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MCMC methods can be described in three steps: first using a stochastic mechanism a new state for the Markov chain is proposed. Secondly, the probability of this new state to be correct is calculated. Thirdly, a new random variable (0,1) is proposed.
A discrete-time Markov chain is a sequence of random variables X 1, X 2, X 3, ... with the Markov property, namely that the probability of moving to the next state depends only on the present state and not on the previous states:
In 1953 the term Markov chain was used for stochastic processes with discrete or continuous index set, living on a countable or finite state space, see Doob. [1] or Chung. [2] Since the late 20th century it became more popular to consider a Markov chain as a stochastic process with discrete index set, living on a measurable state space. [3] [4] [5]
Many theoretical studies ask how the nervous system could implement Bayesian algorithms. Examples are the work of Pouget, Zemel, Deneve, Latham, Hinton and Dayan. George and Hawkins published a paper that establishes a model of cortical information processing called hierarchical temporal memory that is based on Bayesian network of Markov chains ...
A finite-state machine can be used as a representation of a Markov chain. Assuming a sequence of independent and identically distributed input signals (for example, symbols from a binary alphabet chosen by coin tosses), if the machine is in state y at time n , then the probability that it moves to state x at time n + 1 depends only on the ...
A Markov decision process is a Markov chain in which state transitions depend on the current state and an action vector that is applied to the system. Typically, a Markov decision process is used to compute a policy of actions that will maximize some utility with respect to expected rewards.
A semi-Markov process (defined in the above bullet point) in which all the holding times are exponentially distributed is called a continuous-time Markov chain. In other words, if the inter-arrival times are exponentially distributed and if the waiting time in a state and the next state reached are independent, we have a continuous-time Markov ...
The Markov-modulated Poisson process or MMPP where m Poisson processes are switched between by an underlying continuous-time Markov chain. [8] If each of the m Poisson processes has rate λ i and the modulating continuous-time Markov has m × m transition rate matrix R, then the MAP representation is