A brief overview of Markov Chains and Matrix Geometric Analysis. (Phase-Type Distribution)

1. Markov Chain & Matrix
Geometric Analysis
Habibullah

2. Matrix Geometric Method
• The matrix geometric method is a mathematical technique that can
be used to analyze the behavior of certain types of systems, such as
Markov chains and queuing systems. The method involves
representing the system as a matrix, and using matrix algebra to study
the long-term behavior of the system.

3. • One of the key features of the matrix geometric method is that it
allows for the analysis of systems with an infinite state space, such as
systems with a countably infinite number of states or systems with a
continuous state space. This makes the method particularly useful for
studying systems with complex behavior that cannot be easily
analyzed using other techniques.

4. • In addition to its use in analyzing systems, the matrix geometric
method has also been applied to other areas of mathematics,
including the study of differential equations and the solution of linear
systems of equations.
• Overall, the matrix geometric method is a powerful tool for studying
the behavior of complex systems and for solving a wide range of
mathematical problems.

5. Continuous State Space
• A system with a continuous state space is a system that can occupy
any point within a continuous range of states. For example, consider a
mass on a spring. The position of the mass can be any point along the
length of the spring, which forms a continuous range of possible
states for the system.

6. • In contrast, a system with a discrete state space can only occupy a
limited number of distinct states. For example, a two-state system,
such as a coin that can either be heads or tails, has a discrete state
space.
• The concept of a continuous state space is important in the study of
systems that can occupy a potentially infinite number of states, as it
allows for the use of techniques such as the matrix geometric method
to analyze their behavior.

7. Markov Chain
• A Markov chain is a mathematical system that undergoes transitions
from one state to another according to certain probabilistic rules. The
defining characteristic of a Markov chain is that no matter how the
system arrived at its current state, the possible future states are fixed.
In other words, the probability of transitioning to any particular state
is dependent solely on the current state and time elapsed.

8. • A Markov chain is often represented using a state transition diagram,
in which the states of the system are represented by nodes and the
transitions between states are represented by edges. The edges are
labeled with the probability of transitioning from one state to
another.

9. • Markov chains are used to model and analyze a wide variety of
systems, including systems in computer science, biology, economics,
and physics. They are particularly useful for analyzing systems that
exhibit memorylessness, which means that the probability of
transitioning to a new state depends only on the current state and
not on the sequence of states that preceded it.

10. Phase-Type Distribution
• A phase-type distribution is a probability distribution that can be
expressed as a mixture of exponential distributions, or phases. The
phase-type distribution is a generalization of the exponential
distribution, which is itself a special case of the phase-type
distribution.

11. • The phase-type distribution is often used to model the behavior of
systems that exhibit both continuous and discontinuous behavior,
such as systems with repairable components or systems that switch
between different modes of operation. The distribution can be
parameterized using a matrix, which specifies the probabilistic
transitions between the different phases of the distribution.

12. • The phase-type distribution has a number of useful properties,
including the ability to represent a wide range of shapes and the
ability to model systems with a countably infinite number of states. It
is often used in the analysis of Markov chains and other types of
stochastic systems.

13. How do you analyze a congested system using
Markov chain and matrix geometric analysis?
• Markov chains and matrix geometric methods can be used to analyze
the behavior of systems that exhibit "memoryless" properties,
meaning that the future state of the system depends only on its
current state and not on its past states. These techniques can be used
to analyze a congested system by modeling the system as a Markov
chain, where the states of the chain represent the different levels of
congestion that the system can be in, and the transitions between
states represent the movement of the system from one congestion
level to another.

14. • To analyze the system using matrix geometric methods, you would
first construct the transition matrix for the Markov chain, which
specifies the probabilities of transitioning between different states.
You can then use this matrix to calculate the stationary distribution of
the system, which represents the long-term behavior of the system,
as well as other important measures such as the expected time to
move between different states and the expected number of
transitions required to reach a particular state.

15. • It's also worth noting that Markov chain analysis can be used to
analyze other types of systems as well, not just congested systems.
For example, it has also been applied to fields such as economics,
biology, and computer science, to name a few.

16. Memoryless Properties
• In the context of Markov chains and matrix geometric analysis,
"memoryless" refers to the property of a system where the future
state of the system depends only on its current state, and not on its
past states. This means that, in a memoryless system, the probability
of transitioning to any particular future state is independent of the
sequence of states that the system has been in up to that point.

17. • For example, consider a system that represents the traffic on a busy
street. If we model this system as a Markov chain, the states of the
chain might represent different levels of congestion (e.g. low,
medium, high). In this case, the system exhibits memoryless
properties if the probability of transitioning from a low congestion
state to a high congestion state is independent of whether the system
was previously in a low congestion state or a medium congestion
state.

18. • Memoryless systems are often used to model real-world systems
because they are relatively simple to analyze and can capture many
important features of the system behavior. However, it's important to
keep in mind that not all systems are memoryless, and it may be
necessary to use more complex models to accurately represent the
behavior of certain systems.

19. Stationary Distribution
• The stationary distribution of a system represents the long-term
behavior of the system. It is a probability distribution over the states
of the system that describes the likelihood of the system being in
each state at a given time, assuming that the system has reached a
steady state (i.e. the distribution of states has become constant over
time).

20. • For example, consider a system that represents the traffic on a busy
street, where the states of the system represent different levels of
congestion (e.g. low, medium, high). If we construct a Markov chain
to model this system, the stationary distribution of the system would
describe the probability of the traffic being in a low congestion state,
a medium congestion state, or a high congestion state at any given
time, assuming that the traffic has reached a steady state (e.g. after a
long enough period of time).

21. • To calculate the stationary distribution of a system, you can use the
transition matrix of the system's Markov chain. The stationary
distribution is the unique probability distribution that satisfies the
equation:
stationary_distribution = stationary_distribution * transition_matrix

22. • In other words, the stationary distribution is the eigenvector of the
transition matrix with eigenvalue 1.
• The stationary distribution is an important measure in the analysis of
Markov chains because it describes the long-term behavior of the
system, which can be difficult to predict using other methods. It is
often used to answer questions such as: "What is the probability that
the system will be in a particular state at a given time?", or "How long
will it take for the system to reach a particular state?"

23. How do you analyze a congested system having
phase-type distribution with matrix geometric
method?
• To analyze a congested system using matrix geometric methods, you
can use a variant of the standard Markov chain model called a
"phase-type distribution" model. In this model, the states of the
system are represented by a set of phases, where each phase is
associated with a particular distribution over the states of the system.
The transitions between phases represent the movement of the
system from one congestion level to another.

24. • To analyze the system using matrix geometric methods, you would
first construct the transition matrix for the phase-type distribution
model, which specifies the probabilities of transitioning between
different phases. You can then use this matrix to calculate the
stationary distribution of the system, which represents the long-term
behavior of the system, as well as other important measures such as
the expected time to move between different phases and the
expected number of transitions required to reach a particular phase.

25. • It's worth noting that phase-type distribution models are a more
general and flexible way of modeling systems than standard Markov
chain models, since they allow for the representation of more
complex distributions over the states of the system. However, they
can also be more difficult to work with, since the calculations involved
are often more complex.