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java.lang.Object Processes.StochasticProcess Processes.MarkovChain
A Markov chain with states 0,1,2... and time * dependent transition probabilities delivered by * the abstract method q(t,i,j). * *
This will be viewed as a stochastic sequence (dt=1) with * integer valued paths (stored in double[] path). The value * of the path at time t is the state the chain is in at * that time.
* *The state transition is handled as follows: * Suppose that current time is t and we are in state i. The probability that * the chain moves to state j is given by q(t,i,j).
* *The interval [0,1) is partitioned into subintervals * I_0,I_1,... of lengths q(t,i,0), q(t,i,1),... * respectively. We then draw a uniform random number u from [0,1). * If u falls into the interval I_j the chain moves to state j.
* *Vastly more efficient sampling is introduced for finite state
* stationary Markov chains: SFSMarkovChain
.
Constructor Summary | |
MarkovChain(int T,
double j_0)
Constructor allocates the stochastic process super.this
* with dt=1. |
Method Summary | |
abstract double |
q(int t,
int i,
int j)
q(t,i,j) is the probability at time t that * the chain moves from state i to state j. |
void |
timeStep(int t)
Evolves the path of the chain from time t to time t+1. |
Methods inherited from class Processes.StochasticProcess |
get_dt, get_path, get_T, get_X_0, newPath, newPathBranch, pathSegment, pathSegment, pathSegment, sampledAt, simulationInit, timeStep |
Methods inherited from class java.lang.Object |
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
public MarkovChain(int T, double j_0)
Constructor allocates the stochastic process super.this
* with dt=1.
Method Detail |
public abstract double q(int t, int i, int j)
q(t,i,j) is the probability at time t that * the chain moves from state i to state j.
* * @param t current time * @param i current state * @param j next state
public void timeStep(int t)
Evolves the path of the chain from time t to time t+1. * See transition.
timeStep
in class StochasticProcess
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