首页 > 其他分享 >【智应数】Markow chains

【智应数】Markow chains

时间:2024-05-25 16:12:52浏览次数:25  
标签:mathbb Markow limits chains mu distribution pi Omega 智应数

Markow Chain & Stationary Distribution

Def(Finite Markow Chain). Let \(\Omega\) be a finite set of states, \(\forall x,y\in\Omega,P(x,y)\ge 0\) be a transition function, i.e., \(\sum\limits_{y\in\Omega} P(x,y)=1.\) A finite Markow chain is a sequence of random variables

\[(X_0,X_1,X_2,...) \]

if \(\forall t\), for any \(x_0,x_1,...,x_t\in\Omega\) we have

\[\mathbb{P}(X_{t+1}=x_{t+1}\mid X_0=x_0,X_1=x_1,...,X_t=x_t)=\mathbb{P}(X_{t+1}=x_{t+1}\mid X_t=x_t)=P(x_t,x_{t+1}). \]

Given the initial distribution \(\mu_0\) over \(\Omega\) and the transition matrix \(P\), we can calculate the distribution after \(t\) transitions

\[\mu_t=\mu_{t-1}P=\mu_0P^t. \]

Def. A distribution \(\pi\) is called stationary if \(\pi P=\pi\).

Lem(Brouwer's fixed point theorem). Every continuous map \(f\) from a convex, closed, bounded set to itself, has a fixed point \(f(x)=x\).

Thm(Perron-Frobemins thm). Any Markov chain over finite states has a stationary distribution.

Pf. Let \(|\Omega|=n,\Delta^{n-1}=\{\mu\in\mathbb{R}^n\mid \mu_i\ge 0,\sum\mu_i=1\}\). We can show that \(\Delta^{n-1}\) is convex, closed, bounded. Since \(P\) is a linear map from \(\Delta^{n-1}\) to itself, by Brouwer's fixed point theorem there is a stationary distribution \(\pi\in\Delta^{n-1}\) s.t. \(\pi P=\pi\).

Def. A finite Markov chain is irreducible (connected) if \(\forall x,y\in\Omega,\exists t>0\) s.t. \(P^t(x,y)>0\).

Thm(Fundamental Theorem of Markov Chains). For a connected Markov chain there is a unique stationary distribution \(\pi\). Moreover, any initial distribution will converge to \(\pi\).

Pf. Suppose \(Ph=h\) for some \(h\in\mathbb{R}^n\). Suppose \(i_0=\arg\max\limits_i h_i\). Let \(h(i_0)=M\). Then \(\forall j\in\Omega\) s.t. \(P(i_0,j)>0\), then \(h(j)=M\). By irreducibility, \(\forall i, h(i)=M\). Thus \(Ph=h\) implies \(h=M\vec{1}\). It immediately gives \(\text{rank}(P-I)=n-1\) and the theorem.

Def(Reversed Markov Chain). Given a Markov Chain \((P,\Omega)\). Denote \(\pi\) as a stationary distribution. Let $$\hat{P}(x,y)=\frac{\pi(y)P(y,x)}{\pi(x)}.$$ Then \((\hat{P},\Omega)\) is the reversed Markov chain.

Markov Chain Monte Carlo

Given a distribution \(\pi\) and a function \(f\) over \(\Omega\) (usually \(\Omega=\{0,1...,n-1\}^d\)), estimate

\[\underset{\pi}{\mathbb{E}}(f)=\sum\limits_{x\in\Omega}f(x)\pi(x). \]

MCMC method:

  • Design \(P\) s.t. \(\pi P=\pi\).
  • Generate \(X_0,X_1,...,X_T\). \(X_t\) is transferred from \(X_{t-1}\) according to \(P\).
  • Calculate \(\frac{1}{T}\sum\limits_{t=1}^Tf(X_T)\) as an estimate of \(\mathbb{E}(f)\).

Let \(\hat{\mu}=\frac{1}{T}\sum\limits_{t=1}^T\mu_t\). If \(\lim\limits_{t\rightarrow\infty}\mu_t=\pi\), then \(\lim\limits_{T\rightarrow\infty}\underset{\hat{\mu}}{\mathbb{E}}(f)=\underset{\pi}{\mathbb{E}}(f)\), where. Since \(X_t\sim \mu_t\), it works.

Consider a graph \(G=(\Omega, E)\), where \(E=\{(x,y)\mid P(x,y)>0\}.\)

To ensure the time complexity, the degree of vertices in \(G\) should be small.

To ensure the convergence rate, the diameter of \(G\) should be small (or holds some other property).

For example, if \(\Omega=\{0,1\}^d\), a possible way is to let \(G\) be the hypercube.

Metropolis-Hasting Algorithm

\[P(x,y)= \begin{cases} \Phi(x,y)(1\wedge\frac{\pi(y)}{\pi(x)}) & x\neq y\\ 1-\sum\limits_{z\neq x}\Phi(x,z)(1\wedge\frac{\pi(z)}{\pi(x)}) & x=y \end{cases}\]

here \(\Phi\) is a symmetric transition matrix.

Lem(Detailed balance equation). For a given transition matrix \(P\), if there exists a distribution \(\pi\) s.t.

\[\pi (x) P(x,y)=P(y) \pi (y,x),\forall x,y \in \Omega , \]

then \(\pi\) is a stationary distribution and \(P\) is reversible.

