ON DETERMINISTIC FINITE STATE MACHINES IN RANDOM ENVIRONMENTS

2018 ◽  
Vol 33 (4) ◽  
pp. 528-563
Author(s):  
Joel Ratsaby

AbstractThe general problem under investigation is to understand how the complexity of a system which has been adapted to its random environment affects the level of randomness of its output (which is a function of its random input). In this paper, we consider a specific instance of this problem in which a deterministic finite-state decision system operates in a random environment that is modeled by a binary Markov chain. The system interacts with it by trying to match states of inactivity (represented by 0). Matching means that the system selects the (t + 1)th bit from the Markov chain whenever it predicts at time t that the environment will take a 0 value. The actual value at time t + 1 may be 0 or 1 thus the selected sequence of bits (which forms the system's output) may have both binary values. To try to predict well, the system's decision function is inferred based on a sample of the random environment.We are interested in assessing how non-random the output sequence may be. To do that, we apply the adapted system on a second random sample of the environment and derive an upper bound on the deviation between the average number of 1 bit in the output sequence and the probability of a 1. The bound shows that the complexity of the system has a direct effect on this deviation and hence on how non-random the output sequence may be. The bound takes the form of $O(\sqrt {(2^k/n} ))$ where 2k is the complexity of the system and n is the length of the second sample.

1981 ◽  
Vol 13 (2) ◽  
pp. 369-387 ◽  
Author(s):  
Richard D. Bourgin ◽  
Robert Cogburn

The general framework of a Markov chain in a random environment is presented and the problem of determining extinction probabilities is discussed. An efficient method for determining absorption probabilities and criteria for certain absorption are presented in the case that the environmental process is a two-state Markov chain. These results are then applied to birth and death, queueing and branching chains in random environments.


2020 ◽  
Vol 2020 ◽  
pp. 1-23
Author(s):  
Hendrik Baumann

For dealing numerically with the infinite-state-space Markov chains, a truncation of the state space is inevitable, that is, an approximation by a finite-state-space Markov chain has to be performed. In this paper, we consider level-dependent quasi-birth-death processes, and we focus on the computation of stationary expectations. In previous literature, efficient methods for computing approximations to these characteristics have been suggested and established. These methods rely on truncating the process at some level N, and for N⟶∞, convergence of the approximation to the desired characteristic is guaranteed. This paper’s main goal is to quantify the speed of convergence. Under the assumption of an f-modulated drift condition, we derive terms for a lower bound and an upper bound on stationary expectations which converge quickly to the same value and which can be efficiently computed.


1981 ◽  
Vol 13 (02) ◽  
pp. 369-387 ◽  
Author(s):  
Richard D. Bourgin ◽  
Robert Cogburn

The general framework of a Markov chain in a random environment is presented and the problem of determining extinction probabilities is discussed. An efficient method for determining absorption probabilities and criteria for certain absorption are presented in the case that the environmental process is a two-state Markov chain. These results are then applied to birth and death, queueing and branching chains in random environments.


2015 ◽  
Vol 16 (01) ◽  
pp. 1650003 ◽  
Author(s):  
Gary Froyland ◽  
Cecilia González-Tokman

We consider finite-state Markov chains driven by stationary ergodic invertible processes representing random environments. Our main result is that the invariant measures of Markov chains in random environments (MCREs) are stable under a wide variety of perturbations. We prove stability in the sense of convergence in probability of the invariant measure of the perturbed MCRE to the original invariant measure. We also develop a new numerical scheme to construct rigorous approximations of the invariant measures, which converge in probability as the resolution of the scheme increases. This numerical approach is illustrated with an example of a random walk in a random environment.


Sign in / Sign up

Export Citation Format

Share Document