isergodic

Check Markov chain for ergodicity

Description

example

tf = isergodic(mc) returns true if the discrete-time Markov chain mc is ergodic and false otherwise.

Examples

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Consider this three-state transition matrix.

$P=\left[\begin{array}{ccc}0& 1& 0\\ 0& 0& 1\\ 1& 0& 0\end{array}\right].$

Create the Markov chain that is characterized by the transition matrix P.

P = [0 1 0; 0 0 1; 1 0 0];
mc = dtmc(P);

Determine whether the Markov chain is ergodic.

isergodic(mc)
ans = logical
0

0 indicates that the Markov chain is not ergodic.

Visually confirm that the Markov chain is not ergodic by plotting its eigenvalues on the complex plane.

figure;
eigplot(mc); All three eigenvalues have modulus one. This result indicates that the period of the Markov chain is three. Periodic Markov chains are not ergodic.

Input Arguments

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Discrete-time Markov chain with NumStates states and transition matrix P, specified as a dtmc object. P must be fully specified (no NaN entries).

Output Arguments

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Ergodicity flag, returned as true if mc is an ergodic Markov chain and false otherwise.

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Ergodic Chain

A Markov chain is ergodic if it is both irreducible and aperiodic. This condition is equivalent to the transition matrix being a primitive nonnegative matrix.

Algorithms

• By Wielandt's theorem , the Markov chain mc is ergodic if and only if all elements of Pm are positive for m = (n – 1)2 + 1. P is the transition matrix (mc.P) and n is the number of states (mc.NumStates). To determine ergodicity, isergodic computes Pm.

• By the Perron-Frobenius Theorem , ergodic Markov chains have unique limiting distributions. That is, they have unique stationary distributions to which every initial distribution converges. Ergodic unichains, which consist of a single ergodic class plus transient classes, also have unique limiting distributions (with zero probability mass in the transient classes).

 Gallager, R.G. Stochastic Processes: Theory for Applications. Cambridge, UK: Cambridge University Press, 2013.

 Horn, R., and C. R. Johnson. Matrix Analysis. Cambridge, UK: Cambridge University Press, 1985.

 Wielandt, H. "Unzerlegbare, Nicht Negativen Matrizen." Mathematische Zeitschrift. Vol. 52, 1950, pp. 642–648.