I am working on Markov Chain problem involving a large, sparse transition matrix. Unfortunately, in generating the transition matrix as I do, my system quickly runs out of memory. Is my algorithm (seen below) causing this problem unnecessarily early, or is it just the nature of the problem that prevents computation on my system?
n = 5;L = 0.1;r = [];c = [];s = [];for i = 1:combinations % combinations the number of combinations in E_perms, a matrix holding (1/L + 1)^n possible states. This can obviously be extremenly large.
state_0 = u(i,:); [states_1,transition_probs] = transitionProbability(state_0,k,L,E_perms); % A function that generates a vector of possible states after state_0, and the associated probabilites of transitioning to them. Note that only a small subset of all states can be reached from state_0 so the final transition matrix is very sparse.
for ii = 1:size(states_1(:,1)) [~,indx] = ismembertol(states_1(ii,:),u,0.00001,'ByRows', true); r = [r i]; c = [c indx]; s = [s transition_probs(ii,1)]; endendtransition_matrix = accumarray([r',c'],s',[],[],[],1);
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