DiscreteMarkovChain

(Source code, png)

../../_images/openturns-DiscreteMarkovChain-1.png
class DiscreteMarkovChain(*args)

Discrete Markov chain process.

Parameters:
originDistribution or int, optional

Probability distribution of the Markov chain origin, i.e. state of the process at t_0. By default, the origin is set to a Dirac distribution of value 0.0.

transitionMatrixSquareMatrix, optional

Transition matrix of the process. The matrix must be square, of dimension equal to the number of possible states of the process. By default, the transition matrix of the process is set to the 1x1 matrix [1].

timeGridTimeSeries, optional

The time grid of the process. By default, the time grid is reduced to one time stamp equal to 0.

Notes

A discrete Markov chain is a process X: \Omega \times \cD \rightarrow E, where \cD=\Rset discretized on the time grid (t_i)_{i \geq 0}, and E = [\![ 0,...,p-1]\!] is the space of states, such that:

\forall n>0,\: \Prob ( X_{t_n} \> | \> X_{t_0},...X_{t_{n-1}} )  =  \Prob ( X_{t_n} \> | \> X_{t_{n-1}} )

The transition matrix of the process \cM = (m_{i,j}) can be defined such that:

\forall t_n \in \cD, \forall i,j \in [\![ 0,...,p-1]\!], m_{i+1 , j+1} = \Prob (X_{t_{n+1}} = j \> | \> X_{t_{n}} = i)

The transition matrix \cM of the process is square, and its dimension p is equal to the number of states of the process. Besides, \cM is a stochastic matrix, i.e.:

\forall i,j \leq p , \: m_{i,j} \geq 0

\forall i \leq p, \: \sum_{j=1}^{p}{m_{i,j}} = 1

The origin of the process must be provided either as a deterministic value x_0 \in [\![ 0,...,p-1]\!], or as a probability distribution. In this case, the distribution of X_0 must be 1D, and its support must be a part of [\![ 0,...,p-1]\!].

Examples

Create a Markov chain:

>>> import openturns as ot
>>> timeGrid = ot.RegularGrid(0, 0.1, 10)
>>> transitionMatrix = ot.SquareMatrix([[0.9,0.05,0.05],[0.7,0.0,0.3],[0.8,0.0,0.2]])
>>> origin = 0
>>> myMarkovChain = ot.DiscreteMarkovChain(origin, transitionMatrix, timeGrid)

Get a realization:

>>> myReal = myMarkovChain.getRealization()

Methods

computeStationaryDistribution()

Compute the stationary distribution of the Markov chain.

exportToDOTFile(filename)

Export to DOT graph.

getClassName()

Accessor to the object's name.

getContinuousRealization()

Get a continuous realization.

getCovarianceModel()

Accessor to the covariance model.

getDescription()

Get the description of the process.

getFuture(*args)

Prediction of the N future iterations of the process.

getInputDimension()

Get the dimension of the domain \cD.

getMarginal(*args)

Get the k^{th} marginal of the random process.

getMesh()

Get the mesh.

getName()

Accessor to the object's name.

getOrigin()

Accessor to the origin.

getOutputDimension()

Get the dimension of the domain \cD.

getRealization()

Get a realization of the process.

getSample(size)

Get n realizations of the process.

getTimeGrid()

Get the time grid of observation of the process.

getTransitionMatrix()

Accessor to the transition matrix.

getTrend()

Accessor to the trend.

hasName()

Test if the object is named.

isComposite()

Test whether the process is composite or not.

isNormal()

Test whether the process is normal or not.

isStationary()

Test whether the process is stationary or not.

setDescription(description)

Set the description of the process.

setMesh(mesh)

Set the mesh.

setName(name)

Accessor to the object's name.

setOrigin(*args)

Accessor to the origin.

setTimeGrid(timeGrid)

Set the time grid of observation of the process.

setTransitionMatrix(transitionMatrix)

Accessor to the transition matrix.

__init__(*args)
computeStationaryDistribution()

Compute the stationary distribution of the Markov chain.