Ex. Given a graph \(G=(V,E)\). Let \(f:\{0,1\}^{|V|}\rightarrow\mathbb{Z}^{+}\) be the size of cut. Find \(\max\limits_x f(x).\)

Solution: Define \(\pi_{\lambda}(x)=\lambda^{f(x)}\). Applying MH algorithm with \(\Phi(x,y)=\left[\sum\limits_i[x(i)\neq y(i)]=1\right]\).

Gibbs Sampling

\[P(x,y)= \begin{cases} \frac{1}{d}\frac{\pi(y)}{\sum\limits_a\pi(x_1,...,x_{i-1},a,x_{i+1},...,x_n)} & \{j\mid x_j\neq y_j\}=\{i\}\\ 0 & otherwise \end{cases}\]

Intuitively, choose a variables \(x_i\) randomly and update it according to \(\pi\). A alternative scheme is choose \(x_i\) by sequentially scanning from \(x_1\) to \(x_d\).

Mixing time

标签:mathbb,Markow,limits,chains,mu,distribution,pi,Omega,智应数
From: https://www.cnblogs.com/xcyle/p/18211665

相关文章

  • 【智应数】Singular Value Decomposition
    SVDDef(eigenvalue\eigenvector).Eigenvalue\(\lambda\)andeigenvector\(\bm{v}\)ofmatrix\(A\)satisfy$$A\bm{v}=\lambda\bm{v}.$$Lem1.Let\(M\in\mathbb{R}^{n\timesn}\)isasymmetricmatrix.Let\(\lambda_i\)and\(\bm{u}_i......
  • 【智应数】High Dimensional Geometry
    HighdimensiongeometryissurprisinglydifferentfromlowdimensionalgeometryExample1:Volumeconcentratesonshell.Example2:As\(d\rightarrow\infty\),theareaandthevolumnof\(d\)-dimensionalunitball\(\rightarrow\infty\).......
  • Lucky Chains
    题目链接EducationalCodeforcesRound139(RatedforDiv.2)D.LuckyChains取模的性质,更相减损术思路:我们假设链的长度为www,不妨设......
  • 挑战程序设计竞赛 2.6章习题 poj 3421 X-factor Chains
    https://vjudge.net/problem/POJ-3421#author=GPT_zhGivenapositiveintegerX,anX-factorchainoflengthmisasequenceofintegers,1=X0,X1,X2,…,Xm=XsatisfyingXi<Xi+1andXi|Xi+1wherea|bmeansaperfectlydividesintob.Nowwea......
  • 「CF1766D」 Lucky Chains
    题意给定\(T\)组整数\(x,y(1\lex,y\le10^7)\),求出整数\(k\),使得\((x,y),(x+1,y+1),\cdots,(x+k,y+k)\)互质,\((x+k+1,y+k+1)\)不互质,若\(k\)有无数解,输出-1,否则输出\(k\)的值。分析当\(y-x=1\)时,\(k\)有无数组解。因为\(\gcd(x+k,y+k)\ne1\),由小学奥数的“......
  • hdu 4460 Friend Chains (图最长路的最小值)
    Problem-4460(hdu.edu.cn)写完提交答案错了,后面发现vis初始化的地方错了,以前BFS都只调用一次,看来我中毒太深。这个题更能体现BFS的特性,增加dis数组记录距离。#include<iostream>#include<queue>#include<cstring>#include<vector>#include<map>usingnamespacestd;c......
  • 解决每次启动wsl地址都会变化,导致proxychains4得手动替换ip地址的问题
    前言由于每次启动wsl的地址都会发生改变,使用proxychains4每次都得修改配置文件,因为我连的热点,所以本机ip地址也老是会变,如果是在校园网等ip地址不会频繁变化的网络环境下,可以直接使用本机ip地址解决方案让手动变自动了(bushi首先查看自己的/etc/proxychains4.conf,我的这个ip地......
  • maven toolchains 简单说明
    很多时候我们项目可以会包含需要不同jdk构建,比如有些只能使用jdk8,有些需要使用jdk11,toolchains可以帮助我们解决此问题一般玩法创建一个toolchains.xml目录,放到home目录下,里边配置实际需要的jdk版本(我们的环境可以安装多jdk)项目构建的时候(使用的插件)使用配置的工具参考配置......
  • maven toolchains 简单说明
    很多时候我们项目可以会包含需要不同jdk构建,比如有些只能使用jdk8,有些需要使用jdk11,toolchains可以帮助我们解决此问题一般玩法创建一个toolchains.xml目录,放到home目录下,里边配置实际需要的jdk版本(我们的环境可以安装多jdk)项目构建的时候(使用的插件)使用配置的工具参考......
  • 【ToolChains】| CMake 技巧
    判断CMake编译环境编译类型CMAKE_BUILD_TYPE可取值为:Debug,Release,RelWithDebInfo,MinSizeRel等预设值if(CMAKE_BUILD_TYPEMATCHESDebug)#dosomethingendif()系统环境CMAKE_SYSTEM_NAME代表当前系统的类型,值有ANDROID,APPLE,IOS,UNIX,WIN32,WINC......