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18.445 Introduction To Stochastic Processes: Lecture 3: Markov Chains: Time-Reversal

This lecture discusses Markov chains and stochastic processes. It introduces the ergodic theorem, time reversal of Markov chains, and birth-and-death chains. It also covers stationary distributions, detailed balance equations, reversible Markov chains, and the total variation distance as a way to measure the difference between probability measures.

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98 views12 pages

18.445 Introduction To Stochastic Processes: Lecture 3: Markov Chains: Time-Reversal

This lecture discusses Markov chains and stochastic processes. It introduces the ergodic theorem, time reversal of Markov chains, and birth-and-death chains. It also covers stationary distributions, detailed balance equations, reversible Markov chains, and the total variation distance as a way to measure the difference between probability measures.

Uploaded by

AdityaPandhare
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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18.

445 Introduction to Stochastic Processes


Lecture 3: Markov chains: time-reversal

Hao Wu

MIT

18 February 2015

Hao Wu (MIT) 18.445 18 February 2015 1 / 11


Recall
Consider a Markov chain with state space Ω and transition matrix P :

P[Xn+1 = y | Xn = x] = P(x, y ).

A probability measure π is stationary if π = πP.


If P is irreducible, there exists a unique stationary distribution.
Today’s goal
Ergodic Theorem
Time-reversal of Markov chain
Birth-and-Death chains
Total variation distance

Hao Wu (MIT) 18.445 18 February 2015 2 / 11


Ergodic Theorem

Theorem
Let f be a real-valued function defined on Ω. If (Xn )n is an irreducible
Markov chain with stationary distribution π, then for any starting
distribution µ, we have
n
1X
lim f (Xj ) = πf , Pµ − a.s.
n→∞ n
j=0

In particular,
n
1X
lim 1[Xj =x] = π(x), Pµ − a.s.
n→∞ n
j=0

Hao Wu (MIT) 18.445 18 February 2015 3 / 11


Detailed balance equations

Definition
Suppose that a probability measrue π on Ω satisfies

π(x)P(x, y ) = π(y )P(y , x), ∀x, y ∈ Ω.

These are called detailed balance equations.

Lemma
Any distribution π satisfying the detailed balance equations is
stationary for P.

Definition
A chain satisfying detailed balance equations is called reversible.

Hao Wu (MIT) 18.445 18 February 2015 4 / 11


Simple random walk on graph

Example Consider simple random walk on graph G = (V , E) (which is


connected). The measure

deg(x)
π(x) = , x ∈Ω
2|E|

satisfies detailed balance equations ; therefore the simple random walk


on G is reversible.

Hao Wu (MIT) 18.445 18 February 2015 5 / 11


Time-reversal of Markov chain

Theorem
Let (Xn ) be an irreducible Markov chain with transition matrix P and
stationary distribution π. Define P
b to be

π(y )P(y , x)
P(x,
b y) = .
π(x)
P
b is stochastic
Let (Xbn ) be a Markov chain with transition matrix P.
b Then π is also
stationary for P.
b
For any x0 , ..., xn ∈ Ω, we have
Pπ [X0 = x0 , ..., Xn = xn ] = Pπ [X
b0 = xn , ..., X
bn = x0 ].
We call X
b the time-reversal of X .

Remark If a chain with transition matrix P is reversible, then P


b =P
and X has the same law as X .
b
Hao Wu (MIT) 18.445 18 February 2015 6 / 11
Birth-and-Death chains

A birth-and-death chain has state space Ω = {0, 1, ..., N}.


The current state can be though of as the size of some population ; in a
single step of the chain there can be at most one birth or death. The
transition probabilities can be specified by {(pk , rk , qk )N
k =0 } where
pk + rk + qk = 1 for each k and
pk is the probability of moving from k to k + 1 when 0 ≤ k < N ;
pN = 0
qk is the probability of moving from k to k − 1 when 0 < k ≤ N ;
q0 = 0
rk is the probability of remaining at k when 0 ≤ k ≤ N.

Theorem
Every birth-and-death chain is reversible.

Hao Wu (MIT) 18.445 18 February 2015 7 / 11


Total variation distance

Definition
The total variation distance between two probability measures µ and ν
on Ω is defined by

||µ − ν||TV = max |µ(A) − ν(A)|.


A⊂Ω

Lemma
The total variation distance satisfies triangle inequality :

||µ − ν||TV ≤ ||µ − η||TV + ||η − ν||TV .

Hao Wu (MIT) 18.445 18 February 2015 8 / 11


Three ways to characterize the total variation distance

Lemma
1X
||µ − ν||TV = |µ(x) − ν(x)|.
2
x∈Ω

Lemma
1
||µ − ν||TV = sup{µf − νf : f satisfying max |f (x)| ≤ 1}.
2 x∈Ω

Hao Wu (MIT) 18.445 18 February 2015 9 / 11


Three ways to characterize the total variation distance

Definition
A coupling of two probability measures µ and ν is a pair of random
variables (X , Y ) defined on the same probability space such that the
marginal law of X is µ and the marginal law of Y is ν.

Lemma
||µ − ν||TV = inf{P[X =
6 Y ] : (X , Y ) is a coupling of µ, ν}.

Definition
6 Y ] = ||µ − ν||TV .
We call (X , Y ) the optimal coupling if P[X =

Hao Wu (MIT) 18.445 18 February 2015 10 / 11


Homework 1 due Feb. 23rd

Hao Wu (MIT) 18.445 18 February 2015 11 / 11

MIT OpenCourseWare
http://ocw.mit.edu

18.445 Introduction to Stochastic Processes


Spring 2015

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