Markov chain in the context of Lyapunov function


Markov chain in the context of Lyapunov function

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⭐ Core Definition: Markov chain

In probability theory and statistics, a Markov chain or Markov process is a stochastic process describing a sequence of possible events in which the probability of each event depends only on the state attained in the previous event. Informally, this may be thought of as, "What happens next depends only on the state of affairs now." A countably infinite sequence, in which the chain moves state at discrete time steps, gives a discrete-time Markov chain (DTMC). A continuous-time process is called a continuous-time Markov chain (CTMC). Markov processes are named in honor of the Russian mathematician Andrey Markov.

Markov chains have many applications as statistical models of real-world processes. They provide the basis for general stochastic simulation methods known as Markov chain Monte Carlo, which are used for simulating sampling from complex probability distributions, and have found application in areas including Bayesian statistics, biology, chemistry, economics, finance, information theory, physics, signal processing, and speech processing.

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👉 Markov chain in the context of Lyapunov function

In the theory of ordinary differential equations (ODEs), Lyapunov functions, named after Aleksandr Lyapunov, are scalar functions that may be used to prove the stability of an equilibrium of an ODE. Lyapunov functions (also called Lyapunov’s second method for stability) are important to stability theory of dynamical systems and control theory. A similar concept appears in the theory of general state-space Markov chains usually under the name Foster–Lyapunov functions.

For certain classes of ODEs, the existence of Lyapunov functions is a necessary and sufficient condition for stability. Whereas there is no general technique for constructing Lyapunov functions for ODEs, in many specific cases the construction of Lyapunov functions is known. For instance, quadratic functions suffice for systems with one state, the solution of a particular linear matrix inequality provides Lyapunov functions for linear systems, and conservation laws can often be used to construct Lyapunov functions for physical systems.

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Markov chain in the context of H I region

An HI region or H I region (read H one) is a cloud in the interstellar medium composed of neutral atomic hydrogen (HI), in addition to the local abundance of helium and other elements. (H is the chemical symbol for hydrogen, and "I" is the Roman numeral. It is customary in astronomy to use the Roman numeral I for neutral atoms, II for singly-ionized—HII is H in other sciences—III for doubly-ionized, e.g. OIII is O, etc.) These regions do not emit detectable visible light (except in spectral lines from elements other than hydrogen) but are observed by the 21-cm (1,420 MHz) region spectral line. This line has a very low transition probability, so it requires large amounts of hydrogen gas for it to be seen. At ionization fronts, where HI regions collide with expanding ionized gas (such as an H II region), the latter glows brighter than it otherwise would. The degree of ionization in an HI region is very small at around 10 (i.e. one particle in 10,000). At typical interstellar pressures in galaxies like the Milky Way, HI regions are most stable at temperatures of either below 100 K or above several thousand K; gas between these temperatures heats or cools very quickly to reach one of the stable temperature regimes. Within one of these phases, the gas is usually considered isothermal, except near an expanding H II region. Near an expanding H II region is a dense HI region, separated from the undisturbed HI region by a shock front and from the H II region by an ionization front.

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Markov chain in the context of Numerical analysis

Numerical analysis is the study of algorithms that use numerical approximation (as opposed to symbolic manipulations) for the problems of mathematical analysis (as distinguished from discrete mathematics). It is the study of numerical methods that attempt to find approximate solutions of problems rather than the exact ones. Numerical analysis finds application in all fields of engineering and the physical sciences, and in the 21st century also the life and social sciences like economics, medicine, business and even the arts. Current growth in computing power has enabled the use of more complex numerical analysis, providing detailed and realistic mathematical models in science and engineering. Examples of numerical analysis include: ordinary differential equations as found in celestial mechanics (predicting the motions of planets, stars and galaxies), numerical linear algebra in data analysis, and stochastic differential equations and Markov chains for simulating living cells in medicine and biology.

Before modern computers, numerical methods often relied on hand interpolation formulas, using data from large printed tables. Since the mid-20th century, computers calculate the required functions instead, but many of the same formulas continue to be used in software algorithms.

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Markov chain in the context of Markov chain Monte Carlo

In statistics, Markov chain Monte Carlo (MCMC) is a class of algorithms used to draw samples from a probability distribution. Given a probability distribution, one can construct a Markov chain whose elements' distribution approximates it – that is, the Markov chain's equilibrium distribution matches the target distribution. The more steps that are included, the more closely the distribution of the sample matches the actual desired distribution.

Markov chain Monte Carlo methods are used to study probability distributions that are too complex or too high dimensional to study with analytic techniques alone. Various algorithms exist for constructing such Markov chains, including the Metropolis–Hastings algorithm.

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Markov chain in the context of Numerical solution

Numerical analysis is the study of algorithms for the problems of continuous mathematics. These algorithms involve real or complex variables (in contrast to discrete mathematics), and typically use numerical approximation in addition to symbolic manipulation.

Numerical analysis finds application in all fields of engineering and the physical sciences, and in the 21st century also the life and social sciences like economics, medicine, business and even the arts. Current growth in computing power has enabled the use of more complex numerical analysis, providing detailed and realistic mathematical models in science and engineering. Examples of numerical analysis include: ordinary differential equations as found in celestial mechanics (predicting the motions of planets, stars and galaxies), numerical linear algebra in data analysis, and stochastic differential equations and Markov chains for simulating living cells in medicine and biology.

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