State classification of Markov chains

markov chainsprobabilityprobability theorysolution-verification

Consider the Markov chain on $S=\{1,2,3,4,5,6\}$ with transition matrix

$$P=\begin{pmatrix}0&1/2&1/4&1/4&0&0\\1&0&0&0&0&0\\0&1/3&0&1/3&0&1/3\\0&0&0&0&1&0\\0&0&0&0&0&1\\0&0&0&1&0&0\end{pmatrix}$$

I want to determine which states are essential, recurrent or transient, and whether $S$ is irreducible. I then want to find the period of each of the states.

My attempt is as follows:

I tried drawing a state-space diagram, but this was very messy. From that I determined that there are two communicating classes, which are $\{1,2,3\}$ and $\{4,5,6\}$. Whether or not a state is essential is a class property, so $\{1,2,3\}$ is inessential, $\{4,5,6\}$ is essential. This is because we could go from $1\rightarrow 3\rightarrow 4$ and from $4$ we cannot return to $1$ (by looking at the state space diagram).

Hence $S$ is not irreducible as it consists of two communicating classes – in order for it to be irreducible it must be one single communicating class.I have absolutely no idea about recurrence or transience… Is there any way to be able to answer these question simply looking at the matrix or is the only way to draw a state space diagram?

Best Answer

  1. I think a state-space diagram is, generally, a good way to go. There are other approaches, but for a problem like this -- one with just a few states -- I think this is by far the conceptually clearest way to go. (You said it was "very messy" -- I don't think I agree!)

  2. I think you already know enough to answer the recurrence question. Hint: Would a random walk started at state 1 be guaranteed to eventually return to state 1? Why or why not?

  3. If you want an approach that doesn't look at a state space diagram, you might consider this: if your matrix is $M$, then $M^{n}$ corresponds to the transition probabilities after taking $n$ steps. (This is the best part of representing a Markov chain by a transition matrix.) So, if your state space is aperiodic, then you can learn quite a lot about it by raising it to some large powers. If you can, I recommend raising your matrix to, say, the 100th power to see what you can see.

Related Question