Returns:
distributionUserDefined

The stationary probability distribution of the Markov chain: its probability table is the left eigenvector of the transition matrix associated to the eigenvalue 1.

Examples

Compute the stationary distribution of a Markov chain:

>>> import openturns as ot
>>> timeGrid = ot.RegularGrid(0, 0.1, 10)
>>> transitionMatrix = ot.SquareMatrix([[0.9,0.05,0.05],[0.7,0.0,0.3],[0.8,0.0,0.2]])
>>> origin = 0
>>> myMarkovChain = ot.DiscreteMarkovChain(origin, transitionMatrix, timeGrid)
>>> distribution = myMarkovChain.computeStationaryDistribution()
>>> print(distribution)
UserDefined({x = [0], p = 0.883978}, {x = [1], p = 0.0441989}, {x = [2], p = 0.0718232})
exportToDOTFile(filename)

Export to DOT graph.

DOT is a graph description language.

Parameters:
filenamestr

The name of the file to be written.

Notes

The graph can be customized using the following ResourceMap string entries:

  • DiscreteMarkovChain-DOTArcColor

  • DiscreteMarkovChain-DOTLayout

  • DiscreteMarkovChain-DOTNodeColor

  • DiscreteMarkovChain-DOTNodeShape

getClassName()

Accessor to the object’s name.

Returns:
class_namestr

The object class name (object.__class__.__name__).

getContinuousRealization()

Get a continuous realization.

Returns:
realizationFunction

According to the process, the continuous realizations are built:

  • either using a dedicated functional model if it exists: e.g. a functional basis process.

  • or using an interpolation from a discrete realization of the process on \cM: in dimension d=1, a linear interpolation and in dimension d \geq 2, a piecewise constant function (the value at a given position is equal to the value at the nearest vertex of the mesh of the process).

getCovarianceModel()

Accessor to the covariance model.

Returns:
cov_modelCovarianceModel

Covariance model, if any.

getDescription()

Get the description of the process.

Returns:
descriptionDescription

Description of the process.

getFuture(*args)

Prediction of the N future iterations of the process.

Parameters:
stepNumberint, N \geq 0

Number of future steps.

sizeint, size \geq 0, optional

Number of futures needed. Default is 1.

Returns:
predictionProcessSample or TimeSeries

N future iterations of the process. If size = 1, prediction is a TimeSeries. Otherwise, it is a ProcessSample.

getInputDimension()

Get the dimension of the domain \cD.

Returns:
nint

Dimension of the domain \cD: n.

getMarginal(*args)

Get the k^{th} marginal of the random process.

Parameters:
kint or list of ints 0 \leq k < d

Index of the marginal(s) needed.

Returns:
marginalsProcess

Process defined with marginal(s) of the random process.

getMesh()

Get the mesh.

Returns:
meshMesh

Mesh over which the domain \cD is discretized.

getName()

Accessor to the object’s name.

Returns:
namestr

The name of the object.

getOrigin()

Accessor to the origin.

Returns:
originDistribution

The probability distribution of the origin of the Markov chain.

getOutputDimension()

Get the dimension of the domain \cD.

Returns:
dint

Dimension of the domain \cD.

getRealization()

Get a realization of the process.

Returns:
realizationField

Contains a mesh over which the process is discretized and the values of the process at the vertices of the mesh.

getSample(size)

Get n realizations of the process.

Parameters:
nint, n \geq 0

Number of realizations of the process needed.

Returns:
processSampleProcessSample

n realizations of the random process. A process sample is a collection of fields which share the same mesh \cM \in \Rset^n.

getTimeGrid()

Get the time grid of observation of the process.

Returns:
timeGridRegularGrid

Time grid of a process when the mesh associated to the process can be interpreted as a RegularGrid. We check if the vertices of the mesh are scalar and are regularly spaced in \Rset but we don’t check if the connectivity of the mesh is conform to the one of a regular grid (without any hole and composed of ordered instants).

getTransitionMatrix()

Accessor to the transition matrix.

