Lumpability

In probability theory, lumpability is a method for reducing the size of the state space of some continuous-time Markov chains, first published by Kemeny and Snell.[1]

Definition

Suppose that the complete state-space of a Markov chain is divided into disjoint subsets of states, where these subsets are denoted by ti. This forms a partition of the states. Both the state-space and the collection of subsets may be either finite or countably infinite. A continuous-time Markov chain is lumpable with respect to the partition T if and only if, for any subsets ti and tj in the partition, and for any states n,n’ in subset ti,

where q(i,j) is the transition rate from state i to state j.[2]

Similarly, for a stochastic matrix P, P is a lumpable matrix on a partition T if and only if, for any subsets ti and tj in the partition, and for any states n,n’ in subset ti,

where p(i,j) is the probability of moving from state i to state j.[3]

Example

Consider the matrix

and notice it is lumpable on the partition t = {(1,2),(3,4)} so we write

and call Pt the lumped matrix of P on t.

Successively lumpable processes

In 2012, Katehakis and Smit discovered the Successively Lumpable processes for which the stationary probabilities can be obtained by successively computing the stationary probabilities of a propitiously constructed sequence of Markov chains. Each of the latter chains has a (typically much) smaller state space and this yields significant computational improvements. These results have many applications reliability and queueing models and problems.[4]

Quasi–lumpability

Franceschinis and Muntz introduced quasi-lumpability, a property whereby a small change in the rate matrix makes the chain lumpable.[5]

See also

References

  1. Kemeny, John G.; Snell, J. Laurie (July 1976) [1960]. Gehring, F. W.; Halmos, P. R., eds. Finite Markov Chains (Second ed.). New York Berlin Heidelberg Tokyo: Springer-Verlag. p. 124. ISBN 978-0-387-90192-3.
  2. Jane Hillston, Compositional Markovian Modelling Using A Process Algebra in the Proceedings of the Second International Workshop on Numerical Solution of Markov Chains: Computations with Markov Chains, Raleigh, North Carolina, January 1995. Kluwer Academic Press
  3. Peter G. Harrison and Naresh M. Patel, Performance Modelling of Communication Networks and Computer Architectures Addison-Wesley 1992
  4. Katehakis, M. N.; Smit, L. C. (2012). "A Successive Lumping Procedure for a Class of Markov Chains". Probability in the Engineering and Informational Sciences. 26 (4): 483. doi:10.1017/S0269964812000150.
  5. Franceschinis, G.; Muntz, Richard R. (1993). "Bounds for quasi-lumpable Markov chains". Performance Evaluation. Elsevier B.V. 20 (1–3): 223–243. doi:10.1016/0166-5316(94)90015-9.
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