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COSM Unit-5

1. Stochastic processes are mathematical models of systems that evolve over time or space in a random or uncertain manner. The values of the stochastic variables in these processes are random and have probabilities associated with them. 2. There are different types of stochastic processes including continuous, discrete, stationary, Gaussian, and Markov chains. A Markov chain is a sequence of random variables where the probability of the next state depends only on the current state, not on the sequence of events that preceded it. 3. For a Markov chain to exist, there must be a transition matrix of probabilities describing the likelihood of moving between states. If every state can be reached from every other state, the chain is called irreducible.

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118 views8 pages

COSM Unit-5

1. Stochastic processes are mathematical models of systems that evolve over time or space in a random or uncertain manner. The values of the stochastic variables in these processes are random and have probabilities associated with them. 2. There are different types of stochastic processes including continuous, discrete, stationary, Gaussian, and Markov chains. A Markov chain is a sequence of random variables where the probability of the next state depends only on the current state, not on the sequence of events that preceded it. 3. For a Markov chain to exist, there must be a transition matrix of probabilities describing the likelihood of moving between states. If every state can be reached from every other state, the chain is called irreducible.

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STOCHASTTC PROC ESS

qOchustic poce sS is aset. cf:fo) Vadables


dapondi
iKe time tThese ng G0 Sne,teal pane-teos
as Bandons
nOcaSS aNdGh) furctins.tst
The ValiesUno
AThe \Vlue 5 assumed by the:Gutlán) coidbles 1et)
o0e called States andtha S#tt of
T pcs5ible
otue's -fon) -the State,Space of the is
denoted 'by I.a pooess 1s
jH the Stues spuce is disioetd,he stocha stc
proocess IS koowÚN as Chaio"
Finite Stochustic poOeSS? AFinte Stohasti
prccess Conists of Seçuexe er exREimorts in
which each expesinmet has foite numbeg cfoutaes
UHh given pocbabiliHCS.
Typcs ofstochuste poocess:
(ont inos GtOchustlc ocess:
voiableis oticS (co) tie pgpuieteo
Hthe oaodc)
stochusuc

Póccess
(2)
Dtsoete
Stochastic pocce5$:,)
he sasdom Vuaiable, is drdta ) e
is disacte (on) boh cne disocte
thenthe stchstie
roccess j_ (aned .Discoete sohastic poccçss ir
StatioNay stahISt0C poocess: Tfthe jont
distoibutÓ GA X4 and Ipdeperds ordy ontt,
-then-the prcess Is aled stalicnaoy thedwise he :
Prcess fs.caled Evalutithdoy
aussjan (on) Nomg' Stochastic poess: Ifhe
jolnt distaibullan of uy numbes cf
...S a
voiabte s
nomal distsibttion hen -the
Pccess is (alled. 6assio) (o) Nconal
ptccoss stochast¯C
Eg) Suing.
(2) TUobulut fluid flo ehi
(3) Comnwlcatlon. occesis
Maskov chain: Asequance
oftsils wih
outOMeS Ei, E2,. . - En s Caled a Masposstble
f the picbabl thies of Kov chain
Sample Sequences ane intem
thlat (orizo10th) tRa tail and
Pti of
-fired pobubilietes
E Given that Ei hs
oCuded at-the
pieceding tail. The
he possible
OUttcOmes
E Ej
USualy 3foned to aS possiblb'states or-the
System

i 0sH0on pobabilities Pij will be aanged


in a mtaix of 47nstion
pobabrltttes o

Pis a Squase matoix with non-negat've el ement 5


and unit now Sums h maix Cote o)Tofioe)
is Known as sochas°c mataix
Any Stoch aste mdtoty'cnSeue a'matai'x of
t3ansHIOn poobablties'( ToansAion matoix)
togethed oith oun intial disoibulion 4di}.
Cmpletely defines a mskov chain stth st¡tes
EE23
n al the cntaies of Sum powed p' ae -postIvg

he piótlct 'og is also a


stohastç, mta'X,
Thus pn is, Stahstice maHaN Ro at' pos Mive,i
Vclues of 'n"
A stohastic.matoix P'is not aequtord if 1
in -the paincpat mato) diagoral ons
khich of the follouoing matoices and Gtohustic

Heóe pis nota StOchasc mHÍX


Sine, pis nGta Sqaade mçtoix

Hege Pis a stohaetic mct C!


Since,.Pis amto oth. non.negative tlemeats
and sum f elements in each;po t
2qidt -to"

rHene 'p'ts'ota' stohasttc neroix


Since in the gndaOw the souw SUm iS not
equa- to

Hed ip is a ~ochustic matzix


Sine, is a'sfuane matai xwth non
clentes'
elemernis"'ad Sum of each
neglv i
ow s eguat to y
Giiven mHoiX,

HCOeP is nota Stochastic rhctaix


aincer Pis Squcde mataiX wth neg atfve elornets
iorthe gnddow
NOAe: f p=°hen'p 3 eot avequlas mataiY
5ame #ve
1eyed m
since, pm has elemerts
Egotic chain: AChain in which ,eueay to
sttes
Can Comnmuni ç wth each othes ind ir which tre
System (annot be teft 1s catledieOtic Chain
AN impo tant pecial Case of an eaqoltc han KS rthe
1equl ar hain in which -fo Same n, p
eleme ntS has no zeo
Which of-the
followingsochasuc metaices ade DRgUko

oiven

Snce themataix the. ghd diagonal elemant s h"


(ov)
Sirce in -this matsix x ties ii-the paintipal diago
( Let B-r

..e 78-44J

Hege,8 ts not a cqufao mttoix


Sine ialthe entiesiin Bmatdy Band g5%e Zeo

th
t
2.

hesl

Since, c5 has all nonZe00 efemertS


1)
(Puy
Cannot Sttes -the all Hede
with
each- (ommuntccate
E2
Soo 03
O-6
Eo¬,E2,
¬3 States |the Consido
02
le? -this is
mOtaix
tstidn uith chain akov. the O0sdea
-he Toiedacdble
atl & is
Chain Maokov Hence,-this
Stat'slteo'to -fiom, yopossible
to Thus,.74
is
chains okov or
naoixpoobubilty tocsiion
dsoobing. statguaiaouces.
The 3 State Mokov Chain, ts gven by thetautsion
pocbabiltyt mitix' po% Pove tht-the
Chain is Toncducible?.
Conside7 -the 3sHtes EoEE2.

IN his muskov chaln it Is possitle to io öoin


State bu t0 Gtue a!:sth pobabBity
And diso it is possible t0, go foom,Gtate 4
oth' probubiliy " to'ste
Thus i is possible -to go-foom
slate '6
'o to' Gitate 2"
Hene at the stateg" ade
othnHence the chuin is vcomoncothg th each
reducible all-the states

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