using the following proof:

$ p^n = \frac{1}{p+q} \begin{bmatrix}q&p\\q&p\end{bmatrix} + \frac{(1-p-q)^n}{p+q} \begin{bmatrix}p&-p\\-q&q\end{bmatrix} $

This is totally cumbersome.

Can this be solved in any other way like using $\pi (P-I) = 0$ and so on?

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  • $\begingroup$ There are certainly many other ways to do this. However, if you understand what this decomposition represents, as I explained in an answer to your question about the decomposition, the inductive proof asked for in the exercise is actually quite simple and doesn’t involve tedious matrix computations. $\endgroup$ – amd Apr 14 at 21:47
  • $\begingroup$ @amd, I already talked about decomposition. I don't like it. Can u suggest any other easier alternative? $\endgroup$ – user366312 Apr 14 at 21:50
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Assuming the eigenvalues are distinct, we can find two linearly independent eigenvectors. The result is that we can write $\mathbf{P}$ in the form $P = \mathbf{Q}\mathbf{D}\mathbf{Q}^{-1}$ where

$$ \mathbf{Q} = \left[\begin{array}{cc} 1&-p\\ 1&q \end{array} \right], \mathbf{Q}^{-1} = \left[\begin{array}{cc} \frac{q}{p+q}& \frac{p}{p+q}\\ \frac{-1}{p+q}&\frac{1}{p+q} \end{array} \right], \mathbf{D} = \left[\begin{array}{cc} 1&0\\ 0&1-p-q \end{array} \right] $$

Note that the columns of $Q$ are right-eigenvectors for $\mathbf{P}$, and the rows of $Q^{-1}$ are left-eigenvectors for $\mathbf{P}$.

The normalized left-eigenvector for eigenvalue 1 is:

$$\left[\begin{array}{c} \frac{q}{p+q} \\ \frac{p}{p+q} \end{array} \right]$$

so this is the stationary distribution. Now, since $0\leq p,q \leq 1$, if one is strictly in $(0, 1)$, the eigenvalue $1-p-q$ has $\left|1-p-q\right| \lt 1$. Therefore

$$ \mathbf{D} = \left[\begin{array}{cc} 1&0\\ 0&(1-p-q)^n \end{array} \right] \rightarrow \left[\begin{array}{cc} 1&0\\ 0&0 \end{array} \right], n \rightarrow \infty $$

And Also

$$ \mathbf{P} = \mathbf{Q}^{-1} \mathbf{D}^n \mathbf{Q} \rightarrow \left[\begin{array}{cc} q/(p+q)& p/(p+q)\\ -1/(p+q)& 1/(p+q) \end{array} \right] \left[\begin{array}{cc} 1&0\\ 0&0 \end{array} \right] \left[\begin{array}{cc} 1&-p\\ 1&p \end{array} \right] = \left[\begin{array}{cc} q/(p+q)& p/(p+q)\\ q/(p+q)& p/(p+q) \end{array} \right] = \left[\begin{array}{c} \pi\\ \pi \end{array} \right] $$

as $n \rightarrow \infty$. The chain converges to this stationary distribution regardless of initial distribution, provided at least one of $p, q$ is in $(0, 1)$.

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