3.18 Use first-step analysis to find the expected return time to state b for the Markov chain with transition matrix a b c a (1/2 1/2 P = b 1/4 3/4 c (1/2 1/2

Elementary Linear Algebra (MindTap Course List)
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Chapter2: Matrices
Section2.5: Markov Chain
Problem 49E: Consider the Markov chain whose matrix of transition probabilities P is given in Example 7b. Show...
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please answer 3.18 use the example 3.17 method

3.18 Use first-step analysis to find the expected return time to state b for the Markov chain
with transition matrix
a
b
a (1/2 1/2
P = b|1/4
3/4
c (1/2 1/2
Transcribed Image Text:3.18 Use first-step analysis to find the expected return time to state b for the Markov chain with transition matrix a b a (1/2 1/2 P = b|1/4 3/4 c (1/2 1/2
Example 3.17 Consider a Markov chain with transition matrix
a b c
0 1 0
P = b 1/2 0 1/2
c (1/3 1/3 1/3
a
From state a, find the expected return time E(T,|Xo = a) using first-step analysis.
Solution Let e, = E(T,|Xg = x), for x= a,b,c. Thus, e, is the desired expected
return time, and e, and e, are the expected first passage times to a for the chain
started in b and c, respectively.
For the chain started in a, the next state is b, with probability 1. From b, the further
evolution of the chain behaves as if the original chain started at b. Thus,
eg = 1+ €p.
From b, the chain either hits a, with probability 1/2, or moves to c, where the chain
behaves as if the original chain started at c. It follows that
=+ +e).
Similarly, from c, we have
Solving the three equations gives
8
7
and
10
ea
The desired expected return time is 10/3.
Transcribed Image Text:Example 3.17 Consider a Markov chain with transition matrix a b c 0 1 0 P = b 1/2 0 1/2 c (1/3 1/3 1/3 a From state a, find the expected return time E(T,|Xo = a) using first-step analysis. Solution Let e, = E(T,|Xg = x), for x= a,b,c. Thus, e, is the desired expected return time, and e, and e, are the expected first passage times to a for the chain started in b and c, respectively. For the chain started in a, the next state is b, with probability 1. From b, the further evolution of the chain behaves as if the original chain started at b. Thus, eg = 1+ €p. From b, the chain either hits a, with probability 1/2, or moves to c, where the chain behaves as if the original chain started at c. It follows that =+ +e). Similarly, from c, we have Solving the three equations gives 8 7 and 10 ea The desired expected return time is 10/3.
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