可逆马氏链(中文).ppt

Truncation of a Reversible Markov Chain Theorem 9: {X(t)} reversible Markov process with state space S, and stationary distribution {pj: j?S}. Truncated to a set E?S, such that the resulting chain {Y(t)} is irreducible. Then, {Y(t)} is reversible and has stationary distribution: Remark: This is the conditional probability that, in steady-state, the original process is at state j, given that it is somewhere in E Proof: Verify that: Two examples: 例1 M/M/m/m是M/M/∞的截断,S={0,1,…,m}, G=1+ρ +…+ ρm/m!, p(n)=(ρn/n!)/G, ρ=(λ/μ) 例2 M/M/1/K是M/M/1的截断(习题3.21) M/M/1有平稳分布ρn(1- ρ), 截断链的状态集为S={0,1,…,