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Rewrite each absorbing stochastic matrix so that the absorbing states appear first, partition the resulting matrix, and identify the submatrices \(R\) and \(S\). \(\left[\begin{array}{rrrr}.4 & .2 & 0 & 0 \\ .2 & .3 & 0 & 0 \\ 0 & .3 & 1 & 0 \\ .4 & .2 & 0 & 1\end{array}\right]\)

Short Answer

Expert verified
We are given the absorbing stochastic matrix: \(\left[\begin{array}{rrrr}.4 & .2 & 0 & 0 \\\ .2 & .3 & 0 & 0 \\\ 0 & .3 & 1 & 0 \\\ .4 & .2 & 0 & 1\end{array}\right]\) Rearrange the matrix to have absorbing states appear first: \(\left[\begin{array}{rrrr} 1 & 0 & 0 & .3\\ 0 & 1 & 0 & .2 \\ 0 & 0 & .4 & .2 \\ 0 & 0 & .2 & .3 \end{array}\right]\) The partitioned matrix is: \(\left[\begin{array}{rr|rr} 1 & 0 & 0 & .3\\ 0 & 1 & 0 & .2 \\ \hline 0 & 0 & .4 & .2 \\ 0 & 0 & .2 & .3 \end{array}\right]\) The submatrices R and S are: \( R = \left[\begin{array}{rr}0 & .3 \\ 0 & .2\end{array}\right]\) \( S = \left[\begin{array}{rr}.4 & .2 \\ .2 & .3\end{array}\right] \)

Step by step solution

01

Rearrange the matrix to have absorbing states appear first

Observe the given matrix and find the rows with absorbing states. The absorbing states have a probability of 1 in the diagonal element and zeros in the other elements of the same row. We see that the 3rd and 4th rows have absorbing states. Rearrange the matrix by moving the third and fourth rows to the first and second rows, and the first and second rows to be the third and fourth rows. Then rearrange the columns in the same manner. Thus, the rearranged matrix looks like: \( \left[\begin{array}{rrrr} 1 & 0 & 0 & .3 \\ 0 & 1 & 0 & .2 \\ 0 & 0 & .4 & .2 \\ 0 & 0 & .2 & .3 \end{array}\right] \)
02

Partition the matrix into submatrices R and S

To partition the matrix, first split it into two parts: the first part contains the absorbing states (with probabilities 1 on the diagonal), and the second part does not contain absorbing states. The first part is the upper-left 2x2 matrix (absorbing states), and the second part is the lower-right 2x2 matrix (non-absorbing states). Then, the matrix can be written in the following form: \( \left[\begin{array}{rr|rr} 1 & 0 & 0 & .3 \\ 0 & 1 & 0 & .2 \\ \hline 0 & 0 & .4 & .2 \\ 0 & 0 & .2 & .3 \end{array}\right] \) From the partitioned matrix, we can identify the submatrices R and S. R contains the probabilities of transitioning from a non-absorbing state to an absorbing state. S contains the probabilities of transitioning from a non-absorbing state to another non-absorbing state. R is obtained from the right 2x2 block of the top partition, and S is the lower-right 2x2 submatrix. Therefore, the submatrices R and S are: \( R = \left[\begin{array}{rr} 0 & .3 \\ 0 & .2 \end{array}\right] \) \( S = \left[\begin{array}{rr} .4 & .2 \\ .2 & .3 \end{array}\right] \)

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Key Concepts

These are the key concepts you need to understand to accurately answer the question.

Markov Chains
Markov chains are a fundamental concept in probability theory and can be thought of as systems that undergo transitions from one state to another according to certain probability rules. Each state in a Markov chain represents a possible condition of the system, and the transitions between states are determined by a set of probabilities. These probabilities are often represented in the form of a matrix known as a stochastic matrix, where each element in the matrix indicates the probability of moving from one state to another.

For a matrix to be stochastic, each row must sum to one since it represents the total probability distribution of moving from an initial state to all possible subsequent states. When a stochastic matrix includes certain states that once entered, cannot be left—they are labelled as 'absorbing states'. In such matrices, certain rows will consist of a probability of 1 for the absorbing state and 0s for all other transitions. Understanding the structure and behavior of absorbing stochastic matrices is critical when studying Markov chains as they can model systems that will eventually reach an absorbing state, a common scenario in real-life processes.
Matrix Partitioning
Matrix partitioning is a useful technique in matrix algebra that involves breaking down a matrix into several smaller matrices or blocks. When dealing with absorbing stochastic matrices in the context of Markov chains, partitioning the matrix helps to isolate the parts of the matrix that correspond to the absorbing states from those that don't.

