hittime

Compute Markov chain hitting times

Description

example

ht = hittime(mc,target) returns the expected first hitting time ht for a specified subset of states target, beginning from each state in the Markov chain mc. If target forms a recurrent class, the elements of ht are expected absorption times.

example

ht = hittime(mc,target,'Graph',true) plots a directed graph of mc with node colors representing the expected first hitting times. A color bar summarizes the color coding.

[ht,h] = hittime(mc,target,'Graph',true) also returns the plot handle. Use h to modify properties of the plot after you create it.

[ht,h] = hittime(ax,mc,target,'Graph',true) plots on the axes specified by ax instead of the current axes (gca).

Examples

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Consider this theoretical, right-stochastic transition matrix of a stochastic process.

P=[10001/201/200001001/21/2].

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

P = [1 0 0 0; 1/2 0 1/2 0; 0 0 0 1; 0 0 1/2 1/2];
mc = dtmc(P);

Plot a directed graph of the Markov chain. Visually identify the communicating class to which each state belongs by using node colors.

figure;
graphplot(mc,'ColorNodes',true);

Compute the expected first hitting time for state 3, beginning from each state in the Markov chain.

ht = hittime(mc,3)
ht = 4×1

   Inf
   Inf
     0
     2

Because state 3 is unreachable from state 1, state 1 is a remote state with respect to state 3, with an expected first hitting time of Inf.

State 3 is reachable from state 2, but state 2 has a positive probability of transitioning to state 1, which is an absorbing state. Therefore, state 2 is a remote-reachable state with respect to state 3, with an expected first hitting time of Inf.

Because state 3 is the target, its expected first hitting time for itself is 0.

The expected first hitting time for state 3 starting from state 4 is 2 time steps.

Consider this theoretical, right-stochastic transition matrix of a stochastic process.

P=[01/201/22/301/3001/201/21/302/30].

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

P = [0   1/2 0   1/2 
     2/3 0   1/3 0   
     0   1/2 0   1/2 
     1/3 0   2/3 0  ];
mc = dtmc(P);

Plot a digraph of the Markov chain mc. Display the transition probabilities.

graphplot(mc,'ColorEdges',true)

Compute the expected first hitting time for state 1, beginning from each state in the Markov chain.

ht = hittime(mc,1)
ht = 4×1

         0
    2.3333
    4.0000
    3.6667

Plot a digraph of the Markov chain. Specify node colors representing the expected first hitting times for state 1, beginning from each state in the Markov chain.

hittime(mc,1,'Graph',true);

Plot another digraph. Include state 4 as a target state.

hittime(mc,[1 4],'Graph',true);

Create the Markov chain characterized by this transition matrix:

P=[1/201/2000001/302/30001/403/4000002/301/30001/41/81/81/81/41/801/61/61/61/61/61/601/2000001/2].

P = [1/2 0   1/2 0   0   0   0
     0   1/3 0   2/3 0   0   0
     1/4 0   3/4 0   0   0   0
     0   2/3 0   1/3 0   0   0
     1/4 1/8 1/8 1/8 1/4 1/8 0
     1/6 1/6 1/6 1/6 1/6 1/6 0
     1/2 0   0   0   0   0   1/2];
mc = dtmc(P);

Compute the expected first hitting times for state 1, beginning from each state in the Markov chain mc. Also, plot a digraph and specify node colors representing the expected first hitting times for state 1.

ht = hittime(mc,1,'Graph',true)

ht = 7×1

     0
   Inf
     4
   Inf
   Inf
   Inf
     2

States 2 and 4 form an absorbing class. Therefore, state 1 is unreachable from these states. The absorbing class is remote with respect to state 1, with an expected first hitting time of Inf.

State 1 is reachable from states 5 and 6, but the probability of transitioning into the absorbing class from states 5 and 6 is nonzero. Therefore, states 5 and 6 are remote-reachable with respect to state 1, with an expected first hitting time of Inf.

The expected first hitting time for state 1 beginning from state 7 is 2 time steps. The expected first hitting time for state 1 beginning from state 3 is 4 time steps.

Create an eight-state Markov chain from a randomly generated transition matrix with 50 infeasible transitions in random locations. An infeasible transition is a transition whose probability of occurring is zero. Assign arbitrary names to the states.

numStates = 8;
Zeros = 50;
stateNames = strcat(repmat("Regime ",1,8),string(1:8));
rng(1617676169) % For reproducibility
mc = mcmix(8,'Zeros',Zeros,'StateNames',stateNames);

Plot a digraph of the Markov chain mc. Specify node colors that identify transient and recurrent states and communicating classes.

figure;
graphplot(mc,'ColorNodes',true);

Find a recurrent class in the Markov chain mc by following this procedure:

  1. Classify the states by passing mc to classify. Return the array of class memberships ClassStates and the logical vector specifying whether the classes are recurrent ClassRecurrence.