Returns:
matrixSquareMatrix

The transition matrix of the process, of dimension n.

getTrend()

Accessor to the trend.

Returns:
trendTrendTransform

Trend, if any.

hasName()

Test if the object is named.

Returns:
hasNamebool

True if the name is not empty.

isComposite()

Test whether the process is composite or not.

Returns:
isCompositebool

True if the process is composite (built upon a function and a process).

isNormal()

Test whether the process is normal or not.

Returns:
isNormalbool

True if the process is normal.

Notes

A stochastic process is normal if all its finite dimensional joint distributions are normal, which means that for all k \in \Nset and I_k \in \Nset^*, with cardI_k=k, there is \vect{m}_1, \dots, \vect{m}_k \in \Rset^d and \mat{C}_{1,\dots,k}\in\mathcal{M}_{kd,kd}(\Rset) such that:

\Expect{\exp\left\{i\Tr{\vect{X}}_{I_k} \vect{U}_{k}  \right\}} =
\exp{\left\{i\Tr{\vect{U}}_{k}\vect{M}_{k}-\frac{1}{2}\Tr{\vect{U}}_{k}\mat{C}_{1,\dots,k}\vect{U}_{k}\right\}}

where \Tr{\vect{X}}_{I_k} = (\Tr{X}_{\vect{t}_1}, \hdots, \Tr{X}_{\vect{t}_k}), \\Tr{vect{U}}_{k} = (\Tr{\vect{u}}_{1}, \hdots, \Tr{\vect{u}}_{k}) and \Tr{\vect{M}}_{k} = (\Tr{\vect{m}}_{1}, \hdots, \Tr{\vect{m}}_{k}) and \mat{C}_{1,\dots,k} is the symmetric matrix:

\mat{C}_{1,\dots,k} = \left(
\begin{array}{cccc}
  C(\vect{t}_1, \vect{t}_1) &C(\vect{t}_1, \vect{t}_2) & \hdots & C(\vect{t}_1, \vect{t}_{k}) \\
  \hdots & C(\vect{t}_2, \vect{t}_2)  & \hdots & C(\vect{t}_2, \vect{t}_{k}) \\
  \hdots & \hdots & \hdots & \hdots \\
  \hdots & \hdots & \hdots & C(\vect{t}_{k}, \vect{t}_{k})
\end{array}
\right)

A Gaussian process is entirely defined by its mean function m and its covariance function C (or correlation function R).

isStationary()

Test whether the process is stationary or not.

Returns:
isStationarybool

True if the process is stationary.

Notes

A process X is stationary if its distribution is invariant by translation: \forall k \in \Nset, \forall (\vect{t}_1, \dots, \vect{t}_k) \in \cD, \forall \vect{h}\in \Rset^n, we have:

(X_{\vect{t}_1}, \dots, X_{\vect{t}_k})
\stackrel{\mathcal{D}}{=} (X_{\vect{t}_1+\vect{h}}, \dots, X_{\vect{t}_k+\vect{h}})

setDescription(description)

Set the description of the process.

Parameters:
descriptionsequence of str

Description of the process.

setMesh(mesh)

Set the mesh.

Parameters:
meshMesh

Mesh over which the domain \cD is discretized.

setName(name)

Accessor to the object’s name.

Parameters:
namestr

The name of the object.

setOrigin(*args)

Accessor to the origin.

Parameters:
originDistribution or int

The probability distribution of the origin of the Markov chain.

setTimeGrid(timeGrid)

Set the time grid of observation of the process.

Returns:
timeGridRegularGrid

Time grid of observation of the process when the mesh associated to the process can be interpreted as a RegularGrid. We check if the vertices of the mesh are scalar and are regularly spaced in \Rset but we don’t check if the connectivity of the mesh is conform to the one of a regular grid (without any hole and composed of ordered instants).

setTransitionMatrix(transitionMatrix)

Accessor to the transition matrix.

Parameters:
matrixSquareMatrix

The transition matrix of the process, of dimension n.

Examples using the class

Create a discrete Markov chain process

Create a discrete Markov chain process