Consider a Markov chain with two states and transition probability matrix P = (0 11 0). Find thestationary distribution of the chain
Question
Consider a Markov chain with two states and transition probability matrix
Find the stationary distribution of the chain.
Solution
To find the stationary distribution of the Markov chain, we need to solve the equation πP = π, where π is the stationary distribution and P is the transition probability matrix.
Given that the Markov chain has two states, let's denote the stationary distribution as π = [π1, π2]. The transition probability matrix is given as P = [0 1; 1 0].
Now, let's set up the equation πP = π:
[π1, π2] * [0 1; 1 0] = [π1, π2]
This equation can be expanded as:
π1 * 0 + π2 * 1 = π1 π1 * 1 + π2 * 0 = π2
Simplifying these equations, we get:
π2 = π1 π1 = π2
Since π1 = π2, we can choose any value for π1 and set π2 equal to that value. Let's choose π1 = 1.
Therefore, the stationary distribution of the Markov chain is π = [1, 1].
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