Graphics Programs Reference
In-Depth Information
The average time spent by the process in state j in a period of fixed duration
τ at steady-state, v
j
(τ), can be obtained as the product of the steady-state
probability of state j times the duration of the observation period:
v
j
(τ) = η
j
τ
(A.21)
The average time spent by the process in state i at steady-state, between
two successive visits to state j, v
ij
, can be shown to equal the ratio of the
steady-state probabilities of states i and j:
v
ij
=
η
i
η
j
(A.22)
The term visit can be explained as follows. We say that the process visits
state i at time n if X
n
= i. The quantity v
ij
is called visit ratio since it
indicates the average number of visits to state i between two successive visits
to state j.
A.3.2
Matrix Formulation
The use of a matrix notation can be particularly convenient, since it sim-
plifies many of the above results. Define the transition probability matrix
P = [p
ij
], whose entries are the transition probabilities, as well as the vector
η = [η
i
], whose entries are the limiting probabilities.
If the finite DTMC is ergodic, the steady-state probability distribution can
be evaluated from the matrix equation:
η = η P
(A.23)
that is the matrix form of (
A.19a
). As before, the normalizing condition
steady-state probability distribution.
As a final comment on the properties of DTMCs, we remark that, as said
before, the sojourn time in state i is a geometrically distributed random
variable SJ
i
with
P
{
SJ
i
= k
}
= p
k−1
(1
−
p
ii
)
k = 1, 2,
···
(A.24)
ii
Indeed, given that the process is in state i, at each step the probability of
leaving state i is (1
−
p
ii
), and the choice is repeated independently at each
step.
The average number of steps spent in state i before going to another state
each time the process enters state i is then:
1
1
−
p
ii
E [SJ
i
] =
(A.25)
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