By rearranging rows and columns so that absorbing states come first, we divide the matrix into four blocks: two along the diagonal and two off-diagonal. The top-left block represents the absorbing states themselves, typically containing '1's down the main diagonal. The bottom-right block, often denoted as submatrix 'S', represents transitions between non-absorbing states. Meanwhile, the other two blocks represent the probabilities of transitions from non-absorbing states to absorbing states ('R'), and vice versa—which, in the case of an absorbing matrix, is always a block of zeros because once an absorbing state is reached, transitions out of it do not occur.
Submatrices R and S
Once an absorbing stochastic matrix has been properly partitioned, two critical submatrices can be identified: 'R' and 'S'. Submatrix 'R' contains the transition probabilities from each non-absorbing state to each absorbing state—reflecting the potential for the system to be 'absorbed' into a final state from which it will not leave. The 'S' matrix, on the other hand, describes transitions between non-absorbing states only. This matrix is particularly important because it reveals the system's internal dynamics before any absorption happens.

Understanding these submatrices is essential in analyzing Markov processes because they allow us to calculate long-term behaviors, such as absorption probabilities and expected times until absorption. For instance, to find the absorption probabilities, one would need to calculate the fundamental matrix, typically found by taking the inverse of the matrix 'I - S', where 'I' stands for the identity matrix of the corresponding size. The 'R' matrix will then be used in conjunction with the fundamental matrix to determine the specific probabilities of ending up in the various absorbing states from any given non-absorbing state.

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Most popular questions from this chapter

The payoff matrix for a game is $$ \left[\begin{array}{rrr} 4 & -3 & 3 \\ -4 & 2 & 1 \\ 3 & -5 & 2 \end{array}\right] $$ a. Find the expected payoff to the row player if the row player \(R\) uses the maximin pure strategy and the column player \(C\) uses the minimax pure strategy. b. Find the expected payoff to the row player if \(R\) uses the maximin strategy \(40 \%\) of the time and chooses each of the other two rows \(30 \%\) of the time, while \(C\) uses the minimax strategy \(50 \%\) of the time and chooses each of the other columns \(25 \%\) of the time. c. Which of these pairs of strategies is most advantageous to the row player?

Find \(X_{2}\) (the probability distribution of the system after two observations) for the distribution vector \(X_{0}\) and the transition matrix \(T\). \(X_{0}=\left[\begin{array}{l}.25 \\ .40 \\ .35\end{array}\right], T=\left[\begin{array}{ccc}.1 & .1 & .3 \\ .8 & .7 & .2 \\ .1 & .2 & .5\end{array}\right]\)

Records compiled by the Admissions Office at a state university indicating the percentage of students who change their major each year are shown in the following transition matrix. Of the freshmen now at the university, \(30 \%\) have chosen their major field in Business, \(30 \%\) in the Humanities, \(20 \%\) in Education, and \(20 \%\) in the Natural Sciences and other fields. Assuming that this trend continues, find the percentage of these students that will be majoring in each of the given areas in their senior year. $$\begin{array}{l}\text { Business } \\ \text { Humanities } \\ \text { Education } \\ \text { Nat. sci. and others } \end{array}\left[\begin{array}{llll}.80 & .10 & .20 & .10 \\ .10 & .70 & .10 & .05 \\ .05 & .10 & .60 & .05 \\ .05 & .10 & .10 & .80\end{array}\right]$$

Determine the maximin and minimax strategies for each two-person, zero-sum matrix game. $$ \left[\begin{array}{ll} 2 & 3 \\ 4 & 1 \end{array}\right] $$

The Maxwells have decided to invest \(\$ 40,000\) in the common stocks of two companies listed on the New York Stock Exchange. One of the companies derives its revenue mainly from its worldwide operation of a chain of hotels, whereas the other company is a domestic major brewery. It is expected that if the economy is in a state of growth, then the hotel stock should outperform the brewery stock; however, the brewery stock is expected to hold its own better than the hotel stock in a recessionary period. Suppose the following payoff matrix gives the expected percentage increase or decrease in the value of each investment for each state of the economy: $$ \begin{array}{l} \text { Investment in hotel stock } \\ \text { Investment in brewery stock } \end{array}\left[\begin{array}{cc} 25 & -5 \\ 10 & 15 \end{array}\right] $$ a. Determine the optimal investment strategy for the Maxwells' investment of \(\$ 40,000\). b. What profit can the Maxwells expect to make on their investments if they use their optimal investment strategy?

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