What exactly does it mean to multiply a vector by the transition matrix of a Markov process?











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I know that given a stationary distribution and 2 state transition matrix that



$begin{pmatrix}
Pi _{1} & Pi _{2}
end{pmatrix}begin{pmatrix}
P_{00} & P_{01}\
P_{10}& P_{11}
end{pmatrix}
=begin{pmatrix}
Pi_{1} &Pi_{2}
end{pmatrix}$



is true. But what exactly is the operation of multiplication by the transition matrix doing? And why is it that multiplying a vector that has its nth component made up of the probability that the state is in that nth position (i.e. the stationary distribution) gives you the same vector? What is special about it such that the multiplication operation gives the same output? Or am I mistaken in that multiplication by the transition matrix means nothing special outside of the stationary distribution/invariant vector?










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    up vote
    0
    down vote

    favorite












    I know that given a stationary distribution and 2 state transition matrix that



    $begin{pmatrix}
    Pi _{1} & Pi _{2}
    end{pmatrix}begin{pmatrix}
    P_{00} & P_{01}\
    P_{10}& P_{11}
    end{pmatrix}
    =begin{pmatrix}
    Pi_{1} &Pi_{2}
    end{pmatrix}$



    is true. But what exactly is the operation of multiplication by the transition matrix doing? And why is it that multiplying a vector that has its nth component made up of the probability that the state is in that nth position (i.e. the stationary distribution) gives you the same vector? What is special about it such that the multiplication operation gives the same output? Or am I mistaken in that multiplication by the transition matrix means nothing special outside of the stationary distribution/invariant vector?










    share|cite|improve this question
























      up vote
      0
      down vote

      favorite









      up vote
      0
      down vote

      favorite











      I know that given a stationary distribution and 2 state transition matrix that



      $begin{pmatrix}
      Pi _{1} & Pi _{2}
      end{pmatrix}begin{pmatrix}
      P_{00} & P_{01}\
      P_{10}& P_{11}
      end{pmatrix}
      =begin{pmatrix}
      Pi_{1} &Pi_{2}
      end{pmatrix}$



      is true. But what exactly is the operation of multiplication by the transition matrix doing? And why is it that multiplying a vector that has its nth component made up of the probability that the state is in that nth position (i.e. the stationary distribution) gives you the same vector? What is special about it such that the multiplication operation gives the same output? Or am I mistaken in that multiplication by the transition matrix means nothing special outside of the stationary distribution/invariant vector?










      share|cite|improve this question













      I know that given a stationary distribution and 2 state transition matrix that



      $begin{pmatrix}
      Pi _{1} & Pi _{2}
      end{pmatrix}begin{pmatrix}
      P_{00} & P_{01}\
      P_{10}& P_{11}
      end{pmatrix}
      =begin{pmatrix}
      Pi_{1} &Pi_{2}
      end{pmatrix}$



      is true. But what exactly is the operation of multiplication by the transition matrix doing? And why is it that multiplying a vector that has its nth component made up of the probability that the state is in that nth position (i.e. the stationary distribution) gives you the same vector? What is special about it such that the multiplication operation gives the same output? Or am I mistaken in that multiplication by the transition matrix means nothing special outside of the stationary distribution/invariant vector?







      markov-chains markov-process stationary-processes






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      asked Dec 3 at 4:25









      user3491700

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          Given an initial distribution $pi$ (row vector) and the transition matrix $P$, the row vector $pi P$ contains the probabilities of ending up in the $2$ states after one step, if the initial state follows the initial distribution. More generally, $pi P^n$ contains the probabilities of ending up in the $2$ states after $n$ steps, if starting according to the initial distribution.



          If $pi$ is a stationary distribution, then $pi P^n = pi$, which means that after any number of steps, the distribution of the state you land on is the same as the initial distribution.






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            Given an initial distribution $pi$ (row vector) and the transition matrix $P$, the row vector $pi P$ contains the probabilities of ending up in the $2$ states after one step, if the initial state follows the initial distribution. More generally, $pi P^n$ contains the probabilities of ending up in the $2$ states after $n$ steps, if starting according to the initial distribution.



            If $pi$ is a stationary distribution, then $pi P^n = pi$, which means that after any number of steps, the distribution of the state you land on is the same as the initial distribution.






            share|cite|improve this answer

























              up vote
              1
              down vote













              Given an initial distribution $pi$ (row vector) and the transition matrix $P$, the row vector $pi P$ contains the probabilities of ending up in the $2$ states after one step, if the initial state follows the initial distribution. More generally, $pi P^n$ contains the probabilities of ending up in the $2$ states after $n$ steps, if starting according to the initial distribution.



              If $pi$ is a stationary distribution, then $pi P^n = pi$, which means that after any number of steps, the distribution of the state you land on is the same as the initial distribution.






              share|cite|improve this answer























                up vote
                1
                down vote










                up vote
                1
                down vote









                Given an initial distribution $pi$ (row vector) and the transition matrix $P$, the row vector $pi P$ contains the probabilities of ending up in the $2$ states after one step, if the initial state follows the initial distribution. More generally, $pi P^n$ contains the probabilities of ending up in the $2$ states after $n$ steps, if starting according to the initial distribution.



                If $pi$ is a stationary distribution, then $pi P^n = pi$, which means that after any number of steps, the distribution of the state you land on is the same as the initial distribution.






                share|cite|improve this answer












                Given an initial distribution $pi$ (row vector) and the transition matrix $P$, the row vector $pi P$ contains the probabilities of ending up in the $2$ states after one step, if the initial state follows the initial distribution. More generally, $pi P^n$ contains the probabilities of ending up in the $2$ states after $n$ steps, if starting according to the initial distribution.



                If $pi$ is a stationary distribution, then $pi P^n = pi$, which means that after any number of steps, the distribution of the state you land on is the same as the initial distribution.







                share|cite|improve this answer












                share|cite|improve this answer



                share|cite|improve this answer










                answered Dec 3 at 4:36









                angryavian

                37.8k13180




                37.8k13180






























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