  2. Extract the recurrent classes from the array of classes by indexing into the array using the logical vector.

[~,ClassStates,IsClassRecurrent] = classify(mc);
recurrent = ClassStates{IsClassRecurrent}
recurrent = 1x4 string
    "Regime 2"    "Regime 3"    "Regime 6"    "Regime 8"

Compute the expected hitting time for the states of the recurrent class, beginning from each state in the Markov chain.

ht = hittime(mc,recurrent);

Extract and display the expected absorption times beginning from the transient states.

istransient = ~ismember(mc.StateNames,recurrent);
absorbtime = ht(istransient);
table(absorbtime,'RowNames',mc.StateNames(istransient))
ans=4×1 table
                absorbtime
                __________

    Regime 1      5.8929  
    Regime 4           1  
    Regime 5      1.7777  
    Regime 7      4.8929  

Create a 50-state Markov chain from a random transition matrix in which most of the transitions are infeasible and randomly placed.

rng(1) % For reproducibility
mc = mcmix(50,'Zeros',2400);

Visualize the mixing time of the Markov chain by plotting a digraph and specifying node colors representing the expected first hitting times for state 1, beginning from each state.

hittime(mc,1,'Graph',true);

Visualize the mixing time of the Markov chain for state 5.

hittime(mc,5,'Graph',true);

The expected commute time from state i to state j is the expected time required for a Markov chain to transition from state i to state j (the expected first hitting time ht(i,j)), then back to state i (ht(j,i)). Formally, the expected commute time is

C(i,j)=ht(i,j)+ht(j,i).

Create a "dumbbell" Markov chain containing 10 states in each "weight" and three states in the "bar."

  • Specify random transition probabilities between states within each weight.

  • If the Markov chain reaches the state in a weight that is closest to the bar, then specify a high probability of transitioning to the bar.

  • Specify uniform transitions between states in the bar.

rng(1); % For reproducibility
w = 5;                              % Dumbbell weights
DBar = [0 1 0; 1 0 1; 0 1 0];        % Dumbbell bar
DB = blkdiag(rand(w),DBar,rand(w));  % Transition matrix

% Connect dumbbell weights and bar
DB(w,w+1) = 1;                       
DB(w+1,w) = 1; 
DB(w+3,w+4) = 1; 
DB(w+4,w+3) = 1;

mc = dtmc(DB);

Plot a digraph of the Markov chain mc. Suppress node labels.

figure;
graphplot(mc);

Consider computing the expected commute time from state 1 to state 10.

Compute ht(1,10), the expected first hitting time for state 10 beginning from state 1.

ht = hittime(mc,10);
ht1to10 = ht(1);

Compute ht(10,1), the expected first hitting time for state 1 beginning from state 10.

ht = hittime(mc,1);
ht10to1 = ht(10);

Compute the expected commute time from state 1 to state 10.

C1to10 = ht1to10 + ht10to1
C1to10 = 236.6165

The expected commute time from state 1 to state 10 and back is 236.62 time steps.

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).

Target subset of states, specified as a numeric vector of positive integers, string vector, or cell vector of character vectors.

  • For a numeric vector, elements of target correspond to rows of the transition matrix mc.P.

  • For a string vector or cell vector of character vectors, elements of target must be state names in mc.StateNames.

Example: ["Regime 1" "Regime 2"]

Data Types: double | string | cell

Axes on which to plot, specified as an Axes object.

By default, hittime plots to the current axes (gca).

Output Arguments

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Expected first hitting times, returned as a numeric vector of length mc.NumStates. ht(j) is the expected first hitting time of the specified subset of the target states target from starting state j.

If ht(j) = Inf, state j is a remote state or remote-reachable state for the target states target.

Handle to the graph plot, returned as a graphics object when the 'Graph' name-value pair argument is true. h is a unique identifier, which you can use to query or modify properties of the plot.

More About

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Remote State

Remote states are those states from which the target states are unreachable. A remote state has a hitting probability of 0 and an expected first hitting time of Inf. For more details on hitting probabilities, see hitprob.

Remote-Reachable State

Remote-reachable states are those states from which the target states are reachable and that have a positive probability of reaching an absorbing class. A remote-reachable state has an expected first hitting time of Inf for the target states.

Algorithms

hittime uses linprog to find the minimum norm nonnegative solution to the system:

{kiA=0,iAkiA=1+jAPijkjA,iA,

where

  • kiA = ht(i), the expected first hitting time for the subset of states A, beginning from state i.

  • A is the set of indices of the states in target.

  • P = mc.P.

  • N = mc.NumStates [1].

References

[1] Norris, J. R. Markov Chains. Cambridge, UK: Cambridge University Press, 1997.

Introduced in R2019b